@icgio/icg-exchanges-wrapper 1.22.1 → 1.22.3

package/middleware/orders.js

@@ -505,20 +505,29 @@ module.exports = class Orders {
     }
     this.Exchanges[exchange].cancel_order_by_order(order, (res) => {
       if (res.success || (!res.success && res.error === 'order-not-open' && original_status === 'CANCELING')) {
+        // The ack only means the request was processed — fills may have landed first (the
+        // trades push books them before the REST ack returns). A row already at or above
+        // f_filled_threshold is a filled order, not a canceled one.
+        const acked = _.get(this.order_info, [exchange, pair, order.type, order.order_id])
+        const acked_f_amount = round_amount(exchange, pair, (acked && acked.f_amount) || 0)
+        const acked_t_amount = round_amount(exchange, pair, (acked && acked.t_amount) || 0)
+        const acked_filled = acked_t_amount > 0 && acked_f_amount / acked_t_amount > this.f_filled_threshold
+        const ack_note = order.order_type + (acked_filled ? ' canceled-but-filled' : ' canceled')
         this.update_order_info(
           exchange,
           pair,
           order.type,
           order.order_id,
           {
-            status: 'CANCELED',
+            status: acked_filled ? 'F-FILLED' : 'CANCELED',
+            ...(acked_filled ? { amount: 0, f_amount: acked_f_amount, f_percentage: acked_f_amount / acked_t_amount } : {}),
             close_time: Date.now(),
             decision_context: cancel_decision_context,
             du_ns_cancel_latency: hrtime_diff(_.get(res, ['meta', 't_cancel_sent']), _.get(res, ['meta', 't_cancel_ack'])),
             du_ns_rate_to_cancel_ack: hrtime_diff(decision_context?.hr_rate_root, _.get(res, ['meta', 't_cancel_ack'])),
             event_hrtime: _.get(res, ['meta', 't_cancel_ack']),
           },
-          order.order_type + ' canceled',
+          ack_note,
         )
         setTimeout(() => {
           this.delete_order_info(exchange, pair, order.type, order.order_id, order.order_type + ' cancel-order-success')
@@ -664,14 +673,20 @@ module.exports = class Orders {
           const order_info_f_amount = round_amount(exchange, pair, order_info.f_amount)
           if (_.includes(['CANCELED', 'CANCELING'], order_info.status) && trade_amount > order_info_f_amount) {
             // console.log('TRADES: %s ORDER FILLED', order_info.status, trade, order_info)
-            this.log_terminal_divergence('trades', exchange, pair, order_id, order_info.status, 'P-FILLED')
+            // At or above f_filled_threshold the order is filled — book the terminal truth
+            // instead of leaving CANCELED for the query poll to flip (never P-FILLED here:
+            // resurrecting a live status on a canceled row is the failure the old comment feared)
+            const trade_filled = trade_amount / order_info.t_amount > this.f_filled_threshold
+            if (!trade_filled) {
+              this.log_terminal_divergence('trades', exchange, pair, order_id, order_info.status, 'P-FILLED')
+            }
             this.update_order_info(
               exchange,
               pair,
               type,
               order_id,
               {
-                // status: trade.amount / order_info.t_amount > this.f_filled_threshold ? 'F-FILLED' : 'P-FILLED', // could cause update undefined order error
+                ...(trade_filled ? { status: 'F-FILLED' } : {}),
                 price: trade.price,
                 amount: 0,
                 f_amount: trade_amount,
@@ -954,24 +969,34 @@ 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": "1.22.3",
   "description": "",
   "main": "index.js",
   "scripts": {