@icgio/icg-exchanges-wrapper 1.22.1 → 1.22.2

package/middleware/orders.js

@@ -954,24 +954,34 @@ module.exports = class Orders {
           }
         })
 
-        // If CANCELING orders are no longer in open_orders, infer they are canceled.
+        // If CANCELING orders are no longer in open_orders, infer they are canceled — unless
+        // trades already show the order effectively filled: absence from the book is no
+        // evidence of cancellation for a filled order (push-tier races made that booking
+        // ping-pong CANCELED -> F-FILLED through the query reconciler ~1/min on busy venues).
         const open_orders_ids_set = new Set(open_orders[exchange][pair].open_orders.map((o) => o.order_id))
         this.get_order_info_status_all(exchange, pair, 'both', 'CANCELING').map((order_info) => {
           if (order_info.order_id && !open_orders_ids_set.has(order_info.order_id)) {
-            this.update_order_info(
-              exchange,
-              pair,
-              order_info.type,
-              order_info.order_id,
-              {
-                status: 'CANCELED',
-                close_time: Date.now(),
-                event_hrtime: process.hrtime(),
-              },
-              (order_info.order_type || '') + ' canceling-canceled-from-open-orders',
-            )
+            const swept_f_amount = round_amount(exchange, pair, order_info.f_amount || 0)
+            const swept_t_amount = round_amount(exchange, pair, order_info.t_amount || 0)
+            const effectively_filled = swept_t_amount > 0 && swept_f_amount / swept_t_amount > this.f_filled_threshold
+            const note = (order_info.order_type || '') + (effectively_filled ? ' canceling-filled-from-open-orders' : ' canceling-canceled-from-open-orders')
+            const update_dict = effectively_filled
+              ? {
+                  status: 'F-FILLED',
+                  amount: 0,
+                  f_amount: swept_f_amount,
+                  f_percentage: swept_f_amount / swept_t_amount,
+                  close_time: Date.now(),
+                  event_hrtime: process.hrtime(),
+                }
+              : {
+                  status: 'CANCELED',
+                  close_time: Date.now(),
+                  event_hrtime: process.hrtime(),
+                }
+            this.update_order_info(exchange, pair, order_info.type, order_info.order_id, update_dict, note)
             setTimeout(() => {
-              this.delete_order_info(exchange, pair, order_info.type, order_info.order_id, (order_info.order_type || '') + ' canceling-canceled-from-open-orders')
+              this.delete_order_info(exchange, pair, order_info.type, order_info.order_id, note)
             }, this.delete_finished_orders_timeout)
           }
         })

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.22.1",
+  "version": "1.22.2",
   "description": "",
   "main": "index.js",
   "scripts": {