2.4.1

Author: tbrent

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.4.0",
+  "version": "2.4.1",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",

src/open-auction.ts

@@ -263,10 +263,10 @@ export const getOpenAuction = (
   // calculate progressions
 
   // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
-  const spotLimit = shareValue.div(buValue);
+  const idealSpotLimit = shareValue.div(buValue);
 
   // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-  const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(spotLimit));
+  const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(idealSpotLimit));
 
   // absoluteProgression
   // {1} = {USD/wholeShare} / {USD/wholeShare}
@@ -361,13 +361,16 @@ export const getOpenAuction = (
 
   // get new limits, constrained by extremes
 
+  const idealLowLimit = idealSpotLimit.mul(ONE.sub(delta));
+  const idealHighLimit = idealSpotLimit.mul(ONE.add(delta));
+
   // D18{BU/share} = {wholeBU/wholeShare} * D18 * {1}
   const newLimits = {
-    low: bn(spotLimit.sub(spotLimit.mul(delta)).mul(D18d)),
-    spot: bn(spotLimit.mul(D18d)),
+    low: bn(idealLowLimit.mul(D18d)),
+    spot: bn(idealSpotLimit.mul(D18d)),
 
     // hold non-eject surpluses aside if ejecting
-    high: round == AuctionRound.EJECT ? rebalance.limits.high : bn(spotLimit.add(spotLimit.mul(delta)).mul(D18d)),
+    high: round == AuctionRound.EJECT ? rebalance.limits.high : bn(idealHighLimit.mul(D18d)),
   };
 
   // low
@@ -418,7 +421,7 @@ export const getOpenAuction = (
     const newWeightsD27 = {
       low: bn(
         idealWeight
-          .mul(ONE.sub(delta).div(actualLimits.low.div(actualLimits.spot))) // add remaining delta into weight
+          .mul(idealLowLimit.div(actualLimits.low)) // add the portion of `delta` we failed to propagate through to the low limit
           .mul(D9d)
           .mul(decimalScale[i]),
       ),
@@ -430,7 +433,7 @@ export const getOpenAuction = (
           ? weightRange.high
           : bn(
               idealWeight
-                .mul(ONE.add(delta).div(actualLimits.high.div(actualLimits.spot))) // add remaining delta into weight
+                .mul(idealHighLimit.div(actualLimits.high)) // add the portion of `delta` we failed to propagate through to the high limit
                 .mul(D9d)
                 .mul(decimalScale[i]),
             ),

src/start-rebalance.ts

@@ -117,11 +117,12 @@ export const getStartRebalance = (
       // NATIVE case
 
       // {wholeTok/wholeShare} = {wholeTok/wholeShare} / {1}
+      const lowWeight = spotWeight.mul(ONE.sub(priceError[i]));
       const highWeight = spotWeight.div(ONE.sub(priceError[i]));
 
       // D27{tok/share} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
       newWeights.push({
-        low: 1n,
+        low: deferWeights ? 1n : bn(lowWeight.mul(limitMultiplier)),
         spot: bn(spotWeight.mul(limitMultiplier)),
         high: deferWeights ? D27n * D27n : bn(highWeight.mul(limitMultiplier)),
       });
@@ -164,7 +165,7 @@ export const getStartRebalance = (
   }
 
   const newLimits: RebalanceLimits = {
-    low: weightControl ? bn("1e18") : 1n,
+    low: 1n,
     spot: bn("1e18"),
     high: weightControl ? bn("1e18") : bn(ONE.div(ONE.sub(basketError)).mul(D18d)),
   };