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Fix: Support Kalshi v2 fixed-point fill fields

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multipleof4
2026-03-16 13:14:27 -07:00
parent 6faad2b28e
commit 24f1405a93
1 changed files with 25 additions and 16 deletions
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41
lib/live/engine.js
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@@ -13,7 +13,7 @@ export class LiveEngine {
constructor() { constructor() {
this.enabledStrategies = new Set(); this.enabledStrategies = new Set();
this.openOrders = new Map(); this.openOrders = new Map();
this.recentFills = []; this.recentFills =[];
this.totalPnL = 0; this.totalPnL = 0;
this.wins = 0; this.wins = 0;
this.losses = 0; this.losses = 0;
@@ -25,7 +25,7 @@ export class LiveEngine {
this._dailyLossResetTime = Date.now(); this._dailyLossResetTime = Date.now();
this._lastBalance = null; this._lastBalance = null;
this._lastPortfolioValue = null; this._lastPortfolioValue = null;
this._positions = []; this._positions =[];
} }
async init() { async init() {
@@ -48,7 +48,7 @@ export class LiveEngine {
const orders = await db.query( const orders = await db.query(
'SELECT * FROM live_orders WHERE status = "pending" OR status = "resting"' 'SELECT * FROM live_orders WHERE status = "pending" OR status = "resting"'
); );
for (const o of (orders[0] || [])) { for (const o of (orders[0] ||[])) {
this.openOrders.set(o.orderId, o); this.openOrders.set(o.orderId, o);
} }
if (this.openOrders.size) { if (this.openOrders.size) {
@@ -115,8 +115,8 @@ export class LiveEngine {
'GET', 'GET',
'/trade-api/v2/portfolio/positions?settlement_status=unsettled&limit=200' '/trade-api/v2/portfolio/positions?settlement_status=unsettled&limit=200'
); );
const positions = data?.market_positions || data?.positions || []; const positions = data?.market_positions || data?.positions ||[];
this._positions = Array.isArray(positions) ? positions : []; this._positions = Array.isArray(positions) ? positions :[];
return this._positions; return this._positions;
} catch (e) { } catch (e) {
console.error('[Live] Positions fetch error:', e.message); console.error('[Live] Positions fetch error:', e.message);
@@ -124,11 +124,6 @@ export class LiveEngine {
} }
} }
/**
* Determine the best executable price from the orderbook.
* For buying yes: best ask = 100 - best_no_bid (or lowest yes offer)
* For buying no: best ask = 100 - best_yes_bid (or lowest no offer)
*/
_getBestAskFromOrderbook(side, orderbook) { _getBestAskFromOrderbook(side, orderbook) {
if (!orderbook) return null; if (!orderbook) return null;
@@ -146,6 +141,20 @@ export class LiveEngine {
return null; return null;
} }
_getFillCount(order) {
if (!order) return 0;
const fp = order.taker_fill_count_fp ?? order.fill_count_fp;
if (fp != null) return Math.round(parseFloat(fp));
return order.taker_fill_count ?? order.fill_count ?? 0;
}
_getFillCostCents(order) {
if (!order) return 0;
const dollars = order.taker_fill_cost_dollars ?? order.fill_cost_dollars;
if (dollars != null) return Math.round(parseFloat(dollars) * 100);
return order.taker_fill_cost ?? order.fill_cost ?? 0;
}
/** /**
* Verify an order's actual fill status by polling Kalshi. * Verify an order's actual fill status by polling Kalshi.
* IOC responses can report 0 fills even when fills happened async. * IOC responses can report 0 fills even when fills happened async.
@@ -158,8 +167,8 @@ export class LiveEngine {
const order = data?.order; const order = data?.order;
if (!order) continue; if (!order) continue;
const fillCount = order.taker_fill_count || order.fill_count || 0; const fillCount = this._getFillCount(order);
const fillCost = order.taker_fill_cost || order.fill_cost || 0; const fillCost = this._getFillCostCents(order);
const status = (order.status || '').toLowerCase(); const status = (order.status || '').toLowerCase();
const isFinal = ['canceled', 'cancelled', 'executed', 'filled', 'closed'].includes(status); const isFinal = ['canceled', 'cancelled', 'executed', 'filled', 'closed'].includes(status);
@@ -245,7 +254,7 @@ export class LiveEngine {
} }
try { try {
console.log(`[Live] Placing IOC order: ${side.toUpperCase()} ${contracts}x @ ${priceCents}¢ ($${sizeDollars}) [ask: ${bestAsk}¢, max: ${maxAcceptable}¢] | ${signal.reason}`); console.log(`[Live] Placing IOC order: ${side.toUpperCase()} ${contracts}x @ ${priceCents}¢ ($${sizeDollars})[ask: ${bestAsk}¢, max: ${maxAcceptable}¢] | ${signal.reason}`);
const result = await kalshiFetch('POST', '/trade-api/v2/portfolio/orders', orderBody); const result = await kalshiFetch('POST', '/trade-api/v2/portfolio/orders', orderBody);
const order = result?.order; const order = result?.order;
@@ -255,8 +264,8 @@ export class LiveEngine {
return null; return null;
} }
let fillCount = order.taker_fill_count || 0; let fillCount = this._getFillCount(order);
let fillCost = order.taker_fill_cost || 0; let fillCost = this._getFillCostCents(order);
let status = (order.status || '').toLowerCase(); let status = (order.status || '').toLowerCase();
// If immediate response says 0 fills, verify with Kalshi to catch async fills // If immediate response says 0 fills, verify with Kalshi to catch async fills
@@ -311,7 +320,7 @@ export class LiveEngine {
console.error('[Live] DB write error:', e.message); console.error('[Live] DB write error:', e.message);
} }
const msg = `💰 LIVE [${signal.strategy}] ${side.toUpperCase()} ${fillCount}x @ ${priceCents}¢ ($${(fillCost/100).toFixed(2)}) [ask:${bestAsk}¢] | ${signal.reason}`; const msg = `💰 LIVE[${signal.strategy}] ${side.toUpperCase()} ${fillCount}x @ ${priceCents}¢ ($${(fillCost/100).toFixed(2)}) [ask:${bestAsk}¢] | ${signal.reason}`;
console.log(`[Live] ${msg}`); console.log(`[Live] ${msg}`);
await notify(msg, `Live: ${signal.strategy}`, 'high', 'money_with_wings'); await notify(msg, `Live: ${signal.strategy}`, 'high', 'money_with_wings');