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Fix: Verify fills async, reject blind orders, track ghost fills

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multipleof4
2026-03-16 12:58:07 -07:00
parent 8a06b9b668
commit 4553a82b0d
1 changed files with 64 additions and 33 deletions
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97
lib/live/engine.js
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@@ -133,13 +133,11 @@ export class LiveEngine {
if (!orderbook) return null;
if (side === 'yes') {
// Best yes ask = 100 - highest no bid
if (orderbook.no?.length) {
const bestNoBid = orderbook.no[0]?.[0];
if (bestNoBid != null) return 100 - bestNoBid;
}
} else {
// Best no ask = 100 - highest yes bid
if (orderbook.yes?.length) {
const bestYesBid = orderbook.yes[0]?.[0];
if (bestYesBid != null) return 100 - bestYesBid;
@@ -148,6 +146,33 @@ export class LiveEngine {
return null;
}
/**
* Verify an order's actual fill status by polling Kalshi.
* IOC responses can report 0 fills even when fills happened async.
*/
async _verifyOrderFills(orderId, maxAttempts = 3) {
for (let i = 0; i < maxAttempts; i++) {
if (i > 0) await new Promise(r => setTimeout(r, 500 * i));
try {
const data = await kalshiFetch('GET', `/trade-api/v2/portfolio/orders/${orderId}`);
const order = data?.order;
if (!order) continue;
const fillCount = order.taker_fill_count || order.fill_count || 0;
const fillCost = order.taker_fill_cost || order.fill_cost || 0;
const status = (order.status || '').toLowerCase();
const isFinal = ['canceled', 'cancelled', 'executed', 'filled', 'closed'].includes(status);
if (isFinal || fillCount > 0) {
return { fillCount, fillCost, status, order };
}
} catch (e) {
console.error(`[Live] Verify attempt ${i + 1} failed:`, e.message);
}
}
return null;
}
async executeTrade(signal, marketState) {
if (this._paused) {
console.log(`[Live] PAUSED — ignoring signal from ${signal.strategy}`);
@@ -176,23 +201,21 @@ export class LiveEngine {
return null;
}
// Determine actual execution price from orderbook
// SAFETY: Require orderbook data before placing real money orders
const bestAsk = this._getBestAskFromOrderbook(signal.side, marketState.orderbook);
const maxAcceptable = signal.maxPrice || (signal.price + 3);
let execPrice;
if (bestAsk != null) {
if (bestAsk > maxAcceptable) {
console.log(`[Live] Best ask ${bestAsk}¢ > max ${maxAcceptable}¢ for ${signal.strategy} — skipping`);
return null;
}
execPrice = bestAsk;
} else {
// No orderbook data, use signal price + small buffer
execPrice = Math.min(signal.price + 1, maxAcceptable);
if (bestAsk == null) {
console.log(`[Live] No orderbook data for ${signal.side} side — refusing to trade blind (${signal.strategy})`);
return null;
}
const priceCents = Math.round(execPrice);
const maxAcceptable = signal.maxPrice || (signal.price + 3);
if (bestAsk > maxAcceptable) {
console.log(`[Live] Best ask ${bestAsk}¢ > max ${maxAcceptable}¢ for ${signal.strategy} — skipping`);
return null;
}
const priceCents = Math.round(bestAsk);
if (priceCents <= 0 || priceCents >= 100) {
console.log(`[Live] Invalid price ${priceCents}¢ — skipping`);
@@ -222,7 +245,7 @@ export class LiveEngine {
}
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 order = result?.order;
@@ -232,13 +255,26 @@ export class LiveEngine {
return null;
}
const fillCount = order.taker_fill_count || 0;
const fillCost = order.taker_fill_cost || 0;
const status = (order.status || '').toLowerCase();
let fillCount = order.taker_fill_count || 0;
let fillCost = order.taker_fill_cost || 0;
let status = (order.status || '').toLowerCase();
if (fillCount === 0 && (status === 'canceled' || status === 'cancelled')) {
console.log(`[Live] IOC got 0 fills — no liquidity at ${priceCents}¢ for ${signal.ticker}`);
return null;
// If immediate response says 0 fills, verify with Kalshi to catch async fills
if (fillCount === 0) {
console.log(`[Live] Immediate response: 0 fills (status: ${status}). Verifying with Kalshi...`);
const verified = await this._verifyOrderFills(order.order_id);
if (verified) {
fillCount = verified.fillCount;
fillCost = verified.fillCost;
status = verified.status;
console.log(`[Live] Verified: ${fillCount} fills, $${(fillCost/100).toFixed(2)} cost, status: ${status}`);
}
if (fillCount === 0) {
console.log(`[Live] Confirmed 0 fills for ${signal.ticker} @ ${priceCents}¢ — no liquidity`);
return null;
}
}
const orderRecord = {
@@ -248,10 +284,10 @@ export class LiveEngine {
ticker: signal.ticker,
side,
priceCents,
contracts: fillCount || contracts,
contracts: fillCount,
costCents: fillCost || costCents,
reason: signal.reason,
status: fillCount > 0 ? 'filled' : (order.status || 'pending'),
status: 'filled',
createdAt: Date.now(),
settled: false,
result: null,
@@ -266,13 +302,8 @@ export class LiveEngine {
}
};
if (fillCount > 0) {
this.totalTrades++;
}
if (fillCount > 0) {
this.openOrders.set(order.order_id, orderRecord);
}
this.totalTrades++;
this.openOrders.set(order.order_id, orderRecord);
try {
await db.create('live_orders', orderRecord);
@@ -280,7 +311,7 @@ export class LiveEngine {
console.error('[Live] DB write error:', e.message);
}
const msg = `💰 LIVE [${signal.strategy}] ${side.toUpperCase()} ${fillCount}x @ ${priceCents}¢ ($${(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}`);
await notify(msg, `Live: ${signal.strategy}`, 'high', 'money_with_wings');