fix: authenticated session warmup, balance-aware cascade, books always in signal

executor/executor.py:
- Replace unauthenticated /api/v1/time warmup with authenticated /api/v1/accounts
- Keepalive interval 15s -> 30s, uses authenticated warmup_session
- After sell leg, override filled_volume with latest balance from WS (net of fee)

executor/kucoin_api.py:
- Add warmup_session() method for GET /api/v1/accounts (authenticated)
- Pre-heats TCP/TLS connection pool to reduce first-order latency

executor/ws_client.py:
- Add latest_balance() method to expose WS balance cache

src/events.c:
- Always include book tops in signal (remove !sig->live gate)
- Only serialize top bid/ask level (not all 5)

executor/executor.py

@@ -242,17 +242,11 @@ class Executor:
     async def start(self) -> None:
         """Pre-initialize and warm up the aiohttp session so the first trade is not slowed."""
         self._session = self._create_session()
-        async def _warm_up():
-            try:
-                async with self._session.get("https://api.kucoin.com/api/v1/time") as resp:
-                    await resp.text()
-            except Exception:
-                pass
-        await _warm_up()
+        await self._api.warmup_session(self._session)
 
         self._keepalive_task = asyncio.create_task(self._keepalive_loop())
 
-    _KEEPALIVE_INTERVAL = 15.0
+    _KEEPALIVE_INTERVAL = 30.0
 
     def _create_session(self) -> aiohttp.ClientSession:
         connector = TCPConnector(
@@ -269,13 +263,12 @@ class Executor:
         )
 
     async def _keepalive_loop(self) -> None:
-        """Ping KuCoin periodically to keep the authenticated POST path warm."""
+        """Ping KuCoin periodically to keep the authenticated connection pool warm."""
         while True:
             try:
                 await asyncio.sleep(self._KEEPALIVE_INTERVAL)
                 if self._live_mode:
-                    async with self._session.get("https://api.kucoin.com/api/v1/time") as resp:
-                        await resp.text()
+                    await self._api.warmup_session(self._session)
                 else:
                     await self._api.order_test(
                         session=self._session,
@@ -703,6 +696,10 @@ class Executor:
                     await self._ws_client.await_balance(
                         output_ccy, fills[-1].filled_volume, 2000
                     )
+                    if side == "sell":
+                        bal = self._ws_client.latest_balance(output_ccy)
+                        if bal > 0:
+                            fills[-1].filled_volume = bal
                 in_flight.last_trade_ts_ms = int(time.time() * 1000)
                 continue
 

executor/kucoin_api.py

@@ -432,3 +432,26 @@ class KuCoinAPI:
         except (aiohttp.ClientError, OSError) as e:
             self._log.error("private_token_http_error", error=str(e))
             return None
+
+    async def warmup_session(self, session: aiohttp.ClientSession) -> None:
+        """Warm up the authenticated HTTP connection pool with a minimal GET."""
+        timestamp = str(int(time.time() * 1000))
+        path = "/api/v1/accounts"
+        sign = _signRequest(timestamp, "GET", path, self._api_secret, "")
+        headers = {
+            "KC-API-TIMESTAMP": timestamp,
+            "KC-API-SIGN": sign,
+            "KC-API-KEY": self._api_key,
+            "KC-API-PASSPHRASE": self._encrypted_passphrase,
+            "KC-API-SIGN-TYPE": "2",
+            "KC-API-KEY-VERSION": "3",
+        }
+        try:
+            async with session.get(
+                f"https://api.kucoin.com{path}",
+                headers=headers,
+            ) as resp:
+                await resp.read()
+                self._log.info("session_warmed", status=resp.status)
+        except Exception as e:
+            self._log.warning("session_warmup_failed", error=str(e))

executor/ws_client.py

@@ -239,6 +239,10 @@ class KuCoinWSClient:
             if self._balance_futures.get(key) is future:
                 del self._balance_futures[key]
 
+    def latest_balance(self, currency: str) -> Decimal:
+        """Return the latest known available balance for *currency*, or 0."""
+        return self._latest_balance.get(currency.upper(), _D0)
+
     async def _connection_worker(self) -> None:
         """Main connection loop with exponential backoff reconnection."""
         while self._running:

src/events.c

@@ -257,24 +257,24 @@ static void send_signal_to_executor(event_loops_t *loops, signal_entry_t *sig) {
         }
     }
 
-    // Full book snapshot included when !live (paper trading mode)
+    // Book tops included for display and drift analysis
     char books_json_str[2048] = "";
-    if (!sig->live && sig->book_count > 0) {
+    if (sig->book_count > 0) {
         char *bp = books_json_str;
         size_t rem = sizeof(books_json_str);
         for (uint8_t b = 0; b < sig->book_count; b++) {
             const signal_book_t *sb = &sig->books[b];
             char bid_arr[256] = {0}, ask_arr[256] = {0};
-            for (uint8_t lev = 0; lev < sb->bid_count; lev++) {
-                char tmp[64];
-                snprintf(tmp, sizeof(tmp), "%s{\"price\":\"%.6g\",\"size\":\"%.8g\"}",
-                         lev ? "," : "", sb->bids[lev].price, sb->bids[lev].size);
+            // Only top-of-book level included for display / drift analysis
+            char tmp[64];
+            if (sb->bid_count > 0) {
+                snprintf(tmp, sizeof(tmp), "{\"price\":\"%.6g\",\"size\":\"%.8g\"}",
+                         sb->bids[0].price, sb->bids[0].size);
                 strncat(bid_arr, tmp, sizeof(bid_arr) - 1);
             }
-            for (uint8_t lev = 0; lev < sb->ask_count; lev++) {
-                char tmp[64];
-                snprintf(tmp, sizeof(tmp), "%s{\"price\":\"%.6g\",\"size\":\"%.8g\"}",
-                         lev ? "," : "", sb->asks[lev].price, sb->asks[lev].size);
+            if (sb->ask_count > 0) {
+                snprintf(tmp, sizeof(tmp), "{\"price\":\"%.6g\",\"size\":\"%.8g\"}",
+                         sb->asks[0].price, sb->asks[0].size);
                 strncat(ask_arr, tmp, sizeof(ask_arr) - 1);
             }
             int n = snprintf(bp, rem,
@@ -298,9 +298,9 @@ static void send_signal_to_executor(event_loops_t *loops, signal_entry_t *sig) {
              (long long)sig->ts_ms, (long long)sig->book_ts_ms,
              (long long)sig->t_sock_arrive_ms,
              (long long)sig->t_arrive_ms, (long long)sig->t_eval_ms,
-             (sig->live || sig->book_count == 0) ? "" : ",\"books\":[",
+             sig->book_count == 0 ? "" : ",\"books\":[",
              books_json_str[0] ? books_json_str : "",
-             (sig->live || sig->book_count == 0) ? "" : "]");
+             sig->book_count == 0 ? "" : "]");
 
     size_t to_send = strlen(json_buf);
     size_t sent = 0;