- Drain signal queue eventfd (fds[0]) after each pop attempt.
Without this, the eventfd counter stays >0 forever after the first
signal, causing poll() to return immediately every iteration (100% CPU).
- Fix strncpy truncation warnings in fill_handler.c (use memcpy+nullterm)
- Fix write/read return value warnings in fill_handler.c, log.c
- Fix misleading indentation in http_client.c (add line breaks after if)
Reorder so the per-triangle STATUS log shows the current best value
instead of the previous iteration's stale init value (-1e18).
Also remove executor idle diagnostic line and restore pre-simulation
best_net_bps tracking for ALL evaluated triangles, not just signal candidates.
- Restore post-simulation threshold gate using cascade net_bps (catches
edge cases where cumulative formula sign differs from cascade result)
- Restore STATUS line with eval count (pre-simulation, every 30s)
- Move best_net_bps/worst tracking before post-simulation gate so all
cascade-evaluated triangles contribute
- Remove executor idle diagnostic line
- Remove cooldown from evaluator (last_signal_ts_ms field removed)
- Move cooldown check before max_volume computation to save CPU
- Remove apply_fee_hold from input path (legs 1-2) — fee hold
is already applied at end-of-leg cascade. Both evaluate.c and executor.c.
- Fix sell order_param: set from base amount instead of quote_volume
(A5/A8). Sell order size was incorrectly computed as a quote-equivalent.
The evaluation now runs the exact same paper-mode simulation code that
the executor uses, instead of a separate cascade with different formulas.
predicted_bps comes from the simulation PnL, matching effective_bps.
- Add concurrent_slots config (fused_engine section, default 1)
- Create executor_shared_t with shared in_flight table + queue mutex for multi-thread
- Move in_flight state from executor_thread_t to executor_shared_t (cross-thread isolation)
- event_executor_thread: per-thread entry point, N threads created in main.c
- Add fundsIncrement to trading_pair_t, triangle_t, signal_leg_t (fetch from KuCoin API)
- Use funds_increment for rounding market buy quote_cost (evaluate.c) and increment floor (executor.c)
- Fix leg 0: remove double-counted apply_fee_hold (evaluate already accounts via ff)
- Remove executor/ and common/ Python directories (dead code after C migration)
- Remove src/http_server.c/.h (was for Python executor, generates warnings)
- Remove dead config keys: socket_path, executor_socket_path, send_signals, rest_host, rest_port
- Remove dead UDS code in events.c/h (send_signal_to_executor, unix_* functions)
- Fix fee hold on leg 0 buys (apply_fee_hold to prevent Balance insufficient)
- Fix PnL leg0_in to use fills[0][4] instead of wrong currency field
- Fix REST keepalive warmup currency (use initial_capital[0] instead of hardcoded USDT)
- Add balance wait between legs via /account/balance WS + eventfd wake
- Fix all strncpy truncation warnings in config.c, symbols_api.c, ws_client.c
- Remove zero-alloc JSON fast parser (caused CPU increase, reverted to cJSON)
- Add descriptive legends to timing fields (t-1_snapshot, t0_arrival, t1_signal, etc.)
- Fix t2 missing when order fires at exec_start (guard on fills[l][0] not timing value)
- Cache log_write timestamp to avoid time()+localtime_r() per call
- Collapse 4 now_ms_impl() calls to 1 for WS mask generation
- Add fill_drop_warn counter for lost fill events (rate-limited warning)
- Add fill_drop_warn field to ws_client_t
- t-2_book_snapshot uses sig->book_ts_ms (not sig->ts_ms)
- All pipeline timings relative to exec_start_rt (realtime clock)
- Leg timings use monotonic clock (leg_timings array)
- execution_complete uses now_mono_ms() - exec_start_mono (not (now - now))
- Only include timing entries for fields that are non-zero
- Add log_write_screen() for status/stats output (stderr only)
- Change STATUS line to use log_write_screen (not in log file)
- SIGNAL, ORDER, FILL, FILLED/FAILED still go to both screen and log file
- Log file at /tmp/engine.log
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.
The jsmn zero-alloc parser had token-navigation bugs that caused
all book updates to fail silently. Restore cJSON-based parsing
while preserving the coalescing architecture (accumulate dirty
symbols, evaluate once per burst).
Engine (ws_client.c/h):
- Replace cJSON with jsmn (stack tokens, zero malloc) for book updates
- Quick-route message frames ("type":"message") to jsmn, bypass cJSON
- Coalesce same-symbol updates within one SSL_read burst: evaluate once
- ws_client_process_frame returns symbol_idx for batch tracking
- Restore book->sequence field update from sequence/sequenceNum
Executor (ws_client.py):
- Fix race: fill event arriving before await_fill registers future
is now detected via FillAccumulator._done flag, resolved immediately
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