Replace the Python executor with direct C execution in a dedicated
executor thread. Removes UDS JSON serialization, Python async
overhead, and the 2+ms pipeline gap between signal creation and
order fire.
New components:
- src/rest_client.c/h: Keepalive HTTPS, HMAC-SHA256 signing,
order_place, order_test, Content-Length response parsing
- src/fill_handler.c/h: SPSC ring buffer for WS match events,
hot thread -> executor thread fill dispatch
- src/executor.c/h: execute_triangle() cascade, fee hold
reduction, increment floor, paper mode simulation, PnL,
concurrency isolation, reporting
Modified:
- src/ws_client.c: Subscribe to tradeOrdersV2 + account.balance,
dispatch orderChange match events to fill SPSC, private token
fetch via bullet-private, token cleared on reconnect
- src/http_client.c: Added https_post_auth() for signed POST
- src/events.c: Cold thread replaced with executor thread
(poll on wake_fd + fill_fd, direct execution)
- config.yaml.example: initial_capital moved to fused_engine,
added cooldown_seconds, kcs_discount_active
Removed:
- src/kucoin_sign.c/h (redundant with http_client.c helpers)
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)
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
Screen-print every completed trade (filled/failed/aborted) with
correlation_id, triangle, predicted_bps, effective_bps, profit, and
error (if any). Flushes immediately for real-time visibility.
Engine (evaluate.c):
- Compute per-leg minimum order size from quoteMinSize
(max(baseMinSize * price, quoteMinSize), rounded to quoteIncrement)
- Convert each leg's minimum to starting-quote via pure-rate product (no fees)
- Viability gate: skip triangle if candidate < min_volume (strictest leg)
- Floor starting_volume at min_volume; supersedes old base_min_size guard
Data (symbols_api.h, triangle.h, symbols_api.c):
- Parse quoteMinSize from KuCoin /api/v2/symbols; propagate to triangle struct
Executor (executor.py):
- Remove _precheck_volume: sizing is the engine's responsibility
- Live mode: don't deduct estimated fee from filled_volume (exchange nets fees)
- Live mode: LegFill.fee always zero
Two-process architecture: a C17 fused engine (WebSocket order book
mirror, triangle enumeration, real-time profitability evaluation)
communicating via Unix domain socket to a Python 3 executor (order
placement with paper/live trading modes, REST control API).
Targets KuCoin spot market.
nicolas