Feat: Orderbook-aware pricing for live orders

lib/live/engine.js

@@ -6,20 +6,21 @@ import crypto from 'crypto';
 /**
  * Live Trading Engine — real money on Kalshi.
  * Uses IOC (Immediate-or-Cancel) orders for thin-book safety.
+ * Now orderbook-aware: uses best available ask instead of display price.
  * All amounts in CENTS internally.
  */
 export class LiveEngine {
   constructor() {
     this.enabledStrategies = new Set();
-    this.openOrders = new Map(); // orderId -> orderInfo
+    this.openOrders = new Map();
     this.recentFills = [];
     this.totalPnL = 0;
     this.wins = 0;
     this.losses = 0;
     this.totalTrades = 0;
     this._paused = false;
-    this._maxLossPerTradeCents = 500; // $5 safety cap per trade
-    this._maxDailyLossCents = 2000; // $20 daily loss limit
+    this._maxLossPerTradeCents = 500;
+    this._maxDailyLossCents = 2000;
     this._dailyLoss = 0;
     this._dailyLossResetTime = Date.now();
     this._lastBalance = null;
@@ -123,6 +124,30 @@ 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) {
+    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;
+      }
+    }
+    return null;
+  }
+
   async executeTrade(signal, marketState) {
     if (this._paused) {
       console.log(`[Live] PAUSED — ignoring signal from ${signal.strategy}`);
@@ -143,7 +168,6 @@ export class LiveEngine {
       return null;
     }
 
-    const priceCents = Math.round(signal.price);
     const sizeDollars = signal.size;
     const costCents = sizeDollars * 100;
 
@@ -152,6 +176,24 @@ export class LiveEngine {
       return null;
     }
 
+    // Determine actual execution price from orderbook
+    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);
+    }
+
+    const priceCents = Math.round(execPrice);
+
     if (priceCents <= 0 || priceCents >= 100) {
       console.log(`[Live] Invalid price ${priceCents}¢ — skipping`);
       return null;
@@ -163,9 +205,6 @@ export class LiveEngine {
     const clientOrderId = crypto.randomUUID();
     const side = signal.side.toLowerCase();
 
-    // Build order with IOC (Immediate-or-Cancel) instead of FoK via buy_max_cost.
-    // IOC partially fills whatever is available and cancels the rest,
-    // so thin order books won't cause a hard 409 rejection.
     const orderBody = {
       ticker: signal.ticker,
       action: 'buy',
@@ -183,7 +222,7 @@ export class LiveEngine {
     }
 
     try {
-      console.log(`[Live] Placing IOC order: ${side.toUpperCase()} ${contracts}x @ ${priceCents}¢ ($${sizeDollars}) | ${signal.reason}`);
+      console.log(`[Live] Placing IOC order: ${side.toUpperCase()} ${contracts}x @ ${priceCents}¢ ($${sizeDollars}) [ask: ${bestAsk ?? '?'}¢, max: ${maxAcceptable}¢] | ${signal.reason}`);
 
       const result = await kalshiFetch('POST', '/trade-api/v2/portfolio/orders', orderBody);
       const order = result?.order;
@@ -197,7 +236,6 @@ export class LiveEngine {
       const fillCost = order.taker_fill_cost || 0;
       const status = (order.status || '').toLowerCase();
 
-      // IOC with zero fills means nothing was available at our price
       if (fillCount === 0 && (status === 'canceled' || status === 'cancelled')) {
         console.log(`[Live] IOC got 0 fills — no liquidity at ${priceCents}¢ for ${signal.ticker}`);
         return null;
@@ -220,6 +258,8 @@ export class LiveEngine {
         pnl: null,
         fillCount,
         fillCost,
+        bestAsk,
+        maxPrice: maxAcceptable,
         marketState: {
           yesPct: marketState.yesPct,
           noPct: marketState.noPct
@@ -230,7 +270,6 @@ export class LiveEngine {
         this.totalTrades++;
       }
 
-      // Only track as open if we actually got fills that need settling
       if (fillCount > 0) {
         this.openOrders.set(order.order_id, orderRecord);
       }
@@ -241,7 +280,7 @@ export class LiveEngine {
         console.error('[Live] DB write error:', e.message);
       }
 
-      const msg = `💰 LIVE [${signal.strategy}] ${side.toUpperCase()} ${fillCount}x @ ${priceCents}¢ ($${(fillCost/100).toFixed(2)}) | ${signal.reason}`;
+      const msg = `💰 LIVE [${signal.strategy}] ${side.toUpperCase()} ${fillCount}x @ ${priceCents}¢ ($${(fillCost/100).toFixed(2)}) [ask:${bestAsk ?? '?'}¢] | ${signal.reason}`;
       console.log(`[Live] ${msg}`);
       await notify(msg, `Live: ${signal.strategy}`, 'high', 'money_with_wings');