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