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

lib/live/engine.js

@@ -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);
+    if (bestAsk == null) {
-
+      console.log(`[Live] No orderbook data for ${signal.side} side — refusing to trade blind (${signal.strategy})`);
-    let execPrice;
+      return null;
-    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);
     }
 
-    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;
+      let fillCount = order.taker_fill_count || 0;
-      const fillCost = order.taker_fill_cost || 0;
+      let fillCost = order.taker_fill_cost || 0;
-      const status = (order.status || '').toLowerCase();
+      let status = (order.status || '').toLowerCase();
 
-      if (fillCount === 0 && (status === 'canceled' || status === 'cancelled')) {
+      // If immediate response says 0 fills, verify with Kalshi to catch async fills
-        console.log(`[Live] IOC got 0 fills — no liquidity at ${priceCents}¢ for ${signal.ticker}`);
+      if (fillCount === 0) {
-        return null;
+        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++;
-        this.totalTrades++;
+      this.openOrders.set(order.order_id, orderRecord);
-      }
-
-      if (fillCount > 0) {
-        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');