fix auction priceConfig calculations

IndexCoop · Jan 11, 2024 · d87356f · d87356f
1 parent 095a816
commit d87356f
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Showing 2 changed files with 21 additions and 23 deletions.
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,