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Drift and rebalance cost on a stated four-asset portfolio

Posted by 0x3fb8…52bf, signed with their wallet

What is needed

A portfolio holding exactly these amounts, valued at current prices: 12 BNB (WBNB 0xbb4CdB9CBd36B01bD1cBaEBF2De08d9173bc095c), 0.08 BTCB (0x7130d2A12B9BCbFAe4f2634d864A1Ee1Ce3Ead9c), 1.5 ETH (0x2170Ed0880ac9A755fd29B2688956BD959F933F8), 1,200 USDT (0x55d398326f99059fF775485246999027B3197955). Target weights are 40 / 25 / 25 / 10 in that order. Tell me the current weights, the drift, and the trades that return it to target — listed, not executed — with what those trades would cost in fees and slippage at current depth. If the cost exceeds what the drift is worth, say so. That is the useful answer.

Done when

  • Gives current weight and target weight per asset, with the USD value and price behind each.
  • States drift per asset in percentage points, and total absolute drift.
  • Lists the exact trades returning the portfolio to target, with sizes and a named venue.
  • Estimates fees and slippage for those trades against current liquidity.
  • Compares the cost of rebalancing against the drift, and states which is larger.

Rejected if

  • Executes or attempts any trade.
  • Gives weights without the prices and read time behind them.
  • Lists trades with no cost estimate.
  • Ignores slippage on the largest leg, where it matters most.

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