Adds script for calculating rebalance params (#23)

* script for calculating rebalance params * pretty * add tests --------- Co-authored-by: Pranav Bhardwaj <[email protected]>
IndexCoop · Jan 9, 2024 · f55e206 · f55e206
1 parent 552ec95
commit f55e206
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Showing 8 changed files with 171 additions and 23 deletions.
diff --git a/.env.default b/.env.default
@@ -1,2 +1,4 @@
 MAINNET_RPC_URL=
 RATED_API_URL=
+RATED_API_ACCESS_TOKEN=
+MOCK_RATED_API=
diff --git a/package.json b/package.json
@@ -7,7 +7,8 @@
   "author": "IndexCoop",
   "license": "MIT",
   "scripts": {
-    "calculate-target-units": "hardhat run --network mainnet scripts/calculateTargetUnits.ts"
+    "calculate-target-units": "hardhat run --network mainnet scripts/calculateTargetUnits.ts",
+    "calculate-rebalance-params": "hardhat run --network mainnet scripts/calculateRebalanceParams.ts"
   },
   "devDependencies": {
     "@nomicfoundation/hardhat-network-helpers": "^1.0.9",

diff --git a/scripts/calculateRebalanceParams.ts b/scripts/calculateRebalanceParams.ts
@@ -0,0 +1,38 @@
+import { AuctionRebalanceProposer } from "../src/auctionRebalanceProposer";
+import { eligibleSetTokens } from "../src/addresses";
+import { DEFAULT_AUCTION_CONFIG } from "../src/auctionConfig";
+import { getEnvVars } from "../src/utils";
+import { setupMockRatedApi, getDefaultSigner } from "./utils";
+
+async function main() {
+    let mockedRatedApi = process.env.MOCK_RATED_API == "true";
+    if (mockedRatedApi) {
+        setupMockRatedApi();
+    }
+
+    const proposerSigner = await getDefaultSigner();
+    const { ratedAccessToken, ratedApiUrl } = getEnvVars();
+
+    console.log("Rated API URL: ", mockedRatedApi ? "LOCAL MOCK" : ratedApiUrl);
+
+    const dsEthProposer = new AuctionRebalanceProposer(
+        eligibleSetTokens.dsEth,
+        ratedAccessToken,
+        ratedApiUrl,
+        DEFAULT_AUCTION_CONFIG,
+        proposerSigner,
+    );
+
+    console.log("Calculating target units for dsEth");
+    let targetUnits = await dsEthProposer.getTargetUnits();
+
+    console.log("Getting rebalance proposal params for dsEth");
+    const params = await dsEthProposer.getProposeRebalanceParams(targetUnits);
+
+    console.log("Propose rebalance params: ", params);
+}
+
+main().catch((error) => {
+    console.error(error);
+    process.exitCode = 1;
+});
diff --git a/scripts/calculateTargetUnits.ts b/scripts/calculateTargetUnits.ts
@@ -6,28 +6,19 @@ import { eligibleSetTokens } from "../src/addresses";
 import { DEFAULT_AUCTION_CONFIG } from "../src/auctionConfig";
 import { getEnvVars } from "../src/utils";
 import { displayTargetUnits } from "./utils";
+import { setupMockRatedApi, getDefaultSigner } from "./utils";
 
 async function main() {
     let mockedRatedApi = process.env.MOCK_RATED_API == "true";
     if (mockedRatedApi) {
-        const mockRatedApi = new MockRatedApi(1, 1);
-        mockRatedApi.mockSummaryEndpoint();
-        mockRatedApi.mockOperatorsEndpoint();
+        setupMockRatedApi();
     }
 
-    console.log("Calculating target units for dsEth");
-
-    let proposerSigner = await ethers
-        .getSigners()
-        .then((signers) => signers[0]);
+    const proposerSigner = await getDefaultSigner();
     const { ratedAccessToken, ratedApiUrl } = getEnvVars();
+
+    console.log("Calculating target units for dsEth");
     console.log("Rated API URL: ", mockedRatedApi ? "LOCAL MOCK" : ratedApiUrl);
-    let block = await ethers.getDefaultProvider().getBlock("latest");
-    console.log("Current block: ", {
-        number: block.number,
-        timestamp: block.timestamp,
-        hash: block.hash,
-    });
 
     const dsEthProposer = new AuctionRebalanceProposer(
         eligibleSetTokens.dsEth,

diff --git a/scripts/utils.ts b/scripts/utils.ts
@@ -1,4 +1,8 @@
-import { BigNumber, utils } from "ethers";
+import { BigNumber, providers, utils } from "ethers";
+import { ethers } from "hardhat";
+import { MockRatedApi } from "../test/testUtils";
+import { AuctionRebalanceProposer } from "../src/auctionRebalanceProposer";
+import { eligibleSetTokens } from "../src/addresses";
 
 export function displayTargetUnits(targetUnits: BigNumber[]) {
     console.log("Target Units:");
@@ -9,3 +13,23 @@ export function displayTargetUnits(targetUnits: BigNumber[]) {
     console.log("Swell: " + utils.formatEther(targetUnits[4]));
     console.log("Stader: " + utils.formatEther(targetUnits[5]));
 }
+
+export function setupMockRatedApi() {
+    const mockRatedApi = new MockRatedApi(1, 1);
+    mockRatedApi.mockSummaryEndpoint();
+    mockRatedApi.mockOperatorsEndpoint();
+    return mockRatedApi;
+}
+
+export async function getDefaultSigner() {
+    let defaultSigner = await ethers.getSigners().then((signers) => signers[0]);
+    let provider = defaultSigner.provider as providers.JsonRpcProvider;
+    let block = await provider.getBlock("latest");
+    console.log("Current block: ", {
+        number: block.number,
+        timestamp: block.timestamp,
+        hash: block.hash,
+    });
+
+    return defaultSigner;
+}
diff --git a/src/auctionConfig.ts b/src/auctionConfig.ts
@@ -17,11 +17,11 @@ export const DEFAULT_AUCTION_CONFIG: AuctionConfig = {
     priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
     priceAdapterAddress: "0x237F7BBe0b358415bE84AB6d279D4338C0d026bB",
     quoteAsset: "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2", // WETH
-    bucketSize: 300, // 5 minutes
-    slopeForSellComponents: 0.001, // decrease by 0.1% of market price each bucket
-    slopeForBuyComponents: 0.0005, // increase by 0.05% of market price each bucket
+    bucketSize: 600, // 10 minutes
+    slopeForSellComponents: 0.001, // decrease by 0.001 WETH each bucket
+    slopeForBuyComponents: 0.0005, // increase by 0.0005 WETH each bucket
     shouldLockSetToken: false,
-    rebalanceDuration: 60 * 60 * 24, // 24 hours
+    rebalanceDuration: 259200, // 3 days
     initialPricePctSellComponents: 1.02, // 2% above market price
     initialPricePctBuyComponents: 0.98, // 2% below market price
     maxPriceAsPercentOfMarketPrice: 1.02,

diff --git a/src/utils.ts b/src/utils.ts
@@ -1,6 +1,6 @@
-import { BigNum, ethers } from "ethers";
+import { BigNumber, ethers } from "ethers";
 
-export function parseEther(ether: string): BigNum {
+export function parseEther(ether: string): BigNumber {
     return ethers.utils.parseEther(ether);
 }
 
@@ -14,7 +14,7 @@ export function parseEther(ether: string): BigNum {
 export const toWei = (
     valueToConvert: number | string,
     power: number = 18,
-): BigNum => {
+): BigNumber => {
     // parseUnits only accepts strings
     let value =
         typeof valueToConvert === "number"

diff --git a/test/proposeRebalance.test.ts b/test/proposeRebalance.test.ts
@@ -228,5 +228,97 @@ describe("Calculate dsETH auction rebalance params", function () {
                 expect(targetUnits).to.deep.equal(expectedTargetUnits);
             });
         });
+
+        context("#getProposeRebalanceParams", function () {
+            const expectedQuoteAsset =
+                "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2";
+
+            const expectedOldComponents = [
+                "0x7f39C581F595B53c5cb19bD0b3f8dA6c935E2Ca0",
+                "0xae78736Cd615f374D3085123A210448E74Fc6393",
+                "0xac3E018457B222d93114458476f3E3416Abbe38F",
+                "0xf1C9acDc66974dFB6dEcB12aA385b9cD01190E38",
+            ];
+
+            const expectedNewComponents = [
+                "0xf951E335afb289353dc249e82926178EaC7DEd78",
+                "0xA35b1B31Ce002FBF2058D22F30f95D405200A15b",
+            ];
+
+            const expectedOldComponentsAuctionParams = [
+                {
+                    targetUnit: utils.parseEther("0.183524947187164250"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000e2337a27533a7627f4566878f0000000000000000000000000000000000000000038c5a42e02d16ef8f60ba5c40000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000e2337a27533a7627f4566878f000000000000000000000000000000000000000d954988022c9bcd10de49692500000",
+                },
+                {
+                    targetUnit: utils.parseEther("0.137182714490521918"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000d70f6c5da473e6993f13aba414000000000000000000000000000000000000000035f9d4ec55726c12622711fb0000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000d70f6c5da473e6993f13aba41400000000000000000000000000000000000000cea06318b71a05b65fbd90d4dc0000",
+                },
+                {
+                    targetUnit: utils.parseEther("0.149549408574172648"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000c546b930ea509d96eda0c452f400000000000000000000000000000000000000003183317db84c73d994fd2e430000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000c546b930ea509d96eda0c452f400000000000000000000000000000000000000bd8a39754584ab7cee5935187c0000",
+                },
+                {
+                    targetUnit: utils.parseEther("0.140236634011607713"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000d2607c993077218982d9cbdf5c000000000000000000000000000000000000000034ccec125e7c44a707be31290000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000010000000000000000000000000000000000d2607c993077218982d9cbdf5c00000000000000000000000000000000000000ca2077b651b3b6cf69a41430f40000",
+                },
+            ];
+
+            const expectedNewComponentsAuctionParams = [
+                {
+                    targetUnit: utils.parseEther("0.143389172227472443"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000c5aed1cff46c3417ec9f3f46da000000000000000000000000000000000000000019d1decccb49b11f56490b664000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000cdc0676ff3f33b71b79612d6ce00000000000000000000000000000000000000c5aed1cff46c3417ec9f3f46da0000",
+                },
+                {
+                    targetUnit: utils.parseEther("0.223325247302630300"),
+                    priceAdapterName: "BoundedStepwiseLinearPriceAdapter",
+                    priceAdapterConfigData:
+                        "0x0000000000000000000000000000000000c0261076565acf87e2aa029c1800000000000000000000000000000000000000001918d3213835a82ad36ad7970000000000000000000000000000000000000000000000000000000000000000025800000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000c7fdd270b7eb941544bb65fb4800000000000000000000000000000000000000c0261076565acf87e2aa029c180000",
+                },
+            ];
+
+            it("Should return the correct values", async function () {
+                const targetUnits = await dsEthProposer.getTargetUnits();
+
+                const proposeRebalanceParams =
+                    await dsEthProposer.getProposeRebalanceParams(targetUnits);
+
+                expect(proposeRebalanceParams.quoteAsset).to.equal(
+                    expectedQuoteAsset,
+                );
+                expect(proposeRebalanceParams.oldComponents).to.deep.equal(
+                    expectedOldComponents,
+                );
+                expect(proposeRebalanceParams.newComponents).to.deep.equal(
+                    expectedNewComponents,
+                );
+
+                expect(
+                    proposeRebalanceParams.oldComponentsAuctionParams,
+                ).to.deep.equal(expectedOldComponentsAuctionParams);
+
+                expect(
+                    proposeRebalanceParams.newComponentsAuctionParams,
+                ).to.deep.equal(expectedNewComponentsAuctionParams);
+
+                expect(proposeRebalanceParams.shouldLockSetToken).to.be.false;
+                expect(proposeRebalanceParams.rebalanceDuration).to.equal(
+                    259200,
+                );
+                expect(proposeRebalanceParams.positionMultiplier).to.deep.equal(
+                    utils.parseEther("0.997957208803707410"),
+                );
+            });
+        });
     });
 });