dexbot 1.4.21 → 1.4.23

package/dist/analysis/bot_fitting/backtest_bot_fitting.js

@@ -1,15 +1,60 @@
+'use strict';
 import fs from 'node:fs';
 import path from 'node:path';
-import { calculateAMA } from '../../market_adapter/core/strategies/ama.js';
+import { pathToFileURL } from 'node:url';
+import { calculateAMA, getAmaWarmupBars } from '../../market_adapter/core/strategies/ama.js';
+import { computeAverageAmaSlopePct } from '../../market_adapter/core/strategies/ama_slope_model.js';
 import { range } from '../math_utils.js';
 import { parseListOrRange, loadLpData, fmt } from './shared_utils.js';
 import { getStorage } from '../../modules/storage/index.js';
 import { PATHS } from '../../modules/paths.js';
+import { GRID_LIMITS, MARKET_ADAPTER } from '../../modules/constants.js';
 const { ensureDir, readJSON, writeJSON } = getStorage();
-'use strict';
-const DEFAULT_ACTIVE_ORDERS = 5;
+// Default mirrors production sizing: createOrderGrid sizes EVERY rail slot in
+// bounds (modules/order/grid.ts), it does not cap per side. Infinity = all
+// slots; --active-orders N restores a bounded run.
+const DEFAULT_ACTIVE_ORDERS = Infinity;
 const DEFAULT_FEE_ROUNDTRIP_PCT = 0.20;
-const DEFAULT_MIN_SPREAD_FACTOR = 2.1;
+// BTS operation fees — same model as backtest_ama_sweep. Every placement
+// (initial grid, reset rebuild, per-cycle slot refill) pays a maker create
+// fee, every cancel pays a cancel fee. Fees are converted into percentage
+// points against --bts-fee-capital so they deduct from net capture in the
+// same units as the rest of the accounting.
+const DEFAULT_BTS_CREATE_FEE = 0.48260;
+const DEFAULT_BTS_CANCEL_FEE = 0.00482;
+const DEFAULT_BTS_MAKER_CREATE_FACTOR = 0.10;
+const DEFAULT_TX_FEE_PRICE = 1.0;
+const DEFAULT_BTS_FEE_CAPITAL = 10000;
+// ── Production grid-reset triggers (MARKET_ADAPTER, modules/constants.ts) ────
+//
+// Trigger A — AMA delta: the live adapter records the AMA center and writes a
+// recalculate.<botKey>.trigger when AMA moves ±AMA_DELTA_THRESHOLD_PERCENT
+// from that recorded center; the center re-records only when a trigger fires
+// (ratchet semantics — see analyze_ama_price_changes.trackRepositions).
+// --reposition-pct overrides the default.
+const DEFAULT_REPOSITION_PCT = MARKET_ADAPTER.AMA_DELTA_THRESHOLD_PERCENT;
+//
+// Trigger B — AMA slope delta, plus the grid price offset, are BOTH gated in
+// production behind the per-bot asymmetricBounds whitelist
+// (market_adapter_service.ts: isGridRangeScalingWhitelisted consumes both
+// shouldTrigger at the slope-reset write and computeGridPriceOffsetPlan via
+// README "asymmetricBounds whitelist also enables gridPriceOffsetPct").
+// The sim therefore exposes one switch, default OFF (typical non-whitelisted
+// bot): --asymmetric-bounds enables slope-delta resets AND slope-ratio offset.
+// Trigger B fires when |slopePct_now − baseline| reaches
+// (AMA_SLOPE_DELTA_THRESHOLD_PERCENT / 100) × DYNAMIC_WEIGHT_AMA_MAX_SLOPE_PCT,
+// where slopePct is the average per-bar AMA change over
+// DYNAMIC_WEIGHT_AMA_LOOKBACK_BARS (computeAverageAmaSlopePct) and the
+// baseline mirrors botState.gridRangeScalingAmaSlope (re-seeded every reset).
+const SLOPE_TRIGGER_FACTOR = MARKET_ADAPTER.AMA_SLOPE_DELTA_THRESHOLD_PERCENT;
+const SLOPE_MAX_PCT = MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_MAX_SLOPE_PCT;
+const SLOPE_LOOKBACK_BARS = MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_LOOKBACK_BARS;
+const SLOPE_NEUTRAL_ZONE_PCT = MARKET_ADAPTER.DYNAMIC_WEIGHT_AMA_NEUTRAL_ZONE_PCT;
+// Spread-gap floor knobs (GRID_LIMITS): the effective target spread is
+// clamped up to incrementPercent × MIN_SPREAD_FACTOR and the gap is never
+// narrower than MIN_SPREAD_ORDERS slots — mirrored from calculateGapSlots
+// (modules/order/utils/math.ts).
+const DEFAULT_MIN_SPREAD_FACTOR = GRID_LIMITS.MIN_SPREAD_FACTOR;
 // Inventory-risk penalty weights (in score points)
 const RISK_W_DURATION = 1.0; // avg open bars
 const RISK_W_PEAK_OPEN = 2.0; // peak simultaneous open orders
@@ -29,6 +74,13 @@ function parseArgs() {
         activeOrders: DEFAULT_ACTIVE_ORDERS,
         feeRoundtripPct: DEFAULT_FEE_ROUNDTRIP_PCT,
         minSpreadFactor: DEFAULT_MIN_SPREAD_FACTOR,
+        repositionPct: DEFAULT_REPOSITION_PCT,
+        asymmetricBounds: false,
+        btsCreateFee: DEFAULT_BTS_CREATE_FEE,
+        btsCancelFee: DEFAULT_BTS_CANCEL_FEE,
+        makerCreateFactor: DEFAULT_BTS_MAKER_CREATE_FACTOR,
+        txFeePrice: DEFAULT_TX_FEE_PRICE,
+        btsFeeCapital: DEFAULT_BTS_FEE_CAPITAL,
         riskWDuration: RISK_W_DURATION,
         riskWPeakOpen: RISK_W_PEAK_OPEN,
         riskWImbalance: RISK_W_IMBALANCE,
@@ -36,6 +88,12 @@ function parseArgs() {
     };
     for (let i = 0; i < args.length; i++) {
         const arg = args[i];
+        // Valueless boolean flag — must be handled before the value lookup
+        // below (and before the trailing-arg `if (!val) continue` guard).
+        if (arg === '--asymmetric-bounds') {
+            out.asymmetricBounds = true;
+            continue;
+        }
         const val = args[i + 1];
         if (!val)
             continue;
@@ -72,6 +130,30 @@ function parseArgs() {
                 out.minSpreadFactor = Number(val);
                 i++;
                 break;
+            case '--reposition-pct':
+                out.repositionPct = Number(val);
+                i++;
+                break;
+            case '--bts-create-fee':
+                out.btsCreateFee = Number(val);
+                i++;
+                break;
+            case '--bts-cancel-fee':
+                out.btsCancelFee = Number(val);
+                i++;
+                break;
+            case '--maker-create-factor':
+                out.makerCreateFactor = Number(val);
+                i++;
+                break;
+            case '--tx-fee-price':
+                out.txFeePrice = Number(val);
+                i++;
+                break;
+            case '--bts-fee-capital':
+                out.btsFeeCapital = Number(val);
+                i++;
+                break;
             case '--risk-duration':
                 out.riskWDuration = Number(val);
                 i++;
@@ -156,113 +238,432 @@ function loadAmaStrategies(resultsPath) {
     }
     return out;
 }
-function levelGrossSpreadPct(levelRatio) {
-    return (((1 + levelRatio) / (1 - levelRatio)) - 1) * 100;
+/**
+ * Spread-gap width in slots — direct port of calculateGapSlots
+ * (modules/order/utils/math.ts:1228). The effective target spread is clamped
+ * up to incrementPercent × MIN_SPREAD_FACTOR and the gap never drops below
+ * MIN_SPREAD_ORDERS slots. `incrementPercent`/`targetSpreadPercent` in PERCENT
+ * units, matching the production signature.
+ */
+function computeGapSlots(incrementPercent, targetSpreadPercent) {
+    const step = 1 + (incrementPercent / 100);
+    const minSpreadPercent = incrementPercent * GRID_LIMITS.MIN_SPREAD_FACTOR;
+    const effectiveTargetSpread = Math.max(targetSpreadPercent || 0, minSpreadPercent);
+    const requiredSteps = Math.ceil(Math.log(1 + (effectiveTargetSpread / 100)) / Math.log(step));
+    return Math.max(GRID_LIMITS.MIN_SPREAD_ORDERS, requiredSteps - 1);
+}
+/**
+ * Slope-ratio grid price offset — port of computeGridPriceOffsetPlan
+ * (market_adapter/core/market_adapter_service.ts:92-119) combined with the
+ * trend/slopeRatio semantics of computeAmaSlopeWeights
+ * (market_adapter/core/strategies/ama_slope_model.ts):
+ *
+ *   maxGridPriceOffsetPct = targetSpreadPercent / 2
+ *   slopeRatio           = min(|slopePct| / DYNAMIC_WEIGHT_AMA_MAX_SLOPE_PCT, 1)
+ *   direction            = sign(slopePct) (0 inside the neutral zone)
+ *   offsetPct            = direction × slopeRatio × maxGridPriceOffsetPct
+ *
+ * Production applies this to startPrice (grid.ts:982: startPrice × (1 +
+ * offset/100)) only for asymmetricBounds-whitelisted bots; the sim applies it
+ * to the placement center on every grid build when asymmetricBounds is on.
+ */
+function computeGridPriceOffsetPct(slopePct, targetSpreadPercent) {
+    if (!Number.isFinite(slopePct))
+        return 0;
+    if (Math.abs(slopePct) <= SLOPE_NEUTRAL_ZONE_PCT)
+        return 0;
+    const slopeRatio = Math.min(Math.abs(slopePct) / SLOPE_MAX_PCT, 1);
+    const maxGridPriceOffsetPct = targetSpreadPercent / 2;
+    const direction = slopePct > 0 ? 1 : -1;
+    const offsetPct = direction * slopeRatio * maxGridPriceOffsetPct;
+    return Math.round(offsetPct * 1e6) / 1e6;
+}
+/**
+ * Build a persistent grid with FIXED chain prices from a master rail —
+ * port of createOrderGrid (modules/order/grid.ts:374-505):
+ *
+ *   - Master rail: geometric progression starting at √(1±inc) × center and
+ *     expanding by (1±inc) steps outward, bounded by
+ *     [center/maxMinRatio, center×maxMinRatio] (grid.ts:428-444).
+ *   - Spread gap: gapSlots empty slots centered on the center price
+ *     (calculateIdealBoundary: boundaryIdx = splitIdx − floor(gap/2) − 1;
+ *     sells start at boundaryIdx + gapSlots + 1).
+ *   - By default every rail slot in bounds is sized (activeOrders = Infinity,
+ *     matching production); an explicit cap keeps only the slots nearest the
+ *     gap on each side.
+ *
+ * Order prices are placement-time constants — exactly like on-chain orders,
+ * they do NOT follow AMA after placement.
+ */
+function buildProductionGrid(center, spreadPct, incrementPctFrac, maxMinRatio, activeOrders) {
+    const stepUp = 1 + incrementPctFrac;
+    const stepDown = 1 - incrementPctFrac;
+    const minBound = center / maxMinRatio;
+    const maxBound = center * maxMinRatio;
+    const rail = [];
+    let p = center * Math.sqrt(stepUp);
+    while (p <= maxBound) {
+        rail.push(p);
+        p *= stepUp;
+    }
+    p = center * Math.sqrt(stepDown);
+    while (p >= minBound) {
+        rail.push(p);
+        p *= stepDown;
+    }
+    rail.sort((a, b) => a - b);
+    if (rail.length === 0)
+        return { buys: [], sells: [], rail: [], buySliceStart: 0, sellStartIdx: 0 };
+    const gapSlots = computeGapSlots(incrementPctFrac * 100, spreadPct);
+    let splitIdx = rail.findIndex((v) => v >= center);
+    if (splitIdx === -1)
+        splitIdx = rail.length;
+    const buySpread = Math.floor(gapSlots / 2);
+    const boundaryIdx = Math.max(0, Math.min(rail.length - 1, splitIdx - buySpread - 1));
+    const sellStartIdx = boundaryIdx + gapSlots + 1;
+    // Buys closest to the gap = highest priced below boundary; sells closest =
+    // lowest priced above sellStartIdx. Rail + slice offsets are returned so
+    // callers can map each placed slot onto its MASTER-RAIL index (rotation
+    // walks adjacent rail nodes, exactly like the live anchor-&-refill hop).
+    const buySliceStart = Math.max(0, boundaryIdx - activeOrders + 1);
+    const sellsArr = rail.slice(sellStartIdx, sellStartIdx + activeOrders);
+    return {
+        buys: rail.slice(buySliceStart, boundaryIdx + 1),
+        sells: sellsArr,
+        rail,
+        buySliceStart,
+        sellStartIdx,
+    };
 }
+/**
+ * Slot-rotation simulation with FIXED chain prices, mirroring production
+ * anchor-&-refill (strategy.ts) on top of the createOrderGrid geometry:
+ *
+ *   - Initial grid built once at the post-warmup AMA (createOrderGrid geometry
+ *     via buildProductionGrid); order prices never follow AMA afterwards. When
+ *     asymmetricBounds is enabled the placement center is shifted by the
+ *     slope-ratio offset (#3) exactly like the live startPrice offset.
+ *   - Rotation economics (#1/#2/#15): a FILLED BUY at rail node k instantly
+ *     re-offers that base at the ADJACENT MASTER-RAIL NODE k+1; when that
+ *     refill sells, the rotation books exactly one rail hop minus the
+ *     round-trip fee, and the freed quote re-bids the node k-1 below. Slots
+ *     cycle on small oscillations between resets — the earnings model of a
+ *     refilled live slot, not a cross-gap differential.
+ *   - Inventory-funded selling: an INITIAL (unlinked) sell can only execute
+ *     against held inventory — it books its proceeds against the weighted
+ *     average entry of the position (the live bot funds sells from real
+ *     balances; unfundable sells stay open and retry, never shorting). Base
+ *     bought in the SAME bar does not fund unlinked sales until the next bar
+ *     (live balance updates propagate on the next maintenance tick).
+ *   - Same-bar guard: newly armed/refill orders carry a one-bar cooldown, so
+ *     a slot that just cycled cannot fill again inside the completion bar.
+ *   - Grid reset fires on EITHER production trigger:
+ *       (A) |AMA − recordedCenter| / recordedCenter ≥ repositionThresholdPct
+ *           (ratchet: recordedCenter updates only when the trigger fires),
+ *       (B) slope-delta reset, ONLY when asymmetricBounds (whitelist gate):
+ *           |slopePct_now − slopeBaseline| ≥ slopeDeltaThresholdPct
+ *           (= AMA_SLOPE_DELTA_THRESHOLD_PERCENT/100 ×
+ *              DYNAMIC_WEIGHT_AMA_MAX_SLOPE_PCT), where slopePct is the
+ *           DYNAMIC_WEIGHT_AMA_LOOKBACK_BARS average-slope series and
+ *           slopeBaseline mirrors botState.gridRangeScalingAmaSlope — seeded
+ *           at start and re-seeded on every reset.
+ *     On reset ALL unfilled orders are canceled (counted); bought-and-held
+ *     base REMAINS as inventory (live resync never market-sells) and merges
+ *     into the weighted-average-entry pool; a fresh grid is placed at the
+ *     new center.
+ *   - Scoring uses REALIZED rotations and op fees ONLY. The end-of-run
+ *     inventory position (units × mark-vs-avg-entry) is reported as an
+ *     informational field — it is real carried risk, but including unrealized
+ *     bag marks in the ranking objective let trend-following combos dump
+ *     phantom paper profit into the score.
+ *   - BTS operation fees (#9): every order placement (initial grid + every
+ *     armed refill/rebid) pays makerCreateFee × btsCreateFee, every reset
+ *     cancel pays btsCancelFee; totals are converted to percentage points
+ *     against the --bts-fee-capital reference and deducted from net capture.
+ *
+ * Differences from production (by design, documented):
+ *   #6 bar-granularity triggers and reset-vs-fill ordering (OHLC sim);
+ *   #7 all-or-nothing fills on raw hi/lo touch (no partial fills/dust/queue);
+ *   #8 unit sizes / percentage-point accounting instead of capital-weighted
+ *      dynamic sizing;
+ *   #10 pool-price fills (no book depth/slippage);
+ *   #11 no consolidation/dust-cancel/COW/collision mechanics.
+ */
 function simulateForParams(candles, amaValues, params) {
-    const { spreadPct, incrementPct, maxMinRatio, activeOrders, feeRoundtripPct, risk } = params;
-    const skip = Math.max(20, Math.floor(candles.length * 0.1));
-    const levels = Array.from({ length: activeOrders }, (_, i) => incrementPct * (i + 1));
-    const openBuy = new Map(); // lvl -> openedAtBarIdx
-    const openSell = new Map(); // lvl -> openedAtBarIdx
+    const { spreadPct, incrementPct, maxMinRatio, activeOrders, feeRoundtripPct, repositionThresholdPct, asymmetricBounds, risk, btsCreateFee, btsCancelFee, makerCreateFactor, txFeePrice, btsFeeCapital } = params;
+    // Warmup follows production AMA seeding/convergence (getAmaWarmupBars)
+    // instead of an arbitrary fraction of the dataset, so simulations never
+    // start on SMA-warmup values when the fitted ER period is large.
+    const skip = Math.min(params.warmupBars, Math.max(0, candles.length - 2));
+    const singleLegFeePct = feeRoundtripPct / 2;
+    const slopeDeltaThresholdPct = (SLOPE_TRIGGER_FACTOR / 100) * SLOPE_MAX_PCT;
+    const makerCreateFeeBts = btsCreateFee * makerCreateFactor;
+    const stepUpFrac = 1 + incrementPct; // one-rail-step rotation distance
+    // First tradable bar: need a finite positive AMA to anchor the chain.
+    let startIdx = Math.min(skip, candles.length - 1);
+    let gridCenter = Number.NaN;
+    for (let j = startIdx; j < candles.length; j++) {
+        const v = amaValues[j];
+        if (Number.isFinite(v) && v > 0) {
+            gridCenter = v;
+            startIdx = j;
+            break;
+        }
+    }
+    // Production AMA slope series (%/bar averaged over the lookback window).
+    // Evaluated over full history like the live adapter (only bar-index guards).
+    const slopeAt = new Array(candles.length).fill(null);
+    for (let j = SLOPE_LOOKBACK_BARS; j < candles.length; j++) {
+        const s = computeAverageAmaSlopePct(amaValues[j], amaValues[j - SLOPE_LOOKBACK_BARS], SLOPE_LOOKBACK_BARS);
+        if (s != null && Number.isFinite(s))
+            slopeAt[j] = s;
+    }
+    // Open orders keyed by running id: { side, price, linkedBuyPrice,
+    // linkedEntryBar, cooldownUntil }. linkedBuyPrice != null marks an armed
+    // refill sell created by a specific filled buy (one-increment rotation).
+    const orders = new Map();
+    let nextOrderId = 0;
+    // Bought-and-held base across the whole run (weighted-average entry
+    // pool). Never negative — sells without inventory stay pending.
+    const inv = { units: 0, cost: 0 };
+    let btsFeesBts = 0;
+    let offsetAppliedCount = 0;
+    // Master rail of the CURRENT epoch — rotation hops read adjacent nodes.
+    let activeRail = [];
+    const placeInitialGrid = (center, slopePct) => {
+        const offsetPct = (asymmetricBounds && slopePct != null)
+            ? computeGridPriceOffsetPct(slopePct, spreadPct)
+            : 0;
+        if (offsetPct !== 0)
+            offsetAppliedCount++;
+        const effCenter = center * (1 + offsetPct / 100);
+        const built = buildProductionGrid(effCenter, spreadPct, incrementPct, maxMinRatio, activeOrders);
+        activeRail = built.rail;
+        orders.clear();
+        // Rail indices matter: rotation re-offers/re-bids walk ADJACENT
+        // master-rail nodes (buy at node k arms a sell at node k+1; the freed
+        // quote re-bids node k-1), preserving the exact production hop sizes.
+        built.buys.forEach((price, i) => orders.set(nextOrderId++, {
+            side: 'buy', price, railIdx: built.buySliceStart + i,
+            linkedBuyPrice: null, linkedEntryBar: -1, cooldownUntil: -1,
+        }));
+        built.sells.forEach((price, i) => orders.set(nextOrderId++, {
+            side: 'sell', price, railIdx: built.sellStartIdx + i,
+            linkedBuyPrice: null, linkedEntryBar: -1, cooldownUntil: -1,
+        }));
+        btsFeesBts += (built.buys.length + built.sells.length) * makerCreateFeeBts;
+    };
     let touchedOrders = 0;
-    let matchedPairs = 0;
+    let cyclesTotal = 0;
+    let rotationCount = 0; // linked ping-pong rotations (buy → refill sell)
+    let inventorySaleCount = 0; // unlinked sells executed against held bags
     let canceledOnReposition = 0;
+    let repositionCount = 0;
+    let driftTriggerCount = 0;
+    let slopeTriggerCount = 0;
     let totalGrossCapturePct = 0;
     let totalNetCapturePct = 0;
-    let activeLevelTouches = 0;
     let peakOpenOrders = 0;
     let imbalanceSum = 0;
     let imbalanceSamples = 0;
     let matchedOpenDurationBars = 0;
-    for (let i = skip + 1; i < candles.length; i++) {
+    const invAvgEntry = () => (inv.units > 0 ? inv.cost / inv.units : 0);
+    if (Number.isFinite(gridCenter))
+        placeInitialGrid(gridCenter, slopeAt[startIdx]);
+    // Slope-delta baseline: mirrors botState.gridRangeScalingAmaSlope —
+    // seeded at bootstrap (first cycle) and re-seeded to the current slope on
+    // EVERY grid reset (advanceTriggeredBotState), so trigger B measures how
+    // far slope has moved SINCE THE LAST RESET, not bar-over-bar jitter.
+    let slopeBaseline = null;
+    for (let j = startIdx + 1; j < candles.length; j++) {
+        if (slopeAt[j] != null) {
+            slopeBaseline = slopeAt[j];
+            break;
+        }
+    }
+    for (let i = startIdx + 1; i < candles.length; i++) {
         const ama = amaValues[i];
-        const prevAma = amaValues[i - 1];
         const hi = candles[i].high;
         const lo = candles[i].low;
-        if (Math.abs(ama - prevAma) / prevAma > incrementPct) {
-            canceledOnReposition += openBuy.size + openSell.size;
-            openBuy.clear();
-            openSell.clear();
+        // ── Grid-reset check: trigger A (AMA delta) always; trigger B
+        //    (slope delta) only under the asymmetricBounds whitelist gate.
+        let shouldReset = false;
+        if (Number.isFinite(ama) && ama > 0) {
+            const driftPct = (Math.abs(ama - gridCenter) / gridCenter) * 100;
+            if (driftPct >= repositionThresholdPct) {
+                shouldReset = true;
+                driftTriggerCount++;
+            }
+        }
+        if (!shouldReset && asymmetricBounds && slopeBaseline != null && slopeAt[i] != null) {
+            const slopeDeltaPct = Math.abs(slopeAt[i] - slopeBaseline);
+            if (slopeDeltaPct >= slopeDeltaThresholdPct) {
+                shouldReset = true;
+                slopeTriggerCount++;
+            }
         }
-        const currentOpen = openBuy.size + openSell.size;
+        if (shouldReset && Number.isFinite(ama) && ama > 0) {
+            canceledOnReposition += orders.size;
+            btsFeesBts += orders.size * btsCancelFee;
+            orders.clear(); // inventory survives — resync never market-sells
+            repositionCount++;
+            gridCenter = ama; // ratchet the recorded center to the current AMA
+            // Re-seed the slope baseline with the current slope (falls back to
+            // the previous baseline when slope is not ready — same as
+            // advanceTriggeredBotState's `|| previous` chain).
+            if (slopeAt[i] != null)
+                slopeBaseline = slopeAt[i];
+            placeInitialGrid(gridCenter, slopeAt[i]);
+        }
+        const currentOpen = orders.size;
         if (currentOpen > peakOpenOrders)
             peakOpenOrders = currentOpen;
-        imbalanceSum += Math.abs(openBuy.size - openSell.size);
+        let buyCount = 0;
+        for (const [, o] of orders) {
+            if (o.side === 'buy')
+                buyCount++;
+        }
+        imbalanceSum += Math.abs(buyCount - (orders.size - buyCount));
         imbalanceSamples++;
-        const minBound = ama / maxMinRatio;
-        const maxBound = ama * maxMinRatio;
-        for (let lvl = 0; lvl < levels.length; lvl++) {
-            const r = levels[lvl];
-            if (r >= 0.95)
-                continue;
-            const buyPrice = ama * (1 - r);
-            const sellPrice = ama * (1 + r);
-            if (buyPrice < minBound || sellPrice > maxBound)
-                continue;
-            const grossPct = levelGrossSpreadPct(r);
-            if (grossPct < spreadPct)
+        // ── Fill detection against FIXED chain prices ───────────────────
+        const filledBuys = [];
+        const filledSells = [];
+        for (const [id, o] of orders) {
+            if (i < o.cooldownUntil)
                 continue;
-            const touchBuy = lo <= buyPrice;
-            const touchSell = hi >= sellPrice;
-            if (!touchBuy && !touchSell)
-                continue;
-            activeLevelTouches++;
-            if (touchBuy && !openBuy.has(lvl)) {
-                touchedOrders++;
-                if (openSell.has(lvl)) {
-                    const openedAt = openSell.get(lvl);
-                    matchedOpenDurationBars += (i - openedAt);
-                    matchedPairs++;
-                    openSell.delete(lvl);
-                    totalGrossCapturePct += grossPct;
-                }
-                else {
-                    openBuy.set(lvl, i);
-                }
+            if (o.side === 'buy' && lo <= o.price)
+                filledBuys.push({ id, order: o });
+            else if (o.side === 'sell' && hi >= o.price)
+                filledSells.push({ id, order: o });
+        }
+        touchedOrders += filledBuys.length + filledSells.length;
+        // Base held BEFORE this bar's intakes — an unlinked sell may only
+        // dispose against pre-existing funds (live balance updates propagate
+        // on the next maintenance tick; same-bar funding is not assumed).
+        const invAtBarStart = inv.units;
+        // ── Buy intakes first: base enters inventory, refill armed at the
+        //    ADJACENT MASTER-RAIL NODE above (anchor-&-refill hop; cooldown
+        //    blocks same-bar recycles).
+        for (const f of filledBuys) {
+            orders.delete(f.id);
+            inv.units += 1;
+            inv.cost += f.order.price;
+            const upIdx = (f.order.railIdx ?? -1) + 1;
+            const refillPrice = activeRail[upIdx] ?? f.order.price * stepUpFrac;
+            orders.set(nextOrderId++, {
+                side: 'sell',
+                price: refillPrice,
+                railIdx: upIdx,
+                linkedBuyPrice: f.order.price,
+                linkedEntryBar: i,
+                cooldownUntil: i + 1,
+            });
+            btsFeesBts += makerCreateFeeBts;
+        }
+        // ── Sell disposals: linked refills book the one-rail-hop rotation;
+        //     unlinked (initial-grid) sells need held inventory — no shorting.
+        //     Linked refills resolve FIRST so same-bar cross-gap inventory
+        //     sales against a fresh bag cannot happen.
+        filledSells.sort((a, b) => ((a.order.linkedBuyPrice != null ? 0 : 1) - (b.order.linkedBuyPrice != null ? 0 : 1)));
+        let disposables = invAtBarStart;
+        for (const f of filledSells) {
+            const o = f.order;
+            if (o.linkedBuyPrice != null) {
+                const grossPct = (o.price / o.linkedBuyPrice - 1) * 100;
+                totalGrossCapturePct += grossPct;
+                totalNetCapturePct += grossPct - feeRoundtripPct;
+                cyclesTotal++;
+                rotationCount++;
+                matchedOpenDurationBars += Math.abs(i - o.linkedEntryBar);
+                // Dispose the unit its own rotation bought.
+                const applied = Math.min(1, inv.units);
+                inv.cost -= applied * invAvgEntry();
+                inv.units -= applied;
+                // Its disposal also drains the pre-bar funding budget —
+                // otherwise later unlinked sales could overspend stock.
+                disposables -= applied;
+                // Freed quote re-bids the ADJACENT RAIL NODE below.
+                const downIdx = (o.railIdx ?? 0) - 1;
+                const rebidPrice = activeRail[downIdx] ?? o.price / stepUpFrac;
+                orders.delete(f.id);
+                orders.set(nextOrderId++, {
+                    side: 'buy',
+                    price: rebidPrice,
+                    railIdx: downIdx,
+                    linkedBuyPrice: null,
+                    linkedEntryBar: -1,
+                    cooldownUntil: i + 1,
+                });
+                btsFeesBts += makerCreateFeeBts;
             }
-            if (touchSell && !openSell.has(lvl)) {
-                touchedOrders++;
-                if (openBuy.has(lvl)) {
-                    const openedAt = openBuy.get(lvl);
-                    matchedOpenDurationBars += (i - openedAt);
-                    matchedPairs++;
-                    openBuy.delete(lvl);
-                    totalGrossCapturePct += grossPct;
-                }
-                else {
-                    openSell.set(lvl, i);
-                }
+            else if (disposables >= 1) {
+                const avgEntry = invAvgEntry();
+                const grossPct = (o.price / avgEntry - 1) * 100;
+                totalGrossCapturePct += grossPct;
+                totalNetCapturePct += grossPct - feeRoundtripPct;
+                cyclesTotal++;
+                inventorySaleCount++;
+                inv.cost -= avgEntry; // remove that unit at pool-average cost
+                inv.units -= 1;
+                disposables -= 1;
+                orders.delete(f.id); // sold bag is gone; slot not re-armed
+            }
+            else {
+                // Unfundable (no base to sell): stays open, retries next bar.
+                o.cooldownUntil = i + 1;
             }
         }
     }
-    // Profit model requested: totalProfit = fills * (spread - increment)
-    // (all values in percentage points)
-    const incrementPctPoints = incrementPct * 100;
-    const netPerFillPct = Math.max(0, spreadPct - incrementPctPoints - feeRoundtripPct);
-    totalNetCapturePct = matchedPairs * netPerFillPct;
-    const fillEfficiency = touchedOrders > 0 ? (matchedPairs / touchedOrders) * 100 : 0;
-    const avgNetPerPair = matchedPairs > 0 ? totalNetCapturePct / matchedPairs : 0;
-    const utilization = (activeLevelTouches / Math.max(1, (candles.length - skip))) * 100;
-    const baseScore = totalNetCapturePct * (fillEfficiency / 100);
-    const avgOpenDurationBars = matchedPairs > 0 ? (matchedOpenDurationBars / matchedPairs) : 0;
+    // ── End-of-run inventory mark (informational, NOT in score) ────────
+    // Bought-and-held base is real carried risk, but unrealized bag marks are
+    // excluded from ranking so trend-following combos can't dump phantom
+    // paper profit into the objective. Marked once at the final close with a
+    // single-leg exit fee per unit.
+    const lastClose = candles.length > 0 ? candles[candles.length - 1].close : NaN;
+    const inventoryUnits = inv.units;
+    const inventoryAvgEntry = invAvgEntry();
+    const inventoryNetPts = inventoryUnits > 0 && Number.isFinite(lastClose) && lastClose > 0
+        ? (((lastClose / inventoryAvgEntry) - 1) * 100 - singleLegFeePct) * inventoryUnits
+        : 0;
+    // BTS operation fees → percentage points against the reference capital.
+    const btsFeePts = (btsFeesBts * txFeePrice) / Math.max(1, btsFeeCapital) * 100;
+    const totalNetCaptureAfterFeesPct = totalNetCapturePct - btsFeePts;
+    const fillEfficiency = touchedOrders > 0 ? (cyclesTotal / touchedOrders) * 100 : 0;
+    const avgNetPerPair = cyclesTotal > 0 ? totalNetCapturePct / cyclesTotal : 0;
+    const utilization = (touchedOrders / Math.max(1, candles.length - skip)) * 100;
+    const avgOpenDurationBars = rotationCount > 0 ? (matchedOpenDurationBars / rotationCount) : 0;
     const avgImbalance = imbalanceSamples > 0 ? (imbalanceSum / imbalanceSamples) : 0;
     const riskPenalty = (avgOpenDurationBars * risk.duration) +
         (peakOpenOrders * risk.peakOpen) +
         (avgImbalance * risk.imbalance) +
         (canceledOnReposition * risk.cancel);
+    const baseScore = totalNetCaptureAfterFeesPct * (fillEfficiency / 100);
     const score = baseScore - riskPenalty;
     return {
         spreadPct,
         incrementPct,
         maxMinRatio,
         touchedOrders,
-        matchedPairs,
+        matchedPairs: cyclesTotal,
+        cyclesTotal,
+        rotationCount,
+        inventorySaleCount,
+        avgCyclesPerSlot: cyclesTotal / Math.max(1, peakOpenOrders),
         fillEfficiency,
         totalGrossCapturePct,
         totalNetCapturePct,
+        btsFeePts,
+        btsFeesBts,
+        totalNetCaptureAfterFeesPct,
         avgNetPerPair,
         canceledOnReposition,
+        repositionCount,
+        driftTriggerCount,
+        slopeTriggerCount,
+        inventoryUnits,
+        inventoryAvgEntry,
+        inventoryNetPts,
+        offsetAppliedCount,
         avgOpenDurationBars,
         peakOpenOrders,
         avgImbalance,
@@ -290,6 +691,9 @@ function run() {
     const candles = loaded.candles;
     const closes = candles.map((c) => c.close);
     const strategies = loadAmaStrategies(cfg.resultsPath);
+    if (!Number.isFinite(cfg.repositionPct) || cfg.repositionPct <= 0) {
+        throw new Error(`Invalid reposition threshold: ${cfg.repositionPct}`);
+    }
     const totalCombos = cfg.spreadValues.length * cfg.incrementValues.length * cfg.ratioValues.length;
     console.log('================================================================================');
     console.log(' BOT FITTING BACKTEST (1h LP candles)');
@@ -299,26 +703,43 @@ function run() {
     console.log(`  Spread grid:  ${cfg.spreadValues[0]}..${cfg.spreadValues[cfg.spreadValues.length - 1]}% (${cfg.spreadValues.length})`);
     console.log(`  Increment:    ${cfg.incrementValues[0]}..${cfg.incrementValues[cfg.incrementValues.length - 1]}% (${cfg.incrementValues.length})`);
     console.log(`  Max/Min ratio:${cfg.ratioValues[0]}..${cfg.ratioValues[cfg.ratioValues.length - 1]} (${cfg.ratioValues.length})`);
-    console.log(`  Active orders:${cfg.activeOrders} per side`);
+    console.log(`  Active orders:${Number.isFinite(cfg.activeOrders) ? cfg.activeOrders : 'all'} per side (Infinity = every rail slot, matching production)`);
     console.log(`  Fee RT:       ${cfg.feeRoundtripPct}%`);
     console.log(`  Spread floor: spread >= ${cfg.minSpreadFactor} x increment`);
+    console.log(`  Reset (A):    AMA drift >= ${cfg.repositionPct}% from recorded center${cfg.repositionPct === DEFAULT_REPOSITION_PCT ? ' (AMA_DELTA_THRESHOLD_PERCENT)' : ''}`);
+    console.log(`  Asym. bounds: ${cfg.asymmetricBounds ? 'ON — slope reset (B) + grid price offset enabled (whitelist semantics)' : 'OFF — typical non-whitelisted bot (production default)'}`);
+    console.log(`  Reset (B):    |slope - slope@lastReset| >= ${(SLOPE_TRIGGER_FACTOR / 100) * SLOPE_MAX_PCT}% (${SLOPE_TRIGGER_FACTOR}% x ${SLOPE_MAX_PCT}, lookback ${SLOPE_LOOKBACK_BARS})${cfg.asymmetricBounds ? '' : ' [gated off]'}`);
+    console.log(`  Tx fees:      create=${fmt(cfg.btsCreateFee * cfg.makerCreateFactor, 5)} BTS, cancel=${fmt(cfg.btsCancelFee, 5)} BTS, 1 BTS=${fmt(cfg.txFeePrice, 2)} units, capital=${fmt(cfg.btsFeeCapital, 0)}`);
     console.log(`  Risk W:       duration=${cfg.riskWDuration}, peakOpen=${cfg.riskWPeakOpen}, imbalance=${cfg.riskWImbalance}, cancel=${cfg.riskWCancel}`);
     console.log(`  Combos/AMA:   ${totalCombos}\n`);
     const byAma = [];
     for (const s of strategies) {
         const amaValues = calculateAMA(closes, { erPeriod: s.er, fastPeriod: s.fast, slowPeriod: s.slow });
+        // Production-aligned warmup: ER window + convergence (getAmaWarmupBars).
+        const warmupBars = getAmaWarmupBars(s.er, s.slow, 0, s.fast);
         let best = null;
         for (const spreadPct of cfg.spreadValues) {
             for (const incrementPct of cfg.incrementValues) {
+                // Dedup guard only: computeGapSlots clamps the effective target
+                // spread up to increment × MIN_SPREAD_FACTOR, so combos below the
+                // floor would build an identical grid to the floored combo.
+                if (spreadPct + Number.EPSILON < (cfg.minSpreadFactor * incrementPct))
+                    continue;
                 for (const maxMinRatio of cfg.ratioValues) {
-                    if (spreadPct + Number.EPSILON < (cfg.minSpreadFactor * incrementPct))
-                        continue;
                     const sim = simulateForParams(candles, amaValues, {
                         spreadPct,
                         incrementPct: incrementPct / 100,
                         maxMinRatio,
                         activeOrders: cfg.activeOrders,
                         feeRoundtripPct: cfg.feeRoundtripPct,
+                        repositionThresholdPct: cfg.repositionPct,
+                        asymmetricBounds: cfg.asymmetricBounds,
+                        btsCreateFee: cfg.btsCreateFee,
+                        btsCancelFee: cfg.btsCancelFee,
+                        makerCreateFactor: cfg.makerCreateFactor,
+                        txFeePrice: cfg.txFeePrice,
+                        btsFeeCapital: cfg.btsFeeCapital,
+                        warmupBars,
                         risk: {
                             duration: cfg.riskWDuration,
                             peakOpen: cfg.riskWPeakOpen,
@@ -335,8 +756,8 @@ function run() {
     }
     console.log('BEST PARAMS PER AMA');
     console.log('--------------------------------------------------------------------------------');
-    console.log('AMA                              | spread | incr | ratio | pairs | fill% | net%   | risk  | score');
-    console.log('---------------------------------|--------|------|-------|-------|-------|--------|-------|-------');
+    console.log('AMA                              | spread | incr | ratio | cyc   | fill% | net%   | risk  | score | inv-units (info)');
+    console.log('---------------------------------|--------|------|-------|-------|-------|--------|-------|-------|-----------------');
     for (const row of byAma) {
         const b = row.best;
         if (!b)
@@ -349,8 +770,10 @@ function run() {
             `${fmt(b.fillEfficiency, 1).padStart(5)} | ` +
             `${fmt(b.totalNetCapturePct, 1).padStart(6)} | ` +
             `${fmt(b.riskPenalty, 1).padStart(5)} | ` +
-            `${fmt(b.score, 1).padStart(5)}`);
+            `${fmt(b.score, 1).padStart(5)} | ` +
+            `${fmt(b.inventoryUnits, 0).padStart(8)} (${fmt(b.inventoryNetPts, 1)} pts)`);
     }
+    console.log('(* end-of-run inventory mark: informational only — excluded from scoring)');
     console.log();
     const outName = `bot_fitting_results_${path.basename(cfg.dataPath, '.json')}.json`;
     const outPath = path.join(PATHS.ANALYSIS.RESULTS_DIR, outName);
@@ -361,18 +784,34 @@ function run() {
             dataPath: path.relative(process.cwd(), cfg.dataPath),
             resultsPath: path.relative(process.cwd(), cfg.resultsPath),
             candles: candles.length,
-            activeOrders: cfg.activeOrders,
+            activeOrders: Number.isFinite(cfg.activeOrders) ? cfg.activeOrders : 'all',
             feeRoundtripPct: cfg.feeRoundtripPct,
+            btsCreateFee: cfg.btsCreateFee,
+            btsCancelFee: cfg.btsCancelFee,
+            makerCreateFactor: cfg.makerCreateFactor,
+            txFeePrice: cfg.txFeePrice,
+            btsFeeCapital: cfg.btsFeeCapital,
             search: {
                 spreadValues: cfg.spreadValues,
                 incrementValues: cfg.incrementValues,
                 ratioValues: cfg.ratioValues,
                 minSpreadFactor: cfg.minSpreadFactor,
+                repositionPct: cfg.repositionPct,
+                asymmetricBounds: cfg.asymmetricBounds,
                 combosPerAma: totalCombos,
             },
             scoring: {
-                baseScore: 'totalNetCapturePct * (fillEfficiency / 100)',
-                totalNetCapturePct: 'matchedPairs * (spread - increment - fee)',
+                baseScore: 'totalNetCaptureAfterFeesPct * (fillEfficiency / 100)',
+                gridModel: 'persistent fixed chain prices (createOrderGrid port): master rail at sqrt(1±inc) offsets bounded by [center/ratio, center*ratio], gapSlots spread zone centered on center; prices never follow AMA after placement',
+                spreadParam: 'targetSpreadPercent for calculateGapSlots (floored at increment * MIN_SPREAD_FACTOR)',
+                resetTriggers: `(A) AMA drift >= ${cfg.repositionPct}% from recorded center (ratchet)${cfg.asymmetricBounds ? ` OR (B) |slope - slopeAtLastReset| >= ${(SLOPE_TRIGGER_FACTOR / 100) * SLOPE_MAX_PCT}% over ${SLOPE_LOOKBACK_BARS}-bar average slope (baseline re-seeded on every reset)` : ' (trigger B gated off — asymmetricBounds whitelist)'}`,
+                gridPriceOffset: cfg.asymmetricBounds ? 'slope-ratio offset applied to placement center (direction * min(|slope|/maxSlopePct,1) * targetSpread/2) on every grid build' : 'disabled (asymmetricBounds whitelist)',
+                repositionAccounting: 'unfilled orders canceled + counted (incl armed refills/rebids); bought-and-held base carries across resets in a weighted-average-entry inventory pool (resync never market-sells); end-of-run inventory mark is informational and excluded from scoring',
+                cycleEconomics: 'slot rotation: filled buy re-offers one rail step up; that refill selling books ~increment% minus round-trip fee and the freed quote re-bids one step down; unlinked initial-grid sells only execute against held inventory at weighted-average entry (no shorting)',
+                totalGrossCapturePct: 'sum of realized per-rotation gross from actual fixed prices (linked rotations + inventory sales)',
+                totalNetCapturePct: 'realized gross - roundtrip fee per completed disposition; excludes the end-of-run inventory mark',
+                btsFees: `every order placement (initial grid + armed refills/rebids) pays maker create (${cfg.btsCreateFee}*${cfg.makerCreateFactor} BTS), every reset cancel pays ${cfg.btsCancelFee} BTS; btsFeePts = total BTS * txFeePrice / btsFeeCapital * 100 deducted from net before scoring`,
+                warmup: 'getAmaWarmupBars(er, slow, 0, fast)',
                 riskPenalty: `avgOpenDurationBars*${cfg.riskWDuration} + peakOpenOrders*${cfg.riskWPeakOpen} + avgImbalance*${cfg.riskWImbalance} + canceledOnReposition*${cfg.riskWCancel}`,
                 finalScore: 'baseScore - riskPenalty',
             },
@@ -381,5 +820,10 @@ function run() {
     });
     console.log(`Saved: ${path.relative(process.cwd(), outPath)}`);
 }
-run();
+// Main-thread entry guard: importing this module (e.g. from the logic tests)
+// must not execute the CLI run.
+if (process.argv[1] && import.meta.url === pathToFileURL(process.argv[1]).href) {
+    run();
+}
+export { computeGapSlots, computeGridPriceOffsetPct, buildProductionGrid, simulateForParams };
 //# sourceMappingURL=backtest_bot_fitting.js.map