@imbingox/acex 0.3.1-beta.0 → 0.4.0-beta.10

package/src/managers/order-manager.ts

@@ -1,5 +1,8 @@
 import BigNumber from "bignumber.js";
-import type { RawOrderUpdate } from "../adapters/types.ts";
+import type {
+  RawOpenOrdersSnapshot,
+  RawOrderUpdate,
+} from "../adapters/types.ts";
 import type {
   AccountAwareManager,
   ClientContext,
@@ -8,9 +11,18 @@ import type {
   PrivateOrderDataConsumer,
   PrivateSubscriptionState,
 } from "../client/context.ts";
-import { AcexError } from "../errors.ts";
+import {
+  AcexError,
+  buildAcexErrorDetails,
+  formatAcexErrorMessage,
+} from "../errors.ts";
 import { AsyncEventBus } from "../internal/async-event-bus.ts";
+import { toCanonical } from "../internal/decimal.ts";
 import { matchesOrderFilter } from "../internal/filters.ts";
+import {
+  canDeleteMissingFromSnapshot,
+  shouldApplyWatermarkedUpdate,
+} from "../internal/watermark.ts";
 import type {
   CancelAllOrdersInput,
   CancelOrderInput,
@@ -32,15 +44,55 @@ interface OrderRecord {
   accountId: string;
   venue: Venue;
   subscribed: boolean;
-  snapshots: Map<string, OrderSnapshot>;
+  openOrders: Map<string, Map<string, OrderSnapshot>>;
+  closedOrders: Map<string, Map<string, OrderSnapshot>>;
+  orderIdIndex: Map<string, Map<string, OrderLocation>>;
+  orderIdOnlyIndex: Map<string, Set<OrderLocation>>;
+  clientOrderIdIndex: Map<string, Set<OrderLocation>>;
   status: OrderDataStatus;
 }
 
+type OrderTable = "open" | "closed";
+
+interface OrderLocation {
+  table: OrderTable;
+  symbol: string;
+  key: string;
+}
+
+interface OrderManagerOptions {
+  maxClosedOrdersPerSymbol?: number;
+}
+
+const DEFAULT_MAX_CLOSED_ORDERS_PER_SYMBOL = 500;
+
 function cloneOrderStatus(status: OrderDataStatus): OrderDataStatus {
   return { ...status };
 }
 
+function normalizeMaxClosedOrdersPerSymbol(value: number | undefined): number {
+  return value !== undefined && Number.isInteger(value) && value > 0
+    ? value
+    : DEFAULT_MAX_CLOSED_ORDERS_PER_SYMBOL;
+}
+
 function getOrderLookupKey(input: {
+  symbol: string;
+  orderId?: string;
+  clientOrderId?: string;
+}): string | undefined {
+  if (input.orderId) {
+    return `symbol:${input.symbol}:order:${input.orderId}`;
+  }
+
+  if (input.clientOrderId) {
+    return `symbol:${input.symbol}:client:${input.clientOrderId}`;
+  }
+
+  return undefined;
+}
+
+function getOrderKey(input: {
   orderId?: string;
   clientOrderId?: string;
 }): string | undefined {
@@ -55,6 +107,94 @@ function getOrderLookupKey(input: {
   return undefined;
 }
 
+function shouldMatchOrderIdentity(
+  candidate: OrderSnapshot,
+  input: { symbol?: string; orderId?: string; clientOrderId?: string },
+): boolean {
+  if (input.symbol && candidate.symbol !== input.symbol) {
+    return false;
+  }
+
+  return Boolean(
+    (input.orderId && candidate.orderId === input.orderId) ||
+      (input.clientOrderId && candidate.clientOrderId === input.clientOrderId),
+  );
+}
+
+function shouldMatchStoredOrderIdentity(
+  candidate: OrderSnapshot,
+  input: { symbol: string; orderId?: string; clientOrderId?: string },
+): boolean {
+  if (candidate.symbol !== input.symbol) {
+    return false;
+  }
+
+  if (candidate.orderId && input.orderId) {
+    return candidate.orderId === input.orderId;
+  }
+
+  // clientOrderId 只作"尚未拿到 orderId 的订单"的临时身份:已带 orderId 的候选
+  // (含 clientOrderId 复用后躺在 closed 的旧订单)不得被 cid-only 更新归并,否则会
+  // carry-forward 旧 orderId、污染 closed。orderId 后填充时 candidate 仍无 orderId,照常匹配。
+  return Boolean(
+    input.clientOrderId &&
+      candidate.clientOrderId === input.clientOrderId &&
+      !candidate.orderId,
+  );
+}
+
+function successfulStatus(
+  status: OrderDataStatus,
+  options: {
+    ready?: boolean;
+    lastReceivedAt?: number;
+    lastReadyAt?: number;
+    preserveStatus?: boolean;
+  },
+): OrderDataStatus {
+  const preservesStreamState =
+    options.preserveStatus &&
+    (status.runtimeStatus === "reconnecting" ||
+      status.reason === "ws_disconnected" ||
+      status.reason === "heartbeat_timeout");
+  const ready = options.ready ?? true;
+
+  return {
+    ...status,
+    activity: "active",
+    ready,
+    runtimeStatus: preservesStreamState ? status.runtimeStatus : "healthy",
+    reason: preservesStreamState ? status.reason : undefined,
+    lastReceivedAt: options.lastReceivedAt ?? status.lastReceivedAt,
+    lastReadyAt: ready
+      ? (options.lastReadyAt ??
+        (options.preserveStatus ? status.lastReadyAt : undefined) ??
+        Date.now())
+      : status.lastReadyAt,
+    inactiveSince: undefined,
+  };
+}
+
+function isOpenOrder(snapshot: OrderSnapshot): boolean {
+  return snapshot.status === "open" || snapshot.status === "partially_filled";
+}
+
+function orderPriority(status: OrderSnapshot["status"]): number {
+  switch (status) {
+    case "filled":
+      return 5;
+    case "canceled":
+    case "expired":
+      return 4;
+    case "rejected":
+      return 3;
+    case "partially_filled":
+      return 2;
+    case "open":
+      return 1;
+  }
+}
+
 export class OrderManagerImpl
   implements
     OrderManager,
@@ -66,13 +206,17 @@ export class OrderManagerImpl
   readonly events: OrderEventStreams;
 
   private readonly context: ClientContext;
+  private readonly maxClosedOrdersPerSymbol: number;
   private readonly orderBus = new AsyncEventBus<OrderEvent>();
   private readonly orderStatusBus =
     new AsyncEventBus<OrderStatusChangedEvent>();
   private readonly records = new Map<string, OrderRecord>();
 
-  constructor(context: ClientContext) {
+  constructor(context: ClientContext, options: OrderManagerOptions = {}) {
     this.context = context;
+    this.maxClosedOrdersPerSymbol = normalizeMaxClosedOrdersPerSymbol(
+      options.maxClosedOrdersPerSymbol,
+    );
 
     this.events = {
       status: (filter) =>
@@ -101,7 +245,10 @@ export class OrderManagerImpl
   async subscribeOrders(input: SubscribeOrdersInput): Promise<void> {
     this.context.assertStarted();
     const account = this.context.getRegisteredAccount(input.accountId);
-    if (account.venue === "juplend") {
+    if (
+      this.context.getPrivateOrderCapabilities(account.venue)?.updates ===
+      "unsupported"
+    ) {
       throw this.createError(
         "VENUE_NOT_SUPPORTED",
         `Venue does not support private order subscriptions: ${account.venue}`,
@@ -217,17 +364,56 @@ export class OrderManagerImpl
       return undefined;
     }
 
-    for (const snapshot of record.snapshots.values()) {
-      if (input.orderId && snapshot.orderId === input.orderId) {
-        return snapshot;
+    if (input.symbol && input.orderId) {
+      const location = this.getOrderIdLocation(
+        record,
+        input.symbol,
+        input.orderId,
+      );
+      const snapshot = location
+        ? this.getSnapshotAtLocation(record, location)
+        : undefined;
+      if (!snapshot) {
+        return undefined;
       }
 
       if (
         input.clientOrderId &&
-        snapshot.clientOrderId === input.clientOrderId
+        snapshot.clientOrderId !== input.clientOrderId
       ) {
-        return snapshot;
+        return undefined;
       }
+
+      return snapshot;
+    }
+
+    if (input.orderId) {
+      return this.selectLatestSnapshot(
+        this.getSnapshotsForOrderId(record, input.orderId).filter(
+          (snapshot) =>
+            shouldMatchOrderIdentity(snapshot, {
+              symbol: input.symbol,
+              orderId: input.orderId,
+            }) &&
+            (!input.clientOrderId ||
+              shouldMatchOrderIdentity(snapshot, {
+                symbol: input.symbol,
+                clientOrderId: input.clientOrderId,
+              })),
+        ),
+      );
+    }
+
+    if (input.clientOrderId) {
+      return this.selectLatestSnapshot(
+        this.getSnapshotsForClientOrderId(record, input.clientOrderId).filter(
+          (snapshot) =>
+            shouldMatchOrderIdentity(snapshot, {
+              symbol: input.symbol,
+              clientOrderId: input.clientOrderId,
+            }),
+        ),
+      );
     }
 
     return undefined;
@@ -239,15 +425,11 @@ export class OrderManagerImpl
       return [];
     }
 
-    return [...record.snapshots.values()].filter((snapshot) => {
-      if (symbol && snapshot.symbol !== symbol) {
-        return false;
-      }
+    if (symbol) {
+      return [...(record.openOrders.get(symbol)?.values() ?? [])];
+    }
 
-      return (
-        snapshot.status === "open" || snapshot.status === "partially_filled"
-      );
-    });
+    return this.getOpenOrderSnapshots(record);
   }
 
   getOrderStatus(accountId: string): OrderDataStatus | undefined {
@@ -315,7 +497,7 @@ export class OrderManagerImpl
 
     record.status = {
       ...this.createStatus(accountId, venue, "active"),
-      ready: record.snapshots.size > 0,
+      ready: this.getSnapshotCount(record) > 0,
       runtimeStatus: "bootstrap_pending",
       reason: undefined,
       lastReceivedAt: record.status.lastReceivedAt,
@@ -328,40 +510,82 @@ export class OrderManagerImpl
   onPrivateOrderBootstrap(
     accountId: string,
     venue: Venue,
-    snapshots: RawOrderUpdate[],
-  ): void {
+    snapshot: RawOpenOrdersSnapshot,
+    options: { requestStartedAt: number; preserveStatus?: boolean },
+  ): OrderSnapshot[] {
+    return this.onPrivateOrderReconcile(accountId, venue, snapshot, options);
+  }
+
+  onPrivateOrderReconcile(
+    accountId: string,
+    venue: Venue,
+    snapshot: RawOpenOrdersSnapshot,
+    options: { requestStartedAt: number; preserveStatus?: boolean },
+  ): OrderSnapshot[] {
     const record = this.getOrCreateRecord(accountId, venue);
     if (!record.subscribed) {
-      return;
+      return [];
     }
 
-    const nextSnapshots = new Map<string, OrderSnapshot>();
-    for (const update of snapshots) {
-      const snapshot = this.createSnapshot(
+    const openSetKeys = new Set<string>();
+    for (const update of snapshot.orders) {
+      const lookupKey = getOrderLookupKey(update);
+      if (lookupKey) {
+        openSetKeys.add(lookupKey);
+      }
+      const current = this.getExistingSnapshot(record, update);
+      const nextSnapshot = this.applyUpdateToRecord(
+        record,
         accountId,
         venue,
         update,
-        this.getExistingSnapshot(record, update),
+        {
+          requestStartedAt: options.requestStartedAt,
+          preserveStatus: true,
+        },
       );
-      this.setSnapshot(nextSnapshots, snapshot);
+      if (nextSnapshot) {
+        const nextLookupKey = getOrderLookupKey(nextSnapshot);
+        if (nextLookupKey) {
+          openSetKeys.add(nextLookupKey);
+        }
+      } else if (current) {
+        const currentLookupKey = getOrderLookupKey(current);
+        if (currentLookupKey) {
+          openSetKeys.add(currentLookupKey);
+        }
+      }
     }
 
-    record.snapshots = nextSnapshots;
-    const orderedSnapshots = [...record.snapshots.values()];
-    const latestTs = orderedSnapshots.reduce(
-      (max, snapshot) => Math.max(max, snapshot.updatedAt),
-      0,
+    const disappeared = this.getOpenOrderSnapshots(record).filter((order) => {
+      if (!isOpenOrder(order)) {
+        return false;
+      }
+
+      const lookupKey = getOrderLookupKey(order);
+      if (!lookupKey || openSetKeys.has(lookupKey)) {
+        return false;
+      }
+
+      return canDeleteMissingFromSnapshot(order, {
+        requestStartedAt: options.requestStartedAt,
+        snapshotExchangeTs: snapshot.snapshotExchangeTs,
+      });
+    });
+
+    const orderedSnapshots = this.getAllSnapshots(record);
+    const latestTs = Math.max(
+      snapshot.snapshotReceivedAt,
+      orderedSnapshots.reduce(
+        (max, order) => Math.max(max, order.updatedAt),
+        0,
+      ),
     );
-    record.status = {
-      ...record.status,
-      activity: "active",
-      ready: true,
-      runtimeStatus: "healthy",
-      reason: undefined,
+    record.status = successfulStatus(record.status, {
+      preserveStatus: options.preserveStatus,
       lastReceivedAt: latestTs || record.status.lastReceivedAt,
       lastReadyAt: latestTs || this.context.now(),
-      inactiveSince: undefined,
-    };
+    });
 
     const event: OrderSnapshotReplacedEvent = {
       type: "order.snapshot_replaced",
@@ -373,21 +597,37 @@ export class OrderManagerImpl
 
     this.orderBus.publish(event);
     this.publishStatus(record);
+    return disappeared;
+  }
+
+  getPrivateOpenOrders(accountId: string): OrderSnapshot[] {
+    return this.getOpenOrders(accountId);
   }
 
   onPrivateOrderUpdate(
     accountId: string,
     venue: Venue,
     update: RawOrderUpdate,
+    options: { requestStartedAt?: number; preserveStatus?: boolean } = {},
   ): void {
     const record = this.getOrCreateRecord(accountId, venue);
     if (!record.subscribed) {
       return;
     }
 
-    const previous = this.getExistingSnapshot(record, update);
-    const snapshot = this.createSnapshot(accountId, venue, update, previous);
-    this.setSnapshot(record.snapshots, snapshot);
+    const snapshot = this.applyUpdateToRecord(
+      record,
+      accountId,
+      venue,
+      update,
+      {
+        requestStartedAt: options.requestStartedAt,
+        preserveStatus: options.preserveStatus,
+      },
+    );
+    if (!snapshot) {
+      return;
+    }
 
     const eventType =
       snapshot.status === "filled"
@@ -407,16 +647,11 @@ export class OrderManagerImpl
       ts: this.context.now(),
     });
 
-    record.status = {
-      ...record.status,
-      activity: "active",
-      ready: true,
-      runtimeStatus: "healthy",
-      reason: undefined,
+    record.status = successfulStatus(record.status, {
+      preserveStatus: options.preserveStatus,
       lastReceivedAt: snapshot.receivedAt,
       lastReadyAt: snapshot.updatedAt,
-      inactiveSince: undefined,
-    };
+    });
     this.publishStatus(record);
   }
 
@@ -467,7 +702,11 @@ export class OrderManagerImpl
       accountId,
       venue,
       subscribed: false,
-      snapshots: new Map(),
+      openOrders: new Map(),
+      closedOrders: new Map(),
+      orderIdIndex: new Map(),
+      orderIdOnlyIndex: new Map(),
+      clientOrderIdIndex: new Map(),
       status: this.createStatus(accountId, venue, "inactive"),
     };
 
@@ -491,18 +730,40 @@ export class OrderManagerImpl
 
   private getExistingSnapshot(
     record: OrderRecord,
-    update: { orderId?: string; clientOrderId?: string },
+    update: { symbol: string; orderId?: string; clientOrderId?: string },
   ): OrderSnapshot | undefined {
-    for (const snapshot of record.snapshots.values()) {
-      if (update.orderId && snapshot.orderId === update.orderId) {
-        return snapshot;
+    const location = this.getExistingSnapshotLocation(record, update);
+    return location ? this.getSnapshotAtLocation(record, location) : undefined;
+  }
+
+  private getExistingSnapshotLocation(
+    record: OrderRecord,
+    update: { symbol: string; orderId?: string; clientOrderId?: string },
+  ): OrderLocation | undefined {
+    if (update.orderId) {
+      const location = this.getOrderIdLocation(
+        record,
+        update.symbol,
+        update.orderId,
+      );
+      const snapshot = location
+        ? this.getSnapshotAtLocation(record, location)
+        : undefined;
+      if (snapshot && shouldMatchStoredOrderIdentity(snapshot, update)) {
+        return location;
       }
+    }
 
-      if (
-        update.clientOrderId &&
-        snapshot.clientOrderId === update.clientOrderId
-      ) {
-        return snapshot;
+    if (!update.clientOrderId) {
+      return undefined;
+    }
+
+    for (const location of record.clientOrderIdIndex.get(
+      update.clientOrderId,
+    ) ?? []) {
+      const snapshot = this.getSnapshotAtLocation(record, location);
+      if (snapshot && shouldMatchStoredOrderIdentity(snapshot, update)) {
+        return location;
       }
     }
 
@@ -510,17 +771,441 @@ export class OrderManagerImpl
   }
 
   private setSnapshot(
-    snapshots: Map<string, OrderSnapshot>,
+    record: OrderRecord,
+    snapshot: OrderSnapshot,
+    previous?: OrderSnapshot,
+  ): OrderLocation | undefined {
+    const existing = previous ?? this.getExistingSnapshot(record, snapshot);
+    const previousLocation = existing
+      ? this.getSnapshotLocation(existing)
+      : undefined;
+
+    if (previousLocation) {
+      return this.moveSnapshot(record, previousLocation, snapshot);
+    }
+
+    return this.insertSnapshot(record, snapshot);
+  }
+
+  private insertSnapshot(
+    record: OrderRecord,
+    snapshot: OrderSnapshot,
+  ): OrderLocation | undefined {
+    const location = this.getSnapshotLocation(snapshot);
+    if (!location) {
+      this.warnDroppedUnkeyedTerminalOrder(record, snapshot);
+      return undefined;
+    }
+
+    this.deleteSnapshot(record, location);
+
+    const table = this.getOrderTable(record, location.table);
+    const symbolOrders = this.getOrCreateSymbolOrders(table, location.symbol);
+    symbolOrders.set(location.key, snapshot);
+    this.trimClosedOrdersForSymbol(record, location);
+
+    if (snapshot.orderId) {
+      const symbolIndex = this.getOrCreateOrderIdSymbolIndex(
+        record,
+        snapshot.symbol,
+      );
+      symbolIndex.set(snapshot.orderId, location);
+      this.addLocationToSetIndex(
+        record.orderIdOnlyIndex,
+        snapshot.orderId,
+        location,
+      );
+    }
+
+    if (snapshot.clientOrderId) {
+      this.addLocationToSetIndex(
+        record.clientOrderIdIndex,
+        snapshot.clientOrderId,
+        location,
+      );
+    }
+
+    this.warnProvisionalTerminalOrder(record, snapshot);
+    return location;
+  }
+
+  private deleteSnapshot(
+    record: OrderRecord,
+    location: OrderLocation,
+  ): OrderSnapshot | undefined {
+    const snapshot = this.getSnapshotAtLocation(record, location);
+    if (!snapshot) {
+      return undefined;
+    }
+
+    const table = this.getOrderTable(record, location.table);
+    const symbolOrders = table.get(location.symbol);
+    symbolOrders?.delete(location.key);
+    if (symbolOrders?.size === 0) {
+      table.delete(location.symbol);
+    }
+
+    if (snapshot.orderId) {
+      const symbolIndex = record.orderIdIndex.get(location.symbol);
+      if (
+        symbolIndex?.get(snapshot.orderId) &&
+        this.locationsEqual(symbolIndex.get(snapshot.orderId), location)
+      ) {
+        symbolIndex.delete(snapshot.orderId);
+      }
+      if (symbolIndex?.size === 0) {
+        record.orderIdIndex.delete(location.symbol);
+      }
+      this.removeLocationFromSetIndex(
+        record.orderIdOnlyIndex,
+        snapshot.orderId,
+        location,
+      );
+    }
+
+    if (snapshot.clientOrderId) {
+      this.removeLocationFromSetIndex(
+        record.clientOrderIdIndex,
+        snapshot.clientOrderId,
+        location,
+      );
+    }
+
+    return snapshot;
+  }
+
+  private moveSnapshot(
+    record: OrderRecord,
+    previousLocation: OrderLocation,
+    snapshot: OrderSnapshot,
+  ): OrderLocation | undefined {
+    this.deleteSnapshot(record, previousLocation);
+    return this.insertSnapshot(record, snapshot);
+  }
+
+  private trimClosedOrdersForSymbol(
+    record: OrderRecord,
+    location: OrderLocation,
+  ): void {
+    if (location.table !== "closed") {
+      return;
+    }
+
+    let symbolOrders = record.closedOrders.get(location.symbol);
+    if (!symbolOrders || symbolOrders.size <= this.maxClosedOrdersPerSymbol) {
+      return;
+    }
+
+    const trimBatchSize = Math.max(
+      1,
+      Math.floor(this.maxClosedOrdersPerSymbol / 10),
+    );
+    while (symbolOrders && symbolOrders.size > this.maxClosedOrdersPerSymbol) {
+      const keys = symbolOrders.keys();
+      for (let deleted = 0; deleted < trimBatchSize; deleted += 1) {
+        const next = keys.next();
+        if (next.done) {
+          break;
+        }
+        this.deleteSnapshot(record, {
+          table: "closed",
+          symbol: location.symbol,
+          key: next.value,
+        });
+      }
+      symbolOrders = record.closedOrders.get(location.symbol);
+    }
+  }
+
+  private getSnapshotLocation(
+    snapshot: OrderSnapshot,
+  ): OrderLocation | undefined {
+    const key = getOrderKey(snapshot);
+    if (!key) {
+      return undefined;
+    }
+
+    return {
+      table: isOpenOrder(snapshot) ? "open" : "closed",
+      symbol: snapshot.symbol,
+      key,
+    };
+  }
+
+  private warnDroppedUnkeyedTerminalOrder(
+    record: OrderRecord,
     snapshot: OrderSnapshot,
   ): void {
-    const lookupKey =
-      getOrderLookupKey(snapshot) ??
-      getOrderLookupKey({
-        clientOrderId: snapshot.clientOrderId,
-      });
-    if (lookupKey) {
-      snapshots.set(lookupKey, snapshot);
+    if (isOpenOrder(snapshot)) {
+      return;
+    }
+
+    this.context.publishRuntimeError(
+      "order",
+      new Error(
+        "Dropped terminal order update without orderId or clientOrderId",
+      ),
+      {
+        accountId: record.accountId,
+        venue: record.venue,
+        symbol: snapshot.symbol,
+      },
+    );
+  }
+
+  private warnProvisionalTerminalOrder(
+    record: OrderRecord,
+    snapshot: OrderSnapshot,
+  ): void {
+    // 终态单缺 orderId 但有 clientOrderId: 用 client key provisional 存储并告警。
+    // adapter 契约要求终态带 orderId(见 adapter-contract.md);仅 cid 无法保证稳定唯一主键。
+    if (snapshot.orderId || isOpenOrder(snapshot) || !snapshot.clientOrderId) {
+      return;
+    }
+
+    this.context.publishRuntimeError(
+      "order",
+      new Error(
+        "Stored terminal order without orderId using provisional clientOrderId key",
+      ),
+      {
+        accountId: record.accountId,
+        venue: record.venue,
+        symbol: snapshot.symbol,
+      },
+    );
+  }
+
+  private getSnapshotAtLocation(
+    record: OrderRecord,
+    location: OrderLocation,
+  ): OrderSnapshot | undefined {
+    return this.getOrderTable(record, location.table)
+      .get(location.symbol)
+      ?.get(location.key);
+  }
+
+  private getOrderTable(
+    record: OrderRecord,
+    table: OrderTable,
+  ): Map<string, Map<string, OrderSnapshot>> {
+    return table === "open" ? record.openOrders : record.closedOrders;
+  }
+
+  private getOrCreateSymbolOrders(
+    table: Map<string, Map<string, OrderSnapshot>>,
+    symbol: string,
+  ): Map<string, OrderSnapshot> {
+    const existing = table.get(symbol);
+    if (existing) {
+      return existing;
+    }
+
+    const created = new Map<string, OrderSnapshot>();
+    table.set(symbol, created);
+    return created;
+  }
+
+  private getOrCreateOrderIdSymbolIndex(
+    record: OrderRecord,
+    symbol: string,
+  ): Map<string, OrderLocation> {
+    const existing = record.orderIdIndex.get(symbol);
+    if (existing) {
+      return existing;
+    }
+
+    const created = new Map<string, OrderLocation>();
+    record.orderIdIndex.set(symbol, created);
+    return created;
+  }
+
+  private getOrderIdLocation(
+    record: OrderRecord,
+    symbol: string,
+    orderId: string,
+  ): OrderLocation | undefined {
+    return record.orderIdIndex.get(symbol)?.get(orderId);
+  }
+
+  private getSnapshotsForOrderId(
+    record: OrderRecord,
+    orderId: string,
+  ): OrderSnapshot[] {
+    return this.getSnapshotsForLocations(
+      record,
+      record.orderIdOnlyIndex.get(orderId),
+    );
+  }
+
+  private getSnapshotsForClientOrderId(
+    record: OrderRecord,
+    clientOrderId: string,
+  ): OrderSnapshot[] {
+    return this.getSnapshotsForLocations(
+      record,
+      record.clientOrderIdIndex.get(clientOrderId),
+    );
+  }
+
+  private getSnapshotsForLocations(
+    record: OrderRecord,
+    locations?: Iterable<OrderLocation>,
+  ): OrderSnapshot[] {
+    if (!locations) {
+      return [];
+    }
+
+    const snapshots: OrderSnapshot[] = [];
+    for (const location of locations) {
+      const snapshot = this.getSnapshotAtLocation(record, location);
+      if (snapshot) {
+        snapshots.push(snapshot);
+      }
+    }
+
+    return snapshots;
+  }
+
+  private getOpenOrderSnapshots(record: OrderRecord): OrderSnapshot[] {
+    return this.getSnapshotsInTable(record.openOrders);
+  }
+
+  private getAllSnapshots(record: OrderRecord): OrderSnapshot[] {
+    return [
+      ...this.getSnapshotsInTable(record.openOrders),
+      ...this.getSnapshotsInTable(record.closedOrders),
+    ];
+  }
+
+  private getSnapshotsInTable(
+    table: Map<string, Map<string, OrderSnapshot>>,
+  ): OrderSnapshot[] {
+    const snapshots: OrderSnapshot[] = [];
+    for (const symbolOrders of table.values()) {
+      snapshots.push(...symbolOrders.values());
+    }
+
+    return snapshots;
+  }
+
+  private getSnapshotCount(record: OrderRecord): number {
+    return (
+      this.getSnapshotCountInTable(record.openOrders) +
+      this.getSnapshotCountInTable(record.closedOrders)
+    );
+  }
+
+  private getSnapshotCountInTable(
+    table: Map<string, Map<string, OrderSnapshot>>,
+  ): number {
+    let size = 0;
+    for (const symbolOrders of table.values()) {
+      size += symbolOrders.size;
+    }
+
+    return size;
+  }
+
+  private addLocationToSetIndex(
+    index: Map<string, Set<OrderLocation>>,
+    key: string,
+    location: OrderLocation,
+  ): void {
+    this.removeLocationFromSetIndex(index, key, location);
+
+    const locations = index.get(key);
+    if (locations) {
+      locations.add(location);
+      return;
+    }
+
+    index.set(key, new Set([location]));
+  }
+
+  private removeLocationFromSetIndex(
+    index: Map<string, Set<OrderLocation>>,
+    key: string,
+    location: OrderLocation,
+  ): void {
+    const locations = index.get(key);
+    if (!locations) {
+      return;
+    }
+
+    for (const candidate of locations) {
+      if (this.locationsEqual(candidate, location)) {
+        locations.delete(candidate);
+        break;
+      }
+    }
+
+    if (locations.size === 0) {
+      index.delete(key);
+    }
+  }
+
+  private locationsEqual(
+    left: OrderLocation | undefined,
+    right: OrderLocation,
+  ): boolean {
+    return Boolean(
+      left &&
+        left.table === right.table &&
+        left.symbol === right.symbol &&
+        left.key === right.key,
+    );
+  }
+
+  private selectLatestSnapshot(
+    snapshots: OrderSnapshot[],
+  ): OrderSnapshot | undefined {
+    let latest: OrderSnapshot | undefined;
+    for (const snapshot of snapshots) {
+      if (!latest) {
+        latest = snapshot;
+        continue;
+      }
+
+      const snapshotOpen = isOpenOrder(snapshot);
+      const latestOpen = isOpenOrder(latest);
+      if (snapshotOpen !== latestOpen) {
+        // open 候选绝对优先:当前活跃订单优于历史终态(clientOrderId 复用时旧单已 closed)
+        if (snapshotOpen) {
+          latest = snapshot;
+        }
+        continue;
+      }
+
+      // 同为 open 或同为 closed: 取 updatedAt 最新。
+      // 不能用 seq —— seq 是单订单版本号,跨订单(如复用 cid 的不同订单)不可比。
+      if (snapshot.updatedAt > latest.updatedAt) {
+        latest = snapshot;
+      }
     }
+
+    return latest;
+  }
+
+  private applyUpdateToRecord(
+    record: OrderRecord,
+    accountId: string,
+    venue: Venue,
+    update: RawOrderUpdate,
+    options: { requestStartedAt?: number; preserveStatus?: boolean } = {},
+  ): OrderSnapshot | undefined {
+    const previous = this.getExistingSnapshot(record, update);
+    if (
+      !shouldApplyWatermarkedUpdate(previous, update, {
+        requestStartedAt: options.requestStartedAt,
+        source: options.requestStartedAt === undefined ? "stream" : "rest",
+      })
+    ) {
+      return undefined;
+    }
+
+    const snapshot = this.createSnapshot(accountId, venue, update, previous);
+    return this.setSnapshot(record, snapshot, previous) ? snapshot : undefined;
   }
 
   private createSnapshot(
@@ -530,7 +1215,13 @@ export class OrderManagerImpl
     previous?: OrderSnapshot,
   ): OrderSnapshot {
     const amount = new BigNumber(input.amount);
-    const filled = new BigNumber(input.filled);
+    const rawFilled = new BigNumber(input.filled);
+    const filled =
+      previous &&
+      input.exchangeTs !== undefined &&
+      previous.exchangeTs === input.exchangeTs
+        ? BigNumber.maximum(rawFilled, previous.filled)
+        : rawFilled;
     const remaining =
       input.remaining === undefined
         ? amount.minus(filled)
@@ -539,29 +1230,27 @@ export class OrderManagerImpl
     return {
       accountId,
       venue,
-      orderId: input.orderId,
-      clientOrderId: input.clientOrderId,
+      orderId: input.orderId ?? previous?.orderId,
+      clientOrderId: input.clientOrderId ?? previous?.clientOrderId,
       symbol: input.symbol,
       side: input.side,
       type: input.type,
-      status: input.status,
+      status: this.mergeOrderStatus(input, previous),
       price:
-        input.price === undefined
-          ? previous?.price
-          : new BigNumber(input.price),
+        input.price === undefined ? previous?.price : toCanonical(input.price),
       triggerPrice:
         input.triggerPrice === undefined
           ? previous?.triggerPrice
-          : new BigNumber(input.triggerPrice),
-      amount,
-      filled,
-      remaining,
+          : toCanonical(input.triggerPrice),
+      amount: toCanonical(amount),
+      filled: toCanonical(filled),
+      remaining: toCanonical(remaining),
       reduceOnly: input.reduceOnly ?? previous?.reduceOnly,
       positionSide: input.positionSide ?? previous?.positionSide,
       avgFillPrice:
         input.avgFillPrice === undefined
           ? previous?.avgFillPrice
-          : new BigNumber(input.avgFillPrice),
+          : toCanonical(input.avgFillPrice),
       exchangeTs: input.exchangeTs,
       receivedAt: input.receivedAt,
       updatedAt: input.receivedAt,
@@ -569,6 +1258,26 @@ export class OrderManagerImpl
     };
   }
 
+  private mergeOrderStatus(
+    input: RawOrderUpdate,
+    previous?: OrderSnapshot,
+  ): OrderSnapshot["status"] {
+    if (!previous) {
+      return input.status;
+    }
+
+    if (
+      input.exchangeTs !== undefined &&
+      previous.exchangeTs !== undefined &&
+      input.exchangeTs === previous.exchangeTs &&
+      orderPriority(input.status) < orderPriority(previous.status)
+    ) {
+      return previous.status;
+    }
+
+    return input.status;
+  }
+
   private publishStatus(record: OrderRecord): void {
     const event: OrderStatusChangedEvent = {
       type: "order.status_changed",
@@ -626,7 +1335,7 @@ export class OrderManagerImpl
     const record = this.getOrCreateRecord(accountId, venue);
     const previous = this.getExistingSnapshot(record, update);
     const snapshot = this.createSnapshot(accountId, venue, update, previous);
-    this.setSnapshot(record.snapshots, snapshot);
+    this.setSnapshot(record, snapshot, previous);
     return snapshot;
   }
 
@@ -654,7 +1363,8 @@ export class OrderManagerImpl
       symbol?: string;
     },
   ): AcexError {
-    const error = new AcexError(code, message);
+    const details = buildAcexErrorDetails(metadata);
+    const error = new AcexError(code, message, { details });
     this.context.publishRuntimeError("order", error, metadata);
     return error;
   }
@@ -681,6 +1391,10 @@ export class OrderManagerImpl
       error instanceof Error ? error : new Error(message),
       metadata,
     );
-    return new AcexError(code, message);
+    const details = buildAcexErrorDetails(metadata, error);
+    return new AcexError(code, formatAcexErrorMessage(message, details), {
+      cause: error,
+      details,
+    });
   }
 }