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Fix: Enforce minYesPrice floor, require orderbook for live

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multipleof4
2026-03-16 12:58:15 -07:00
parent 4553a82b0d
commit 6faad2b28e
1 changed files with 20 additions and 13 deletions
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33
lib/strategies/bull-dip-buyer.js
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@@ -6,12 +6,11 @@ export class BullDipBuyer extends BaseStrategy {
maxYesPrice: config.maxYesPrice || 45, maxYesPrice: config.maxYesPrice || 45,
minYesPrice: config.minYesPrice || 15, minYesPrice: config.minYesPrice || 15,
betSize: config.betSize || 1, betSize: config.betSize || 1,
slippage: config.slippage || 3, // willing to pay up to 3¢ above target slippage: config.slippage || 3,
cooldownMs: config.cooldownMs || 20000, // 20s for fast markets cooldownMs: config.cooldownMs || 20000,
...config ...config
}); });
// Separate tracking for paper vs live
this._lastTrade = { this._lastTrade = {
paper: { time: 0, ticker: null }, paper: { time: 0, ticker: null },
live: { time: 0, ticker: null } live: { time: 0, ticker: null }
@@ -29,14 +28,29 @@ export class BullDipBuyer extends BaseStrategy {
const { yesPct } = state; const { yesPct } = state;
if (yesPct <= this.config.maxYesPrice && yesPct >= this.config.minYesPrice) { if (yesPct <= this.config.maxYesPrice && yesPct >= this.config.minYesPrice) {
const maxPrice = Math.min(yesPct + this.config.slippage, 95); // For live trading, require orderbook data — refuse to trade blind
if (caller === 'live') {
const bestAsk = this._getBestYesAsk(state);
if (bestAsk == null) {
return null;
}
// Verify the actual ask price is within our dip range + slippage
if (bestAsk > this.config.maxYesPrice + this.config.slippage) {
return null;
}
// Don't let slippage push us above 50¢ — that's not a dip
if (bestAsk > 50) {
return null;
}
}
const maxPrice = Math.min(yesPct + this.config.slippage, this.config.maxYesPrice + this.config.slippage, 50);
// Check orderbook for real liquidity if available
const bestAsk = this._getBestYesAsk(state); const bestAsk = this._getBestYesAsk(state);
let reason = `Bullish dip buy: Yes @ ${yesPct}¢`; let reason = `Bullish dip buy: Yes @ ${yesPct}¢`;
if (bestAsk != null) { if (bestAsk != null) {
if (bestAsk > maxPrice) { if (bestAsk > maxPrice) {
return null; // best ask too expensive even with slippage return null;
} }
reason = `Bullish dip buy: Yes @ ${yesPct}¢ (ask: ${bestAsk}¢)`; reason = `Bullish dip buy: Yes @ ${yesPct}¢ (ask: ${bestAsk}¢)`;
} }
@@ -60,16 +74,9 @@ export class BullDipBuyer extends BaseStrategy {
} }
_getBestYesAsk(state) { _getBestYesAsk(state) {
// Best yes ask = lowest price someone is selling yes at
// In Kalshi terms: best ask on yes side, OR 100 - best bid on no side
const ob = state.orderbook; const ob = state.orderbook;
if (!ob) return null; if (!ob) return null;
// Yes side: sorted descending by price, ask = lowest offer
if (ob.yes?.length) {
// orderbook yes levels are bids (people wanting to buy yes)
// The ask is 100 - best_no_bid
}
if (ob.no?.length) { if (ob.no?.length) {
const bestNoBid = ob.no[0]?.[0]; const bestNoBid = ob.no[0]?.[0];
if (bestNoBid != null) return 100 - bestNoBid; if (bestNoBid != null) return 100 - bestNoBid;