@3rd-eye-labs/openmm 0.0.1 → 0.1.0

package/dist/strategies/grid/grid-calculator.js

@@ -2,32 +2,207 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.GridCalculator = void 0;
 class GridCalculator {
-    calculateGridLevels(centerPrice, spacing, levels) {
-        const gridLevels = [];
+    /**
+     * Generate a complete dynamic grid based on DynamicGridConfig.
+     * This is the main entry point for dynamic order level generation.
+     *
+     * @param centerPrice - Current mid-market price to build grid around
+     * @param config - Dynamic grid configuration (spacing model, size model, etc.)
+     * @param availableBalance - Available balance in quote currency for sizing
+     * @param minOrderValue - Minimum order value enforced by the exchange
+     * @returns Array of GridLevel with calculated prices and order sizes
+     */
+    generateDynamicGrid(centerPrice, config, availableBalance, minOrderValue) {
+        this.validateConfig(config);
+        const volatilityMultiplier = config.volatilityMultiplier ?? 1.0;
+        const spacings = this.calculateSpacings(config.levels, config.spacingModel, config.baseSpacing, volatilityMultiplier, config.spacingFactor, config.customSpacings);
+        const weights = this.calculateSizeWeights(config.levels, config.sizeModel, config.sizeWeights);
+        const gridLevels = this.buildGridLevels(centerPrice, spacings);
+        return this.assignDynamicOrderSizes(gridLevels, weights, config.baseSize, availableBalance, minOrderValue);
+    }
+    /**
+     * Calculate cumulative spacing offsets for each level.
+     * Returns an array where spacings[i] is the total offset from center for level i+1.
+     *
+     * For linear: [s, 2s, 3s, ...] (equal increments)
+     * For geometric: [s, s*f, s*f^2, ...] (each level multiplied by factor)
+     * For custom: user-provided cumulative offsets
+     */
+    calculateSpacings(levels, model, baseSpacing, volatilityMultiplier = 1.0, spacingFactor, customSpacings) {
+        let spacings;
+        switch (model) {
+            case 'linear':
+                spacings = this.calculateLinearSpacings(levels, baseSpacing);
+                break;
+            case 'geometric':
+                spacings = this.calculateGeometricSpacings(levels, baseSpacing, spacingFactor ?? 1.3);
+                break;
+            case 'custom':
+                if (!customSpacings || customSpacings.length !== levels) {
+                    throw new Error(`Custom spacing model requires exactly ${levels} spacing values, got ${customSpacings?.length ?? 0}`);
+                }
+                spacings = [...customSpacings];
+                break;
+            default:
+                throw new Error(`Unsupported spacing model: ${model}`);
+        }
+        if (volatilityMultiplier !== 1.0) {
+            spacings = spacings.map(s => s * volatilityMultiplier);
+        }
+        return spacings;
+    }
+    /**
+     * Linear spacing: equal distance between each level.
+     * Level 1 = baseSpacing, Level 2 = 2 * baseSpacing, etc.
+     */
+    calculateLinearSpacings(levels, baseSpacing) {
+        const spacings = [];
         for (let i = 1; i <= levels; i++) {
-            const buyPrice = centerPrice * (1 - spacing * i);
-            const sellPrice = centerPrice * (1 + spacing * i);
+            spacings.push(baseSpacing * i);
+        }
+        return spacings;
+    }
+    /**
+     * Geometric spacing: each level's individual gap is multiplied by spacingFactor.
+     * Level 1 gap = baseSpacing
+     * Level 2 gap = baseSpacing * factor
+     * Level 3 gap = baseSpacing * factor^2
+     * Cumulative offsets are the running sum of these gaps.
+     *
+     * Example with baseSpacing=0.005, factor=1.5:
+     *   Gaps:    [0.5%, 0.75%, 1.125%, 1.6875%]
+     *   Cumul:   [0.5%, 1.25%, 2.375%, 4.0625%]
+     */
+    calculateGeometricSpacings(levels, baseSpacing, spacingFactor) {
+        const spacings = [];
+        let cumulative = 0;
+        for (let i = 0; i < levels; i++) {
+            const gap = baseSpacing * Math.pow(spacingFactor, i);
+            cumulative += gap;
+            spacings.push(cumulative);
+        }
+        return spacings;
+    }
+    /**
+     * Calculate size weight multipliers for each level.
+     *
+     * - flat: all weights = 1.0 (equal sizing)
+     * - pyramidal: weights decrease from center outward (level 1 gets most, level N gets least)
+     * - custom: user-provided weight multipliers
+     */
+    calculateSizeWeights(levels, model, customWeights) {
+        switch (model) {
+            case 'flat':
+                return new Array(levels).fill(1.0);
+            case 'pyramidal': {
+                // Weights decrease linearly: level 1 = levels, level 2 = levels-1, ..., level N = 1
+                // Then normalize so they sum to `levels` (preserving total capital allocation)
+                const rawWeights = [];
+                for (let i = 0; i < levels; i++) {
+                    rawWeights.push(levels - i);
+                }
+                const sum = rawWeights.reduce((a, b) => a + b, 0);
+                const normFactor = levels / sum;
+                return rawWeights.map(w => w * normFactor);
+            }
+            case 'custom':
+                if (!customWeights || customWeights.length !== levels) {
+                    throw new Error(`Custom size model requires exactly ${levels} weight values, got ${customWeights?.length ?? 0}`);
+                }
+                return [...customWeights];
+            default:
+                throw new Error(`Unsupported size model: ${model}`);
+        }
+    }
+    /**
+     * Build grid levels from center price and spacing offsets.
+     * Creates both buy (below center) and sell (above center) levels.
+     */
+    buildGridLevels(centerPrice, spacings) {
+        const gridLevels = [];
+        for (const spacing of spacings) {
             gridLevels.push({
-                price: buyPrice,
+                price: centerPrice * (1 - spacing),
                 side: 'buy',
-                orderSize: 0
+                orderSize: 0,
             });
             gridLevels.push({
-                price: sellPrice,
+                price: centerPrice * (1 + spacing),
                 side: 'sell',
-                orderSize: 0
+                orderSize: 0,
             });
         }
         return gridLevels;
     }
-    calculateOrderSizes(availableBalance, levels) {
-        return (availableBalance * 0.8) / (levels * 2);
+    /**
+     * Assign order sizes to grid levels using weight multipliers.
+     *
+     * The baseSize is the per-level order size in quote currency.
+     * Weights scale individual levels relative to baseSize.
+     * Total allocation is capped at 80% of available balance.
+     */
+    assignDynamicOrderSizes(gridLevels, weights, baseSize, availableBalance, minOrderValue) {
+        // Total desired allocation = sum of (baseSize * weight) for each side
+        const totalWeightedSize = weights.reduce((sum, w) => sum + w, 0) * baseSize * 2; // *2 for buy+sell
+        const maxAllocation = availableBalance * 0.8;
+        // Scale factor to ensure we don't exceed available balance
+        const scaleFactor = totalWeightedSize > maxAllocation ? maxAllocation / totalWeightedSize : 1.0;
+        return gridLevels.map((level, index) => {
+            const weightIndex = Math.floor(index / 2);
+            const weight = weights[weightIndex];
+            const sizeInQuote = baseSize * weight * scaleFactor;
+            const effectiveSize = minOrderValue ? Math.max(sizeInQuote, minOrderValue) : sizeInQuote;
+            return {
+                ...level,
+                orderSize: effectiveSize / level.price,
+            };
+        });
     }
-    assignOrderSizes(gridLevels, orderSize) {
-        return gridLevels.map(level => ({
-            ...level,
-            orderSize
-        }));
+    /**
+     * Validate dynamic grid configuration
+     */
+    validateConfig(config) {
+        if (config.levels < 1 || config.levels > 10) {
+            throw new Error(`Grid levels must be between 1 and 10, got ${config.levels}`);
+        }
+        if (config.baseSpacing <= 0 || config.baseSpacing >= 1) {
+            throw new Error(`Base spacing must be between 0 and 1 (exclusive), got ${config.baseSpacing}`);
+        }
+        if (config.baseSize <= 0) {
+            throw new Error(`Base size must be positive, got ${config.baseSize}`);
+        }
+        if (config.spacingModel === 'geometric') {
+            const factor = config.spacingFactor ?? 1.3;
+            if (factor <= 0) {
+                throw new Error(`Spacing factor must be positive, got ${factor}`);
+            }
+        }
+        if (config.spacingModel === 'custom') {
+            if (!config.customSpacings || config.customSpacings.length !== config.levels) {
+                throw new Error(`Custom spacing model requires exactly ${config.levels} spacing values`);
+            }
+            for (let i = 0; i < config.customSpacings.length; i++) {
+                if (config.customSpacings[i] <= 0) {
+                    throw new Error(`Custom spacing at index ${i} must be positive`);
+                }
+                if (i > 0 && config.customSpacings[i] <= config.customSpacings[i - 1]) {
+                    throw new Error(`Custom spacings must be in increasing order`);
+                }
+            }
+        }
+        if (config.sizeModel === 'custom') {
+            if (!config.sizeWeights || config.sizeWeights.length !== config.levels) {
+                throw new Error(`Custom size model requires exactly ${config.levels} weight values`);
+            }
+            for (let i = 0; i < config.sizeWeights.length; i++) {
+                if (config.sizeWeights[i] <= 0) {
+                    throw new Error(`Size weight at index ${i} must be positive`);
+                }
+            }
+        }
+        if (config.volatilityMultiplier !== undefined && config.volatilityMultiplier <= 0) {
+            throw new Error(`Volatility multiplier must be positive, got ${config.volatilityMultiplier}`);
+        }
     }
 }
 exports.GridCalculator = GridCalculator;

package/dist/strategies/grid/grid-calculator.js.map

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package/dist/strategies/grid/grid-order-manager.d.ts

@@ -1,4 +1,4 @@
-import { Order, OrderSide, GridLevel, GridOrderManagerConfig } from '../../types';
+import { Order, OrderSide, GridLevel, GridOrderManagerConfig, DynamicGridConfig } from '../../types';
 export declare class GridOrderManager {
     private gridCalculator;
     private logger;
@@ -8,11 +8,16 @@ export declare class GridOrderManager {
     private lastAdjustmentTime;
     private currentGridCenter;
     constructor(config: GridOrderManagerConfig);
+    setCurrentGridCenter(price: number): void;
     placeInitialGrid(levels: GridLevel[], placeOrderFn: (side: OrderSide, amount: number, price: number) => Promise<Order>): Promise<Order[]>;
-    handleOrderFill(filledOrder: Order, currentPrice: number, gridSpacing: number, gridLevels: number, availableBalance: number, placeOrderFn: (side: OrderSide, amount: number, price: number) => Promise<Order>, cancelAllOrdersFn: (symbol: string) => Promise<void>): Promise<void>;
-    handlePriceDeviation(newPrice: number, gridSpacing: number, gridLevels: number, availableBalance: number, placeOrderFn: (side: OrderSide, amount: number, price: number) => Promise<Order>, cancelAllOrdersFn: (symbol: string) => Promise<void>, symbol: string): Promise<void>;
+    handleOrderFill(filledOrder: Order, currentPrice: number, availableBalance: number, placeOrderFn: (side: OrderSide, amount: number, price: number) => Promise<Order>, cancelAllOrdersFn: (symbol: string) => Promise<void>, dynamicGridConfig: DynamicGridConfig, minOrderValue?: number, cancelOrderFn?: (orderId: string, symbol: string) => Promise<void>): Promise<void>;
+    handlePriceDeviation(newPrice: number, availableBalance: number, placeOrderFn: (side: OrderSide, amount: number, price: number) => Promise<Order>, cancelAllOrdersFn: (symbol: string) => Promise<void>, symbol: string, dynamicGridConfig: DynamicGridConfig, minOrderValue?: number, cancelOrderFn?: (orderId: string, symbol: string) => Promise<void>): Promise<void>;
     private cancelAllOrders;
-    private recreateGridAtPrice;
+    /**
+     * Recreate the grid using the dynamic grid calculator.
+     * This replaces the old recreateGridAtPrice method with full dynamic support.
+     */
+    private recreateGrid;
     getActiveOrders(): Order[];
     /**
      * Check if grid adjustment is currently in progress

package/dist/strategies/grid/grid-order-manager.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"grid-order-manager.d.ts","sourceRoot":"","sources":["../../../src/strategies/grid/grid-order-manager.ts"],"names":[],"mappings":"AAAA,OAAO,EACL,KAAK,EACL,SAAS,EACT,SAAS,EACT,sBAAsB,EACtB,iBAAiB,EAClB,MAAM,aAAa,CAAC;AAIrB,qBAAa,gBAAgB;IAC3B,OAAO,CAAC,cAAc,CAAiB;IACvC,OAAO,CAAC,MAAM,CAAgC;IAC9C,OAAO,CAAC,MAAM,CAAyB;IACvC,OAAO,CAAC,YAAY,CAAe;IACnC,OAAO,CAAC,WAAW,CAAS;IAC5B,OAAO,CAAC,kBAAkB,CAAK;IAC/B,OAAO,CAAC,iBAAiB,CAAK;gBAElB,MAAM,EAAE,sBAAsB;IAK1C,oBAAoB,CAAC,KAAK,EAAE,MAAM,GAAG,IAAI;IAInC,gBAAgB,CACpB,MAAM,EAAE,SAAS,EAAE,EACnB,YAAY,EAAE,CAAC,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,KAAK,OAAO,CAAC,KAAK,CAAC,GAC/E,OAAO,CAAC,KAAK,EAAE,CAAC;IA6Bb,eAAe,CACnB,WAAW,EAAE,KAAK,EAClB,YAAY,EAAE,MAAM,EACpB,gBAAgB,EAAE,MAAM,EACxB,YAAY,EAAE,CAAC,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,KAAK,OAAO,CAAC,KAAK,CAAC,EAChF,iBAAiB,EAAE,CAAC,MAAM,EAAE,MAAM,KAAK,OAAO,CAAC,IAAI,CAAC,EACpD,iBAAiB,EAAE,iBAAiB,EACpC,aAAa,CAAC,EAAE,MAAM,EACtB,aAAa,CAAC,EAAE,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,KAAK,OAAO,CAAC,IAAI,CAAC,GACjE,OAAO,CAAC,IAAI,CAAC;IAyCV,oBAAoB,CACxB,QAAQ,EAAE,MAAM,EAChB,gBAAgB,EAAE,MAAM,EACxB,YAAY,EAAE,CAAC,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,KAAK,EAAE,MAAM,KAAK,OAAO,CAAC,KAAK,CAAC,EAChF,iBAAiB,EAAE,CAAC,MAAM,EAAE,MAAM,KAAK,OAAO,CAAC,IAAI,CAAC,EACpD,MAAM,EAAE,MAAM,EACd,iBAAiB,EAAE,iBAAiB,EACpC,aAAa,CAAC,EAAE,MAAM,EACtB,aAAa,CAAC,EAAE,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,KAAK,OAAO,CAAC,IAAI,CAAC,GACjE,OAAO,CAAC,IAAI,CAAC;YA8BF,eAAe;IAwD7B;;;OAGG;YACW,YAAY;IAkB1B,eAAe,IAAI,KAAK,EAAE;IAK1B;;;OAGG;IACH,oBAAoB,IAAI,OAAO;CAGhC"}

package/dist/strategies/grid/grid-order-manager.js

@@ -13,6 +13,9 @@ class GridOrderManager {
         this.config = config;
         this.gridCalculator = new grid_calculator_1.GridCalculator();
     }
+    setCurrentGridCenter(price) {
+        this.currentGridCenter = price;
+    }
     async placeInitialGrid(levels, placeOrderFn) {
         const orders = [];
         for (const level of levels) {
@@ -22,64 +25,104 @@ class GridOrderManager {
                 this.logger.info(`Placed ${level.side.toUpperCase()} order: ${level.orderSize.toFixed(3)} @ $${level.price.toFixed(6)}`, { orderId: order.id });
             }
             catch (error) {
-                this.logger.error(`Failed to place ${level.side} order at ${level.price}`, { error: error instanceof Error ? error.message : String(error) });
+                this.logger.error(`Failed to place ${level.side} order at ${level.price}`, {
+                    error: error instanceof Error ? error.message : String(error),
+                });
             }
         }
         this.activeOrders = orders;
         if (levels.length > 0) {
             const buyLevels = levels.filter(l => l.side === 'buy');
             const sellLevels = levels.filter(l => l.side === 'sell');
-            this.currentGridCenter = (Math.max(...buyLevels.map(l => l.price)) + Math.min(...sellLevels.map(l => l.price))) / 2;
+            this.currentGridCenter =
+                (Math.max(...buyLevels.map(l => l.price)) + Math.min(...sellLevels.map(l => l.price))) / 2;
         }
         return orders;
     }
-    async handleOrderFill(filledOrder, currentPrice, gridSpacing, gridLevels, availableBalance, placeOrderFn, cancelAllOrdersFn) {
+    async handleOrderFill(filledOrder, currentPrice, availableBalance, placeOrderFn, cancelAllOrdersFn, dynamicGridConfig, minOrderValue, cancelOrderFn) {
         this.logger.info(`Order FILLED: ${filledOrder.side.toUpperCase()} ${filledOrder.filled} @ $${filledOrder.price}`, { orderId: filledOrder.id });
         if (this.isAdjusting || Date.now() - this.lastAdjustmentTime < this.config.adjustmentDebounce) {
             return;
         }
         this.isAdjusting = true;
         this.lastAdjustmentTime = Date.now();
+        this.activeOrders = this.activeOrders.filter(o => o.id !== filledOrder.id);
         try {
-            await this.cancelAllOrders(cancelAllOrdersFn, filledOrder.symbol);
-            await this.recreateGridAtPrice(currentPrice, gridSpacing, gridLevels, availableBalance, placeOrderFn);
+            const cancelled = await this.cancelAllOrders(cancelAllOrdersFn, filledOrder.symbol, cancelOrderFn);
+            if (!cancelled) {
+                this.logger.error('❌ Order cancellation failed - aborting grid recreation to prevent duplicate orders');
+                return;
+            }
+            await this.recreateGrid(currentPrice, dynamicGridConfig, availableBalance, placeOrderFn, minOrderValue);
         }
         finally {
             this.isAdjusting = false;
         }
     }
-    async handlePriceDeviation(newPrice, gridSpacing, gridLevels, availableBalance, placeOrderFn, cancelAllOrdersFn, symbol) {
+    async handlePriceDeviation(newPrice, availableBalance, placeOrderFn, cancelAllOrdersFn, symbol, dynamicGridConfig, minOrderValue, cancelOrderFn) {
         const deviation = Math.abs(newPrice - this.currentGridCenter) / this.currentGridCenter;
         if (deviation > this.config.priceDeviationThreshold && !this.isAdjusting) {
             this.isAdjusting = true;
             this.lastAdjustmentTime = Date.now();
             try {
-                await this.cancelAllOrders(cancelAllOrdersFn, symbol);
-                await this.recreateGridAtPrice(newPrice, gridSpacing, gridLevels, availableBalance, placeOrderFn);
+                const cancelled = await this.cancelAllOrders(cancelAllOrdersFn, symbol, cancelOrderFn);
+                if (!cancelled) {
+                    this.logger.error('❌ Order cancellation failed - aborting grid recreation to prevent duplicate orders');
+                    return;
+                }
+                await this.recreateGrid(newPrice, dynamicGridConfig, availableBalance, placeOrderFn, minOrderValue);
             }
             finally {
                 this.isAdjusting = false;
             }
         }
     }
-    async cancelAllOrders(cancelAllOrdersFn, symbol) {
+    async cancelAllOrders(cancelAllOrdersFn, symbol, cancelOrderFn) {
         if (this.activeOrders.length === 0) {
-            return;
+            return true;
         }
         try {
             await cancelAllOrdersFn(symbol);
             this.activeOrders = [];
+            this.logger.info(`✅ Successfully cancelled all orders for ${symbol}`);
+            return true;
         }
         catch (error) {
             this.logger.warn(`⚠️ Bulk cancellation failed for ${symbol}, falling back to individual cancellation`, {
-                error: error instanceof Error ? error.message : String(error)
+                error: error instanceof Error ? error.message : String(error),
             });
+            if (!cancelOrderFn) {
+                this.logger.error('❌ Individual order cancellation not available - cannot recover from bulk cancellation failure');
+                return false;
+            }
+            const failedCancellations = [];
+            const ordersToCancel = [...this.activeOrders];
+            for (const order of ordersToCancel) {
+                try {
+                    await cancelOrderFn(order.id, order.symbol);
+                    this.activeOrders = this.activeOrders.filter(o => o.id !== order.id);
+                }
+                catch (cancelError) {
+                    this.logger.error(`Failed to cancel order ${order.id}:`, {
+                        error: cancelError instanceof Error ? cancelError.message : String(cancelError),
+                    });
+                    failedCancellations.push(order.id);
+                }
+            }
+            if (failedCancellations.length > 0) {
+                this.logger.error(`❌ Failed to cancel ${failedCancellations.length} orders. Aborting grid recreation.`);
+                return false;
+            }
+            this.activeOrders = [];
+            return true;
         }
     }
-    async recreateGridAtPrice(centerPrice, gridSpacing, gridLevels, availableBalance, placeOrderFn) {
-        const levels = this.gridCalculator.calculateGridLevels(centerPrice, gridSpacing, gridLevels);
-        const orderSize = this.gridCalculator.calculateOrderSizes(availableBalance, gridLevels);
-        const gridWithSizes = this.gridCalculator.assignOrderSizes(levels, orderSize);
+    /**
+     * Recreate the grid using the dynamic grid calculator.
+     * This replaces the old recreateGridAtPrice method with full dynamic support.
+     */
+    async recreateGrid(centerPrice, dynamicGridConfig, availableBalance, placeOrderFn, minOrderValue) {
+        const gridWithSizes = this.gridCalculator.generateDynamicGrid(centerPrice, dynamicGridConfig, availableBalance, minOrderValue);
         await this.placeInitialGrid(gridWithSizes, placeOrderFn);
         this.currentGridCenter = centerPrice;
     }

package/dist/strategies/grid/grid-order-manager.js.map

@@ -1 +1 @@
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+{"version":3,"file":"grid-order-manager.js","sourceRoot":"","sources":["../../../src/strategies/grid/grid-order-manager.ts"],"names":[],"mappings":";;;AAOA,uDAAmD;AACnD,uCAA2C;AAE3C,MAAa,gBAAgB;IAS3B,YAAY,MAA8B;QAPlC,WAAM,GAAG,IAAA,oBAAY,EAAC,cAAc,CAAC,CAAC;QAEtC,iBAAY,GAAY,EAAE,CAAC;QAC3B,gBAAW,GAAG,KAAK,CAAC;QACpB,uBAAkB,GAAG,CAAC,CAAC;QACvB,sBAAiB,GAAG,CAAC,CAAC;QAG5B,IAAI,CAAC,MAAM,GAAG,MAAM,CAAC;QACrB,IAAI,CAAC,cAAc,GAAG,IAAI,gCAAc,EAAE,CAAC;IAC7C,CAAC;IAED,oBAAoB,CAAC,KAAa;QAChC,IAAI,CAAC,iBAAiB,GAAG,KAAK,CAAC;IACjC,CAAC;IAED,KAAK,CAAC,gBAAgB,CACpB,MAAmB,EACnB,YAAgF;QAEhF,MAAM,MAAM,GAAY,EAAE,CAAC;QAE3B,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE,CAAC;YAC3B,IAAI,CAAC;gBACH,MAAM,KAAK,GAAG,MAAM,YAAY,CAAC,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,EAAE,KAAK,CAAC,KAAK,CAAC,CAAC;gBAC3E,MAAM,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;gBACnB,IAAI,CAAC,MAAM,CAAC,IAAI,CACd,UAAU,KAAK,CAAC,IAAI,CAAC,WAAW,EAAE,WAAW,KAAK,CAAC,SAAS,CAAC,OAAO,CAAC,CAAC,CAAC,OAAO,KAAK,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EACtG,EAAE,OAAO,EAAE,KAAK,CAAC,EAAE,EAAE,CACtB,CAAC;YACJ,CAAC;YAAC,OAAO,KAAK,EAAE,CAAC;gBACf,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,mBAAmB,KAAK,CAAC,IAAI,aAAa,KAAK,CAAC,KAAK,EAAE,EAAE;oBACzE,KAAK,EAAE,KAAK,YAAY,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC;iBAC9D,CAAC,CAAC;YACL,CAAC;QACH,CAAC;QAED,IAAI,CAAC,YAAY,GAAG,MAAM,CAAC;QAC3B,IAAI,MAAM,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACtB,MAAM,SAAS,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,KAAK,CAAC,CAAC;YACvD,MAAM,UAAU,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,KAAK,MAAM,CAAC,CAAC;YACzD,IAAI,CAAC,iBAAiB;gBACpB,CAAC,IAAI,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,GAAG,UAAU,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC;QAC/F,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;IAED,KAAK,CAAC,eAAe,CACnB,WAAkB,EAClB,YAAoB,EACpB,gBAAwB,EACxB,YAAgF,EAChF,iBAAoD,EACpD,iBAAoC,EACpC,aAAsB,EACtB,aAAkE;QAElE,IAAI,CAAC,MAAM,CAAC,IAAI,CACd,iBAAiB,WAAW,CAAC,IAAI,CAAC,WAAW,EAAE,IAAI,WAAW,CAAC,MAAM,OAAO,WAAW,CAAC,KAAK,EAAE,EAC/F,EAAE,OAAO,EAAE,WAAW,CAAC,EAAE,EAAE,CAC5B,CAAC;QAEF,IAAI,IAAI,CAAC,WAAW,IAAI,IAAI,CAAC,GAAG,EAAE,GAAG,IAAI,CAAC,kBAAkB,GAAG,IAAI,CAAC,MAAM,CAAC,kBAAkB,EAAE,CAAC;YAC9F,OAAO;QACT,CAAC;QAED,IAAI,CAAC,WAAW,GAAG,IAAI,CAAC;QACxB,IAAI,CAAC,kBAAkB,GAAG,IAAI,CAAC,GAAG,EAAE,CAAC;QAErC,IAAI,CAAC,YAAY,GAAG,IAAI,CAAC,YAAY,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,KAAK,WAAW,CAAC,EAAE,CAAC,CAAC;QAE3E,IAAI,CAAC;YACH,MAAM,SAAS,GAAG,MAAM,IAAI,CAAC,eAAe,CAC1C,iBAAiB,EACjB,WAAW,CAAC,MAAM,EAClB,aAAa,CACd,CAAC;YAEF,IAAI,CAAC,SAAS,EAAE,CAAC;gBACf,IAAI,CAAC,MAAM,CAAC,KAAK,CACf,oFAAoF,CACrF,CAAC;gBACF,OAAO;YACT,CAAC;YAED,MAAM,IAAI,CAAC,YAAY,CACrB,YAAY,EACZ,iBAAiB,EACjB,gBAAgB,EAChB,YAAY,EACZ,aAAa,CACd,CAAC;QACJ,CAAC;gBAAS,CAAC;YACT,IAAI,CAAC,WAAW,GAAG,KAAK,CAAC;QAC3B,CAAC;IACH,CAAC;IAED,KAAK,CAAC,oBAAoB,CACxB,QAAgB,EAChB,gBAAwB,EACxB,YAAgF,EAChF,iBAAoD,EACpD,MAAc,EACd,iBAAoC,EACpC,aAAsB,EACtB,aAAkE;QAElE,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,QAAQ,GAAG,IAAI,CAAC,iBAAiB,CAAC,GAAG,IAAI,CAAC,iBAAiB,CAAC;QAEvF,IAAI,SAAS,GAAG,IAAI,CAAC,MAAM,CAAC,uBAAuB,IAAI,CAAC,IAAI,CAAC,WAAW,EAAE,CAAC;YACzE,IAAI,CAAC,WAAW,GAAG,IAAI,CAAC;YACxB,IAAI,CAAC,kBAAkB,GAAG,IAAI,CAAC,GAAG,EAAE,CAAC;YAErC,IAAI,CAAC;gBACH,MAAM,SAAS,GAAG,MAAM,IAAI,CAAC,eAAe,CAAC,iBAAiB,EAAE,MAAM,EAAE,aAAa,CAAC,CAAC;gBAEvF,IAAI,CAAC,SAAS,EAAE,CAAC;oBACf,IAAI,CAAC,MAAM,CAAC,KAAK,CACf,oFAAoF,CACrF,CAAC;oBACF,OAAO;gBACT,CAAC;gBAED,MAAM,IAAI,CAAC,YAAY,CACrB,QAAQ,EACR,iBAAiB,EACjB,gBAAgB,EAChB,YAAY,EACZ,aAAa,CACd,CAAC;YACJ,CAAC;oBAAS,CAAC;gBACT,IAAI,CAAC,WAAW,GAAG,KAAK,CAAC;YAC3B,CAAC;QACH,CAAC;IACH,CAAC;IAEO,KAAK,CAAC,eAAe,CAC3B,iBAAoD,EACpD,MAAc,EACd,aAAkE;QAElE,IAAI,IAAI,CAAC,YAAY,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;YACnC,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,CAAC;YACH,MAAM,iBAAiB,CAAC,MAAM,CAAC,CAAC;YAChC,IAAI,CAAC,YAAY,GAAG,EAAE,CAAC;YACvB,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,2CAA2C,MAAM,EAAE,CAAC,CAAC;YACtE,OAAO,IAAI,CAAC;QACd,CAAC;QAAC,OAAO,KAAK,EAAE,CAAC;YACf,IAAI,CAAC,MAAM,CAAC,IAAI,CACd,mCAAmC,MAAM,2CAA2C,EACpF;gBACE,KAAK,EAAE,KAAK,YAAY,KAAK,CAAC,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC;aAC9D,CACF,CAAC;YAEF,IAAI,CAAC,aAAa,EAAE,CAAC;gBACnB,IAAI,CAAC,MAAM,CAAC,KAAK,CACf,+FAA+F,CAChG,CAAC;gBACF,OAAO,KAAK,CAAC;YACf,CAAC;YAED,MAAM,mBAAmB,GAAa,EAAE,CAAC;YACzC,MAAM,cAAc,GAAG,CAAC,GAAG,IAAI,CAAC,YAAY,CAAC,CAAC;YAE9C,KAAK,MAAM,KAAK,IAAI,cAAc,EAAE,CAAC;gBACnC,IAAI,CAAC;oBACH,MAAM,aAAa,CAAC,KAAK,CAAC,EAAE,EAAE,KAAK,CAAC,MAAM,CAAC,CAAC;oBAC5C,IAAI,CAAC,YAAY,GAAG,IAAI,CAAC,YAAY,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,EAAE,KAAK,KAAK,CAAC,EAAE,CAAC,CAAC;gBACvE,CAAC;gBAAC,OAAO,WAAW,EAAE,CAAC;oBACrB,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,0BAA0B,KAAK,CAAC,EAAE,GAAG,EAAE;wBACvD,KAAK,EAAE,WAAW,YAAY,KAAK,CAAC,CAAC,CAAC,WAAW,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,WAAW,CAAC;qBAChF,CAAC,CAAC;oBACH,mBAAmB,CAAC,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC;gBACrC,CAAC;YACH,CAAC;YAED,IAAI,mBAAmB,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;gBACnC,IAAI,CAAC,MAAM,CAAC,KAAK,CACf,sBAAsB,mBA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package/dist/strategies/grid/grid-strategy.d.ts

@@ -8,6 +8,7 @@ export declare class GridStrategy extends BaseStrategy {
     private calculator;
     private exchangeConnector?;
     private gridConfig?;
+    private volatilityTracker?;
     private priceUpdateInterval?;
     private logger;
     constructor(id: string);
@@ -19,7 +20,17 @@ export declare class GridStrategy extends BaseStrategy {
     onOrderUpdate(order: Order): Promise<void>;
     setExchangeConnector(connector: BaseExchangeConnector): void;
     setRiskConfig(riskConfig: RiskManagerConfig): void;
+    /**
+     * Get the DynamicGridConfig from the current gridConfig.
+     * dynamicGrid is always set by the StrategyFactory.
+     */
+    private getDynamicGridConfig;
+    /**
+     * Log the active grid configuration for visibility
+     */
+    private logGridConfiguration;
     private placeOrder;
+    private cancelOrder;
     private cancelAllOrders;
     private getAvailableBalance;
     private getSymbol;

package/dist/strategies/grid/grid-strategy.d.ts.map

@@ -1 +1 @@
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