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Welcome to the set-protocol-strategies wiki!
The Strategies repo contains information about Set Protocol’s Smart Contract Managed Rebalancing Sets and any supporting smart contracts (i.e. oracles). Smart Contract Managed Rebalancing Sets are tokenized portfolio management strategies, built as an extension to Set Protocol. Rebalancing Sets enable strategies to be programmed into ERC20 compliant tokens. For the end user, no action is required to have underlying allocations periodically updated based on the predefined strategy. Anyone with an Ethereum public/private key pair can create, issue, redeem, purchase, and rebalance a Rebalancing Set. To learn more about Managed Sets, see the whitepaper here.
Each Smart Contract Managed Rebalancing Set system is made of three distinct parts: 1) Manager Contract that generates rebalancing proposals based off on-chain data, 2) Oracles that are used to provide data to the Manager Contract and, 3) the Rebalancing Set Token that stores state (balances, allocations, etc.) regarding the strategy.
The implementation of this system follows the same general pattern for all Smart Contract Managed Rebalancing Sets with some differences based on strategies (see specific strategy implementations below):
- Manager checks that enough time has passed since last rebalance and that there isn’t a new proposal currently under way.
- Manager queries its respective Oracles and determines whether price triggers have been met for a new rebalance
- Manager selects new allocations for the strategy (represented by Set Tokens) by either creating a new Set Token or selecting between previously created Set Tokens.
- Manager calculates auction parameters based off the difference in value between the old collateral and new collateral. 5.Manager sends proposal to Rebalancing Set Token which puts Rebalancing Set Token into Proposal state and starts the countdown to the beginning of the auction.
Currently all of Set’s oracles are in one way or another reliant on oracles used by MakerDAO (Maker) to secure their system, at present Set uses WETH and WBTC oracles deployed by Maker. Set uses Maker’s Oracles in two ways, 1) to read current price data for use in the Manager contracts and 2) to log data for use in “Meta” oracles that use historic price data to calculate various price indicators used in the Manager contracts.
At a high level, Maker’s oracles (also known as medianizer) read from a set of approved price feeds and choose the median price from those feeds. Price feeds are meant to be updated 1) when the source price feed is greater than 1% away from current price, or 2) 6 hours has passed since last update. It should be noted, as a consequence, that Maker’s oracles do not provide instantaneous “live” prices and as a result there can be a lag or delay in accounting for price movements in Set’s system. For more on Maker's oracles read here.