fix: cross-leg increment floor, ceiling-to-floor rounding, balance WS subscription, order-level logging
src/evaluate.c: - Add cross-leg increment floor after each leg's output - Fix sell-leg min_volume conversion (was understated by rates[leg]) - Change ceil to floor for all leg rounding (round input down, then compute) executor/ws_client.py: - Subscribe to /account/balance via Classic WS (subject: account.balance) - Add await_balance() with ack tracking and per-currency futures - Handle balance events and store latest available per currency executor/executor.py: - Reject order detail included in fills list with real attempted volume/latency - Screen/log output shows fills, book tops, profit for all statuses - side field in order_placed/order_rejected logs - predicted_bps read early from signal (no more hardcoded 0.0) - timings in failed/aborted reports - Paper mode rounding: buy funds/base floored to qi/bi
This commit is contained in:
nicolas
parent
c1c4aa4be8
commit
3828e2b104
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@ -31,7 +31,7 @@ import uuid
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from collections import deque
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from dataclasses import dataclass, field
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from datetime import datetime
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from decimal import Decimal
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from decimal import Decimal, ROUND_DOWN
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from pathlib import Path
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from typing import Optional
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@ -189,6 +189,7 @@ class ExecutionReport:
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effective_bps: float = 0.0
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error: str = ""
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book_ts_ms: int = 0
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book_tops: list[dict] = field(default_factory=list)
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@dataclass
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@ -419,6 +420,7 @@ class Executor:
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"""
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exec_start_ts = time.perf_counter()
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timings: list[dict] = []
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predicted_bps = signal.get("predicted_bps", 0.0)
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executor_receive_ts_ms = signal.get("_receiver_ts_ms") or int(time.time() * 1000)
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signal_ts_ms = signal.get("ts_ms", 0)
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book_ts_ms = signal.get("book_ts_ms", 0)
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@ -439,6 +441,16 @@ class Executor:
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self._log.debug("execute_triangle_entered", correlation_id=correlation_id)
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legs = signal.get("legs", [])
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books = signal.get("books", [])
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book_tops = []
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for bk in books[:3]:
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asks = bk.get("asks", [])
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bids = bk.get("bids", [])
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book_tops.append({
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"ask_px": str(asks[0]["price"]) if asks else "",
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"ask_sz": str(asks[0]["size"]) if asks else "",
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"bid_px": str(bids[0]["price"]) if bids else "",
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"bid_sz": str(bids[0]["size"]) if bids else "",
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})
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live = signal.get("live", False)
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log_prefix = "" if live else "[PAPER] "
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@ -466,6 +478,8 @@ class Executor:
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side = leg.get("side", "")
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order_param = Decimal(str(leg.get("order_param", "0")))
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base_min_size = Decimal(str(leg.get("base_min_size", "0")))
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base_increment = Decimal(str(leg.get("base_increment", "0")))
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quote_increment = Decimal(str(leg.get("quote_increment", "0")))
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fee_rate = Decimal(str(leg.get("fee_rate", "0.001")))
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fee_ccy = leg.get("fee_currency", "")
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@ -482,7 +496,7 @@ class Executor:
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if live:
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# --- LIVE MODE ---
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client_oid = f"live-{correlation_id}-{i}-{uuid.uuid4().hex[:8]}"
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client_oid = f"t{correlation_id[-24:]}-{i}-{uuid.uuid4().hex[:4]}"
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t0 = time.perf_counter()
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if self._ws_client is None or not self._ws_client.is_connected:
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@ -512,23 +526,9 @@ class Executor:
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else:
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prev = fills[i - 1]
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input_vol = prev.filled_volume
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if base_min_size > 0 and side == "sell" and input_vol < base_min_size:
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self._log.info("execution_aborted_below_min",
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correlation_id=correlation_id, leg=i, pair=pair,
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base_vol=str(input_vol), min_base=str(base_min_size),
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)
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report = ExecutionReport(
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correlation_id=correlation_id,
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triangle_key=signal.get("triangle_key", []),
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status="aborted",
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fills=fills,
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predicted_bps=0.0,
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ts_ms=int(time.time() * 1000),
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error="volume_below_minimum",
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)
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self._emit_report(report)
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return
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inc = quote_increment if side == "buy" else base_increment
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if inc > 0:
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input_vol = (input_vol / inc).to_integral_value(rounding=ROUND_DOWN) * inc
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if side == "buy":
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ok, err_msg, order_id = await self._api.order_place(
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@ -554,27 +554,52 @@ class Executor:
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correlation_id=correlation_id,
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leg=i,
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pair=pair,
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side=side,
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order_id=order_id,
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client_oid=client_oid,
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volume=str(input_vol),
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place_latency_ms=round(place_latency_ms, 2),
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)
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self._log.write_plain(
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f"{time.strftime('%Y-%m-%dT%H:%M:%S.', time.gmtime())}{int(time.time() * 1000) % 1000:03d}Z "
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f"ORDER | corr={correlation_id} | leg{i} | {pair} | {side} | "
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f"vol={str(input_vol)} | order_id={order_id} | lat={place_latency_ms:.1f}ms"
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)
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if not ok:
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fills.append(LegFill(
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leg=i, order_id=order_id or "",
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side=side, pair=pair,
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input_currency=input_ccy, output_currency=output_ccy,
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fee_currency=fee_ccy,
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filled_volume=input_vol, deal_funds=_D0,
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avg_price=_D0, fee=_D0,
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latency_ms=round(place_latency_ms, 2),
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))
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self._log.error(
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f"{log_prefix}order_rejected",
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correlation_id=correlation_id,
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leg=i,
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pair=pair,
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side=side,
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volume=str(input_vol),
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error=err_msg,
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)
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self._log.write_plain(
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f"{time.strftime('%Y-%m-%dT%H:%M:%S.', time.gmtime())}{int(time.time() * 1000) % 1000:03d}Z "
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f"REJECTED | corr={correlation_id} | leg{i} | {pair} | {side} | "
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f"vol={str(input_vol)} | error={err_msg} | lat={place_latency_ms:.1f}ms"
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)
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report = ExecutionReport(
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correlation_id=correlation_id,
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triangle_key=signal.get("triangle_key", []),
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status="failed",
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fills=fills,
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predicted_bps=0.0,
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predicted_bps=predicted_bps,
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ts_ms=int(time.time() * 1000),
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timings=timings,
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error=err_msg or "order_rejected",
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book_tops=book_tops,
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)
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self._emit_report(report)
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return
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@ -599,8 +624,9 @@ class Executor:
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triangle_key=signal.get("triangle_key", []),
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status="aborted",
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fills=fills,
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predicted_bps=0.0,
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predicted_bps=predicted_bps,
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ts_ms=int(time.time() * 1000),
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timings=timings,
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error="cancelled",
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)
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self._emit_report(report)
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@ -623,9 +649,11 @@ class Executor:
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triangle_key=signal.get("triangle_key", []),
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status="failed",
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fills=fills,
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predicted_bps=0.0,
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predicted_bps=predicted_bps,
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ts_ms=int(time.time() * 1000),
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timings=timings,
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error=f"fill_timeout_leg{i}",
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book_tops=book_tops,
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)
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self._emit_report(report)
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return
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@ -650,6 +678,7 @@ class Executor:
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avg_price = weighted_avg_price if weighted_avg_price > 0 else _D0
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fee = _D0
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filled_vol_val = total_size if side == "buy" else total_funds
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fills.append(LegFill(
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leg=i,
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order_id=order_id,
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@ -658,12 +687,22 @@ class Executor:
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input_currency=input_ccy,
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output_currency=output_ccy,
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fee_currency=fee_ccy,
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filled_volume=total_size if side == "buy" else total_funds,
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filled_volume=filled_vol_val,
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deal_funds=total_funds,
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avg_price=avg_price,
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fee=fee,
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latency_ms=latency_ms,
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))
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self._log.write_plain(
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f"{time.strftime('%Y-%m-%dT%H:%M:%S.', time.gmtime())}{int(time.time() * 1000) % 1000:03d}Z "
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f"FILL | corr={correlation_id} | leg{i} | {pair} | {side} | "
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f"out={str(filled_vol_val)}@{str(avg_price)} | "
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f"fee={str(fee)} {fee_ccy} | lat={latency_ms:.1f}ms"
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)
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if i < 2:
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await self._ws_client.await_balance(
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output_ccy, fills[-1].filled_volume, 2000
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)
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in_flight.last_trade_ts_ms = int(time.time() * 1000)
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continue
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@ -735,9 +774,13 @@ class Executor:
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if side == "buy":
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asks = book_snapshot.get("asks", [])
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price = Decimal(str(asks[0]["price"])) if asks else _D0
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# For a buy with funds=X, you get X/price base units.
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base_vol = order_param / price if price > 0 else _D0
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deal_funds = order_param
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funds = order_param
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if quote_increment > 0:
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funds = (funds / quote_increment).to_integral_value(rounding=ROUND_DOWN) * quote_increment
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base_vol = funds / price if price > 0 else _D0
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if base_increment > 0:
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base_vol = (base_vol / base_increment).to_integral_value(rounding=ROUND_DOWN) * base_increment
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deal_funds = funds
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fee = base_vol * fee_rate if fee_ccy == base_ccy else order_param * fee_rate
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filled_volume = base_vol
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@ -761,8 +804,9 @@ class Executor:
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else:
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bids = book_snapshot.get("bids", [])
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price = Decimal(str(bids[0]["price"])) if bids else _D0
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# For a sell with size=X, you get X*price quote units.
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base_vol = order_param
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if base_increment > 0:
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base_vol = (base_vol / base_increment).to_integral_value(rounding=ROUND_DOWN) * base_increment
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quote_vol = base_vol * price if price > 0 else _D0
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# Fee depends on whether KuCoin charges it in base or quote.
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if fee_ccy == base_ccy:
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@ -808,7 +852,6 @@ class Executor:
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))
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in_flight.last_trade_ts_ms = int(time.time() * 1000)
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predicted_bps = signal.get("predicted_bps", 0.0)
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# Compute actual profit in the primary quote currency.
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# Leg 2 output: if buy, the received base (filled_volume); if sell, the received
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# quote (deal_funds, already net when fee is in quote).
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@ -839,6 +882,7 @@ class Executor:
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ts_ms=int(time.time() * 1000),
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timings=timings,
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book_ts_ms=book_ts_ms,
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book_tops=book_tops,
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)
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self._last_trade_ts_ms[in_flight.triangle_key] = report.ts_ms
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self._emit_report(report)
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@ -854,14 +898,20 @@ class Executor:
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fills_repr = ", ".join(fills_lines)
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self._reports.append(report)
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error_suffix = f" | error={report.error}" if report.error else ""
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profit_repr = f"profit={report.profit:.4f}" if report.status == "filled" else ""
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profit_repr = f"profit={report.profit:.4f}"
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timing_parts = " ".join(f"{t['step']}={t['elapsed_ms']:.1f}ms" for t in report.timings) if report.timings else ""
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bt_lines = []
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for bt in report.book_tops:
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bt_lines.append(f"{bt.get('ask_px','?')}/{bt.get('bid_px','?')}")
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book_top_repr = " | ".join(bt_lines) if bt_lines else ""
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ts_iso = datetime.utcnow().strftime("%Y-%m-%dT%H:%M:%S.") + f"{report.ts_ms % 1000:03d}Z"
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books_suffix = f" | books=[{book_top_repr}]" if book_top_repr else ""
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msg = (
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f"{ts_iso} {report.status.upper()} | corr={report.correlation_id} | "
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f"triangle={report.triangle_key} | predicted_bps={report.predicted_bps:.2f} | "
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f"effective_bps={report.effective_bps:.2f} | "
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f"{profit_repr} | timings=[{timing_parts}] | fills=[{fills_repr}]{error_suffix}"
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f"book_ts={report.book_ts_ms} | "
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f"{profit_repr} | timings=[{timing_parts}] | fills=[{fills_repr}]{books_suffix}{error_suffix}"
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)
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self._log.write_plain(msg)
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@ -870,7 +920,7 @@ class Executor:
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f"triangle={report.triangle_key} | predicted_bps={report.predicted_bps:.2f} | "
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f"effective_bps={report.effective_bps:.2f} | "
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f"book_ts={report.book_ts_ms} | "
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f"profit={report.profit:.4f}"
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f"{profit_repr} | fills=[{fills_repr}]{books_suffix}"
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f"{f' | error={report.error}' if report.error else ''}",
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flush=True,
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)
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@ -100,9 +100,10 @@ class KuCoinWSClient:
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self._ping_timeout: float = 10.0
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self._fill_futures: dict[str, asyncio.Future] = {}
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self._accumulators: dict[str, FillAccumulator] = {}
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self._balance_futures: dict[str, asyncio.Future] = {}
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self._latest_balance: dict[str, Decimal] = {}
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self._worker_task: Optional[asyncio.Task] = None
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self._subscribe_ack_event: Optional[asyncio.Event] = None
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self._subscribe_ack_id: Optional[str] = None
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self._pending_acks: dict[str, asyncio.Event] = {}
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@property
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def is_connected(self) -> bool:
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@ -125,6 +126,13 @@ class KuCoinWSClient:
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future.set_result((False, {}))
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self._fill_futures.clear()
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self._accumulators.clear()
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for future in self._balance_futures.values():
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if not future.done():
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future.set_result(False)
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self._balance_futures.clear()
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for evt in self._pending_acks.values():
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evt.set()
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self._pending_acks.clear()
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if self._worker_task is not None and not self._worker_task.done():
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self._worker_task.cancel()
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if self._ws is not None:
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@ -196,6 +204,41 @@ class KuCoinWSClient:
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del self._accumulators[client_oid]
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return result
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async def await_balance(
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self, currency: str, min_available: Decimal, timeout_ms: float
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) -> bool:
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"""
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Wait until the available balance for *currency* reaches at least *min_available*.
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If the latest known balance already meets the threshold, returns immediately.
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Otherwise registers a future and waits for a balance WS event.
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Returns True once the threshold is met, False on timeout.
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"""
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key = currency.upper()
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current = self._latest_balance.get(key, _D0)
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if current >= min_available:
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return True
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future: asyncio.Future = asyncio.Future()
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self._balance_futures[key] = future
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try:
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await asyncio.wait_for(future, timeout=timeout_ms / 1000.0)
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return True
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except asyncio.TimeoutError:
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self._log.warning(
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"await_balance_timeout",
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currency=key,
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min_available=str(min_available),
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latest=str(self._latest_balance.get(key, _D0)),
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)
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return False
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except asyncio.CancelledError:
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raise
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finally:
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if self._balance_futures.get(key) is future:
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del self._balance_futures[key]
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async def _connection_worker(self) -> None:
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"""Main connection loop with exponential backoff reconnection."""
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while self._running:
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@ -267,30 +310,38 @@ class KuCoinWSClient:
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self._connected = False
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async def _subscribe(self) -> None:
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"""Subscribe to the global tradeOrdersV2 topic."""
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"""Subscribe to tradeOrdersV2 and balance channels."""
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if self._ws is None:
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return
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ack_id = int(time.time() * 1000)
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self._subscribe_ack_id = str(ack_id)
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self._subscribe_ack_event = asyncio.Event()
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ack_id1 = str(int(time.time() * 1000))
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evt1 = asyncio.Event()
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self._pending_acks[ack_id1] = evt1
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sub_msg = {
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"id": ack_id,
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"id": int(ack_id1),
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"type": "subscribe",
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"topic": "/spotMarket/tradeOrdersV2",
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"response": True,
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"privateChannel": "true",
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}
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await self._ws.send(json.dumps(sub_msg))
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self._log.info("subscribe_sent", topic="/spotMarket/tradeOrdersV2")
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try:
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await asyncio.wait_for(self._subscribe_ack_event.wait(), timeout=15.0)
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self._log.info("subscription_confirmed", topic="/spotMarket/tradeOrdersV2")
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except asyncio.TimeoutError:
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self._log.warning("subscription_ack_timeout", topic="/spotMarket/tradeOrdersV2")
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ack_id2 = str(int(time.time() * 1000) + 1)
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evt2 = asyncio.Event()
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self._pending_acks[ack_id2] = evt2
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bal_msg = {
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"id": int(ack_id2),
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"type": "subscribe",
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"topic": "/account/balance",
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"response": True,
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"privateChannel": "true",
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}
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await self._ws.send(json.dumps(bal_msg))
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self._log.info("bal_subscribe_sent", topic="/account/balance")
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await asyncio.wait_for(evt2.wait(), timeout=5.0)
|
||||
self._log.info("bal_subscribe_ack_received")
|
||||
|
||||
async def _handle_message(self, msg: str) -> None:
|
||||
"""Parse incoming WS message and dispatch fill events."""
|
||||
|
|
@ -310,16 +361,26 @@ class KuCoinWSClient:
|
|||
|
||||
if msg_type == "ack":
|
||||
ack_id = str(data.get("id", ""))
|
||||
if ack_id == self._subscribe_ack_id and self._subscribe_ack_event is not None:
|
||||
self._subscribe_ack_event.set()
|
||||
self._subscribe_ack_event = None
|
||||
self._subscribe_ack_id = None
|
||||
return
|
||||
|
||||
if msg_type != "message":
|
||||
evt = self._pending_acks.pop(ack_id, None)
|
||||
if evt is not None:
|
||||
evt.set()
|
||||
return
|
||||
|
||||
subject = data.get("subject", "")
|
||||
|
||||
if subject == "account.balance":
|
||||
payload = data.get("data", {})
|
||||
currency = (payload.get("currency", "")).upper()
|
||||
available_raw = payload.get("available")
|
||||
if currency and available_raw is not None:
|
||||
available = Decimal(str(available_raw))
|
||||
self._latest_balance[currency] = available
|
||||
self._log.debug("balance_update", currency=currency, available=str(available))
|
||||
future = self._balance_futures.get(currency)
|
||||
if future is not None and not future.done():
|
||||
future.set_result(True)
|
||||
return
|
||||
|
||||
if subject != "orderChange":
|
||||
return
|
||||
|
||||
|
|
|
|||
|
|
@ -220,7 +220,12 @@ bool evaluate_symbol(evaluator_t *ev, uint16_t symbol_idx, int64_t t_sock_arrive
|
|||
double min_quote = fmax(bms * price, qms);
|
||||
if (qi > 0) min_quote = ceil(min_quote / qi - 1e-12) * qi;
|
||||
|
||||
leg_min_starting[leg] = min_quote / cumulative_rate;
|
||||
if (is_buy) {
|
||||
leg_min_starting[leg] = min_quote / cumulative_rate;
|
||||
} else {
|
||||
double denom = cumulative_rate * (price > 0 ? price : 1.0);
|
||||
leg_min_starting[leg] = min_quote / denom;
|
||||
}
|
||||
cumulative_rate *= rates[leg];
|
||||
}
|
||||
|
||||
|
|
@ -279,22 +284,36 @@ bool evaluate_symbol(evaluator_t *ev, uint16_t symbol_idx, int64_t t_sock_arrive
|
|||
double leg_output;
|
||||
|
||||
if (is_buy) {
|
||||
double ceiling = (qi > 0) ? ceil(leg_input / qi - 1e-12) * qi : leg_input;
|
||||
double net = ceiling * ff;
|
||||
double quote_input = (qi > 0) ? floor(leg_input / qi - 1e-12) * qi : leg_input;
|
||||
double net = quote_input * ff;
|
||||
double base = (bi > 0) ? floor(net / price / bi + 1e-12) * bi : (net / price);
|
||||
double quote_cost = (qi > 0) ? ceil(base * price / qi - 1e-12) * qi : (base * price);
|
||||
double quote_cost = (qi > 0) ? floor(base * price / qi - 1e-12) * qi : (base * price);
|
||||
leg_quote_vol[leg] = quote_cost;
|
||||
sig.legs.legs[leg].quote_volume = quote_cost;
|
||||
leg_base_size[leg] = base;
|
||||
leg_output = base;
|
||||
} else {
|
||||
double base = (bi > 0) ? floor(leg_input / bi + 1e-12) * bi : leg_input;
|
||||
double gross = (qi > 0) ? ceil(base * price / qi - 1e-12) * qi : (base * price);
|
||||
double gross = (qi > 0) ? floor(base * price / qi - 1e-12) * qi : (base * price);
|
||||
leg_quote_vol[leg] = gross;
|
||||
sig.legs.legs[leg].quote_volume = gross;
|
||||
leg_base_size[leg] = base;
|
||||
leg_output = gross * ff;
|
||||
}
|
||||
|
||||
/* Floor leg_output to the next leg's input increment so the
|
||||
cascade always produces valid order parameters downstream.
|
||||
For the last leg (leg 2) there is no next leg to constrain. */
|
||||
if (leg < 2) {
|
||||
bool next_buy = !tri->use_bid[leg + 1];
|
||||
double next_incr = next_buy
|
||||
? tri->quote_increment[leg + 1]
|
||||
: tri->base_increment[leg + 1];
|
||||
if (next_incr > 0) {
|
||||
leg_output = floor(leg_output / next_incr - 1e-12) * next_incr;
|
||||
}
|
||||
}
|
||||
|
||||
leg_input = leg_output;
|
||||
}
|
||||
sig.starting_volume = leg_quote_vol[0];
|
||||
|
|
|
|||
Loading…
Reference in New Issue