@gbozee/ultimate 0.0.2-next.71 → 0.0.2-next.73

package/dist/index.cjs

@@ -72035,15 +72035,20 @@ class BaseExchange {
       });
     }
   }
+  async previewSpotMarginHedge(_payload) {
+    throw new Error("Spot margin hedge preview is not supported on this exchange");
+  }
+  async placeSpotMarginHedge(_payload) {
+    throw new Error("Spot margin hedge placement is not supported on this exchange");
+  }
   async placeSpotLimitOrders(_payload) {}
-  async bulkPlaceLimitOrders(payload) {
+  async buildCumulative(payload) {
     const {
       orders,
       kind,
       decimal_places = "%.3f",
-      price_places = "%.1f",
       symbol,
-      place = false
+      is_stop = false
     } = payload;
     const totalQuantity = orders.reduce((sum, order) => sum + (order.quantity || 0), 0);
     let runningTotal = to_f(totalQuantity, decimal_places);
@@ -72051,6 +72056,9 @@ class BaseExchange {
     if (kind === "short") {
       sortedOrders.reverse();
     }
+    if (is_stop) {
+      sortedOrders.reverse();
+    }
     const withCumulative = [];
     for (const order of sortedOrders) {
       withCumulative.push({
@@ -72073,6 +72081,17 @@ class BaseExchange {
       kind,
       side: kind.toLowerCase() === "long" ? "buy" : "sell"
     }));
+    return filteredOrders;
+  }
+  async bulkPlaceLimitOrders(payload) {
+    const {
+      kind,
+      decimal_places = "%.3f",
+      price_places = "%.1f",
+      symbol,
+      place = false
+    } = payload;
+    const filteredOrders = await this.buildCumulative(payload);
     if (filteredOrders.length > 0 && place) {
       await this.cancelAllOrders(symbol, {
         type: "limit",
@@ -72217,9 +72236,13 @@ class BaseExchange {
     });
   }
   async entryStopLimitOrders(payload) {
-    const { symbol, kind, orders, price_places, decimal_places, place } = payload;
+    const { symbol, kind, price_places, decimal_places, place } = payload;
+    const cummulative = await this.buildCumulative({
+      ...payload,
+      is_stop: true
+    });
     const price = await this.get_current_price(symbol);
-    const orders_to_place = orders.map((order) => {
+    const orders_to_place = cummulative.map((order) => {
       const { entry } = order;
       let spread = 0.005;
       if (price < 5000) {
@@ -72237,7 +72260,10 @@ class BaseExchange {
         is_market: false
       };
     });
-    if (place) {
+    if (place && orders_to_place.length > 0) {
+      await this.cancelAllOrders(symbol, {
+        kind
+      });
       return this._createLimitPurchaseOrders({
         symbol,
         price_places,
@@ -72422,6 +72448,210 @@ class BaseExchange {
 
 // src/exchanges/binance/index.ts
 var import_p_limit = __toESM(require_p_limit(), 1);
+
+// src/exchanges/binance/spot-margin-hedge.ts
+function roundNumber(value2, digits = 8) {
+  return Number(value2.toFixed(digits));
+}
+var STOP_LIMIT_SPREAD_PERCENT = 0.0005;
+function normalizeOrderInput(order) {
+  return {
+    price: roundNumber(order.price),
+    quantity: roundNumber(order.quantity)
+  };
+}
+function sortOrderInputs(orders) {
+  return [...orders].map(normalizeOrderInput).sort((left, right) => left.price - right.price);
+}
+function normalizeOrderForComparison(order) {
+  const type = (order.type || "limit").toLowerCase();
+  const raw_stop = "stop" in order && order.stop !== undefined ? order.stop : ("stopPrice" in order) ? order.stopPrice : undefined;
+  const parsed_stop = raw_stop === undefined || raw_stop === null || raw_stop === "" ? undefined : Number(raw_stop);
+  return {
+    side: order.side,
+    type,
+    price: roundNumber(order.price),
+    quantity: roundNumber(order.quantity),
+    stop: parsed_stop !== undefined && Number.isFinite(parsed_stop) && parsed_stop > 0 ? roundNumber(parsed_stop) : undefined
+  };
+}
+function normalizeOrders(orders) {
+  return [...orders].map(normalizeOrderForComparison).sort((left, right) => {
+    if (left.side !== right.side)
+      return left.side.localeCompare(right.side);
+    if (left.type !== right.type)
+      return left.type.localeCompare(right.type);
+    if (left.price !== right.price)
+      return left.price - right.price;
+    return left.quantity - right.quantity;
+  });
+}
+function toPlannedOrders(orders) {
+  return normalizeOrders(orders).map((order) => ({
+    side: order.side,
+    type: order.type,
+    price: order.price,
+    quantity: order.quantity,
+    stop: order.stop
+  }));
+}
+function buildOrderKey(order) {
+  return [
+    order.side,
+    order.type,
+    order.price,
+    order.quantity,
+    order.stop ?? ""
+  ].join(":");
+}
+function buildDiff(options) {
+  const expectedKeys = options.expected.map(buildOrderKey);
+  const actualKeys = options.actual.map(buildOrderKey);
+  return {
+    missing: expectedKeys.filter((key) => !actualKeys.includes(key)),
+    extra: actualKeys.filter((key) => !expectedKeys.includes(key))
+  };
+}
+function getQuoteAsset(symbol) {
+  const quoteAssets = ["USDT", "USDC", "BUSD", "BTC", "ETH"];
+  const target = quoteAssets.find((asset) => symbol.endsWith(asset));
+  return target || symbol.slice(-4);
+}
+function sumNotional(orders) {
+  return roundNumber(orders.reduce((sum, order) => sum + order.price * order.quantity, 0), 8);
+}
+function sumQuantity(orders) {
+  return roundNumber(orders.reduce((sum, order) => sum + order.quantity, 0), 8);
+}
+function buildLongOrderPlacement(options) {
+  const { order, current_price } = options;
+  if (order.price > current_price) {
+    return {
+      side: "buy",
+      type: "stop_loss_limit",
+      price: order.price,
+      stop: roundNumber(order.price * (1 - STOP_LIMIT_SPREAD_PERCENT)),
+      quantity: order.quantity
+    };
+  }
+  return {
+    side: "buy",
+    type: "limit",
+    price: order.price,
+    quantity: order.quantity
+  };
+}
+function inferSpotMarginHedgeInputFromLiveOrders(options) {
+  const long_orders = sortOrderInputs([
+    ...options.spot_orders.filter((order) => order.side === "buy").map((order) => ({
+      price: order.price,
+      quantity: order.quantity
+    })),
+    ...options.margin_orders.filter((order) => order.side === "buy").map((order) => ({
+      price: order.price,
+      quantity: order.quantity
+    }))
+  ]);
+  const short_orders = sortOrderInputs([
+    ...options.spot_orders.filter((order) => order.side === "sell").map((order) => ({
+      price: order.price,
+      quantity: order.quantity
+    })),
+    ...options.margin_orders.filter((order) => order.side === "sell").map((order) => ({
+      price: order.price,
+      quantity: order.quantity
+    }))
+  ]);
+  return {
+    symbol: options.symbol,
+    margin_type: options.margin_type,
+    borrow_amount: sumNotional(long_orders),
+    long_orders,
+    short_orders,
+    placement_overrides: {
+      spot: toPlannedOrders(options.spot_orders),
+      margin: toPlannedOrders(options.margin_orders)
+    }
+  };
+}
+function buildSpotMarginHedgePlan(options) {
+  const max_spot_buy_orders = options.max_spot_buy_orders ?? 5;
+  const long_orders = sortOrderInputs(options.long_orders);
+  const short_orders = sortOrderInputs(options.short_orders);
+  const spot_long_orders = long_orders.slice(0, max_spot_buy_orders);
+  const margin_long_orders = long_orders.slice(max_spot_buy_orders);
+  const default_spot_orders_to_create = [
+    ...spot_long_orders.map((order) => buildLongOrderPlacement({
+      order,
+      current_price: options.current_price
+    })),
+    ...short_orders.map((order) => ({
+      side: "sell",
+      type: "limit",
+      price: order.price,
+      quantity: order.quantity
+    }))
+  ];
+  const default_margin_orders_to_create = margin_long_orders.map((order) => buildLongOrderPlacement({
+    order,
+    current_price: options.current_price
+  }));
+  const spot_orders_to_create = options.placement_overrides?.spot || default_spot_orders_to_create;
+  const margin_orders_to_create = options.placement_overrides?.margin || default_margin_orders_to_create;
+  const borrow_delta = roundNumber(Math.max(0, options.borrow_amount - options.snapshot.borrowed_quote_amount));
+  const spot_long_notional = sumNotional(spot_long_orders);
+  const transfer_to_spot_amount = roundNumber(Math.max(0, spot_long_notional - options.snapshot.spot_quote_free));
+  const short_quantity = sumQuantity(short_orders);
+  const transfer_base_to_spot_amount = roundNumber(Math.max(0, short_quantity - options.snapshot.spot_base_free));
+  return {
+    borrow_amount: options.borrow_amount,
+    borrow_delta,
+    transfer_to_spot_amount,
+    transfer_to_spot_asset: getQuoteAsset(options.symbol),
+    transfer_base_to_spot_amount,
+    orders_to_cancel: {
+      spot: options.snapshot.spot_orders,
+      margin: options.snapshot.margin_orders
+    },
+    orders_to_create: {
+      spot: spot_orders_to_create,
+      margin: margin_orders_to_create
+    },
+    normalized: {
+      spot: normalizeOrders(spot_orders_to_create),
+      margin: normalizeOrders(margin_orders_to_create)
+    }
+  };
+}
+function compareSpotMarginHedgeOrders(options) {
+  const actualSpot = normalizeOrders(options.spot_orders);
+  const actualMargin = normalizeOrders(options.margin_orders);
+  const spotDiff = buildDiff({
+    expected: options.plan.normalized.spot,
+    actual: actualSpot
+  });
+  const marginDiff = buildDiff({
+    expected: options.plan.normalized.margin,
+    actual: actualMargin
+  });
+  return {
+    matches: spotDiff.missing.length === 0 && spotDiff.extra.length === 0 && marginDiff.missing.length === 0 && marginDiff.extra.length === 0,
+    spot: {
+      expected: options.plan.normalized.spot,
+      actual: actualSpot,
+      missing: spotDiff.missing,
+      extra: spotDiff.extra
+    },
+    margin: {
+      expected: options.plan.normalized.margin,
+      actual: actualMargin,
+      missing: marginDiff.missing,
+      extra: marginDiff.extra
+    }
+  };
+}
+
+// src/exchanges/binance/index.ts
 var CONSTANTS = {
   SPOT_TO_FIAT: "MAIN_C2C",
   SPOT_TO_USDT_FUTURE: "MAIN_UMFUTURE",
@@ -72910,12 +73140,20 @@ async function getCrossMarginAccountDetails(client) {
 async function cancelMarginOrders(client, symbol, isIsolated = false, orders) {
   try {
     if (orders && orders.length > 0) {
-      const cancelPromises = orders.map((order) => client.marginAccountCancelOrder({
-        symbol,
-        orderId: order.orderId,
-        origClientOrderId: order.origClientOrderId,
-        isIsolated: isIsolated ? "TRUE" : "FALSE"
-      }));
+      const cancelPromises = orders.map((order) => {
+        const payload = {
+          symbol,
+          isIsolated: isIsolated ? "TRUE" : "FALSE"
+        };
+        if (order.orderId !== undefined) {
+          payload.orderId = order.orderId;
+        }
+        const origClientOrderId = order.origClientOrderId ?? order.clientOrderId;
+        if (origClientOrderId !== undefined) {
+          payload.origClientOrderId = origClientOrderId;
+        }
+        return client.marginAccountCancelOrder(payload);
+      });
       return await Promise.all(cancelPromises);
     } else {
       return await client.marginAccountCancelOpenOrders({
@@ -73170,7 +73408,7 @@ async function placeStopOrder(client, payload) {
       });
     }
   }
-  const spread = 1.00005;
+  const spread = payload.stop > 30000 ? 1.00005 : 1.0002;
   const order = {
     kind: payload.kind,
     side: payload.kind === "long" ? "sell" : "buy",
@@ -73577,6 +73815,16 @@ async function getAllOpenOrders(payload) {
   const response = await client.getAllOpenOrders();
   return response;
 }
+function getPrintfFormatFromStepSize(stepSize, fallback) {
+  if (stepSize === undefined || stepSize === null) {
+    return fallback;
+  }
+  const normalized = String(stepSize);
+  const [, decimalPart = ""] = normalized.split(".");
+  const trimmed = decimalPart.replace(/0+$/, "");
+  const digits = trimmed.length;
+  return `%.${digits}f`;
+}
 
 class BinanceExchange extends BaseExchange {
   main_client;
@@ -74013,6 +74261,30 @@ class BinanceExchange extends BaseExchange {
       throw error;
     }
   }
+  async getSpotSymbolFormats(symbol) {
+    if (!this.main_client || typeof this.main_client.getExchangeInfo !== "function") {
+      return {
+        price_places: "%.8f",
+        decimal_places: "%.8f"
+      };
+    }
+    try {
+      const exchange_info = await this.main_client.getExchangeInfo();
+      const symbol_info = exchange_info?.symbols?.find((item) => item.symbol === symbol.toUpperCase());
+      const price_filter = symbol_info?.filters?.find((filter) => filter.filterType === "PRICE_FILTER");
+      const lot_size_filter = symbol_info?.filters?.find((filter) => filter.filterType === "LOT_SIZE");
+      return {
+        price_places: getPrintfFormatFromStepSize(price_filter?.tickSize, "%.8f"),
+        decimal_places: getPrintfFormatFromStepSize(lot_size_filter?.stepSize, "%.8f")
+      };
+    } catch (error) {
+      console.error("Error fetching spot symbol formats:", error);
+      return {
+        price_places: "%.8f",
+        decimal_places: "%.8f"
+      };
+    }
+  }
   async createMarginLimitOrders(payload) {
     if (!this.main_client) {
       throw new Error("Main client not available for margin trading");
@@ -74043,6 +74315,200 @@ class BinanceExchange extends BaseExchange {
     }
     return await getMarginOpenOrders(this.main_client, symbol, isIsolated);
   }
+  async getSpotMarginHedgeSnapshot(payload) {
+    if (!this.main_client) {
+      throw new Error("Main client not available for spot and margin trading");
+    }
+    if (payload.margin_type !== "isolated") {
+      throw new Error(`Unsupported margin type: ${payload.margin_type}. Only isolated is supported for replay right now.`);
+    }
+    const symbol = payload.symbol.toUpperCase();
+    const quoteAssets = ["USDT", "USDC", "BUSD", "BTC", "ETH"];
+    const quoteAsset = quoteAssets.find((asset) => symbol.endsWith(asset)) || symbol.slice(-4);
+    const baseAsset = symbol.slice(0, symbol.length - quoteAsset.length);
+    const [spot_orders, margin_orders, spot_balances, isolated_margin_position] = await Promise.all([
+      this.getSpotOpenOrders(symbol),
+      this.getMarginOpenOrders(symbol, true),
+      this.getSpotBalances([baseAsset, quoteAsset]),
+      this.getIsolatedMarginPosition(symbol)
+    ]);
+    const current_price = await this.getSpotCurrentPrice(symbol);
+    const spot_quote_balance = spot_balances.find((balance) => balance.asset.toUpperCase() === quoteAsset);
+    const spot_base_balance = spot_balances.find((balance) => balance.asset.toUpperCase() === baseAsset);
+    const isolated_asset = isolated_margin_position?.assets?.[0];
+    const borrowed_quote_amount = parseFloat(isolated_asset?.quoteAsset?.borrowed?.toString?.() || "0");
+    return {
+      symbol,
+      margin_type: payload.margin_type,
+      quote_asset: quoteAsset,
+      base_asset: baseAsset,
+      borrowed_quote_amount,
+      spot_quote_free: parseFloat(spot_quote_balance?.free?.toString?.() || "0"),
+      spot_base_free: parseFloat(spot_base_balance?.free?.toString?.() || "0"),
+      spot_orders,
+      margin_orders,
+      current_price,
+      spot_balances,
+      isolated_margin_position
+    };
+  }
+  async previewSpotMarginHedge(payload) {
+    const snapshot = payload.snapshot ? {
+      ...payload.snapshot,
+      current_price: payload.snapshot.current_price ?? await this.getSpotCurrentPrice(payload.symbol)
+    } : await this.getSpotMarginHedgeSnapshot({
+      symbol: payload.symbol,
+      margin_type: payload.margin_type
+    });
+    const shouldInferLongOrders = !payload.long_orders || payload.long_orders.length === 0;
+    const shouldInferShortOrders = !payload.short_orders || payload.short_orders.length === 0;
+    const inferred_input = shouldInferLongOrders || shouldInferShortOrders ? inferSpotMarginHedgeInputFromLiveOrders({
+      symbol: payload.symbol,
+      margin_type: payload.margin_type,
+      spot_orders: snapshot.spot_orders,
+      margin_orders: snapshot.margin_orders
+    }) : undefined;
+    const long_orders = shouldInferLongOrders ? inferred_input?.long_orders || [] : payload.long_orders || [];
+    const short_orders = shouldInferShortOrders ? inferred_input?.short_orders || [] : payload.short_orders || [];
+    const borrow_amount = payload.borrow_amount ?? (long_orders.length > 0 ? sumNotional(long_orders) : inferred_input?.borrow_amount ?? 0);
+    const requested_input = {
+      borrow_amount,
+      symbol: payload.symbol,
+      margin_type: payload.margin_type,
+      long_orders,
+      short_orders,
+      current_price: snapshot.current_price,
+      max_spot_buy_orders: payload.max_spot_buy_orders,
+      placement_overrides: inferred_input?.placement_overrides
+    };
+    const plan = buildSpotMarginHedgePlan({
+      ...requested_input,
+      snapshot
+    });
+    const comparison = compareSpotMarginHedgeOrders({
+      plan,
+      spot_orders: snapshot.spot_orders,
+      margin_orders: snapshot.margin_orders
+    });
+    return {
+      snapshot,
+      inferred_input,
+      requested_input,
+      plan,
+      comparison
+    };
+  }
+  async placeSpotMarginHedge(payload) {
+    const preview = await this.previewSpotMarginHedge(payload);
+    if (!payload.place) {
+      return preview;
+    }
+    if (!this.main_client) {
+      throw new Error("Main client not available for spot and margin trading");
+    }
+    if (payload.margin_type !== "isolated") {
+      throw new Error(`Unsupported margin type: ${payload.margin_type}. Only isolated placement is supported right now.`);
+    }
+    const symbol = payload.symbol.toUpperCase();
+    const quoteAssets = ["USDT", "USDC", "BUSD", "BTC", "ETH"];
+    const quote_asset = quoteAssets.find((asset) => symbol.endsWith(asset)) || symbol.slice(-4);
+    const base_asset = symbol.slice(0, symbol.length - quote_asset.length);
+    const requested_input = preview.requested_input;
+    if (preview.snapshot.spot_orders.length > 0) {
+      await this.cancelSpotOrders(symbol, preview.snapshot.spot_orders.map((order) => ({
+        orderId: order.orderId || order.order_id || order.id,
+        origClientOrderId: order.origClientOrderId
+      })));
+    }
+    if (preview.snapshot.margin_orders.length > 0) {
+      await this.cancelMarginOrders(symbol, true, preview.snapshot.margin_orders.map((order) => ({
+        orderId: order.orderId || order.order_id || order.id,
+        origClientOrderId: order.origClientOrderId
+      })));
+    }
+    const refreshed_snapshot = await this.getSpotMarginHedgeSnapshot({
+      symbol,
+      margin_type: payload.margin_type
+    });
+    const symbol_formats = await this.getSpotSymbolFormats(symbol);
+    const execution_plan = buildSpotMarginHedgePlan({
+      borrow_amount: requested_input.borrow_amount,
+      symbol: requested_input.symbol,
+      margin_type: requested_input.margin_type,
+      long_orders: requested_input.long_orders,
+      short_orders: requested_input.short_orders,
+      current_price: refreshed_snapshot.current_price,
+      max_spot_buy_orders: requested_input.max_spot_buy_orders,
+      snapshot: refreshed_snapshot
+    });
+    let borrow_result = null;
+    if (execution_plan.borrow_delta > 0) {
+      borrow_result = await this.main_client.submitMarginAccountBorrowRepay({
+        asset: quote_asset,
+        amount: execution_plan.borrow_delta,
+        isIsolated: "TRUE",
+        symbol,
+        type: "BORROW"
+      });
+    }
+    let quote_transfer_result = null;
+    if (execution_plan.transfer_to_spot_amount > 0) {
+      quote_transfer_result = await this.main_client.isolatedMarginAccountTransfer({
+        asset: quote_asset,
+        amount: execution_plan.transfer_to_spot_amount,
+        symbol,
+        transFrom: "ISOLATED_MARGIN",
+        transTo: "SPOT"
+      });
+    }
+    let base_transfer_result = null;
+    if (execution_plan.transfer_base_to_spot_amount > 0) {
+      base_transfer_result = await this.main_client.isolatedMarginAccountTransfer({
+        asset: base_asset,
+        amount: execution_plan.transfer_base_to_spot_amount,
+        symbol,
+        transFrom: "ISOLATED_MARGIN",
+        transTo: "SPOT"
+      });
+    }
+    const spot_result = execution_plan.orders_to_create.spot.length > 0 ? await this.createSpotLimitOrders({
+      symbol,
+      orders: execution_plan.orders_to_create.spot,
+      price_places: symbol_formats.price_places,
+      decimal_places: symbol_formats.decimal_places
+    }) : [];
+    const margin_result = execution_plan.orders_to_create.margin.length > 0 ? await this.createMarginLimitOrders({
+      symbol,
+      orders: execution_plan.orders_to_create.margin,
+      isIsolated: true,
+      price_places: symbol_formats.price_places,
+      decimal_places: symbol_formats.decimal_places
+    }) : [];
+    return {
+      ...preview,
+      execution_plan,
+      refreshed_snapshot,
+      execution: {
+        borrow: borrow_result ? {
+          asset: quote_asset,
+          amount: execution_plan.borrow_delta,
+          response: borrow_result
+        } : null,
+        quote_transfer: quote_transfer_result ? {
+          asset: quote_asset,
+          amount: execution_plan.transfer_to_spot_amount,
+          response: quote_transfer_result
+        } : null,
+        base_transfer: base_transfer_result ? {
+          asset: base_asset,
+          amount: execution_plan.transfer_base_to_spot_amount,
+          response: base_transfer_result
+        } : null,
+        spot_orders: spot_result,
+        margin_orders: margin_result
+      }
+    };
+  }
   async getLastUserTrade(payload) {
     return await getLastUserTrade(this.client, payload.symbol);
   }

package/dist/index.d.ts

@@ -372,7 +372,47 @@ declare abstract class BaseExchange {
 		place?: boolean;
 		cancel?: boolean;
 	}): Promise<any>;
+	previewSpotMarginHedge(_payload: {
+		borrow_amount?: number;
+		symbol: string;
+		margin_type: "isolated" | "cross";
+		long_orders?: Array<{
+			price: number;
+			quantity: number;
+		}>;
+		short_orders?: Array<{
+			price: number;
+			quantity: number;
+		}>;
+		max_spot_buy_orders?: number;
+		snapshot?: any;
+	}): Promise<any>;
+	placeSpotMarginHedge(_payload: {
+		borrow_amount?: number;
+		symbol: string;
+		margin_type: "isolated" | "cross";
+		long_orders?: Array<{
+			price: number;
+			quantity: number;
+		}>;
+		short_orders?: Array<{
+			price: number;
+			quantity: number;
+		}>;
+		max_spot_buy_orders?: number;
+		snapshot?: any;
+		place?: boolean;
+	}): Promise<any>;
 	placeSpotLimitOrders(_payload: any): Promise<void>;
+	buildCumulative(payload: {
+		orders: Order$1[];
+		kind: "long" | "short";
+		decimal_places?: string;
+		price_places?: string;
+		symbol: string;
+		place?: boolean;
+		is_stop?: boolean;
+	}): Promise<any[]>;
 	bulkPlaceLimitOrders(payload: {
 		orders: Order$1[];
 		kind: "long" | "short";