@tradejs/cli 2.0.1 → 2.0.3

package/dist/scripts/replay.js

@@ -3224,6 +3224,38 @@ var resolveDerivativesContextMissingFetchFromMs = (params) => {
   return null;
 };
 var resolveDerivativesContextFetchFromMs = (params) => resolveDerivativesContextMissingFetchFromMs(params) ?? (params.refreshClosedTail ? params.toMs : null);
+var resolveDerivativesContextRequiredFetchFromMs = (params) => {
+  const dataCoverageFromMs = params.dataCoverageKeyExists ? null : params.mode === "signals" ? params.fromMs : resolveDerivativesContextMissingCoverageFetchFromMs({
+    ranges: params.dataCoverageRanges,
+    fromMs: params.fromMs,
+    toMs: params.toMs,
+    intervalMs: params.intervalMs
+  });
+  const edgesFromMs = dataCoverageFromMs == null ? null : resolveDerivativesContextFetchFromMs({
+    edges: params.edges,
+    fromMs: params.fromMs,
+    toMs: params.toMs,
+    intervalMs: params.intervalMs,
+    refreshClosedTail: params.mode === "signals"
+  });
+  const dataFetchFromMs = dataCoverageFromMs != null && edgesFromMs != null ? Math.max(dataCoverageFromMs, edgesFromMs) : null;
+  const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+    interval: params.interval,
+    fromMs: params.fromMs,
+    toMs: params.toMs,
+    nowMs: params.nowMs
+  });
+  const liquidationFetchFromMs = confirmedLiquidationWindow ? resolveDerivativesContextMissingCoverageFetchFromMs({
+    ranges: params.liquidationCoverageRanges,
+    fromMs: confirmedLiquidationWindow.fromMs,
+    toMs: confirmedLiquidationWindow.toMs,
+    intervalMs: params.intervalMs
+  }) : null;
+  const fetchStarts = [dataFetchFromMs, liquidationFetchFromMs].filter(
+    (value) => value != null
+  );
+  return fetchStarts.length ? Math.min(...fetchStarts) : null;
+};
 var countBackfillWindows = (params) => {
   let count = 0;
   let cursor = params.fromMs;
@@ -3559,7 +3591,8 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
     mode,
     startMs,
     endMs,
-    preloadStartMs: params.preloadStartMs
+    preloadStartMs: params.preloadStartMs,
+    nowMs: Date.now()
   });
   if (safeEndMs <= fromMs) {
     return skippedBackfillResult2();
@@ -3593,15 +3626,33 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
   );
   const coverageKeysByInterval = /* @__PURE__ */ new Map();
   const coverageRangesByInterval = /* @__PURE__ */ new Map();
+  const liquidationCoverageRangesByInterval = /* @__PURE__ */ new Map();
+  const coverageNowMs = Date.now();
   await Promise.all(
     intervalWindows.map(async (window2) => {
-      const coverageRows = await (0, import_timescale2.getDerivativesBackfillCoverage)({
-        source: "coinalyze",
-        symbols,
+      const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
         interval: window2.interval,
         fromMs: window2.fromMs,
-        toMs: window2.toMs
+        toMs: window2.toMs,
+        nowMs: coverageNowMs
       });
+      const [coverageRows, liquidationCoverageRows] = await Promise.all([
+        (0, import_timescale2.getDerivativesBackfillCoverage)({
+          source: "coinalyze",
+          symbols,
+          interval: window2.interval,
+          fromMs: window2.fromMs,
+          toMs: window2.toMs
+        }),
+        confirmedLiquidationWindow ? (0, import_timescale2.getDerivativesMetricCoverage)({
+          source: "coinalyze",
+          metric: "liquidation",
+          symbols,
+          interval: window2.interval,
+          fromMs: confirmedLiquidationWindow.fromMs,
+          toMs: confirmedLiquidationWindow.toMs
+        }) : Promise.resolve([])
+      ]);
       coverageKeysByInterval.set(
         window2.interval,
         new Set(
@@ -3623,6 +3674,17 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
         rangesBySymbol.set(symbol, ranges);
       }
       coverageRangesByInterval.set(window2.interval, rangesBySymbol);
+      const liquidationRangesBySymbol = /* @__PURE__ */ new Map();
+      for (const row of liquidationCoverageRows) {
+        const symbol = row.symbol.toUpperCase();
+        const ranges = liquidationRangesBySymbol.get(symbol) ?? [];
+        ranges.push({ fromMs: row.fromMs, toMs: row.toMs });
+        liquidationRangesBySymbol.set(symbol, ranges);
+      }
+      liquidationCoverageRangesByInterval.set(
+        window2.interval,
+        liquidationRangesBySymbol
+      );
     })
   );
   const cachedWindows = intervalWindows.reduce(
@@ -3647,7 +3709,7 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
       (symbol) => backfillWindows.every((backfillWindow) => {
         const normalizedSymbol = symbol.toUpperCase();
         const coverageRanges = coverageRangesByInterval.get(window2.interval)?.get(normalizedSymbol) ?? [];
-        return hasDerivativesWindowCoverage({
+        const dataCovered = hasDerivativesWindowCoverage({
           edges: edgesBySymbol?.get(normalizedSymbol),
           fromMs: backfillWindow.fromMs,
           toMs: backfillWindow.toMs
@@ -3664,6 +3726,19 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
             toMs: backfillWindow.toMs
           })
         );
+        const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+          interval: window2.interval,
+          fromMs: backfillWindow.fromMs,
+          toMs: backfillWindow.toMs,
+          nowMs: coverageNowMs
+        });
+        const liquidationCovered = confirmedLiquidationWindow == null || resolveDerivativesContextMissingCoverageFetchFromMs({
+          ranges: liquidationCoverageRangesByInterval.get(window2.interval)?.get(normalizedSymbol) ?? [],
+          fromMs: confirmedLiquidationWindow.fromMs,
+          toMs: confirmedLiquidationWindow.toMs,
+          intervalMs: window2.intervalMs
+        }) == null;
+        return dataCovered && liquidationCovered;
       })
     );
   });
@@ -3748,6 +3823,11 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
     coverageKeysByInterval.set(interval, coverageKeys);
     const coverageRangesBySymbol = coverageRangesByInterval.get(interval) ?? /* @__PURE__ */ new Map();
     coverageRangesByInterval.set(interval, coverageRangesBySymbol);
+    const liquidationCoverageRangesBySymbol = liquidationCoverageRangesByInterval.get(interval) ?? /* @__PURE__ */ new Map();
+    liquidationCoverageRangesByInterval.set(
+      interval,
+      liquidationCoverageRangesBySymbol
+    );
     for (let batchIdx = 0; batchIdx < symbolBatches.length; batchIdx += 1) {
       const batch = symbolBatches[batchIdx];
       let cursor = window2.fromMs;
@@ -3760,33 +3840,25 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
             fromMs: cursor,
             toMs
           });
-          if (coverageKeys.has(key)) {
-            return null;
-          }
           const normalizedSymbol = item.symbol.toUpperCase();
-          const coverageFromMs = mode === "signals" ? cursor : resolveDerivativesContextMissingCoverageFetchFromMs({
-            ranges: coverageRangesBySymbol.get(normalizedSymbol),
-            fromMs: cursor,
-            toMs,
-            intervalMs
-          });
-          if (coverageFromMs == null) {
-            return null;
-          }
-          const edges = edgesBySymbol.get(normalizedSymbol);
-          const edgesFromMs = resolveDerivativesContextFetchFromMs({
-            edges,
-            fromMs: cursor,
-            toMs,
-            intervalMs,
-            refreshClosedTail: mode === "signals"
-          });
-          if (edgesFromMs == null) {
-            return null;
-          }
+          const requiredFromMs = resolveDerivativesContextRequiredFetchFromMs(
+            {
+              mode,
+              interval,
+              intervalMs,
+              fromMs: cursor,
+              toMs,
+              nowMs: coverageNowMs,
+              dataCoverageKeyExists: coverageKeys.has(key),
+              dataCoverageRanges: coverageRangesBySymbol.get(normalizedSymbol),
+              liquidationCoverageRanges: liquidationCoverageRangesBySymbol.get(normalizedSymbol),
+              edges: edgesBySymbol.get(normalizedSymbol)
+            }
+          );
+          if (requiredFromMs == null) return null;
           return {
             item,
-            fromMs: Math.max(coverageFromMs, edgesFromMs)
+            fromMs: requiredFromMs
           };
         }).filter(
           (item) => item != null
@@ -3811,6 +3883,7 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
               );
               let rows = [];
               let missingClosedSymbols = [];
+              let liquidationRowsByMarket = /* @__PURE__ */ new Map();
               for (let attempt = 1; attempt <= maxClosedBarAttempts; attempt += 1) {
                 const oiMap = await fetchMetricBatch({
                   endpoint: oiPath,
@@ -3830,7 +3903,7 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
                   fromMs: group.fromMs,
                   toMs
                 });
-                const liqMap = await fetchMetricBatch({
+                liquidationRowsByMarket = await fetchMetricBatch({
                   endpoint: liqPath,
                   metric: "liq",
                   marketSymbols,
@@ -3845,7 +3918,7 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
                     symbol: item.symbol,
                     oiRaw: oiMap.get(marketSymbol) ?? [],
                     fundingRaw: fundingMap.get(marketSymbol) ?? [],
-                    liqRaw: liqMap.get(marketSymbol) ?? []
+                    liqRaw: liquidationRowsByMarket.get(marketSymbol) ?? []
                   });
                   return (0, import_indicators.coinalyzePointsToRows)(points, interval, "coinalyze");
                 });
@@ -3868,6 +3941,42 @@ var backfillDerivativesContext = async (params, enabled, mode) => {
                 await (0, import_timescale2.upsertDerivatives)(rows);
                 totalRows += rows.length;
               }
+              const confirmedLiquidationWindow = (0, import_indicators.resolveCoinalyzeConfirmedIntradayCoverage)({
+                interval,
+                fromMs: group.fromMs,
+                toMs,
+                nowMs: coverageNowMs
+              });
+              if (confirmedLiquidationWindow) {
+                const metricCoverageRows = missingBatch.map((item) => {
+                  const marketSymbol = item.marketSymbol.toUpperCase();
+                  const eventRowsCount = (liquidationRowsByMarket.get(marketSymbol) ?? []).filter((point) => {
+                    const timestamp = (0, import_indicators.toCoinalyzeTimestampMs)(
+                      point.t ?? point.ts ?? point.time ?? point.timestamp
+                    );
+                    return timestamp != null && timestamp >= confirmedLiquidationWindow.fromMs && timestamp <= confirmedLiquidationWindow.toMs;
+                  }).length;
+                  return {
+                    source: "coinalyze",
+                    metric: "liquidation",
+                    symbol: item.symbol,
+                    interval,
+                    fromMs: confirmedLiquidationWindow.fromMs,
+                    toMs: confirmedLiquidationWindow.toMs,
+                    eventRowsCount
+                  };
+                });
+                await (0, import_timescale2.applyDerivativesMetricCoverage)(metricCoverageRows);
+                for (const coverageRow of metricCoverageRows) {
+                  const symbol = coverageRow.symbol.toUpperCase();
+                  const ranges = liquidationCoverageRangesBySymbol.get(symbol) ?? [];
+                  ranges.push({
+                    fromMs: coverageRow.fromMs,
+                    toMs: coverageRow.toMs
+                  });
+                  liquidationCoverageRangesBySymbol.set(symbol, ranges);
+                }
+              }
               if (mode === "backtest") {
                 const rowsCountBySymbol = /* @__PURE__ */ new Map();
                 for (const row of rows) {
@@ -6800,7 +6909,9 @@ var import_constants5 = require("@tradejs/core/constants");
 var import_time5 = require("@tradejs/core/time");
 var import_redis4 = require("@tradejs/infra/redis");
 var CLOSED_PNL_LIMIT = 100;
+var CLOSED_PNL_RECONCILIATION_LOOKBACK_MS = 24 * 60 * 60 * 1e3;
 var EXCHANGE_HISTORY_MAX_RANGE_MS = 7 * 24 * 60 * 60 * 1e3;
+var isRuntimeTradeSyncFallbackClose = (trade) => trade.status === "closed" && trade.exitTimestamp === trade.lastSyncedAt && trade.exitPrice == null && trade.actualExitPrice == null && trade.closeFee == null && trade.fundingFee == null;
 var splitExchangeHistoryTimeRange = ({
   startTime,
   endTime,
@@ -6929,7 +7040,7 @@ var syncRuntimeTrades = async ({
   );
   const closedPnlRows = await loadClosedPnlRows({
     connector,
-    startTime,
+    startTime: Math.max(0, startTime - CLOSED_PNL_RECONCILIATION_LOOKBACK_MS),
     endTime,
     callbacks: closedPnlCallbacks
   });
@@ -6941,14 +7052,14 @@ var syncRuntimeTrades = async ({
   }
   const syncedTrades = [];
   for (const trade of trades) {
-    if (trade.status !== "active") {
+    if (trade.status !== "active" && !isRuntimeTradeSyncFallbackClose(trade)) {
       syncedTrades.push(trade);
       continue;
     }
     const openPosition = openPositionsBySymbol.get(trade.symbol);
     const activeOrderId = activeOrderIdBySymbol.get(trade.symbol);
     const isCurrentActiveTrade = activeOrderId === trade.orderId;
-    if (!openPositionsReliable) {
+    if (trade.status === "active" && !openPositionsReliable) {
       syncedTrades.push({
         ...trade,
         status: "active",
@@ -6956,7 +7067,7 @@ var syncRuntimeTrades = async ({
       });
       continue;
     }
-    if (isCurrentActiveTrade && openPosition && openPosition.direction === trade.direction) {
+    if (trade.status === "active" && isCurrentActiveTrade && openPosition && openPosition.direction === trade.direction) {
       const nextTrade2 = {
         ...trade,
         status: "active",
@@ -6984,21 +7095,24 @@ var syncRuntimeTrades = async ({
       continue;
     }
     const matchedClosedPnl = consumeClosedPnlMatch(closedPnlBuckets, trade);
+    if (!matchedClosedPnl) {
+      continue;
+    }
     const nextTrade = {
       ...trade,
       status: "closed",
-      currentPrice: matchedClosedPnl?.exitPrice ?? trade.currentPrice ?? null,
-      currentPnl: matchedClosedPnl?.closedPnl ?? trade.closedPnl ?? trade.currentPnl ?? null,
-      closedPnl: matchedClosedPnl?.closedPnl ?? trade.closedPnl ?? trade.currentPnl ?? null,
-      actualEntryPrice: matchedClosedPnl?.entryPrice ?? trade.actualEntryPrice ?? null,
-      exitPrice: matchedClosedPnl?.exitPrice ?? trade.exitPrice ?? null,
-      actualExitPrice: matchedClosedPnl?.exitPrice ?? trade.actualExitPrice ?? null,
-      exitTimestamp: matchedClosedPnl?.closedAt ?? trade.exitTimestamp ?? endTime,
+      currentPrice: matchedClosedPnl.exitPrice ?? trade.currentPrice ?? null,
+      currentPnl: matchedClosedPnl.closedPnl,
+      closedPnl: matchedClosedPnl.closedPnl,
+      actualEntryPrice: matchedClosedPnl.entryPrice ?? trade.actualEntryPrice ?? null,
+      exitPrice: matchedClosedPnl.exitPrice ?? trade.exitPrice ?? null,
+      actualExitPrice: matchedClosedPnl.exitPrice ?? trade.actualExitPrice ?? null,
+      exitTimestamp: matchedClosedPnl.closedAt,
       exitType: trade.exitType ?? null,
-      openFee: matchedClosedPnl?.openFee ?? trade.openFee ?? null,
-      closeFee: matchedClosedPnl?.closeFee ?? trade.closeFee ?? null,
-      fundingFee: matchedClosedPnl?.fundingFee ?? trade.fundingFee ?? null,
-      totalFee: matchedClosedPnl?.totalFee ?? trade.totalFee ?? null,
+      openFee: matchedClosedPnl.openFee ?? trade.openFee ?? null,
+      closeFee: matchedClosedPnl.closeFee ?? trade.closeFee ?? null,
+      fundingFee: matchedClosedPnl.fundingFee ?? trade.fundingFee ?? null,
+      totalFee: matchedClosedPnl.totalFee ?? trade.totalFee ?? null,
       lastSyncedAt: endTime
     };
     await Promise.all([