Merge pull request #28 from IndexCoop/ek/fix-auction-params

[Fix] Change Config values to use BigNumber; Re-align component ordering in arrays
IndexCoop · Jan 12, 2024 · 7064dfd · 7064dfd
2 parents 095a816 + 7e83c70
commit 7064dfd
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Showing 6 changed files with 45 additions and 47 deletions.
diff --git a/scripts/utils.ts b/scripts/utils.ts
@@ -8,8 +8,8 @@ export function displayTargetUnits(targetUnits: BigNumber[]) {
     console.log("Target Units:");
     console.log("Lido: " + utils.formatEther(targetUnits[0]));
     console.log("RocketPool: " + utils.formatEther(targetUnits[1]));
-    console.log("StakeWise: " + utils.formatEther(targetUnits[2]));
-    console.log("Frax: " + utils.formatEther(targetUnits[3]));
+    console.log("Frax: " + utils.formatEther(targetUnits[2]));
+    console.log("Stakewise: " + utils.formatEther(targetUnits[3]));
     console.log("Swell: " + utils.formatEther(targetUnits[4]));
     console.log("Stader: " + utils.formatEther(targetUnits[5]));
 }

diff --git a/src/addresses.ts b/src/addresses.ts
@@ -1,19 +1,20 @@
 import { PoolIds, SetTokens } from "./types";
 
+// IMPORTANT: These must be in the same order as dsetH.getComponents(), with new components added to the end
 export const stakingTokens: Record<PoolIds, string> = {
     Lido: "0x7f39C581F595B53c5cb19bD0b3f8dA6c935E2Ca0", // wstETH
     Rocketpool: "0xae78736Cd615f374D3085123A210448E74Fc6393", // rETH
-    StakeWise: "0xf1C9acDc66974dFB6dEcB12aA385b9cD01190E38", // osETH
     Frax: "0xac3E018457B222d93114458476f3E3416Abbe38F", // sfrxETH
+    StakeWise: "0xf1C9acDc66974dFB6dEcB12aA385b9cD01190E38", // osETH
     Swell: "0xf951E335afb289353dc249e82926178EaC7DEd78", // swETH
     Stader: "0xA35b1B31Ce002FBF2058D22F30f95D405200A15b", // ETHx
 };
 
 export const stakingTokenRateProviders: Record<PoolIds, string> = {
     Lido: "0x7f39C581F595B53c5cb19bD0b3f8dA6c935E2Ca0", // wstETH
     Rocketpool: "0xae78736Cd615f374D3085123A210448E74Fc6393", // rETH
-    StakeWise: "0x8023518b2192FB5384DAdc596765B3dD1cdFe471", // osETH
     Frax: "0xac3E018457B222d93114458476f3E3416Abbe38F", // sfrxETH
+    StakeWise: "0x8023518b2192FB5384DAdc596765B3dD1cdFe471", // osETH
     Swell: "0xf951E335afb289353dc249e82926178EaC7DEd78", // swETH
     Stader: "0xcf5EA1b38380f6aF39068375516Daf40Ed70D299", // ETHx
 };

diff --git a/src/auctionConfig.ts b/src/auctionConfig.ts
@@ -1,29 +1,31 @@
+import { BigNumber, ethers } from "ethers";
+
 export type AuctionConfig = {
     priceAdapterName: string;
     priceAdapterAddress: string;
     quoteAsset: string;
     bucketSize: number;
-    slopeForSellComponents: number;
-    slopeForBuyComponents: number;
+    slopeForSellComponents: BigNumber;
+    slopeForBuyComponents: BigNumber;
     shouldLockSetToken: boolean;
     rebalanceDuration: number;
-    initialPricePctSellComponents: number;
-    initialPricePctBuyComponents: number;
-    maxPriceAsPercentOfMarketPrice: number;
-    minPriceAsPercentOfMarketPrice: number;
+    initialPriceAdjustSellComponents: BigNumber;
+    initialPriceAdjustBuyComponents: BigNumber;
+    maxPriceAboveMarketPrice: BigNumber;
+    minPriceBelowMarketPrice: BigNumber;
 };
 
 export const DEFAULT_AUCTION_CONFIG: AuctionConfig = {
     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
     priceAdapterAddress: "0x237F7BBe0b358415bE84AB6d279D4338C0d026bB",
     quoteAsset: "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2", // WETH
     bucketSize: 600, // 10 minutes
-    slopeForSellComponents: 0.00025, // decrease by 0.00025 WETH each bucket
-    slopeForBuyComponents: 0.000015, // increase by 0.00001 WETH each bucket
+    slopeForSellComponents: ethers.utils.parseEther("0.00025"), // decrease by 0.00025 WETH each bucket
+    slopeForBuyComponents: ethers.utils.parseEther("0.0001"), // increase by 0.00001 WETH each bucket
     shouldLockSetToken: false,
     rebalanceDuration: 86400, // 1 days
-    initialPricePctSellComponents: 1.01, // 2% above market price
-    initialPricePctBuyComponents: 0.99, // 2% below market price
-    maxPriceAsPercentOfMarketPrice: 1.01,
-    minPriceAsPercentOfMarketPrice: 0.99,
+    initialPriceAdjustSellComponents: ethers.utils.parseEther("0.01"), // 1% above market price
+    initialPriceAdjustBuyComponents: ethers.utils.parseEther("0.01"), // 1% below market price
+    maxPriceAboveMarketPrice: ethers.utils.parseEther("0.01"),
+    minPriceBelowMarketPrice: ethers.utils.parseEther("0.01"),
 };
diff --git a/src/auctionRebalanceProposer.ts b/src/auctionRebalanceProposer.ts
@@ -1,7 +1,7 @@
 import { BigNumber, Contract, Signer } from "ethers";
 import { RatedApiService } from "./ratedApiService";
 import { AuctionConfig } from "./auctionConfig";
-import { toWei } from "./utils";
+import { parseEther, toWei } from "./utils";
 import {
     SET_TOKEN_ABI,
     SWETH_ABI,
@@ -362,17 +362,13 @@ export class AuctionRebalanceProposer {
         isDecreasing: boolean,
     ): Promise<AuctionExecutionParams> {
         const initialPrice = isDecreasing
-            ? priceInWei.mul(toWei(config.initialPricePctSellComponents))
-            : priceInWei.mul(toWei(config.initialPricePctBuyComponents));
+            ? priceInWei.add(config.initialPriceAdjustSellComponents)
+            : priceInWei.sub(config.initialPriceAdjustSellComponents);
         const slope = isDecreasing
-            ? priceInWei.mul(toWei(config.slopeForSellComponents))
-            : priceInWei.mul(toWei(config.slopeForBuyComponents));
-        const maxPrice = priceInWei.mul(
-            toWei(config.maxPriceAsPercentOfMarketPrice),
-        );
-        const minPrice = priceInWei.mul(
-            toWei(config.minPriceAsPercentOfMarketPrice),
-        );
+            ? config.slopeForSellComponents
+            : config.slopeForBuyComponents;
+        const maxPrice = priceInWei.add(config.maxPriceAboveMarketPrice);
+        const minPrice = priceInWei.sub(config.minPriceBelowMarketPrice);
 
         const priceAdapterData = await priceAdapter.getEncodedData(
             initialPrice,

diff --git a/src/types.ts b/src/types.ts
@@ -3,8 +3,8 @@ import { BigNumber } from "ethers";
 export enum PoolIds {
     Lido = "Lido",
     Rocketpool = "Rocketpool",
-    StakeWise = "StakeWise",
     Frax = "Frax",
+    StakeWise = "StakeWise",
     Swell = "Swell",
     Stader = "Stader",
 }

diff --git a/test/proposeRebalance.test.ts b/test/proposeRebalance.test.ts
@@ -48,12 +48,12 @@ describe("Calculate dsETH auction rebalance params", function () {
             const rocketPoolEthExchangeRate = utils.parseEther(
                 "1.094761417991677774",
             );
-            const stakeWiseEthExchangeRate = utils.parseEther(
-                "1.004232276619834910",
-            );
             const fraxEthExchangeRate = utils.parseEther(
                 "1.070920905211974170",
             );
+            const stakeWiseEthExchangeRate = utils.parseEther(
+                "1.004232276619834910",
+            );
             const swellEthExchangeRate = utils.parseEther(
                 "1.047375758619640637",
             );
@@ -68,8 +68,8 @@ describe("Calculate dsETH auction rebalance params", function () {
                 const expectedLstEthExchangeRates = [
                     lidoEthExchangeRate,
                     rocketPoolEthExchangeRate,
-                    stakeWiseEthExchangeRate,
                     fraxEthExchangeRate,
+                    stakeWiseEthExchangeRate,
                     swellEthExchangeRate,
                     staderEthExchangeRate,
                 ];
@@ -206,10 +206,10 @@ describe("Calculate dsETH auction rebalance params", function () {
             const rocketPoolTargetUnits = utils.parseEther(
                 "0.137182714490521918",
             );
+            const fraxTargetUnits = utils.parseEther("0.140236634011607713");
             const stakeWiseTargetUnits = utils.parseEther(
                 "0.149549408574172648",
             );
-            const fraxTargetUnits = utils.parseEther("0.140236634011607713");
             const swellTargetUnits = utils.parseEther("0.143389172227472443");
             const staderTargetUnits = utils.parseEther("0.223325247302630300");
 
@@ -219,8 +219,8 @@ describe("Calculate dsETH auction rebalance params", function () {
                 const expectedTargetUnits = [
                     lidoTargetUnits,
                     rocketPoolTargetUnits,
-                    stakeWiseTargetUnits,
                     fraxTargetUnits,
+                    stakeWiseTargetUnits,
                     swellTargetUnits,
                     staderTargetUnits,
                 ];
@@ -247,49 +247,48 @@ describe("Calculate dsETH auction rebalance params", function () {
 
             const expectedOldComponentsAuctionParams = [
                 {
-                    targetUnit: utils.parseEther("0.183524947187164250"),
+                    targetUnit: BigNumber.from("183524947187164250"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000dffbc1bd871e47d23ab9f3ff4800000000000000000000000000000000000000000e31690b80b45bbe3d82e9710000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000dffbc1bd871e47d23ab9f3ff4800000000000000000000000000000000000000db8c50e9eee5eb26c7810b0bf80000",
+                        "0x000000000000000000000000000000000000000000000000101e622c74c4e3a80000000000000000000000000000000000000000000000000000e35fa931a00000000000000000000000000000000000000000000000000000000000000002580000000000000000000000000000000000000000000000000000000000000001000000000000000000000000000000000000000000000000101e622c74c4e3a80000000000000000000000000000000000000000000000000fd754479542e3a8",
                 },
                 {
-                    targetUnit: utils.parseEther("0.137182714490521918"),
+                    targetUnit: BigNumber.from("137182714490521918"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000d4f3aa0c691d6e60873e24f04600000000000000000000000000000000000000000d7e753b155c9b049889c47ec000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000d4f3aa0c691d6e60873e24f04600000000000000000000000000000000000000d0bc2569f2707def17931788aa0000",
+                        "0x0000000000000000000000000000000000000000000000000f54e6a808f3674e0000000000000000000000000000000000000000000000000000e35fa931a000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000000000000000000f54e6a808f3674e0000000000000000000000000000000000000000000000000f0dd8c32971674e",
                 },
                 {
-                    targetUnit: utils.parseEther("0.149549408574172648"),
+                    targetUnit: BigNumber.from("140236634011607713"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000c3579942011da1106dcee0845600000000000000000000000000000000000000000c60cc5f6e131cf6653f4b90c000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000c3579942011da1106dcee0845600000000000000000000000000000000000000bf7959642eb7a8036e2b18e71a0000",
+                        "0x0000000000000000000000000000000000000000000000000f0033d61974121a0000000000000000000000000000000000000000000000000000e35fa931a000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000000000000000000f0033d61974121a0000000000000000000000000000000000000000000000000eb925f139f2121a",
                 },
                 {
-                    targetUnit: utils.parseEther("0.140236634011607713"),
+                    targetUnit: BigNumber.from("149549408574172648"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000d0507b6078c646dafc8c5df3c200000000000000000000000000000000000000000d333b04979f1129c1ef8c4a4000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000d0507b6078c646dafc8c5df3c200000000000000000000000000000000000000cc3078ef0964917deff1821c8e0000",
+                        "0x0000000000000000000000000000000000000000000000000e1346e1c7a9361e0000000000000000000000000000000000000000000000000000e35fa931a000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000000000000000000e1346e1c7a9361e0000000000000000000000000000000000000000000000000dcc38fce827361e",
                 },
             ];
 
             const expectedNewComponentsAuctionParams = [
                 {
-                    targetUnit: utils.parseEther("0.143389172227472443"),
+                    targetUnit: BigNumber.from("143389172227472443"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000c7b33737f44df5ee5f5cf42ad7000000000000000000000000000000000000000000c64bcdd2e60cfe614efdc83000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000cbbc0207f411799b44d85df2d100000000000000000000000000000000000000c7b33737f44df5ee5f5cf42ad70000",
+                        "0x0000000000000000000000000000000000000000000000000e657fc19720033d00000000000000000000000000000000000000000000000000005af3107a4000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000eac8da676a2033d0000000000000000000000000000000000000000000000000e657fc19720033d",
                 },
                 {
-                    targetUnit: utils.parseEther("0.223325247302630300"),
+                    targetUnit: BigNumber.from("223325247302630300"),
                     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
                     priceAdapterConfigData:
-                        "0x0000000000000000000000000000000000c21c00f4eebf00ab3b2e5b73e4000000000000000000000000000000000000000000c0bea76586bace15b3d8634000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000c607e1f21f8762f1ec370d237c00000000000000000000000000000000000000c21c00f4eebf00ab3b2e5b73e40000",
+                        "0x0000000000000000000000000000000000000000000000000dfd53e06d994acc00000000000000000000000000000000000000000000000000005af3107a4000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000e4461c54d1b4acc0000000000000000000000000000000000000000000000000dfd53e06d994acc",
                 },
             ];
 
             it("Should return the correct values", async function () {
                 const targetUnits = await dsEthProposer.getTargetUnits();
-
                 const proposeRebalanceParams =
                     await dsEthProposer.getProposeRebalanceParams(targetUnits);