@123456btc/123456btc-cli 1.0.5 → 1.0.6
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/api/signals.d.ts +3 -3
- package/dist/api/signals.d.ts.map +1 -1
- package/dist/api/signals.js +3 -3
- package/dist/api/signals.js.map +1 -1
- package/dist/api/strategy-stream.d.ts +4 -9
- package/dist/api/strategy-stream.d.ts.map +1 -1
- package/dist/api/strategy-stream.js +14 -13
- package/dist/api/strategy-stream.js.map +1 -1
- package/dist/api/strategy.d.ts +3 -1
- package/dist/api/strategy.d.ts.map +1 -1
- package/dist/api/strategy.js +3 -1
- package/dist/api/strategy.js.map +1 -1
- package/dist/commands/exchange.d.ts +3 -0
- package/dist/commands/exchange.d.ts.map +1 -0
- package/dist/commands/exchange.js +141 -0
- package/dist/commands/exchange.js.map +1 -0
- package/dist/commands/signals.js +7 -7
- package/dist/commands/signals.js.map +1 -1
- package/dist/commands/strategy.d.ts.map +1 -1
- package/dist/commands/strategy.js +181 -8
- package/dist/commands/strategy.js.map +1 -1
- package/dist/commands/vault.d.ts.map +1 -1
- package/dist/commands/vault.js +5 -3
- package/dist/commands/vault.js.map +1 -1
- package/dist/config/strategy-exchange.d.ts +30 -0
- package/dist/config/strategy-exchange.d.ts.map +1 -0
- package/dist/config/strategy-exchange.js +130 -0
- package/dist/config/strategy-exchange.js.map +1 -0
- package/dist/exchange/index.d.ts +106 -0
- package/dist/exchange/index.d.ts.map +1 -0
- package/dist/exchange/index.js +43 -0
- package/dist/exchange/index.js.map +1 -0
- package/dist/exchange/v2/adapters/base.d.ts +130 -0
- package/dist/exchange/v2/adapters/base.d.ts.map +1 -0
- package/dist/exchange/v2/adapters/base.js +296 -0
- package/dist/exchange/v2/adapters/base.js.map +1 -0
- package/dist/exchange/v2/adapters/binance.d.ts +51 -0
- package/dist/exchange/v2/adapters/binance.d.ts.map +1 -0
- package/dist/exchange/v2/adapters/binance.js +549 -0
- package/dist/exchange/v2/adapters/binance.js.map +1 -0
- package/dist/exchange/v2/adapters/bitget.d.ts +43 -0
- package/dist/exchange/v2/adapters/bitget.d.ts.map +1 -0
- package/dist/exchange/v2/adapters/bitget.js +524 -0
- package/dist/exchange/v2/adapters/bitget.js.map +1 -0
- package/dist/exchange/v2/adapters/hyperliquid.d.ts +102 -0
- package/dist/exchange/v2/adapters/hyperliquid.d.ts.map +1 -0
- package/dist/exchange/v2/adapters/hyperliquid.js +536 -0
- package/dist/exchange/v2/adapters/hyperliquid.js.map +1 -0
- package/dist/exchange/v2/adapters/okx.d.ts +38 -0
- package/dist/exchange/v2/adapters/okx.d.ts.map +1 -0
- package/dist/exchange/v2/adapters/okx.js +437 -0
- package/dist/exchange/v2/adapters/okx.js.map +1 -0
- package/dist/exchange/v2/algorithms/index.d.ts +78 -0
- package/dist/exchange/v2/algorithms/index.d.ts.map +1 -0
- package/dist/exchange/v2/algorithms/index.js +441 -0
- package/dist/exchange/v2/algorithms/index.js.map +1 -0
- package/dist/exchange/v2/executor/circuit-breaker.d.ts +44 -0
- package/dist/exchange/v2/executor/circuit-breaker.d.ts.map +1 -0
- package/dist/exchange/v2/executor/circuit-breaker.js +90 -0
- package/dist/exchange/v2/executor/circuit-breaker.js.map +1 -0
- package/dist/exchange/v2/executor/core.d.ts +64 -0
- package/dist/exchange/v2/executor/core.d.ts.map +1 -0
- package/dist/exchange/v2/executor/core.js +458 -0
- package/dist/exchange/v2/executor/core.js.map +1 -0
- package/dist/exchange/v2/executor/risk.d.ts +29 -0
- package/dist/exchange/v2/executor/risk.d.ts.map +1 -0
- package/dist/exchange/v2/executor/risk.js +144 -0
- package/dist/exchange/v2/executor/risk.js.map +1 -0
- package/dist/exchange/v2/executor/state.d.ts +29 -0
- package/dist/exchange/v2/executor/state.d.ts.map +1 -0
- package/dist/exchange/v2/executor/state.js +171 -0
- package/dist/exchange/v2/executor/state.js.map +1 -0
- package/dist/exchange/v2/index.d.ts +50 -0
- package/dist/exchange/v2/index.d.ts.map +1 -0
- package/dist/exchange/v2/index.js +82 -0
- package/dist/exchange/v2/index.js.map +1 -0
- package/dist/exchange/v2/registry.d.ts +50 -0
- package/dist/exchange/v2/registry.d.ts.map +1 -0
- package/dist/exchange/v2/registry.js +101 -0
- package/dist/exchange/v2/registry.js.map +1 -0
- package/dist/exchange/v2/types.d.ts +413 -0
- package/dist/exchange/v2/types.d.ts.map +1 -0
- package/dist/exchange/v2/types.js +3 -0
- package/dist/exchange/v2/types.js.map +1 -0
- package/dist/index.d.ts +105 -22
- package/dist/index.d.ts.map +1 -1
- package/dist/index.js +40 -37
- package/dist/index.js.map +1 -1
- package/dist/types/financial.d.ts +14 -0
- package/dist/types/financial.d.ts.map +1 -0
- package/dist/types/financial.js +6 -0
- package/dist/types/financial.js.map +1 -0
- package/dist/vault/crypto.js +3 -3
- package/dist/vault/crypto.js.map +1 -1
- package/dist/vault/index.d.ts +28 -0
- package/dist/vault/index.d.ts.map +1 -1
- package/dist/vault/index.js +70 -0
- package/dist/vault/index.js.map +1 -1
- package/package.json +1 -1
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{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../../src/exchange/v2/algorithms/index.ts"],"names":[],"mappings":"AAAA;;;;GAIG;AAEH,OAAO,KAAK,EAAE,gBAAgB,EAAE,MAAM,kBAAkB,CAAC;AACzD,OAAO,KAAK,EACX,SAAS,EAIT,eAAe,EACf,UAAU,EACV,UAAU,EACV,aAAa,EACb,MAAM,UAAU,CAAC;AAClB,OAAO,KAAK,EAAE,QAAQ,EAAE,GAAG,EAAE,KAAK,EAAE,MAAM,0BAA0B,CAAC;AAsCrE,qBAAa,YAAY;IACZ,OAAO,CAAC,OAAO;gBAAP,OAAO,EAAE,gBAAgB;IAEvC,OAAO,CAAC,MAAM,EAAE,UAAU,GAAG,OAAO,CAAC,eAAe,CAAC;CAoF3D;AAID,qBAAa,YAAY;IACZ,OAAO,CAAC,OAAO;gBAAP,OAAO,EAAE,gBAAgB;IAEvC,OAAO,CAAC,MAAM,EAAE,UAAU,GAAG,OAAO,CAAC,eAAe,CAAC;CAqE3D;AAID,qBAAa,eAAe;IACf,OAAO,CAAC,OAAO;gBAAP,OAAO,EAAE,gBAAgB;IAEvC,OAAO,CAAC,MAAM,EAAE,aAAa,GAAG,OAAO,CAAC,eAAe,CAAC;CAsE9D;AAID,MAAM,WAAW,iBAAiB;IACjC,MAAM,EAAE,MAAM,CAAC;IACf,IAAI,EAAE,SAAS,CAAC;IAChB,QAAQ,EAAE,QAAQ,CAAC;IACnB,YAAY,EAAE,MAAM,CAAC;IACrB,eAAe,CAAC,EAAE,KAAK,CAAC;IACxB,SAAS,EAAE,KAAK,CAAC;IACjB,SAAS,EAAE,KAAK,CAAC;IACjB,SAAS,EAAE,OAAO,CAAC;IACnB,OAAO,CAAC,EAAE,MAAM,CAAC;IACjB,MAAM,EAAE,UAAU,GAAG,WAAW,GAAG,WAAW,GAAG,WAAW,CAAC;CAC7D;AAED,qBAAa,mBAAmB;IACnB,OAAO,CAAC,OAAO;gBAAP,OAAO,EAAE,gBAAgB;IAE7C;;;;OAIG;IACG,OAAO,CAAC,MAAM,EAAE;QACrB,MAAM,EAAE,MAAM,CAAC;QACf,IAAI,EAAE,SAAS,CAAC;QAChB,QAAQ,EAAE,QAAQ,CAAC;QACnB,YAAY,EAAE,MAAM,CAAC;QACrB,eAAe,CAAC,EAAE,KAAK,CAAC;QACxB,MAAM,CAAC,EAAE,MAAM,CAAC;QAChB,aAAa,CAAC,EAAE,MAAM,CAAC;KACvB,GAAG,OAAO,CAAC,iBAAiB,CAAC;CAwE9B;AAID,MAAM,WAAW,aAAa;IAC7B,YAAY,EAAE,MAAM,CAAC;IACrB,iBAAiB,CAAC,EAAE,MAAM,CAAC;IAC3B,eAAe,CAAC,EAAE,MAAM,CAAC;IACzB,MAAM,EAAE,MAAM,GAAG,QAAQ,GAAG,QAAQ,GAAG,WAAW,GAAG,OAAO,CAAC;IAC7D,GAAG,CAAC,EAAE,GAAG,CAAC;IACV,KAAK,CAAC,EAAE,MAAM,CAAC;CACf;AAED,qBAAa,mBAAmB;IACnB,OAAO,CAAC,OAAO;gBAAP,OAAO,EAAE,gBAAgB;IAEvC,OAAO,CAAC,MAAM,EAAE;QACrB,MAAM,EAAE,MAAM,CAAC;QACf,IAAI,EAAE,SAAS,CAAC;QAChB,QAAQ,EAAE,QAAQ,CAAC;QACnB,SAAS,EAAE,QAAQ,GAAG,OAAO,CAAC;QAC9B,UAAU,CAAC,EAAE,KAAK,CAAC;QACnB,eAAe,EAAE,KAAK,CAAC;QACvB,aAAa,EAAE,KAAK,CAAC;QACrB,WAAW,CAAC,EAAE,MAAM,CAAC;KACrB,GAAG,OAAO,CAAC,aAAa,CAAC;IA4D1B,iFAAiF;IAC3E,OAAO,CACZ,MAAM,EAAE,aAAa,EACrB,MAAM,EAAE,MAAM,EACd,MAAM,SAAO,EACb,aAAa,SAAsB,GACjC,OAAO,CAAC,aAAa,CAAC;CAqCzB"}
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"use strict";
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/**
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* Institutional Algorithm Execution Layer
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* Provides: TWAP, VWAP, Iceberg, Trailing Stop, Bracket
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* All algorithms are exchange-agnostic — they call the IExchangeAdapter interface.
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*/
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.BracketOrchestrator = exports.TrailingStopMonitor = exports.IcebergExecutor = exports.VWAPExecutor = exports.TWAPExecutor = void 0;
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// ─── Shared Utilities ─────────────────────────────────────────────────────
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function sleep(ms) {
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return new Promise(r => setTimeout(r, ms));
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}
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function genAlgoId() {
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return `algo_${Date.now()}_${crypto.randomUUID().replace(/-/g, '').slice(0, 7)}`;
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}
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function buildResult(params, algoId, type, slices, error) {
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const filled = slices.filter(s => s.status === 'filled' || s.status === 'partially_filled');
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const filledQty = filled.reduce((s, sl) => s + sl.filledQuantity, 0);
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const totalValue = filled.reduce((s, sl) => s + sl.filledQuantity * (sl.avgFillPrice ?? sl.price ?? 0), 0);
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const avgFillPrice = filledQty > 0 ? totalValue / filledQty : 0;
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const allDone = slices.every(s => ['filled', 'cancelled', 'failed', 'rejected'].includes(s.status));
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return {
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algoId, type, symbol: params.symbol, side: params.side,
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totalQuantity: params.totalQuantity, filledQuantity: filledQty,
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avgFillPrice, slices,
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status: error ? 'failed' : allDone && filledQty >= params.totalQuantity * 0.99 ? 'completed' : allDone ? 'cancelled' : 'running',
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startedAt: slices[0]?.executedAt ?? Date.now(),
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completedAt: allDone ? Date.now() : undefined,
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error,
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};
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}
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// ─── TWAP ────────────────────────────────────────────────────────────────
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class TWAPExecutor {
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adapter;
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constructor(adapter) {
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this.adapter = adapter;
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}
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async execute(params) {
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const algoId = genAlgoId();
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const slices = [];
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const sliceQty = params.totalQuantity / params.intervals;
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const intervalMs = params.durationMs / params.intervals;
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for (let i = 0; i < params.intervals; i++) {
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const sliceStart = Date.now();
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try {
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// Get current price for limit placement
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const ticker = await this.adapter.getTicker(params.symbol);
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const midPrice = (ticker.bid + ticker.ask) / 2;
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// Apply price limit guard
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if (params.priceLimit !== undefined) {
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const overLimit = params.side === 'buy'
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? midPrice > params.priceLimit
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: midPrice < params.priceLimit;
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if (overLimit) {
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slices.push({
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sliceIndex: i, orderId: '', quantity: sliceQty, price: midPrice,
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status: 'cancelled', filledQuantity: 0, executedAt: Date.now(),
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});
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continue;
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}
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}
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// Place at best bid/ask for passive execution
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const slicePrice = params.side === 'buy'
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? ticker.bid // join the bid (passive)
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: ticker.ask; // join the ask (passive)
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const order = await this.adapter.placeOrder({
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symbol: params.symbol,
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side: params.side,
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type: 'limit',
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quantity: sliceQty,
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price: slicePrice,
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timeInForce: 'IOC', // IOC ensures we don't leave resting slices
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});
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// Short wait for fill confirmation
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await sleep(200);
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const final = await this.adapter.getOrderStatus(order.orderId, params.symbol);
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slices.push({
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sliceIndex: i, orderId: final.orderId,
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quantity: sliceQty, price: slicePrice,
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status: final.status, filledQuantity: final.filledQuantity,
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avgFillPrice: final.avgFillPrice, executedAt: Date.now(),
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});
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// If slice missed (IOC not filled), try market as fallback on last slice
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if (i === params.intervals - 1 && final.filledQuantity < sliceQty * 0.5) {
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const remaining = sliceQty - (final.filledQuantity ?? 0);
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if (remaining > 0) {
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const mktOrder = await this.adapter.placeOrder({
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symbol: params.symbol, side: params.side, type: 'market', quantity: remaining,
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});
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slices.push({
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sliceIndex: i + 0.5, orderId: mktOrder.orderId, quantity: remaining,
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status: mktOrder.status, filledQuantity: mktOrder.filledQuantity,
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avgFillPrice: mktOrder.avgFillPrice, executedAt: Date.now(),
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});
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}
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}
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}
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catch (err) {
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slices.push({
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sliceIndex: i, orderId: '', quantity: sliceQty,
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status: 'failed', filledQuantity: 0, executedAt: Date.now(),
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});
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}
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// Wait for remaining interval time
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if (i < params.intervals - 1) {
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const elapsed = Date.now() - sliceStart;
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const wait = Math.max(0, intervalMs - elapsed);
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if (wait > 0)
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await sleep(wait);
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}
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}
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return buildResult(params, algoId, 'twap', slices);
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}
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}
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exports.TWAPExecutor = TWAPExecutor;
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// ─── VWAP ────────────────────────────────────────────────────────────────
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class VWAPExecutor {
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adapter;
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constructor(adapter) {
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this.adapter = adapter;
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}
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async execute(params) {
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const algoId = genAlgoId();
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const slices = [];
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const windowMs = 60_000; // 1-minute sampling windows
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const windows = Math.ceil(params.durationMs / windowMs);
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let remaining = params.totalQuantity;
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let sliceIdx = 0;
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for (let w = 0; w < windows && remaining > 0.000001; w++) {
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const windowStart = Date.now();
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try {
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// Sample current volume
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const ticker = await this.adapter.getTicker(params.symbol);
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const volume1m = ticker.volume24h / (24 * 60); // approx 1-min volume
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const targetQty = Math.min(remaining, volume1m * params.participationRate);
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if (targetQty <= 0) {
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await sleep(windowMs);
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continue;
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}
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// Price limit guard
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if (params.priceLimit !== undefined) {
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const midPrice = (ticker.bid + ticker.ask) / 2;
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const overLimit = params.side === 'buy'
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? midPrice > params.priceLimit
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: midPrice < params.priceLimit;
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if (overLimit) {
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await sleep(windowMs);
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continue;
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}
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}
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const slicePrice = params.side === 'buy' ? ticker.bid : ticker.ask;
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const order = await this.adapter.placeOrder({
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symbol: params.symbol, side: params.side, type: 'limit',
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quantity: targetQty, price: slicePrice, timeInForce: 'IOC',
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});
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await sleep(300);
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const final = await this.adapter.getOrderStatus(order.orderId, params.symbol);
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slices.push({
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sliceIndex: sliceIdx++, orderId: final.orderId, quantity: targetQty,
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price: slicePrice, status: final.status, filledQuantity: final.filledQuantity,
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avgFillPrice: final.avgFillPrice, executedAt: Date.now(),
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});
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remaining -= final.filledQuantity ?? 0;
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}
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catch {
|
|
166
|
+
slices.push({
|
|
167
|
+
sliceIndex: sliceIdx++, orderId: '', quantity: 0,
|
|
168
|
+
status: 'failed', filledQuantity: 0, executedAt: Date.now(),
|
|
169
|
+
});
|
|
170
|
+
}
|
|
171
|
+
const elapsed = Date.now() - windowStart;
|
|
172
|
+
if (elapsed < windowMs)
|
|
173
|
+
await sleep(windowMs - elapsed);
|
|
174
|
+
}
|
|
175
|
+
// Sweep remaining with market order if significant
|
|
176
|
+
if (remaining > params.totalQuantity * 0.01) {
|
|
177
|
+
try {
|
|
178
|
+
const mkt = await this.adapter.placeOrder({
|
|
179
|
+
symbol: params.symbol, side: params.side, type: 'market', quantity: remaining,
|
|
180
|
+
});
|
|
181
|
+
slices.push({
|
|
182
|
+
sliceIndex: sliceIdx++, orderId: mkt.orderId, quantity: remaining,
|
|
183
|
+
status: mkt.status, filledQuantity: mkt.filledQuantity,
|
|
184
|
+
avgFillPrice: mkt.avgFillPrice, executedAt: Date.now(),
|
|
185
|
+
});
|
|
186
|
+
}
|
|
187
|
+
catch { /* log */ }
|
|
188
|
+
}
|
|
189
|
+
return buildResult(params, algoId, 'vwap', slices);
|
|
190
|
+
}
|
|
191
|
+
}
|
|
192
|
+
exports.VWAPExecutor = VWAPExecutor;
|
|
193
|
+
// ─── Iceberg ─────────────────────────────────────────────────────────────
|
|
194
|
+
class IcebergExecutor {
|
|
195
|
+
adapter;
|
|
196
|
+
constructor(adapter) {
|
|
197
|
+
this.adapter = adapter;
|
|
198
|
+
}
|
|
199
|
+
async execute(params) {
|
|
200
|
+
const algoId = genAlgoId();
|
|
201
|
+
const slices = [];
|
|
202
|
+
let remaining = params.totalQuantity;
|
|
203
|
+
const intervalMs = params.intervalMs ?? 500;
|
|
204
|
+
let sliceIdx = 0;
|
|
205
|
+
while (remaining > 0.000001) {
|
|
206
|
+
const qty = Math.min(params.visibleQuantity, remaining);
|
|
207
|
+
try {
|
|
208
|
+
let price = params.price;
|
|
209
|
+
// If no fixed price, follow market (dynamic iceberg)
|
|
210
|
+
if (!price) {
|
|
211
|
+
const ticker = await this.adapter.getTicker(params.symbol);
|
|
212
|
+
price = params.side === 'buy' ? ticker.bid : ticker.ask;
|
|
213
|
+
// Deviation guard: if market moved too far, pause
|
|
214
|
+
if (params.priceDeviation !== undefined && slices.length > 0) {
|
|
215
|
+
const firstPrice = slices[0].price ?? price;
|
|
216
|
+
const deviation = Math.abs(price - firstPrice) / firstPrice * 100;
|
|
217
|
+
if (deviation > params.priceDeviation) {
|
|
218
|
+
await sleep(intervalMs * 3);
|
|
219
|
+
continue;
|
|
220
|
+
}
|
|
221
|
+
}
|
|
222
|
+
}
|
|
223
|
+
const order = await this.adapter.placeOrder({
|
|
224
|
+
symbol: params.symbol, side: params.side,
|
|
225
|
+
type: params.price ? 'limit' : 'market',
|
|
226
|
+
quantity: qty, price,
|
|
227
|
+
timeInForce: params.price ? 'GTC' : undefined,
|
|
228
|
+
});
|
|
229
|
+
// Wait for fill
|
|
230
|
+
let filled = order;
|
|
231
|
+
const deadline = Date.now() + 30_000;
|
|
232
|
+
while (Date.now() < deadline) {
|
|
233
|
+
filled = await this.adapter.getOrderStatus(order.orderId, params.symbol);
|
|
234
|
+
if (['filled', 'cancelled', 'rejected', 'expired'].includes(filled.status))
|
|
235
|
+
break;
|
|
236
|
+
await sleep(500);
|
|
237
|
+
}
|
|
238
|
+
slices.push({
|
|
239
|
+
sliceIndex: sliceIdx++, orderId: filled.orderId, quantity: qty,
|
|
240
|
+
price, status: filled.status, filledQuantity: filled.filledQuantity,
|
|
241
|
+
avgFillPrice: filled.avgFillPrice, executedAt: Date.now(),
|
|
242
|
+
});
|
|
243
|
+
remaining -= filled.filledQuantity ?? 0;
|
|
244
|
+
if (['cancelled', 'rejected', 'expired'].includes(filled.status)) {
|
|
245
|
+
// Slice was not filled; re-add to remaining
|
|
246
|
+
remaining += filled.filledQuantity ?? 0;
|
|
247
|
+
remaining = Math.max(remaining, 0);
|
|
248
|
+
}
|
|
249
|
+
}
|
|
250
|
+
catch {
|
|
251
|
+
slices.push({
|
|
252
|
+
sliceIndex: sliceIdx++, orderId: '', quantity: qty,
|
|
253
|
+
status: 'failed', filledQuantity: 0, executedAt: Date.now(),
|
|
254
|
+
});
|
|
255
|
+
await sleep(intervalMs * 2);
|
|
256
|
+
}
|
|
257
|
+
if (remaining > 0.000001)
|
|
258
|
+
await sleep(intervalMs);
|
|
259
|
+
}
|
|
260
|
+
return buildResult(params, algoId, 'iceberg', slices);
|
|
261
|
+
}
|
|
262
|
+
}
|
|
263
|
+
exports.IcebergExecutor = IcebergExecutor;
|
|
264
|
+
class TrailingStopMonitor {
|
|
265
|
+
adapter;
|
|
266
|
+
constructor(adapter) {
|
|
267
|
+
this.adapter = adapter;
|
|
268
|
+
}
|
|
269
|
+
/**
|
|
270
|
+
* Monitors price and triggers a market order when trailing stop fires.
|
|
271
|
+
* Returns when the stop is triggered or cancelled.
|
|
272
|
+
* Poll interval: tickMs (default 1000ms)
|
|
273
|
+
*/
|
|
274
|
+
async monitor(params) {
|
|
275
|
+
const tickMs = params.tickMs ?? 1000;
|
|
276
|
+
const deadline = Date.now() + (params.maxDurationMs ?? 24 * 60 * 60 * 1000);
|
|
277
|
+
const state = {
|
|
278
|
+
symbol: params.symbol, side: params.side, quantity: params.quantity,
|
|
279
|
+
callbackRate: params.callbackRate, activationPrice: params.activationPrice,
|
|
280
|
+
peakPrice: 0, stopPrice: 0, activated: !params.activationPrice,
|
|
281
|
+
status: 'watching',
|
|
282
|
+
};
|
|
283
|
+
while (Date.now() < deadline && (state.status === 'watching' || state.status === 'activated')) {
|
|
284
|
+
try {
|
|
285
|
+
const ticker = await this.adapter.getTicker(params.symbol);
|
|
286
|
+
const price = (ticker.bid + ticker.ask) / 2;
|
|
287
|
+
// Check activation
|
|
288
|
+
if (!state.activated && params.activationPrice) {
|
|
289
|
+
const triggered = params.side === 'sell'
|
|
290
|
+
? price >= params.activationPrice
|
|
291
|
+
: price <= params.activationPrice;
|
|
292
|
+
if (triggered) {
|
|
293
|
+
state.activated = true;
|
|
294
|
+
state.status = 'activated';
|
|
295
|
+
state.peakPrice = price;
|
|
296
|
+
}
|
|
297
|
+
}
|
|
298
|
+
if (state.activated) {
|
|
299
|
+
// Update peak
|
|
300
|
+
if (params.side === 'sell') {
|
|
301
|
+
if (price > state.peakPrice) {
|
|
302
|
+
state.peakPrice = price;
|
|
303
|
+
state.stopPrice = price * (1 - params.callbackRate / 100);
|
|
304
|
+
}
|
|
305
|
+
// Trigger check
|
|
306
|
+
if (state.peakPrice > 0 && price <= state.stopPrice) {
|
|
307
|
+
state.status = 'triggered';
|
|
308
|
+
const order = await this.adapter.placeOrder({
|
|
309
|
+
symbol: params.symbol, side: 'sell', type: 'market',
|
|
310
|
+
quantity: params.quantity, reduceOnly: true,
|
|
311
|
+
});
|
|
312
|
+
state.orderId = order.orderId;
|
|
313
|
+
break;
|
|
314
|
+
}
|
|
315
|
+
}
|
|
316
|
+
else {
|
|
317
|
+
// Buy trailing stop (for short positions)
|
|
318
|
+
if (state.peakPrice === 0 || price < state.peakPrice) {
|
|
319
|
+
state.peakPrice = price;
|
|
320
|
+
state.stopPrice = price * (1 + params.callbackRate / 100);
|
|
321
|
+
}
|
|
322
|
+
if (state.peakPrice > 0 && price >= state.stopPrice) {
|
|
323
|
+
state.status = 'triggered';
|
|
324
|
+
const order = await this.adapter.placeOrder({
|
|
325
|
+
symbol: params.symbol, side: 'buy', type: 'market',
|
|
326
|
+
quantity: params.quantity, reduceOnly: true,
|
|
327
|
+
});
|
|
328
|
+
state.orderId = order.orderId;
|
|
329
|
+
break;
|
|
330
|
+
}
|
|
331
|
+
}
|
|
332
|
+
}
|
|
333
|
+
}
|
|
334
|
+
catch { /* log error, continue monitoring */ }
|
|
335
|
+
await sleep(tickMs);
|
|
336
|
+
}
|
|
337
|
+
if (state.status === 'watching' || state.status === 'activated') {
|
|
338
|
+
state.status = 'cancelled'; // Timed out
|
|
339
|
+
}
|
|
340
|
+
return state;
|
|
341
|
+
}
|
|
342
|
+
}
|
|
343
|
+
exports.TrailingStopMonitor = TrailingStopMonitor;
|
|
344
|
+
class BracketOrchestrator {
|
|
345
|
+
adapter;
|
|
346
|
+
constructor(adapter) {
|
|
347
|
+
this.adapter = adapter;
|
|
348
|
+
}
|
|
349
|
+
async execute(params) {
|
|
350
|
+
const result = { entryOrderId: '', status: 'open' };
|
|
351
|
+
try {
|
|
352
|
+
// 1. Entry order
|
|
353
|
+
const entry = await this.adapter.placeOrder({
|
|
354
|
+
symbol: params.symbol, side: params.side,
|
|
355
|
+
type: params.entryType, quantity: params.quantity,
|
|
356
|
+
price: params.entryPrice,
|
|
357
|
+
});
|
|
358
|
+
result.entryOrderId = entry.orderId;
|
|
359
|
+
// Wait for fill
|
|
360
|
+
let entryFinal = entry;
|
|
361
|
+
const entryDeadline = Date.now() + 60_000;
|
|
362
|
+
while (Date.now() < entryDeadline && !['filled', 'partially_filled', 'cancelled', 'rejected'].includes(entryFinal.status)) {
|
|
363
|
+
await sleep(500);
|
|
364
|
+
entryFinal = await this.adapter.getOrderStatus(entry.orderId, params.symbol);
|
|
365
|
+
}
|
|
366
|
+
if (!['filled', 'partially_filled'].includes(entryFinal.status)) {
|
|
367
|
+
result.status = 'cancelled';
|
|
368
|
+
return result;
|
|
369
|
+
}
|
|
370
|
+
const filledQty = entryFinal.filledQuantity;
|
|
371
|
+
const closeSide = params.side === 'buy' ? 'sell' : 'buy';
|
|
372
|
+
// 2. TP order
|
|
373
|
+
try {
|
|
374
|
+
const tp = await this.adapter.placeOrder({
|
|
375
|
+
symbol: params.symbol, side: closeSide,
|
|
376
|
+
type: 'take_profit_market', stopPrice: params.takeProfitPrice,
|
|
377
|
+
quantity: filledQty, reduceOnly: true,
|
|
378
|
+
});
|
|
379
|
+
result.takeProfitOrderId = tp.orderId;
|
|
380
|
+
}
|
|
381
|
+
catch (e) {
|
|
382
|
+
result.error = `TP placement failed: ${e instanceof Error ? e.message : String(e)}`;
|
|
383
|
+
}
|
|
384
|
+
// 3. SL order
|
|
385
|
+
try {
|
|
386
|
+
const sl = await this.adapter.placeOrder({
|
|
387
|
+
symbol: params.symbol, side: closeSide,
|
|
388
|
+
type: 'stop_market', stopPrice: params.stopLossPrice,
|
|
389
|
+
quantity: filledQty, reduceOnly: true,
|
|
390
|
+
});
|
|
391
|
+
result.stopLossOrderId = sl.orderId;
|
|
392
|
+
}
|
|
393
|
+
catch (e) {
|
|
394
|
+
result.error = (result.error ?? '') + ` SL placement failed: ${e instanceof Error ? e.message : String(e)}`;
|
|
395
|
+
}
|
|
396
|
+
return result;
|
|
397
|
+
}
|
|
398
|
+
catch (err) {
|
|
399
|
+
result.status = 'error';
|
|
400
|
+
result.error = err instanceof Error ? err.message : String(err);
|
|
401
|
+
return result;
|
|
402
|
+
}
|
|
403
|
+
}
|
|
404
|
+
/** Monitor a bracket for completion (TP or SL hit), then cancel the other leg */
|
|
405
|
+
async monitor(result, symbol, tickMs = 5000, maxDurationMs = 24 * 60 * 60 * 1000) {
|
|
406
|
+
const deadline = Date.now() + maxDurationMs;
|
|
407
|
+
while (Date.now() < deadline && result.status === 'open') {
|
|
408
|
+
try {
|
|
409
|
+
const [tpStatus, slStatus] = await Promise.all([
|
|
410
|
+
result.takeProfitOrderId
|
|
411
|
+
? this.adapter.getOrderStatus(result.takeProfitOrderId, symbol)
|
|
412
|
+
: Promise.resolve(null),
|
|
413
|
+
result.stopLossOrderId
|
|
414
|
+
? this.adapter.getOrderStatus(result.stopLossOrderId, symbol)
|
|
415
|
+
: Promise.resolve(null),
|
|
416
|
+
]);
|
|
417
|
+
if (tpStatus?.status === 'filled') {
|
|
418
|
+
result.status = 'tp_hit';
|
|
419
|
+
if (result.stopLossOrderId) {
|
|
420
|
+
await this.adapter.cancelOrder(result.stopLossOrderId, symbol).catch(() => { });
|
|
421
|
+
}
|
|
422
|
+
break;
|
|
423
|
+
}
|
|
424
|
+
if (slStatus?.status === 'filled') {
|
|
425
|
+
result.status = 'sl_hit';
|
|
426
|
+
if (result.takeProfitOrderId) {
|
|
427
|
+
await this.adapter.cancelOrder(result.takeProfitOrderId, symbol).catch(() => { });
|
|
428
|
+
}
|
|
429
|
+
break;
|
|
430
|
+
}
|
|
431
|
+
}
|
|
432
|
+
catch { /* continue */ }
|
|
433
|
+
await sleep(tickMs);
|
|
434
|
+
}
|
|
435
|
+
if (result.status === 'open')
|
|
436
|
+
result.status = 'cancelled';
|
|
437
|
+
return result;
|
|
438
|
+
}
|
|
439
|
+
}
|
|
440
|
+
exports.BracketOrchestrator = BracketOrchestrator;
|
|
441
|
+
//# sourceMappingURL=index.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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BAAiB,GAAG,EAAE,CAAC,OAAO,CAAC;YACvC,CAAC;YAAC,OAAO,CAAC,EAAE,CAAC;gBACZ,MAAM,CAAC,KAAK,GAAG,wBAAwB,CAAC,YAAY,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC;YACrF,CAAC;YAED,cAAc;YACd,IAAI,CAAC;gBACJ,MAAM,EAAE,GAAG,MAAM,IAAI,CAAC,OAAO,CAAC,UAAU,CAAC;oBACxC,MAAM,EAAE,MAAM,CAAC,MAAM,EAAE,IAAI,EAAE,SAAS;oBACtC,IAAI,EAAE,aAAa,EAAE,SAAS,EAAE,MAAM,CAAC,aAAa;oBACpD,QAAQ,EAAE,SAAS,EAAE,UAAU,EAAE,IAAI;iBACrC,CAAC,CAAC;gBACH,MAAM,CAAC,eAAe,GAAG,EAAE,CAAC,OAAO,CAAC;YACrC,CAAC;YAAC,OAAO,CAAC,EAAE,CAAC;gBACZ,MAAM,CAAC,KAAK,GAAG,CAAC,MAAM,CAAC,KAAK,IAAI,EAAE,CAAC,GAAG,yBAAyB,CAAC,YAAY,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC;YAC7G,CAAC;YAED,OAAO,MAAM,CAAC;QACf,CAAC;QAAC,OAAO,GAAG,EAAE,CAAC;YACd,MAAM,CAAC,MAAM,GAAG,OAAO,CAAC;YACxB,MAAM,CAAC,KAAK,GAAG,GAAG,YAAY,KAAK,CAAC,CAAC,CAAC,GAAG,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC;YAChE,OAAO,MAAM,CAAC;QACf,CAAC;IACF,CAAC;IAED,iFAAiF;IACjF,KAAK,CAAC,OAAO,CACZ,MAAqB,EACrB,MAAc,EACd,MAAM,GAAG,IAAI,EACb,aAAa,GAAG,EAAE,GAAG,EAAE,GAAG,EAAE,GAAG,IAAI;QAEnC,MAAM,QAAQ,GAAG,IAAI,CAAC,GAAG,EAAE,GAAG,aAAa,CAAC;QAE5C,OAAO,IAAI,CAAC,GAAG,EAAE,GAAG,QAAQ,IAAI,MAAM,CAAC,MAAM,KAAK,MAAM,EAAE,CAAC;YAC1D,IAAI,CAAC;gBACJ,MAAM,CAAC,QAAQ,EAAE,QAAQ,CAAC,GAAG,MAAM,OAAO,CAAC,GAAG,CAAC;oBAC9C,MAAM,CAAC,iBAAiB;wBACvB,CAAC,CAAC,IAAI,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,CAAC,iBAAiB,EAAE,MAAM,CAAC;wBAC/D,CAAC,CAAC,OAAO,CAAC,OAAO,CAAC,IAAI,CAAC;oBACxB,MAAM,CAAC,eAAe;wBACrB,CAAC,CAAC,IAAI,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,CAAC,eAAe,EAAE,MAAM,CAAC;wBAC7D,CAAC,CAAC,OAAO,CAAC,OAAO,CAAC,IAAI,CAAC;iBACxB,CAAC,CAAC;gBAEH,IAAI,QAAQ,EAAE,MAAM,KAAK,QAAQ,EAAE,CAAC;oBACnC,MAAM,CAAC,MAAM,GAAG,QAAQ,CAAC;oBACzB,IAAI,MAAM,CAAC,eAAe,EAAE,CAAC;wBAC5B,MAAM,IAAI,CAAC,OAAO,CAAC,WAAW,CAAC,MAAM,CAAC,eAAe,EAAE,MAAM,CAAC,CAAC,KAAK,CAAC,GAAG,EAAE,GAAO,CAAC,CAAC,CAAC;oBACrF,CAAC;oBACD,MAAM;gBACP,CAAC;gBAED,IAAI,QAAQ,EAAE,MAAM,KAAK,QAAQ,EAAE,CAAC;oBACnC,MAAM,CAAC,MAAM,GAAG,QAAQ,CAAC;oBACzB,IAAI,MAAM,CAAC,iBAAiB,EAAE,CAAC;wBAC9B,MAAM,IAAI,CAAC,OAAO,CAAC,WAAW,CAAC,MAAM,CAAC,iBAAiB,EAAE,MAAM,CAAC,CAAC,KAAK,CAAC,GAAG,EAAE,GAAO,CAAC,CAAC,CAAC;oBACvF,CAAC;oBACD,MAAM;gBACP,CAAC;YACF,CAAC;YAAC,MAAM,CAAC,CAAC,cAAc,CAAC,CAAC;YAE1B,MAAM,KAAK,CAAC,MAAM,CAAC,CAAC;QACrB,CAAC;QAED,IAAI,MAAM,CAAC,MAAM,KAAK,MAAM;YAAE,MAAM,CAAC,MAAM,GAAG,WAAW,CAAC;QAC1D,OAAO,MAAM,CAAC;IACf,CAAC;CACD;AAnHD,kDAmHC"}
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@@ -0,0 +1,44 @@
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1
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+
/**
|
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2
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+
* Circuit Breaker — Per-exchange resilience guard
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3
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+
*
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4
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+
* States:
|
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5
|
+
* closed → normal operation, count consecutive failures
|
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6
|
+
* open → reject all calls, start recovery timer
|
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7
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+
* half_open → allow limited test calls after recovery timeout
|
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8
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+
*
|
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9
|
+
* Transitions:
|
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10
|
+
* closed --(failures >= threshold)--> open
|
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11
|
+
* open --(timeout expires)--> half_open
|
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12
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+
* half_open --(any failure)--> open
|
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13
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+
* half_open --(successes >= halfOpenMaxCalls)--> closed
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14
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+
*/
|
|
15
|
+
export type CircuitState = 'closed' | 'open' | 'half_open';
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16
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+
export interface CircuitBreakerConfig {
|
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17
|
+
/** Consecutive failures before opening (default: 5) */
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18
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+
failureThreshold: number;
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19
|
+
/** Milliseconds to wait before attempting recovery (default: 30_000) */
|
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20
|
+
recoveryTimeoutMs: number;
|
|
21
|
+
/** Max test calls in half-open state before closing (default: 3) */
|
|
22
|
+
halfOpenMaxCalls: number;
|
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23
|
+
}
|
|
24
|
+
export declare class CircuitBreaker {
|
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25
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+
private state;
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26
|
+
private failureCount;
|
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27
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+
private successCount;
|
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28
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+
private lastFailureTime;
|
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29
|
+
private config;
|
|
30
|
+
constructor(config?: Partial<CircuitBreakerConfig>);
|
|
31
|
+
/** Returns true if the call should be allowed through */
|
|
32
|
+
canExecute(): boolean;
|
|
33
|
+
recordSuccess(): void;
|
|
34
|
+
recordFailure(): void;
|
|
35
|
+
getState(): CircuitState;
|
|
36
|
+
getMetrics(): {
|
|
37
|
+
state: CircuitState;
|
|
38
|
+
failureCount: number;
|
|
39
|
+
successCount: number;
|
|
40
|
+
lastFailureTime: number;
|
|
41
|
+
};
|
|
42
|
+
private transitionTo;
|
|
43
|
+
}
|
|
44
|
+
//# sourceMappingURL=circuit-breaker.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"circuit-breaker.d.ts","sourceRoot":"","sources":["../../../../src/exchange/v2/executor/circuit-breaker.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;GAaG;AAEH,MAAM,MAAM,YAAY,GAAG,QAAQ,GAAG,MAAM,GAAG,WAAW,CAAA;AAE1D,MAAM,WAAW,oBAAoB;IACpC,uDAAuD;IACvD,gBAAgB,EAAE,MAAM,CAAA;IACxB,wEAAwE;IACxE,iBAAiB,EAAE,MAAM,CAAA;IACzB,oEAAoE;IACpE,gBAAgB,EAAE,MAAM,CAAA;CACxB;AAQD,qBAAa,cAAc;IAC1B,OAAO,CAAC,KAAK,CAAyB;IACtC,OAAO,CAAC,YAAY,CAAI;IACxB,OAAO,CAAC,YAAY,CAAI;IACxB,OAAO,CAAC,eAAe,CAAI;IAC3B,OAAO,CAAC,MAAM,CAAsB;gBAExB,MAAM,CAAC,EAAE,OAAO,CAAC,oBAAoB,CAAC;IAIlD,yDAAyD;IACzD,UAAU,IAAI,OAAO;IAiBrB,aAAa,IAAI,IAAI;IAWrB,aAAa,IAAI,IAAI;IAgBrB,QAAQ,IAAI,YAAY;IAIxB,UAAU,IAAI;QAAE,KAAK,EAAE,YAAY,CAAC;QAAC,YAAY,EAAE,MAAM,CAAC;QAAC,YAAY,EAAE,MAAM,CAAC;QAAC,eAAe,EAAE,MAAM,CAAA;KAAE;IAS1G,OAAO,CAAC,YAAY;CAKpB"}
|
|
@@ -0,0 +1,90 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
/**
|
|
3
|
+
* Circuit Breaker — Per-exchange resilience guard
|
|
4
|
+
*
|
|
5
|
+
* States:
|
|
6
|
+
* closed → normal operation, count consecutive failures
|
|
7
|
+
* open → reject all calls, start recovery timer
|
|
8
|
+
* half_open → allow limited test calls after recovery timeout
|
|
9
|
+
*
|
|
10
|
+
* Transitions:
|
|
11
|
+
* closed --(failures >= threshold)--> open
|
|
12
|
+
* open --(timeout expires)--> half_open
|
|
13
|
+
* half_open --(any failure)--> open
|
|
14
|
+
* half_open --(successes >= halfOpenMaxCalls)--> closed
|
|
15
|
+
*/
|
|
16
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
17
|
+
exports.CircuitBreaker = void 0;
|
|
18
|
+
const DEFAULT_CONFIG = {
|
|
19
|
+
failureThreshold: 5,
|
|
20
|
+
recoveryTimeoutMs: 30_000,
|
|
21
|
+
halfOpenMaxCalls: 3,
|
|
22
|
+
};
|
|
23
|
+
class CircuitBreaker {
|
|
24
|
+
state = 'closed';
|
|
25
|
+
failureCount = 0;
|
|
26
|
+
successCount = 0;
|
|
27
|
+
lastFailureTime = 0;
|
|
28
|
+
config;
|
|
29
|
+
constructor(config) {
|
|
30
|
+
this.config = { ...DEFAULT_CONFIG, ...config };
|
|
31
|
+
}
|
|
32
|
+
/** Returns true if the call should be allowed through */
|
|
33
|
+
canExecute() {
|
|
34
|
+
if (this.state === 'closed')
|
|
35
|
+
return true;
|
|
36
|
+
if (this.state === 'open') {
|
|
37
|
+
const elapsed = Date.now() - this.lastFailureTime;
|
|
38
|
+
if (elapsed >= this.config.recoveryTimeoutMs) {
|
|
39
|
+
this.state = 'half_open';
|
|
40
|
+
this.successCount = 0;
|
|
41
|
+
return true;
|
|
42
|
+
}
|
|
43
|
+
return false;
|
|
44
|
+
}
|
|
45
|
+
// half_open
|
|
46
|
+
return this.successCount < this.config.halfOpenMaxCalls;
|
|
47
|
+
}
|
|
48
|
+
recordSuccess() {
|
|
49
|
+
if (this.state === 'half_open') {
|
|
50
|
+
this.successCount++;
|
|
51
|
+
if (this.successCount >= this.config.halfOpenMaxCalls) {
|
|
52
|
+
this.transitionTo('closed');
|
|
53
|
+
}
|
|
54
|
+
}
|
|
55
|
+
else if (this.state === 'closed') {
|
|
56
|
+
this.failureCount = 0;
|
|
57
|
+
}
|
|
58
|
+
}
|
|
59
|
+
recordFailure() {
|
|
60
|
+
this.lastFailureTime = Date.now();
|
|
61
|
+
if (this.state === 'half_open') {
|
|
62
|
+
this.transitionTo('open');
|
|
63
|
+
return;
|
|
64
|
+
}
|
|
65
|
+
if (this.state === 'closed') {
|
|
66
|
+
this.failureCount++;
|
|
67
|
+
if (this.failureCount >= this.config.failureThreshold) {
|
|
68
|
+
this.transitionTo('open');
|
|
69
|
+
}
|
|
70
|
+
}
|
|
71
|
+
}
|
|
72
|
+
getState() {
|
|
73
|
+
return this.state;
|
|
74
|
+
}
|
|
75
|
+
getMetrics() {
|
|
76
|
+
return {
|
|
77
|
+
state: this.state,
|
|
78
|
+
failureCount: this.failureCount,
|
|
79
|
+
successCount: this.successCount,
|
|
80
|
+
lastFailureTime: this.lastFailureTime,
|
|
81
|
+
};
|
|
82
|
+
}
|
|
83
|
+
transitionTo(newState) {
|
|
84
|
+
this.state = newState;
|
|
85
|
+
this.failureCount = 0;
|
|
86
|
+
this.successCount = 0;
|
|
87
|
+
}
|
|
88
|
+
}
|
|
89
|
+
exports.CircuitBreaker = CircuitBreaker;
|
|
90
|
+
//# sourceMappingURL=circuit-breaker.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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|