perp-cli 0.14.2 → 0.15.0

package/dist/bot/engine.js

@@ -1,3 +1,4 @@
+import { getVenue, requireRole, tryResolveVenueId } from "../exchanges/venue.js";
 import { assertCanClosePositions } from "../exchanges/trading-v2.js";
 import { resolveAdapterSlippage } from "../exchanges/slippage.js";
 import { filledOf } from "./fill-size.js";
@@ -100,6 +101,12 @@ export async function runBot(adapter, config, jobId, log, extraAdapters, // for
 mode, 
 /** Global --dry-run: strategy actions are logged, never sent; non-simulatable strategies are refused. */
 isDryRun) {
+    // A venue without the trading role (TxFlow, release-gated RISEx) runs no bot — dry-run included.
+    for (const a of [adapter, ...(extraAdapters?.values() ?? [])]) {
+        const venueId = tryResolveVenueId(a.name);
+        if (venueId !== null)
+            requireRole(getVenue(venueId), "trading", "automation");
+    }
     if (isDryRun) {
         assertStrategySimulatable(config.strategy.type);
         adapter = dryRunAdapter(adapter);
@@ -192,7 +199,7 @@ isDryRun) {
     if (mode === "tui") {
         try {
             const { startDashboard } = await import("./tui/index.js");
-            const initialTuiState = buildTuiState(state, config, { price: 0, volatility24h: 0, fundingRate: 0, volume24h: 0 }, [], [], strategyCtx);
+            const initialTuiState = buildTuiState(state, config, { price: 0, volatility24h: 0, fundingRate: 0, volume24h: 0, openInterest: null }, [], [], strategyCtx);
             const result = startDashboard({
                 initialState: initialTuiState,
                 onQuit: () => { running = false; state.phase = "stopped"; },
@@ -883,14 +890,14 @@ export { filledOf };
  * read): the empty arrays in `snapshot` then are NOT data — the engine skips the tick of a
  * strategy that reads them (MARKET_DATA_STRATEGIES).
  */
-async function getEnrichedSnapshot(adapter, symbol, log) {
+export async function getEnrichedSnapshot(adapter, symbol, log) {
     // Multi-symbol strategies use "ALL" — skip market-specific data
     if (symbol.toUpperCase() === "ALL") {
         return {
             snapshot: {
                 price: 0, high24h: 0, low24h: 0, volume24h: 0,
                 fundingRate: 0, volatility24h: 0, rsi: NaN, spreadPct: 0,
-                klines: [], orderbook: { bids: [], asks: [] }, openInterest: "0",
+                klines: [], orderbook: { bids: [], asks: [] }, openInterest: null,
             },
             unknown: null,
         };
@@ -903,7 +910,8 @@ async function getEnrichedSnapshot(adapter, symbol, log) {
         adapter.getKlines(symbol, "1h", Date.now() - 24 * 60 * 60 * 1000, Date.now()).catch(why("klines")),
     ]);
     return {
-        snapshot: { ...base, klines: klines ?? [], orderbook: orderbook ?? { bids: [], asks: [] }, openInterest: "0" },
+        // Open interest is not read for the bot snapshot: null (unknown), never a "0" stand-in.
+        snapshot: { ...base, klines: klines ?? [], orderbook: orderbook ?? { bids: [], asks: [] }, openInterest: null },
         unknown: failed.length > 0 ? failed.join("; ") : null,
     };
 }
@@ -982,7 +990,7 @@ export async function fetchExchangeBalances(primaryAdapter, extraAdapters) {
 }
 const _spotPriceWarned = new Set();
 async function fetchSpotPositions(adapter) {
-    // Bot scope (§12.4 #3): only separate/runtime spot venues with transfer.
+    // Bot scope: only separate/runtime spot venues with transfer.
     const { getBotSpotAdapter, isSpotQuoteAsset, spotMarketsForValuation, spotNetworkOf, spotTokenBase } = await import("../exchanges/spot-factory.js");
     const { getVenue } = await import("../exchanges/venue.js");
     let raw;
@@ -1100,7 +1108,7 @@ function buildTuiState(state, config, snapshot, positions, openOrders, strategyC
         exchange: config.exchange,
         price: snapshot.price,
         volume24h: snapshot.volume24h ?? 0,
-        openInterest: snapshot.openInterest ?? "0",
+        openInterest: snapshot.openInterest,
         fundingRate: snapshot.fundingRate,
         volatility24h: snapshot.volatility24h,
         positions,

package/dist/bot/indicators.d.ts

@@ -7,6 +7,13 @@ export declare function calculateEMA(prices: number[], period: number): number[]
 /** Calculate Simple Moving Average */
 export declare function calculateSMA(prices: number[], period: number): number[];
 /** Calculate Volume Weighted Average Price */
+/**
+ * Candle volumes as numbers, or null when ANY candle's volume is unknown — null (the venue does
+ * not publish it) or not a finite number ("", "undefined", NaN). Never a 0 stand-in.
+ */
+export declare function klineVolumes(klines: ReadonlyArray<{
+    volume: string | null;
+}>): number[] | null;
 export declare function calculateVWAP(candles: {
     close: number;
     volume: number;

package/dist/bot/indicators.js

@@ -33,6 +33,22 @@ export function calculateSMA(prices, period) {
     return sma;
 }
 /** Calculate Volume Weighted Average Price */
+/**
+ * Candle volumes as numbers, or null when ANY candle's volume is unknown — null (the venue does
+ * not publish it) or not a finite number ("", "undefined", NaN). Never a 0 stand-in.
+ */
+export function klineVolumes(klines) {
+    const out = [];
+    for (const k of klines) {
+        if (k.volume === null || k.volume.trim() === "")
+            return null;
+        const v = Number(k.volume);
+        if (!Number.isFinite(v))
+            return null;
+        out.push(v);
+    }
+    return out;
+}
 export function calculateVWAP(candles) {
     let cumVolPrice = 0;
     let cumVol = 0;

package/dist/bot/perp-order.d.ts

@@ -1,5 +1,5 @@
 /**
- * Verified perp market order for bot / arb legs (design §12.3).
+ * Verified perp market order for bot / arb legs.
  *
  * A resolved `marketOrder()` promise does not prove a fill: Lighter returns success
  * when its /tx poll times out ("assuming executed") or the IOC filled nothing, and a
@@ -22,7 +22,7 @@
  *    Likewise a plain (non-transport, non-5xx) "not a multiple of lot size N" rejection with
  *    the position measured unchanged → ORDER_REJECTED with details.lotSize (rejectedLotSize()).
  *
- * Venue-final IOC outcome (design §13.10 #4): when the adapter is IocOutcomeCapable and
+ * Venue-final IOC outcome: when the adapter is IocOutcomeCapable and
  * iocOutcomeOf(raw) reports the order's FINAL filled size, that report is authoritative
  * (no 80% rule) once cross-checked against the measured position delta (tolerance one lot
  * step, taken from the precision of the order size / reported fill):
@@ -61,7 +61,7 @@ export declare function rejectedLotSize(e: unknown): number | null;
 /** true when `e` says the order outcome is unknown (quarantine, never retry / roll back blindly). */
 export declare function isOutcomeUnknown(e: unknown): boolean;
 /**
- * Second-leg residual correction (design §12.3): the second leg is sized to the first
+ * Second-leg residual correction: the second leg is sized to the first
  * leg's VERIFIED fill but may itself fill less (≥ 80% measured, or any venue-final partial fill). Reduce the first leg by exactly
  * this trade's excess (firstFilled − secondFilled, floored to `decimals`) — reduce-only,
  * verified, never the venue's whole position. `firstSide` is the side the first leg
@@ -79,7 +79,7 @@ export interface PerpCloseResult {
     note: string | null;
 }
 /**
- * Verified reduce-only close of `size` with residual handling (design §12.3, §13.10 #4). placePerpVerified
+ * Verified reduce-only close of `size` with residual handling. placePerpVerified
  * accepts a ≥ 80% measured fill or any venue-final partial IOC fill (cross-checked); a close must
  * not leave the rest silently open, so:
  *  1. reduce-only close of `size` (opts.place, e.g. a smartOrder IOC, or a market order);

package/dist/bot/perp-order.js

@@ -1,5 +1,5 @@
 /**
- * Verified perp market order for bot / arb legs (design §12.3).
+ * Verified perp market order for bot / arb legs.
  *
  * A resolved `marketOrder()` promise does not prove a fill: Lighter returns success
  * when its /tx poll times out ("assuming executed") or the IOC filled nothing, and a
@@ -22,7 +22,7 @@
  *    Likewise a plain (non-transport, non-5xx) "not a multiple of lot size N" rejection with
  *    the position measured unchanged → ORDER_REJECTED with details.lotSize (rejectedLotSize()).
  *
- * Venue-final IOC outcome (design §13.10 #4): when the adapter is IocOutcomeCapable and
+ * Venue-final IOC outcome: when the adapter is IocOutcomeCapable and
  * iocOutcomeOf(raw) reports the order's FINAL filled size, that report is authoritative
  * (no 80% rule) once cross-checked against the measured position delta (tolerance one lot
  * step, taken from the precision of the order size / reported fill):
@@ -158,7 +158,7 @@ export async function placePerpVerified(adapter, venue, symbol, side, size, opts
         }
         throw orderOutcomeUnknown(venue, what, e, `Do NOT resubmit — the order may still execute. Check the ${venue} ${symbol} position`);
     }
-    // Venue-final IOC outcome (§13.10 #4): the venue reported what this order filled; nothing more can fill.
+    // Venue-final IOC outcome: the venue reported what this order filled; nothing more can fill.
     const outcome = isIocOutcomeCapable(adapter) ? adapter.iocOutcomeOf(raw) : null;
     if (outcome !== null) {
         const reported = Number(outcome.filledSize);
@@ -226,7 +226,7 @@ export function isOutcomeUnknown(e) {
     return e instanceof PerpError && e.structured.code === "ORDER_PENDING";
 }
 /**
- * Second-leg residual correction (design §12.3): the second leg is sized to the first
+ * Second-leg residual correction: the second leg is sized to the first
  * leg's VERIFIED fill but may itself fill less (≥ 80% measured, or any venue-final partial fill). Reduce the first leg by exactly
  * this trade's excess (firstFilled − secondFilled, floored to `decimals`) — reduce-only,
  * verified, never the venue's whole position. `firstSide` is the side the first leg
@@ -245,7 +245,7 @@ export async function trimFirstLegToHedge(adapter, venue, symbol, firstSide, fir
     return excess;
 }
 /**
- * Verified reduce-only close of `size` with residual handling (design §12.3, §13.10 #4). placePerpVerified
+ * Verified reduce-only close of `size` with residual handling. placePerpVerified
  * accepts a ≥ 80% measured fill or any venue-final partial IOC fill (cross-checked); a close must
  * not leave the rest silently open, so:
  *  1. reduce-only close of `size` (opts.place, e.g. a smartOrder IOC, or a market order);

package/dist/bot/quarantine.d.ts

@@ -1,5 +1,5 @@
 /**
- * Position quarantine (design §12.3) — GLOBAL per symbol.
+ * Position quarantine — GLOBAL per symbol.
  *
  * A spot leg whose outcome is unknown (ORDER_PENDING), a perp leg that could not be
  * confirmed, a close whose post-trade verification failed, or a position left unhedged

package/dist/bot/quarantine.js

@@ -1,5 +1,5 @@
 /**
- * Position quarantine (design §12.3) — GLOBAL per symbol.
+ * Position quarantine — GLOBAL per symbol.
  *
  * A spot leg whose outcome is unknown (ORDER_PENDING), a perp leg that could not be
  * confirmed, a close whose post-trade verification failed, or a position left unhedged

package/dist/bot/strategies/apex-strategy.js

@@ -85,11 +85,12 @@ export class ApexStrategy {
             this.slots.splice(idx, 1);
         }
         // ── Phase 2: Record pulse history ──
-        const currentOi = parseFloat(snapshot.openInterest);
+        // Unknown OI (null) is not recorded: a fake 0 in the history would read as an OI jump later.
         const currentVolume = snapshot.volume24h;
         const historyKey = ctx.symbol;
         const existing = this.pulseHistory.get(historyKey) ?? [];
-        existing.push({ oi: currentOi, volume: currentVolume });
+        if (snapshot.openInterest !== null)
+            existing.push({ oi: parseFloat(snapshot.openInterest), volume: currentVolume });
         // Keep last 10 entries
         if (existing.length > 10)
             existing.shift();

package/dist/bot/strategies/engine-mm.js

@@ -1,5 +1,5 @@
 import { registerStrategy } from "../strategy-registry.js";
-import { calculateEMA, calculateVWAP, calculateATR } from "../indicators.js";
+import { calculateEMA, calculateVWAP, calculateATR, klineVolumes } from "../indicators.js";
 export class EngineMmStrategy {
     name = "engine-mm";
     describe() {
@@ -92,11 +92,12 @@ export class EngineMmStrategy {
         const components = [];
         // Mid-price (always available)
         components.push(snapshot.price);
-        // VWAP from klines
-        if (snapshot.klines.length > 0) {
-            const candles = snapshot.klines.map(k => ({
+        // VWAP from klines — only when every candle volume is known (unknown is never weighted as 0)
+        const volumes = klineVolumes(snapshot.klines);
+        if (snapshot.klines.length > 0 && volumes !== null) {
+            const candles = snapshot.klines.map((k, i) => ({
                 close: parseFloat(k.close),
-                volume: parseFloat(k.volume),
+                volume: volumes[i],
             }));
             const vwap = calculateVWAP(candles);
             if (vwap > 0)

package/dist/bot/strategies/funding-arb-strategy.js

@@ -7,7 +7,7 @@ import { logExecution, pruneExecutionLog } from "../../execution-log.js";
 import { annualizeHourlyRate } from "../../funding/normalize.js";
 import { getBotSpotAdapter, nonQuoteSpotBalances, readSpotQuoteAvailableFresh, spotNetworkOf, spotTokenBase, sweepSpotQuoteToPerp } from "../../exchanges/spot-factory.js";
 import { getVenue } from "../../exchanges/venue.js";
-import { isPositionGone, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, findRate, getPriceEstimate, fetchRates, botSpotPerpMatches, assertFundingArbLegs, cancelBotSymbols, collectFundingSince } from "./funding-arb-utils.js";
+import { isPositionGone, transferUsdcToSpot, transferUsdcToPerp, getPerpSymbol, findRate, cappedLeverage, getPriceEstimate, fetchRates, botSpotPerpMatches, assertFundingArbLegs, cancelBotSymbols, collectFundingSince } from "./funding-arb-utils.js";
 import { fillSizeString, sizeDecimalsOf, spotLotStepOf, spotMarketFill } from "../../exchanges/spot-result.js";
 import { floorToStep, lotStepOf } from "../../exchanges/precision.js";
 import { isQuarantined, quarantineKey, quarantineSymbol } from "../quarantine.js";
@@ -549,7 +549,7 @@ export class FundingArbStrategy {
                 const perpRates = ratesByExchange.get(name);
                 if (!perpRates)
                     continue;
-                // Same-venue spot↔perp: canonical symbol + price-deviation guard (§12.4 #6).
+                // Same-venue spot↔perp: canonical symbol + price-deviation guard.
                 const spotMarkets = await spotAdapter.getSpotMarkets();
                 const matched = await botSpotPerpMatches(name, spotMarkets, [name], perpMarketsCache, (msg) => ctx.log(`  [ARB] ${msg}`));
                 const spotSymbols = matched.get(name);
@@ -637,9 +637,10 @@ export class FundingArbStrategy {
                         continue;
                     // Determine leverage for this symbol
                     const configLeverage = params.leverage ?? 3;
-                    const longMaxLev = findRate(ratesByExchange, best.longExchange, best.symbol)?.maxLeverage ?? 1;
-                    const shortMaxLev = findRate(ratesByExchange, best.shortExchange, best.symbol)?.maxLeverage ?? 1;
-                    const leverage = Math.min(configLeverage, longMaxLev, shortMaxLev);
+                    const leverage = cappedLeverage(configLeverage, [
+                        { exchange: best.longExchange, maxLeverage: findRate(ratesByExchange, best.longExchange, best.symbol)?.maxLeverage },
+                        { exchange: best.shortExchange, maxLeverage: findRate(ratesByExchange, best.shortExchange, best.symbol)?.maxLeverage },
+                    ], ctx.log);
                     // Set leverage on both exchanges before ordering
                     try {
                         await longAdapter.setLeverage(best.symbol, leverage, "cross");
@@ -1020,9 +1021,8 @@ export class FundingArbStrategy {
             const configLeverage = params.leverage ?? 3;
             const perpSymbolUpper = getPerpSymbol(opp.symbol, opp.shortExchange).toUpperCase();
             const perpMaxLev = findRate(ratesByExchange, opp.shortExchange, perpSymbolUpper)?.maxLeverage
-                ?? findRate(ratesByExchange, opp.shortExchange, opp.symbol.toUpperCase())?.maxLeverage
-                ?? 1;
-            const leverage = Math.min(configLeverage, perpMaxLev);
+                ?? findRate(ratesByExchange, opp.shortExchange, opp.symbol.toUpperCase())?.maxLeverage;
+            const leverage = cappedLeverage(configLeverage, [{ exchange: opp.shortExchange, maxLeverage: perpMaxLev }], ctx.log);
             // Set leverage on perp before ordering
             try {
                 await perpAdapter.setLeverage(getPerpSymbol(opp.symbol, opp.shortExchange), leverage, "cross");
@@ -1099,7 +1099,7 @@ export class FundingArbStrategy {
             const transferAmt = Math.ceil(matched.notional * 1.02); // slight buffer for price movement
             if (await transferUsdcToSpot(spotAdapter, transferAmt))
                 ctx.log(`  [ARB] Transferred $${transferAmt} to spot`);
-            // Step 2: Buy spot — the hedge is sized to what actually filled (§12.4 #5).
+            // Step 2: Buy spot — the hedge is sized to what actually filled.
             let hedgeSize;
             let spotFill;
             try {

package/dist/bot/strategies/funding-arb-utils.d.ts

@@ -8,7 +8,7 @@ import type { SpotAdapter, SpotMarketInfo } from "../../exchanges/spot-interface
 import type { VenueMarket } from "../../exchanges/venue-types.js";
 import "../../exchanges/venues/index.js";
 /**
- * Funding strategies refuse a venue whose funding rate is unverified as a leg (design §14.12
+ * Funding strategies refuse a venue whose funding rate is unverified as a leg (
  * #6): every adapter of the run (primary + extraAdapters) is checked when the strategy starts.
  * Adapter names that are not registered venues (test doubles) are not venues and are skipped.
  */
@@ -47,6 +47,15 @@ export declare function botSpotPerpMatches(spotVenue: string, spotMarkets: reado
 export declare function getPerpSymbol(baseSymbol: string, _exchangeName: string): string;
 /** Look up rate from ratesByExchange, trying symbol, symbol-PERP, and symbol without -PERP. */
 export declare function findRate(ratesByExchange: RateMap, exchange: string, symbol: string): RateEntry | undefined;
+/**
+ * Leverage for an entry: the configured value, capped by every leg's published max.
+ * A leg whose max is unpublished (undefined) is not a cap — the venue enforces its own
+ * limit on setLeverage / the order — and `logUnknown` names it, so it is never read as 1x.
+ */
+export declare function cappedLeverage(configured: number, legs: {
+    exchange: string;
+    maxLeverage: number | undefined;
+}[], logUnknown: (msg: string) => void): number;
 /** Match a symbol against a target, accounting for -PERP suffix variations. */
 export declare function matchSymbol(s: string, target: string): boolean;
 /** Get a price estimate for a symbol from the perp adapter. */
@@ -68,7 +77,11 @@ export interface FundingScore {
  * ORDER_PENDING outcome is never "gone").
  */
 export declare function isPositionGone(e: unknown): boolean;
-/** Score a symbol's funding rate using history. Returns null if insufficient data. */
+/**
+ * Score a symbol's funding rate using history. null = not enough data (fewer than 2 history
+ * points, or the per-symbol funding basis is unknown). A failed read THROWS — callers must not
+ * mistake a 429 / timeout for "history too thin".
+ */
 export declare function scoreFunding(adapter: ExchangeAdapter, symbol: string, exchangeName: string, periods: number, cache?: Map<string, {
     score: FundingScore;
     ts: number;

package/dist/bot/strategies/funding-arb-utils.js

@@ -10,7 +10,7 @@ import { PerpError, extractErrorMessage } from "../../errors.js";
 import { assertFundingArbVenue, tryResolveVenueId } from "../../exchanges/venue.js";
 import "../../exchanges/venues/index.js";
 /**
- * Funding strategies refuse a venue whose funding rate is unverified as a leg (design §14.12
+ * Funding strategies refuse a venue whose funding rate is unverified as a leg (
  * #6): every adapter of the run (primary + extraAdapters) is checked when the strategy starts.
  * Adapter names that are not registered venues (test doubles) are not venues and are skipped.
  */
@@ -38,7 +38,7 @@ export function buildAdapterMap(ctx) {
     }
     return adapters;
 }
-// ── Transfer helpers (§12.4 #4) ──
+// ── Transfer helpers ──
 // Spot adapters come from the factory (src/exchanges/spot-factory.ts, getBotSpotAdapter).
 /**
  * Move the spot venue's quote asset (quoteAssets[0]) perp → spot. Returns false when
@@ -52,7 +52,7 @@ export async function transferUsdcToSpot(spotAdapter, amount) {
 export async function transferUsdcToPerp(spotAdapter, amount) {
     return transferQuoteToPerp(spotAdapter, amount);
 }
-// ── Spot ↔ perp matching (§12.4 #6) ──
+// ── Spot ↔ perp matching ──
 /**
  * Bot spot↔perp candidates: spot bases on `spotVenue` matched to each perp venue by
  * canonical symbol + price-deviation guard (`matchSpotPerp`). Bare-ticker equality is
@@ -110,6 +110,23 @@ export function findRate(ratesByExchange, exchange, symbol) {
     const upper = symbol.toUpperCase();
     return map.get(upper) ?? map.get(upper + "-PERP") ?? map.get(upper.replace(/-PERP$/, ""));
 }
+/**
+ * Leverage for an entry: the configured value, capped by every leg's published max.
+ * A leg whose max is unpublished (undefined) is not a cap — the venue enforces its own
+ * limit on setLeverage / the order — and `logUnknown` names it, so it is never read as 1x.
+ */
+export function cappedLeverage(configured, legs, logUnknown) {
+    let leverage = configured;
+    for (const leg of legs) {
+        if (leg.maxLeverage === undefined) {
+            logUnknown(`  [LEV] ${leg.exchange} does not publish a max leverage — using ${configured}x; the venue enforces its cap`);
+        }
+        else {
+            leverage = Math.min(leverage, leg.maxLeverage);
+        }
+    }
+    return leverage;
+}
 /** Match a symbol against a target, accounting for -PERP suffix variations. */
 export function matchSymbol(s, target) {
     const u = s.toUpperCase();
@@ -155,7 +172,7 @@ function hasPerSymbolFundingHours(adapter) {
 /**
  * Funding basis (hours one quoted rate covers) for a market: the market's own
  * value when the venue publishes one per symbol, else the venue definition.
- * History timestamp spacing is settlement timing, never the basis (§10.13 #2).
+ * History timestamp spacing is settlement timing, never the basis.
  * @returns null when the venue publishes per-symbol values and this symbol has none
  */
 async function marketFundingHours(adapter, exchangeName, symbol) {
@@ -165,32 +182,33 @@ async function marketFundingHours(adapter, exchangeName, symbol) {
     }
     return getFundingHours(exchangeName);
 }
-/** Score a symbol's funding rate using history. Returns null if insufficient data. */
+/**
+ * Score a symbol's funding rate using history. null = not enough data (fewer than 2 history
+ * points, or the per-symbol funding basis is unknown). A failed read THROWS — callers must not
+ * mistake a 429 / timeout for "history too thin".
+ */
 export async function scoreFunding(adapter, symbol, exchangeName, periods, cache) {
     const key = `${exchangeName}:${symbol}`;
     const cached = cache?.get(key);
     if (cached && Date.now() - cached.ts < 10 * 60 * 1000)
         return cached.score;
-    // Outside the try: an unknown venue is a configuration error, not "no score".
     const venueHours = hasPerSymbolFundingHours(adapter) ? null : getFundingHours(exchangeName);
-    try {
-        const fH = venueHours !== null ? venueHours : await marketFundingHours(adapter, exchangeName, symbol);
-        if (fH === null)
-            return null; // per-symbol basis unknown — the hourly rate would be a guess
-        const history = await adapter.getFundingHistory(symbol, periods);
-        if (history.length < 2)
-            return null;
-        const rates = history.map(h => parseFloat(h.rate));
-        const avgRate = rates.reduce((s, r) => s + r, 0) / rates.length;
-        const consistency = rates.filter(r => r > 0).length / rates.length;
-        const annualized = annualizeHourlyRate(avgRate / fH);
-        const score = { symbol, exchange: exchangeName, avgRate, consistency, annualized, payments: rates.length };
-        cache?.set(key, { score, ts: Date.now() });
-        return score;
-    }
-    catch {
+    const fH = venueHours !== null ? venueHours : await marketFundingHours(adapter, exchangeName, symbol);
+    if (fH === null)
+        return null; // per-symbol basis unknown — the hourly rate would be a guess
+    const history = await adapter.getFundingHistory(symbol, periods);
+    if (history.length < 2)
         return null;
+    const rates = history.map(h => parseFloat(h.rate));
+    if (rates.some(r => !Number.isFinite(r))) {
+        throw new PerpError("EXCHANGE_ERROR", `${exchangeName} ${symbol}: funding history has a non-numeric rate`, { exchange: exchangeName });
     }
+    const avgRate = rates.reduce((s, r) => s + r, 0) / rates.length;
+    const consistency = rates.filter(r => r > 0).length / rates.length;
+    const annualized = annualizeHourlyRate(avgRate / fH);
+    const score = { symbol, exchange: exchangeName, avgRate, consistency, annualized, payments: rates.length };
+    cache?.set(key, { score, ts: Date.now() });
+    return score;
 }
 /**
  * Fetch funding rates from an exchange adapter. Failures propagate — callers
@@ -199,7 +217,7 @@ export async function scoreFunding(adapter, symbol, exchangeName, periods, cache
 export async function fetchRates(adapter, exchangeName) {
     const markets = await adapter.getMarkets();
     const withRates = markets.filter(m => m.fundingRate != null);
-    // fundingHours = basis (§10.13 #7): market value first, then the venue definition.
+    // fundingHours = basis: market value first, then the venue definition.
     // Per-symbol venues (Aster) load their whole table in one call; symbols it
     // does not list stay null and are skipped below.
     for (const m of withRates) {
@@ -207,6 +225,7 @@ export async function fetchRates(adapter, exchangeName) {
             continue;
         m.fundingHours = await marketFundingHours(adapter, exchangeName, m.symbol);
     }
+    // maxLeverage undefined = not published by the venue (callers cap by published maxes only — see cappedLeverage).
     const result = [];
     for (const m of withRates) {
         // Skip aster symbols with unknown funding period — the hourly rate would be a guess.
@@ -221,7 +240,7 @@ export async function fetchRates(adapter, exchangeName) {
             rate: parseFloat(m.fundingRate),
             price: parseFloat(m.markPrice),
             sizeDecimals: m.sizeDecimals,
-            maxLeverage: m.maxLeverage,
+            maxLeverage: m.maxLeverage ?? undefined,
             fundingHours: m.fundingHours,
         });
     }

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

@@ -5,7 +5,7 @@ import { closePerpVerified, isOutcomeUnknown, placePerpVerified, trimFirstLegToH
 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). */
+/** Market basis first (ExchangeMarketInfo.fundingHours), else the venue definition's basis. */
 function hourlyOf(info, exchange) {
     return info.fundingHours !== null ? info.rate / info.fundingHours : toHourlyRate(info.rate, exchange);
 }
@@ -177,7 +177,7 @@ class FundingAutoStrategy {
         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).
+                // Unknown / unhedged outcome recorded by some bot or arb path: hands off.
                 surviving.push(pos);
                 continue;
             }

package/dist/bot/strategies/liquidation-mm.d.ts

@@ -19,6 +19,7 @@ export declare class LiquidationMmStrategy implements Strategy {
     };
     private get params();
     private _config;
+    private _oiUnknownLogged;
     init(ctx: StrategyContext, snapshot: EnrichedSnapshot): Promise<void>;
     onTick(ctx: StrategyContext, snapshot: EnrichedSnapshot): Promise<StrategyAction[]>;
     onStop(_ctx: StrategyContext): Promise<StrategyAction[]>;

package/dist/bot/strategies/liquidation-mm.js

@@ -17,9 +17,10 @@ export class LiquidationMmStrategy {
         return this._config;
     }
     _config = {};
+    _oiUnknownLogged = false;
     async init(ctx, snapshot) {
         this._config = ctx.config;
-        ctx.state.set("prevOi", parseFloat(snapshot.openInterest) || 0);
+        ctx.state.set("prevOi", snapshot.openInterest === null ? 0 : parseFloat(snapshot.openInterest) || 0);
         ctx.state.set("cascadeMode", false);
         ctx.state.set("cascadeTicks", 0);
         const p = this.params;
@@ -29,7 +30,12 @@ export class LiquidationMmStrategy {
         const params = this.params;
         const actions = [];
         actions.push({ type: "cancel_all" });
-        const currentOi = parseFloat(snapshot.openInterest) || 0;
+        // Unknown OI (null): cascade detection is off — said once per run, never computed on a fake 0.
+        if (snapshot.openInterest === null && !this._oiUnknownLogged) {
+            this._oiUnknownLogged = true;
+            ctx.log("  [LIQUIDATION-MM] open interest unknown — OI cascade detection is off");
+        }
+        const currentOi = snapshot.openInterest === null ? 0 : parseFloat(snapshot.openInterest) || 0;
         const prevOi = ctx.state.get("prevOi") ?? currentOi;
         let cascadeMode = ctx.state.get("cascadeMode") ?? false;
         let cascadeTicks = ctx.state.get("cascadeTicks") ?? 0;

package/dist/bot/strategies/momentum-breakout.d.ts

@@ -9,6 +9,7 @@ import type { Strategy, StrategyContext, StrategyAction, EnrichedSnapshot } from
 export declare class MomentumBreakoutStrategy implements Strategy {
     readonly name = "momentum-breakout";
     private _config;
+    private _noVolumeLogged;
     describe(): {
         description: string;
         params: ({

package/dist/bot/strategies/momentum-breakout.js

@@ -1,5 +1,5 @@
 import { registerStrategy } from "../strategy-registry.js";
-import { calculateATR, calculateSMA } from "../indicators.js";
+import { calculateATR, calculateSMA, klineVolumes } from "../indicators.js";
 /**
  * Momentum breakout strategy.
  * Entry: price breaks above N-period high (buy) or below N-period low (sell)
@@ -10,6 +10,7 @@ import { calculateATR, calculateSMA } from "../indicators.js";
 export class MomentumBreakoutStrategy {
     name = "momentum-breakout";
     _config = {};
+    _noVolumeLogged = false;
     describe() {
         return {
             description: "Momentum breakout with volume confirmation and ATR trailing stop",
@@ -42,7 +43,14 @@ export class MomentumBreakoutStrategy {
         const closes = klines.map(k => parseFloat(k.close));
         const highs = klines.map(k => parseFloat(k.high));
         const lows = klines.map(k => parseFloat(k.low));
-        const volumes = klines.map(k => parseFloat(k.volume));
+        // Unknown candle volume (null / non-numeric) cannot confirm a breakout: no entry, exits still run.
+        const known = klineVolumes(klines);
+        const volumeKnown = known !== null;
+        if (!volumeKnown && !this._noVolumeLogged) {
+            this._noVolumeLogged = true; // once per run, not every tick
+            ctx.log("  [BREAKOUT] no candle volume from the venue — volume confirmation unavailable, no new entries");
+        }
+        const volumes = known ?? klines.map(() => NaN);
         const price = snapshot.price;
         // Compute indicators
         const candles = klines.map(k => ({
@@ -61,7 +69,7 @@ export class MomentumBreakoutStrategy {
         const avgVolSma = calculateSMA(volumes, this.lookbackPeriod);
         const avgVolume = avgVolSma.length > 0 ? avgVolSma[avgVolSma.length - 1] : 0;
         const currentVolume = volumes[volumes.length - 1];
-        const volumeConfirmed = avgVolume > 0 && currentVolume > avgVolume * this.volumeMultiplier;
+        const volumeConfirmed = volumeKnown && avgVolume > 0 && currentVolume > avgVolume * this.volumeMultiplier;
         const position = ctx.state.get("position");
         // If no position, look for breakout entry
         if (!position) {