@clonegod/ttd-core 3.1.77 → 3.1.78

package/dist/quote/depth_tier.d.ts

@@ -39,3 +39,9 @@ export interface OrderbookEntry {
 export declare function toOrderbookEntry(q: QuoteEntry): OrderbookEntry;
 export declare const DEFAULT_TIER_PCT = 0.2;
 export declare function getDepthPricePctLevels(): number[];
+export declare function assertTierPriceInvariant(poolName: string, side: 'ASK' | 'BID', tiers: Array<{
+    pct: number;
+    price: number;
+    amount: number;
+    amount_in: number;
+}>, log_warn?: (msg: string) => void): void;

package/dist/quote/depth_tier.js

@@ -3,6 +3,7 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.DEFAULT_TIER_PCT = void 0;
 exports.toOrderbookEntry = toOrderbookEntry;
 exports.getDepthPricePctLevels = getDepthPricePctLevels;
+exports.assertTierPriceInvariant = assertTierPriceInvariant;
 function toOrderbookEntry(q) {
     return {
         price: q.price,
@@ -34,3 +35,34 @@ function getDepthPricePctLevels() {
     _pctLevelsCache = levels;
     return levels;
 }
+const _tierInvariantLastWarn = new Map();
+function assertTierPriceInvariant(poolName, side, tiers, log_warn) {
+    if (!tiers || tiers.length === 0)
+        return;
+    const TOL_REL = 0.0001;
+    for (const t of tiers) {
+        if (!(t.price > 0) || !(t.amount > 0) || !(t.amount_in > 0))
+            continue;
+        const expected = side === 'ASK'
+            ? t.amount_in / t.amount
+            : t.amount / t.amount_in;
+        if (expected <= 0)
+            continue;
+        const relDiff = Math.abs(t.price - expected) / expected;
+        if (relDiff > TOL_REL) {
+            const key = `${poolName}_${side}_${t.pct}`;
+            const now = Date.now();
+            if ((now - (_tierInvariantLastWarn.get(key) || 0)) < 60000)
+                return;
+            _tierInvariantLastWarn.set(key, now);
+            const msg = `[tier-invariant] ${poolName} ${side} pct=${t.pct} price=${t.price.toFixed(10)} ` +
+                `≠ expected ${expected.toFixed(10)} (relDiff=${(relDiff * 10000).toFixed(2)}bps, amount_in=${t.amount_in}, amount=${t.amount}) ` +
+                `— check tier.price formula! Must be effective avg price including fee`;
+            if (log_warn)
+                log_warn(msg);
+            else
+                console.warn(msg);
+            return;
+        }
+    }
+}

package/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@clonegod/ttd-core",
-    "version": "3.1.77",
+    "version": "3.1.78",
     "description": "Common types and utilities for trading systems - use `npm run push` to publish",
     "main": "dist/index.js",
     "types": "dist/index.d.ts",