perp-cli 0.12.17 → 0.14.0

package/dist/bot/strategies/funding-auto.js

@@ -1,5 +1,14 @@
 import { registerStrategy } from "../strategy-registry.js";
-import { toHourlyRate, computeAnnualSpread, annualizeHourlyRate } from "../../funding/normalize.js";
+import { toHourlyRate, annualizeHourlyRate } from "../../funding/normalize.js";
+import { isQuarantined, quarantineSymbol } from "../quarantine.js";
+import { closePerpVerified, isOutcomeUnknown, placePerpVerified, trimFirstLegToHedge } from "../perp-order.js";
+import { fillSizeString, sizeDecimalsOf } from "../../exchanges/spot-result.js";
+import { PerpError } from "../../errors.js";
+import { assertFundingArbLegs } from "./funding-arb-utils.js";
+/** Market basis first (ExchangeMarketInfo.fundingHours), else the venue definition's basis (§10.1). */
+function hourlyOf(info, exchange) {
+    return info.fundingHours !== null ? info.rate / info.fundingHours : toHourlyRate(info.rate, exchange);
+}
 /**
  * Minimum notional per exchange (USD):
  * - HL: ~$2 (0.001 ETH)
@@ -8,19 +17,14 @@ import { toHourlyRate, computeAnnualSpread, annualizeHourlyRate } from "../../fu
  * Use $12 as safe minimum across all exchanges.
  */
 const MIN_NOTIONAL_USD = 12;
-/** Size precision per asset price range */
+/** Entry size precision per asset price range, FLOORED (never rounds up past the notional). */
 function formatSizeForPrice(rawSize, price) {
-    // Higher price → fewer decimals (BTC: 4, ETH: 3, SOL: 1, small coins: 0)
-    if (price > 10000)
-        return rawSize.toFixed(4); // BTC
-    if (price > 1000)
-        return rawSize.toFixed(3); // ETH
-    if (price > 10)
-        return rawSize.toFixed(2); // SOL, AVAX
-    if (price > 1)
-        return rawSize.toFixed(1); // DOGE, etc
-    return rawSize.toFixed(0); // sub-$1 tokens
+    // Higher price → fewer decimals (BTC: 4, ETH: 3, SOL: 2, DOGE: 1, sub-$1: 0)
+    const decimals = price > 10000 ? 4 : price > 1000 ? 3 : price > 10 ? 2 : price > 1 ? 1 : 0;
+    return fillSizeString(rawSize, decimals);
 }
+/** Consecutive definite close failures before a pair is quarantined. */
+const MAX_CLOSE_FAILURES = 3;
 /** Normalize exchange symbol to base asset: "ETH-PERP" → "ETH", "ETHUSDT" → "ETH" */
 function normalizeSymbol(raw) {
     return raw.toUpperCase().replace(/-PERP$/, "").replace(/USDT$/, "").replace(/USD$/, "").replace(/-USD$/, "");
@@ -41,11 +45,9 @@ class FundingAutoStrategy {
     name = "funding-auto";
     _config = {};
     // Config accessors
-    get spotPerpRatio() { return Number(this._config.spotPerpRatio ?? 0.7); }
     get perpPerpRatio() { return Number(this._config.perpPerpRatio ?? 0.3); }
     get perpPerpMinSpread() { return Number(this._config.perpPerpMinSpread ?? 20); }
-    get spotPerpMinSpread() { return Number(this._config.spotPerpMinSpread ?? 5); }
-    get perpPerpCloseSpread() { return Number(this._config.perpPerpCloseSpread ?? 5); }
+    get perpPerpCloseSpread() { return Number(this._config.perpPerpCloseSpread ?? 0); }
     get maxBreakEvenHours() { return Number(this._config.maxBreakEvenHours ?? 48); }
     get maxPositions() { return Number(this._config.maxPositions ?? 5); }
     get maxCapitalPct() { return Number(this._config.maxCapitalPct ?? 20); }
@@ -54,8 +56,6 @@ class FundingAutoStrategy {
     get scanIntervalTicks() { return Number(this._config.scanIntervalTicks ?? 1); }
     /** Position size: min of sizeUsd (if set) and maxCapitalPct% of total equity */
     _cachedEquity = 0;
-    /** Symbols managed by this strategy instance (persists across ticks, prevents adopting unrelated positions) */
-    _managedSymbols = new Set();
     getSizeUsd() {
         const fixedSize = Number(this._config.sizeUsd ?? 0);
         const capitalLimit = this._cachedEquity * (this.maxCapitalPct / 100);
@@ -67,12 +67,11 @@ class FundingAutoStrategy {
     }
     describe() {
         return {
-            description: "Automated funding rate trading - perp-perp + spot-perp dual mode",
+            description: "Automated funding rate trading - perp-perp (spot-perp mode not supported; use spot-perp-arb)",
             params: [
-                { name: "spotPerpRatio", type: "number", required: false, default: 0.7, description: "Capital ratio for spot-perp mode" },
+                { name: "spotPerpRatio", type: "number", required: false, default: 0, description: "Spot-perp mode is NOT supported here (a value > 0 fails with CAPABILITY_UNSUPPORTED) — use spot-perp-arb" },
                 { name: "perpPerpRatio", type: "number", required: false, default: 0.3, description: "Capital ratio for perp-perp mode" },
                 { name: "perpPerpMinSpread", type: "number", required: false, default: 20, description: "Min annualized spread % for perp-perp entry" },
-                { name: "spotPerpMinSpread", type: "number", required: false, default: 5, description: "Min annualized spread % for spot-perp entry" },
                 { name: "perpPerpCloseSpread", type: "number", required: false, default: 0, description: "Close perp-perp when spread reverses below this % (0 = only on reversal)" },
                 { name: "maxBreakEvenHours", type: "number", required: false, default: 48, description: "Max break-even hours to enter" },
                 { name: "maxPositions", type: "number", required: false, default: 5, description: "Max concurrent positions" },
@@ -85,10 +84,16 @@ class FundingAutoStrategy {
         };
     }
     async init(ctx, _snapshot) {
+        assertFundingArbLegs(ctx);
         this._config = ctx.config;
+        if (ctx.config.spotPerpRatio !== undefined && Number(ctx.config.spotPerpRatio) > 0) {
+            throw new PerpError("CAPABILITY_UNSUPPORTED", "funding-auto does not support spot-perp mode (no spot leg can be held or unwound by this strategy)", {
+                remediation: "Remove spotPerpRatio (or set it to 0) to run perp-perp only, or use the spot-perp-arb strategy for spot + perp short",
+            });
+        }
         ctx.state.set("lastScan", 0);
         ctx.state.set("priceCache", new Map());
-        ctx.log(`[funding-auto] Starting with ${this.spotPerpRatio}/${this.perpPerpRatio} spot-perp/perp-perp split`);
+        ctx.log(`[funding-auto] Starting (perp-perp only; spot-perp mode is not supported by this strategy)`);
     }
     async onTick(ctx, _snapshot) {
         // Cache total equity across ALL exchanges for capital-based sizing
@@ -112,7 +117,9 @@ class FundingAutoStrategy {
             return [];
         }
         // ── Discover existing arb pairs from live exchange positions ──
-        const positions = await this.discoverArbPairs(adapters);
+        // A venue whose positions could not be read is never treated as "no positions":
+        // no entries touch it this tick (its existing pairs are simply not visible).
+        const { pairs: positions, unreadable } = await this.discoverArbPairs(adapters, ctx.log);
         // Fetch funding rates from all exchanges (price data cached for position sizing)
         const ratesByExchange = new Map();
         const priceCache = new Map(); // "exchange:symbol" -> price
@@ -128,6 +135,7 @@ class FundingAutoStrategy {
                         rate: m.fundingRate != null ? parseFloat(m.fundingRate) : NaN,
                         price,
                         exchange: name,
+                        fundingHours: m.fundingHours,
                     });
                     if (price > 0) {
                         priceCache.set(`${name}:${sym}`, price);
@@ -153,6 +161,11 @@ class FundingAutoStrategy {
         // ── Phase 1: Monitor existing positions for exit ──
         const surviving = [];
         for (const pos of positions) {
+            if (isQuarantined(pos.symbol, ctx.log)) {
+                // Unknown / unhedged outcome recorded by some bot or arb path: hands off (design §12.3).
+                surviving.push(pos);
+                continue;
+            }
             if (pos.mode === "perp-perp") {
                 // Check if spread has converged below close threshold
                 const longRates = ratesByExchange.get(pos.longExchange);
@@ -167,12 +180,21 @@ class FundingAutoStrategy {
                     surviving.push(pos);
                     continue;
                 }
-                const currentSpread = computeAnnualSpread(shortInfo.rate, pos.shortExchange, longInfo.rate, pos.longExchange);
-                // Calculate real P&L from exchange history
+                // SIGNED spread for the held direction: short-venue hourly − long-venue hourly
+                // (each normalized by its own funding basis), annualized %. Positive = still
+                // earning; ≤ 0 = the pair has reversed and now pays.
+                const currentSpread = annualizeHourlyRate(hourlyOf(shortInfo, pos.shortExchange) - hourlyOf(longInfo, pos.longExchange));
+                // Calculate real P&L from exchange history. An unreadable history is never "0":
+                // no close decision for this pair this tick.
                 const [longPnl, shortPnl] = await Promise.all([
-                    this.calculateRealPnl(adapters.get(pos.longExchange), pos.symbol),
-                    this.calculateRealPnl(adapters.get(pos.shortExchange), pos.symbol),
+                    this.calculateRealPnl(adapters.get(pos.longExchange), pos.longExchange, pos.symbol, ctx.log),
+                    this.calculateRealPnl(adapters.get(pos.shortExchange), pos.shortExchange, pos.symbol, ctx.log),
                 ]);
+                if (longPnl === null || shortPnl === null) {
+                    ctx.log(`[funding-auto] ${pos.symbol}: P&L history unreadable — skipping the exit decision this tick`);
+                    surviving.push(pos);
+                    continue;
+                }
                 const totalFees = longPnl.fees + shortPnl.fees;
                 const totalFunding = longPnl.funding + shortPnl.funding;
                 pos.accumulatedFunding = totalFunding;
@@ -180,45 +202,14 @@ class FundingAutoStrategy {
                 ctx.log(`[funding-auto] ${pos.symbol} spread ${currentSpread.toFixed(1)}% | ` +
                     `fees $${totalFees.toFixed(4)} | funding $${totalFunding.toFixed(4)} | ` +
                     `net $${(totalFunding - totalFees).toFixed(4)} (${pos.longExchange}↔${pos.shortExchange})`);
-                // Only close when spread REVERSES (≤ 0%) — never close a profitable position
-                // A spread of 5% or even 2% still earns funding. Closing costs more than keeping.
-                if (currentSpread <= 0) {
-                    ctx.log(`[funding-auto] Closing perp-perp ${pos.symbol}: spread REVERSED to ${currentSpread.toFixed(1)}%`);
-                    await this.closePosition(ctx, pos, adapters);
-                }
-                else {
-                    surviving.push(pos);
-                }
-            }
-            else if (pos.mode === "spot-perp") {
-                // Spot-perp: exit if perp funding flips negative (we are short perp)
-                const shortRates = ratesByExchange.get(pos.shortExchange);
-                if (!shortRates) {
-                    surviving.push(pos);
-                    continue;
-                }
-                const shortInfo = shortRates.get(pos.symbol);
-                if (!shortInfo) {
-                    surviving.push(pos);
-                    continue;
-                }
-                const hourlyRate = toHourlyRate(shortInfo.rate, pos.shortExchange);
-                const annualized = annualizeHourlyRate(Math.abs(hourlyRate));
-                const pnl = await this.calculateRealPnl(adapters.get(pos.shortExchange), pos.symbol);
-                pos.accumulatedFunding = pnl.funding;
-                pos.totalCost = pnl.fees;
-                ctx.log(`[funding-auto] ${pos.symbol} rate ${annualized.toFixed(1)}% | ` +
-                    `fees $${pnl.fees.toFixed(4)} | funding $${pnl.funding.toFixed(4)} | ` +
-                    `net $${(pnl.funding - pnl.fees).toFixed(4)} (${pos.shortExchange})`);
-                // Exit if funding flipped (rate went negative — shorts would pay instead of receive)
-                if (shortInfo.rate < 0) {
-                    ctx.log(`[funding-auto] Closing spot-perp ${pos.symbol}: funding flipped negative (${(shortInfo.rate * 100).toFixed(4)}%)`);
-                    await this.closePosition(ctx, pos, adapters);
+                // Close when the signed spread falls to the configured threshold (default 0 =
+                // only on reversal). A small positive spread still earns funding; closing costs more.
+                if (currentSpread <= this.perpPerpCloseSpread) {
+                    ctx.log(`[funding-auto] Closing perp-perp ${pos.symbol}: spread ${currentSpread.toFixed(1)}% <= close threshold ${this.perpPerpCloseSpread}%${currentSpread <= 0 ? " (REVERSED)" : ""}`);
+                    if (!(await this.closePosition(ctx, pos, adapters)))
+                        surviving.push(pos);
                 }
                 else {
-                    if (annualized < this.spotPerpMinSpread) {
-                        ctx.log(`[funding-auto] Spot-perp ${pos.symbol} annualized rate dropped to ${annualized.toFixed(1)}% — monitoring`);
-                    }
                     surviving.push(pos);
                 }
             }
@@ -253,7 +244,7 @@ class FundingAutoStrategy {
                 const info = ratesByExchange.get(exName)?.get(sym);
                 if (!info)
                     continue;
-                const hourly = toHourlyRate(info.rate, exName);
+                const hourly = hourlyOf(info, exName);
                 if (hourly < minRate) {
                     minRate = hourly;
                     minExchange = exName;
@@ -268,7 +259,7 @@ class FundingAutoStrategy {
             // Need raw rates for computeAnnualSpread
             const longInfo = ratesByExchange.get(minExchange).get(sym);
             const shortInfo = ratesByExchange.get(maxExchange).get(sym);
-            const annualSpread = computeAnnualSpread(shortInfo.rate, maxExchange, longInfo.rate, minExchange);
+            const annualSpread = Math.abs(hourlyOf(shortInfo, maxExchange) - hourlyOf(longInfo, minExchange)) * 24 * 365 * 100;
             if (annualSpread < this.perpPerpMinSpread)
                 continue;
             // Calculate cost and break-even
@@ -293,9 +284,7 @@ class FundingAutoStrategy {
             });
         }
         // ── Spot-Perp opportunities ──
-        // DISABLED: spot-perp requires SpotAdapter to buy spot (not yet integrated).
-        // Opening perp short without spot buy creates naked short = directional risk.
-        // TODO: Enable when SpotAdapter is wired into the strategy context.
+        // Not supported in this strategy (CAPABILITY_UNSUPPORTED at init) — see the header.
         // Sort by break-even hours ascending (best opportunities first)
         opportunities.sort((a, b) => a.breakEvenHours - b.breakEvenHours);
         if (opportunities.length > 0) {
@@ -305,22 +294,22 @@ class FundingAutoStrategy {
             }
         }
         else {
-            ctx.log(`[funding-auto] No opportunities found (perp-perp min ${this.perpPerpMinSpread}%, spot-perp min ${this.spotPerpMinSpread}%, BE max ${this.maxBreakEvenHours}h)`);
+            ctx.log(`[funding-auto] No opportunities found (perp-perp min ${this.perpPerpMinSpread}%, BE max ${this.maxBreakEvenHours}h)`);
         }
         // ── Phase 3: Enter new positions ──
         const slotsAvailable = this.maxPositions - surviving.length;
         // Allocate slots by ratio
         const perpPerpSlots = Math.max(1, Math.floor(slotsAvailable * this.perpPerpRatio));
-        const spotPerpSlots = Math.max(1, slotsAvailable - perpPerpSlots);
         let perpPerpOpened = 0;
-        let spotPerpOpened = 0;
         let currentCount = surviving.length;
         for (const opp of opportunities) {
             if (currentCount >= this.maxPositions)
                 break;
-            if (opp.mode === "perp-perp" && perpPerpOpened >= perpPerpSlots)
+            if (perpPerpOpened >= perpPerpSlots)
                 continue;
-            if (opp.mode === "spot-perp" && spotPerpOpened >= spotPerpSlots)
+            if (unreadable.has(opp.longExchange) || unreadable.has(opp.shortExchange))
+                continue;
+            if (isQuarantined(opp.symbol, ctx.log))
                 continue;
             // Track attempted symbols to prevent re-entry on same tick cycle
             attempted.add(`${opp.symbol}:${opp.mode}`);
@@ -328,11 +317,7 @@ class FundingAutoStrategy {
             const success = await this.openPosition(ctx, opp, adapters);
             if (success) {
                 currentCount++;
-                this._managedSymbols.add(`${opp.symbol}:${opp.mode}`);
-                if (opp.mode === "perp-perp")
-                    perpPerpOpened++;
-                else
-                    spotPerpOpened++;
+                perpPerpOpened++;
                 ctx.log(`[funding-auto] Opened ${opp.mode} ${opp.symbol}: spread ${opp.annualSpread.toFixed(1)}% | ` +
                     `BE ${opp.breakEvenHours.toFixed(1)}h | income $${opp.hourlyIncome.toFixed(4)}/h | ` +
                     `long ${opp.longExchange}, short ${opp.shortExchange} (${currentCount}/${this.maxPositions})`);
@@ -342,13 +327,20 @@ class FundingAutoStrategy {
     }
     async onStop(ctx) {
         const adapters = this.getAdapters(ctx);
-        const positions = await this.discoverArbPairs(adapters);
+        const { pairs: positions, unreadable } = await this.discoverArbPairs(adapters, ctx.log);
+        if (unreadable.size > 0) {
+            ctx.log(`[funding-auto] CRITICAL: positions on ${[...unreadable].join(", ")} could not be read — any pair there is NOT closed on stop; check manually`);
+        }
         if (positions.length === 0) {
             ctx.log("[funding-auto] No positions to close.");
             return [];
         }
         ctx.log(`[funding-auto] Stopping - closing ${positions.length} positions`);
         for (const pos of positions) {
+            if (isQuarantined(pos.symbol, ctx.log)) {
+                ctx.log(`[funding-auto] CRITICAL: ${pos.symbol} is quarantined — left open on stop; resolve manually (perp strategy quarantine)`);
+                continue;
+            }
             try {
                 await this.closePosition(ctx, pos, adapters);
             }
@@ -381,9 +373,10 @@ class FundingAutoStrategy {
         const price = rawSize > 0 ? this.getSizeUsd() / rawSize : 0;
         return formatSizeForPrice(rawSize, price);
     }
-    /** Discover existing arb pairs from live exchange positions */
-    async discoverArbPairs(adapters) {
+    /** Discover existing arb pairs from live exchange positions; `unreadable` = venues whose positions failed to load. */
+    async discoverArbPairs(adapters, log) {
         const allPositions = new Map();
+        const unreadable = new Set();
         for (const [name, adapter] of adapters) {
             try {
                 const exchangePositions = await adapter.getPositions();
@@ -395,15 +388,19 @@ class FundingAutoStrategy {
                         exchange: name,
                         side: p.side,
                         size: Math.abs(Number(p.size)),
+                        sizeRaw: String(p.size).trim().replace(/^[-+]/, ""), // venue's own size string, for closes
                         symbol: p.symbol, // raw for order execution
                     });
                 }
             }
-            catch { /* skip unavailable exchange */ }
+            catch (e) {
+                unreadable.add(name);
+                log(`[funding-auto] ${name} positions unreadable (${e instanceof Error ? e.message : String(e)}) — no entries on ${name} this tick`);
+            }
         }
-        // Find arb pairs: same symbol, opposite sides, different exchanges = perp-perp
+        // Find arb pairs: same symbol, opposite sides, different exchanges = perp-perp.
+        // An unmatched short is never adopted (spot-perp mode is not supported here).
         const pairs = [];
-        const matchedShorts = new Set(); // track shorts already matched to perp-perp
         for (const [sym, positionList] of allPositions) {
             const longs = positionList.filter(p => p.side === "long");
             const shorts = positionList.filter(p => p.side === "short");
@@ -420,43 +417,22 @@ class FundingAutoStrategy {
                             shortSize: short.size,
                             longSymbol: long.symbol,
                             shortSymbol: short.symbol,
+                            longSizeRaw: long.sizeRaw,
+                            shortSizeRaw: short.sizeRaw,
                             entrySpread: 0,
                             entryTime: 0,
                             notional: 0,
                             totalCost: 0,
                             accumulatedFunding: 0,
                         });
-                        matchedShorts.add(`${sym}:${short.exchange}`);
                     }
                 }
             }
-            // Unmatched shorts = spot-perp ONLY if funding-auto previously entered them
-            // (prevents adopting unrelated positions like manual PURR short)
-            for (const short of shorts) {
-                if (!matchedShorts.has(`${sym}:${short.exchange}`) && this._managedSymbols.has(`${sym}:spot-perp`)) {
-                    pairs.push({
-                        id: `${sym}-spot-${short.exchange}`,
-                        symbol: sym,
-                        mode: "spot-perp",
-                        longExchange: short.exchange,
-                        shortExchange: short.exchange,
-                        longSize: 0,
-                        shortSize: short.size,
-                        longSymbol: "",
-                        shortSymbol: short.symbol,
-                        entrySpread: 0,
-                        entryTime: 0,
-                        notional: 0,
-                        totalCost: 0,
-                        accumulatedFunding: 0,
-                    });
-                }
-            }
         }
-        return pairs;
+        return { pairs, unreadable };
     }
-    /** Calculate actual P&L from exchange trade/funding history */
-    async calculateRealPnl(adapter, symbol) {
+    /** Actual fees / funding from exchange trade/funding history; null when the history could not be read (never 0). */
+    async calculateRealPnl(adapter, exchange, symbol, log) {
         try {
             const [trades, funding] = await Promise.all([
                 adapter.getTradeHistory(50),
@@ -468,105 +444,150 @@ class FundingAutoStrategy {
             const totalFunding = symFunding.reduce((s, f) => s + Number(f.payment), 0);
             return { fees: totalFees, funding: totalFunding };
         }
-        catch {
-            return { fees: 0, funding: 0 };
+        catch (e) {
+            log(`[funding-auto] ${exchange} ${symbol} trade/funding history unreadable: ${e instanceof Error ? e.message : String(e)}`);
+            return null;
         }
     }
+    quarantine(ctx, pos, reason) {
+        quarantineSymbol(this.name, pos.symbol, reason, `Check ${pos.symbol} on ${pos.longExchange} and ${pos.shortExchange} (perp -e ${pos.longExchange} positions; perp -e ${pos.shortExchange} positions); close or re-hedge by hand, then: perp strategy quarantine-clear ${pos.symbol}`, ctx.log);
+    }
+    /**
+     * Perp-perp entry, sequential and verified: long first, then the short sized to the
+     * long's VERIFIED fill; any excess the short did not cover is trimmed off the long
+     * (reduce-only, verified). A definite short failure rolls the long back reduce-only.
+     * An unknown outcome or a failed rollback / trim quarantines the symbol.
+     */
     async openPosition(ctx, opp, adapters) {
-        if (opp.mode === "perp-perp") {
-            const longAdapter = adapters.get(opp.longExchange);
-            const shortAdapter = adapters.get(opp.shortExchange);
-            if (!longAdapter || !shortAdapter)
-                return false;
-            const price = this.getCachedPrice(ctx, opp.longExchange, opp.symbol)
-                || this.getCachedPrice(ctx, opp.shortExchange, opp.symbol);
-            if (price <= 0)
-                return false;
-            const notionalUsd = this.getSizeUsd();
-            const size = this.formatSize(notionalUsd / price, opp.symbol);
-            // Minimum notional check — skip if below exchange minimums
-            if (notionalUsd < MIN_NOTIONAL_USD) {
-                ctx.log(`[funding-auto] Skip ${opp.symbol}: notional $${notionalUsd.toFixed(0)} < min $${MIN_NOTIONAL_USD}`);
-                return false;
-            }
-            try {
-                await Promise.all([
-                    longAdapter.marketOrder(opp.symbol, "buy", size),
-                    shortAdapter.marketOrder(opp.symbol, "sell", size),
-                ]);
-                return true;
-            }
-            catch (err) {
-                const msg = err instanceof Error ? err.message : String(err);
-                ctx.log(`[funding-auto] Perp-perp entry failed ${opp.symbol}: ${msg}`);
-                return false;
-            }
+        // Engine: equity unknown → no new entries (closes still run).
+        if (ctx.state.get("equityUnknown") === true) {
+            ctx.log(`[funding-auto] Skip ${opp.symbol}: equity unknown — no new entries`);
+            return false;
         }
-        else {
-            // spot-perp: short perp (spot buy would need spot adapter — use perp adapter for now)
-            const shortAdapter = adapters.get(opp.shortExchange);
-            if (!shortAdapter)
-                return false;
-            const price = this.getCachedPrice(ctx, opp.shortExchange, opp.symbol);
-            if (price <= 0)
-                return false;
-            const notionalUsd = this.getSizeUsd();
-            const size = this.formatSize(notionalUsd / price, opp.symbol);
-            if (notionalUsd < MIN_NOTIONAL_USD) {
-                ctx.log(`[funding-auto] Skip ${opp.symbol}: notional $${notionalUsd.toFixed(0)} < min $${MIN_NOTIONAL_USD}`);
+        const longAdapter = adapters.get(opp.longExchange);
+        const shortAdapter = adapters.get(opp.shortExchange);
+        if (!longAdapter || !shortAdapter)
+            return false;
+        const price = this.getCachedPrice(ctx, opp.longExchange, opp.symbol)
+            || this.getCachedPrice(ctx, opp.shortExchange, opp.symbol);
+        if (price <= 0)
+            return false;
+        const notionalUsd = this.getSizeUsd();
+        const size = this.formatSize(notionalUsd / price, opp.symbol);
+        // Minimum notional check — skip if below exchange minimums
+        if (notionalUsd < MIN_NOTIONAL_USD) {
+            ctx.log(`[funding-auto] Skip ${opp.symbol}: notional $${notionalUsd.toFixed(0)} < min $${MIN_NOTIONAL_USD}`);
+            return false;
+        }
+        if (!(Number(size) > 0)) {
+            ctx.log(`[funding-auto] Skip ${opp.symbol}: size rounds to 0 at $${notionalUsd.toFixed(0)} / $${price}`);
+            return false;
+        }
+        const errText = (e) => e instanceof Error ? e.message : String(e);
+        const dec = sizeDecimalsOf(size);
+        let longFilled;
+        try {
+            longFilled = (await placePerpVerified(longAdapter, opp.longExchange, opp.symbol, "buy", size)).filledSize;
+        }
+        catch (err) {
+            if (isOutcomeUnknown(err))
+                this.quarantine(ctx, opp, `entry long ${size} on ${opp.longExchange} outcome unknown (${errText(err)}) — no short placed`);
+            else
+                ctx.log(`[funding-auto] Perp-perp entry failed ${opp.symbol} (long leg): ${errText(err)}`);
+            return false;
+        }
+        const longOpen = fillSizeString(longFilled, dec);
+        let shortFilled;
+        try {
+            shortFilled = (await placePerpVerified(shortAdapter, opp.shortExchange, opp.symbol, "sell", longOpen)).filledSize;
+        }
+        catch (err) {
+            const msg = errText(err);
+            if (isOutcomeUnknown(err)) {
+                // The short may exist: closing the long could leave a naked short.
+                this.quarantine(ctx, opp, `entry short ${longOpen} on ${opp.shortExchange} outcome unknown (${msg}); long ${longOpen} open on ${opp.longExchange} — not rolled back`);
                 return false;
             }
+            ctx.log(`[funding-auto] Perp-perp entry failed ${opp.symbol} (short leg): ${msg} — rolling back the long (reduce-only)`);
             try {
-                // Short perp leg — spot buy is out-of-scope for perp-only adapters
-                await shortAdapter.marketOrder(opp.symbol, "sell", size);
-                ctx.log(`[funding-auto] Spot-perp ${opp.symbol}: perp short opened (spot leg requires manual hedge or spot adapter)`);
-                return true;
+                const rb = await closePerpVerified(longAdapter, opp.longExchange, opp.symbol, "sell", longOpen, { decimals: dec });
+                if (rb.residual > 0) {
+                    this.quarantine(ctx, opp, `entry short failed (${msg}); the long rollback closed ${fillSizeString(rb.closed, dec)} of ${longOpen}, ${fillSizeString(rb.residual, dec)} still open${rb.note !== null ? ` (${rb.note})` : ""} — orphaned long on ${opp.longExchange}`);
+                    return false;
+                }
+                ctx.log(`[funding-auto] Rollback OK: closed long ${longOpen} ${opp.symbol} on ${opp.longExchange}`);
             }
-            catch (err) {
-                const msg = err instanceof Error ? err.message : String(err);
-                ctx.log(`[funding-auto] Spot-perp entry failed ${opp.symbol}: ${msg}`);
-                return false;
+            catch (rbErr) {
+                this.quarantine(ctx, opp, `entry short failed (${msg}) and the long rollback failed or is unconfirmed (${errText(rbErr)}) — orphaned long ${longOpen} on ${opp.longExchange}`);
             }
+            return false;
+        }
+        try {
+            const trimmed = await trimFirstLegToHedge(longAdapter, opp.longExchange, opp.symbol, "buy", longFilled, shortFilled, dec);
+            if (trimmed !== "0")
+                ctx.log(`[funding-auto] Short filled ${fillSizeString(shortFilled, dec)} of ${longOpen} — trimmed long by ${trimmed} (reduce-only)`);
+        }
+        catch (trimErr) {
+            this.quarantine(ctx, opp, `entry short filled ${fillSizeString(shortFilled, dec)} of ${longOpen}; trimming the long's excess on ${opp.longExchange} failed or is unconfirmed (${errText(trimErr)})`);
+            return false;
         }
+        return true;
     }
+    /**
+     * Close both legs sequentially, reduce-only and verified, each sized from the venue's
+     * own position size (never rounded up). Long first: a definite failure there changes
+     * nothing, so the pair is retried next tick and quarantined after MAX_CLOSE_FAILURES
+     * in a row. Once the long is closed, ANY short failure leaves an unhedged short this
+     * strategy can no longer discover as a pair → quarantine. An unknown outcome or a
+     * residual that survives one reduce-only residual close quarantines. Returns true when both legs closed.
+     */
     async closePosition(ctx, pos, adapters) {
-        if (pos.mode === "perp-perp") {
-            const longAdapter = adapters.get(pos.longExchange);
-            const shortAdapter = adapters.get(pos.shortExchange);
-            if (longAdapter && shortAdapter) {
-                // Use actual sizes from exchange positions, with raw exchange symbols
-                const longSize = formatSizeForPrice(pos.longSize, pos.longSize > 0 && pos.notional > 0 ? pos.notional / pos.longSize : 0);
-                const shortSize = formatSizeForPrice(pos.shortSize, pos.shortSize > 0 && pos.notional > 0 ? pos.notional / pos.shortSize : 0);
-                try {
-                    await Promise.all([
-                        longAdapter.marketOrder(pos.longSymbol, "sell", longSize),
-                        shortAdapter.marketOrder(pos.shortSymbol, "buy", shortSize),
-                    ]);
-                    const netPnl = pos.accumulatedFunding - pos.totalCost;
-                    ctx.log(`[funding-auto] Closed perp-perp ${pos.symbol} | funding $${pos.accumulatedFunding.toFixed(4)} - fees $${pos.totalCost.toFixed(4)} = net $${netPnl.toFixed(4)}`);
-                }
-                catch (err) {
-                    const msg = err instanceof Error ? err.message : String(err);
-                    ctx.log(`[funding-auto] Close failed ${pos.symbol}: ${msg}`);
-                }
-            }
+        const longAdapter = adapters.get(pos.longExchange);
+        const shortAdapter = adapters.get(pos.shortExchange);
+        if (!longAdapter || !shortAdapter) {
+            ctx.log(`[funding-auto] Close ${pos.symbol}: adapter missing (${pos.longExchange}/${pos.shortExchange})`);
+            return false;
         }
-        else {
-            // spot-perp: close perp short
-            const shortAdapter = adapters.get(pos.shortExchange);
-            if (!shortAdapter)
-                return;
-            const shortSize = formatSizeForPrice(pos.shortSize, pos.shortSize > 0 && pos.notional > 0 ? pos.notional / pos.shortSize : 0);
-            try {
-                await shortAdapter.marketOrder(pos.shortSymbol, "buy", shortSize);
-                const netPnl = pos.accumulatedFunding - pos.totalCost;
-                ctx.log(`[funding-auto] Closed spot-perp ${pos.symbol} | funding $${pos.accumulatedFunding.toFixed(4)} - fees $${pos.totalCost.toFixed(4)} = net $${netPnl.toFixed(4)}`);
-            }
-            catch (err) {
-                const msg = err instanceof Error ? err.message : String(err);
-                ctx.log(`[funding-auto] Close failed ${pos.symbol}: ${msg}`);
+        const errText = (e) => e instanceof Error ? e.message : String(e);
+        const failures = ctx.state.get("closeFailures") ?? new Map();
+        ctx.state.set("closeFailures", failures);
+        let lc;
+        try {
+            lc = await closePerpVerified(longAdapter, pos.longExchange, pos.longSymbol, "sell", pos.longSizeRaw);
+        }
+        catch (err) {
+            const msg = errText(err);
+            if (isOutcomeUnknown(err)) {
+                this.quarantine(ctx, pos, `close of long ${pos.longSizeRaw} on ${pos.longExchange} outcome unknown (${msg}) — short ${pos.shortSizeRaw} on ${pos.shortExchange} left open`);
+                return false;
             }
+            const n = (failures.get(pos.id) ?? 0) + 1;
+            failures.set(pos.id, n);
+            ctx.log(`[funding-auto] Close failed ${pos.symbol} (long leg, nothing changed): ${msg} (${n}/${MAX_CLOSE_FAILURES})`);
+            if (n >= MAX_CLOSE_FAILURES)
+                this.quarantine(ctx, pos, `close failed ${n} times in a row (last: ${msg})`);
+            return false;
+        }
+        failures.delete(pos.id);
+        if (lc.residual > 0) {
+            this.quarantine(ctx, pos, `close of long on ${pos.longExchange} closed ${lc.closed} of ${pos.longSizeRaw}, ${lc.residual} still open${lc.note !== null ? ` (${lc.note})` : ""} — short ${pos.shortSizeRaw} on ${pos.shortExchange} not closed (legs unbalanced)`);
+            return false;
+        }
+        let sc;
+        try {
+            sc = await closePerpVerified(shortAdapter, pos.shortExchange, pos.shortSymbol, "buy", pos.shortSizeRaw);
+        }
+        catch (err) {
+            this.quarantine(ctx, pos, `long closed on ${pos.longExchange} but the close of short ${pos.shortSizeRaw} on ${pos.shortExchange} ${isOutcomeUnknown(err) ? "has an unknown outcome" : "failed"} (${errText(err)}) — short unhedged`);
+            return false;
+        }
+        if (sc.residual > 0) {
+            this.quarantine(ctx, pos, `long closed; close of short on ${pos.shortExchange} closed ${sc.closed} of ${pos.shortSizeRaw}, ${sc.residual} still open${sc.note !== null ? ` (${sc.note})` : ""} — residual short unhedged`);
+            return false;
         }
+        const netPnl = pos.accumulatedFunding - pos.totalCost;
+        ctx.log(`[funding-auto] Closed perp-perp ${pos.symbol} | funding $${pos.accumulatedFunding.toFixed(4)} - fees $${pos.totalCost.toFixed(4)} = net $${netPnl.toFixed(4)}`);
+        return true;
     }
 }
 registerStrategy("funding-auto", (_config) => new FundingAutoStrategy());

package/dist/bot/strategies/spot-perp-arb-strategy.d.ts

@@ -29,16 +29,30 @@ export declare class SpotPerpArbStrategy implements Strategy {
     };
     private _config;
     private _failCooldown;
+    /** Consecutive failed close attempts per symbol (quarantined at MAX_CLOSE_FAILURES). */
+    private _closeFailures;
+    /** Venues whose positions could not be read during recovery: no entries there until re-read. */
+    private _unrecovered;
+    /** Perp symbols this bot entered or tracked this run — the only symbols its stop cancels orders on. */
+    private _traded;
     private _fundingScoreCache;
     private get params();
     init(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<void>;
     onTick(ctx: StrategyContext, _snapshot: EnrichedSnapshot): Promise<StrategyAction[]>;
     onStop(ctx: StrategyContext): Promise<StrategyAction[]>;
+    /** Close recorded in the arb state: entry removed (remaining null) or its legs set to the still-hedged remainder. */
+    private recordClose;
+    private quarantined;
+    /** Unknown / unhedged outcome (executor `manual`): stop touching this symbol until a human clears it. */
+    private quarantine;
     private scoreFundingLocal;
+    /** base (upper-case) → perp venues it may hedge on (canonical symbol + price guard, `botSpotPerpMatches`). */
+    private spotPerpVenues;
     /** Find all perp exchanges for a symbol, sorted by annualized rate (highest first). */
     private findPerpCandidates;
     private calcAnnualized;
     private shouldClose;
     private tryOpenPosition;
+    /** Rebuild positions from the venues; `unreadable` = venues whose positions / spot balances failed to load (never "none"). */
     private recoverPositions;
 }