perp-cli 0.14.3 → 0.16.0

package/dist/bot/apex/radar.js

@@ -20,7 +20,8 @@ function scoreStructure(snapshot) {
     else if (vol > 1_000_000)
         score += 15;
     // OI component (0-50): higher open interest = more conviction
-    const oi = parseFloat(snapshot.openInterest);
+    // null (unknown) → no OI score, the same as below every threshold — never a parsed fake 0.
+    const oi = snapshot.openInterest === null ? NaN : parseFloat(snapshot.openInterest);
     if (oi > 50_000_000)
         score += 50;
     else if (oi > 20_000_000)

package/dist/bot/engine.d.ts

@@ -1,7 +1,7 @@
 import type { ExchangeAdapter } from "../exchanges/index.js";
 import { filledOf } from "./fill-size.js";
 import type { BotConfig } from "./config.js";
-import type { StrategyAction } from "./strategy-types.js";
+import type { StrategyAction, EnrichedSnapshot } from "./strategy-types.js";
 import { type QuoteRules } from "./quote-rules.js";
 import "./strategies/grid-strategy.js";
 import "./strategies/dca-strategy.js";
@@ -87,6 +87,15 @@ export declare function executeActions(adapter: ExchangeAdapter, symbol: string,
     filled: number;
 }>;
 export { filledOf };
+/**
+ * The tick's market snapshot. `unknown` names a failed orderbook / klines read (null = both
+ * read): the empty arrays in `snapshot` then are NOT data — the engine skips the tick of a
+ * strategy that reads them (MARKET_DATA_STRATEGIES).
+ */
+export declare function getEnrichedSnapshot(adapter: ExchangeAdapter, symbol: string, log: BotLog): Promise<{
+    snapshot: EnrichedSnapshot;
+    unknown: string | null;
+}>;
 /** TUI positions of one venue; a failed read → `error` set (shown "unavailable"), never an empty list. */
 export declare function fetchPositions(adapter: ExchangeAdapter, symbol: string, exchangeName?: string): Promise<{
     positions: import("./tui/index.js").Position[];

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/quote-rules.js

@@ -19,7 +19,7 @@ export async function quoteRulesOf(adapter, symbol) {
     if (network === null) {
         throw new PerpError("EXCHANGE_ERROR", `${adapter.name}: the adapter's network is unknown, so the ${symbol} tick / minimums cannot be read; nothing was sent`, { exchange: adapter.name });
     }
-    const [markets, stepSize] = await Promise.all([getVenue(adapter.name).publicData.fetchMarkets(network), lotStepOf(adapter, symbol)]);
+    const [markets, stepSize] = await Promise.all([getVenue(adapter.name).publicData.fetchMarkets(network, { funding: false }), lotStepOf(adapter, symbol)]);
     const vm = markets.find(m => symbolMatch(m.symbol, symbol));
     return { tickSize: vm?.tickSize ?? null, stepSize, minSize: vm?.minSize ?? null, minNotional: vm?.minNotional ?? null };
 }

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

@@ -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);
@@ -1064,9 +1064,16 @@ export class FundingArbStrategy {
                 return false;
             }
             const perpSymbol = getPerpSymbol(opp.symbol, opp.shortExchange);
-            const priceEstimate = await getPriceEstimate(perpAdapter, perpSymbol, opp.symbol);
-            if (priceEstimate <= 0) {
-                ctx.log(`  [ARB] Skip spot-perp ${opp.symbol}: can't determine price`);
+            let priceEstimate;
+            try {
+                priceEstimate = await getPriceEstimate(perpAdapter, perpSymbol, opp.symbol);
+            }
+            catch (err) {
+                ctx.log(`  [ARB] Skip spot-perp ${opp.symbol}: market read failed: ${err instanceof Error ? err.message : String(err)}`);
+                return false;
+            }
+            if (priceEstimate === null) {
+                ctx.log(`  [ARB] Skip spot-perp ${opp.symbol}: no positive mark price on ${opp.shortExchange}`);
                 return false;
             }
             // Liquidity check
@@ -1099,7 +1106,7 @@ 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.
  */
@@ -58,8 +58,12 @@ export declare function cappedLeverage(configured: number, legs: {
 }[], 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. */
-export declare function getPriceEstimate(perpAdapter: ExchangeAdapter, perpSymbol: string, fallbackSymbol: string): Promise<number>;
+/**
+ * The perp venue's mark price for a symbol. null = the market is not listed or its mark is not a
+ * positive finite number (Pacifica rows carry markPrice "-" when /info/prices has none). A failed
+ * market read throws (never a 0 that callers would size against).
+ */
+export declare function getPriceEstimate(perpAdapter: ExchangeAdapter, perpSymbol: string, fallbackSymbol: string): Promise<number | null>;
 export interface FundingScore {
     symbol: string;
     exchange: string;
@@ -82,6 +86,14 @@ export declare function isPositionGone(e: unknown): boolean;
  * points, or the per-symbol funding basis is unknown). A failed read THROWS — callers must not
  * mistake a 429 / timeout for "history too thin".
  */
+/**
+ * Funding-history rows one request (or the adapter's paging) can serve per venue — a
+ * `history_periods` above it fails every scoring call, so strategies validate it at config time.
+ * Venues without an entry page without a limit. Measured / documented in docs/VENUE_READ_CAPS.md.
+ */
+export declare const FUNDING_HISTORY_CAP: Readonly<Record<string, number>>;
+/** Throws INVALID_PARAMS when `periods` is not a positive integer or exceeds a leg venue's cap. */
+export declare function assertFundingHistoryPeriods(periods: unknown, venues: readonly string[], param?: string): void;
 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
@@ -133,18 +133,20 @@ export function matchSymbol(s, target) {
     const t = target.toUpperCase();
     return u === t || u === t + "-PERP" || u.replace(/-PERP$/, "") === t;
 }
-/** Get a price estimate for a symbol from the perp adapter. */
+/**
+ * The perp venue's mark price for a symbol. null = the market is not listed or its mark is not a
+ * positive finite number (Pacifica rows carry markPrice "-" when /info/prices has none). A failed
+ * market read throws (never a 0 that callers would size against).
+ */
 export async function getPriceEstimate(perpAdapter, perpSymbol, fallbackSymbol) {
-    try {
-        const markets = await perpAdapter.getMarkets();
-        const market = markets.find(m => m.symbol.toUpperCase() === perpSymbol.toUpperCase() ||
-            m.symbol.toUpperCase() === fallbackSymbol.toUpperCase() ||
-            m.symbol.toUpperCase() === `${fallbackSymbol.toUpperCase()}-PERP`);
-        return market ? parseFloat(market.markPrice) : 0;
-    }
-    catch {
-        return 0;
-    }
+    const markets = await perpAdapter.getMarkets();
+    const market = markets.find(m => m.symbol.toUpperCase() === perpSymbol.toUpperCase() ||
+        m.symbol.toUpperCase() === fallbackSymbol.toUpperCase() ||
+        m.symbol.toUpperCase() === `${fallbackSymbol.toUpperCase()}-PERP`);
+    if (market === undefined)
+        return null;
+    const px = Number(market.markPrice);
+    return Number.isFinite(px) && px > 0 ? px : null;
 }
 /**
  * true when a reduce-only close was rejected because there is no position left to reduce.
@@ -172,7 +174,7 @@ 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) {
@@ -187,6 +189,29 @@ async function marketFundingHours(adapter, exchangeName, symbol) {
  * points, or the per-symbol funding basis is unknown). A failed read THROWS — callers must not
  * mistake a 429 / timeout for "history too thin".
  */
+/**
+ * Funding-history rows one request (or the adapter's paging) can serve per venue — a
+ * `history_periods` above it fails every scoring call, so strategies validate it at config time.
+ * Venues without an entry page without a limit. Measured / documented in docs/VENUE_READ_CAPS.md.
+ */
+export const FUNDING_HISTORY_CAP = {
+    // hyperliquid: fundingHistory pages forward, but `-l` above 5000 is refused (HL_FUNDING_HISTORY_MAX_LIMIT).
+    // pacifica: cursor paging, 4000 per page × 10 pages (PACIFICA_FUNDING_PAGE × PACIFICA_MAX_PAGES).
+    hyperliquid: 5000, pacifica: 40_000, lighter: 750, "lighter-rh": 750, arcus: 1000, aster: 1000, grvt: 10_000, extended: 10_000,
+};
+/** Throws INVALID_PARAMS when `periods` is not a positive integer or exceeds a leg venue's cap. */
+export function assertFundingHistoryPeriods(periods, venues, param = "history_periods") {
+    if (typeof periods !== "number" || !Number.isInteger(periods) || periods < 1) {
+        throw new PerpError("INVALID_PARAMS", `${param} must be a positive integer (got ${String(periods)})`, { remediation: `Set ${param} to e.g. 6` });
+    }
+    const over = venues.map(v => v.toLowerCase()).filter(v => FUNDING_HISTORY_CAP[v] !== undefined && periods > FUNDING_HISTORY_CAP[v]);
+    if (over.length > 0) {
+        const caps = over.map(v => `${v} ${FUNDING_HISTORY_CAP[v]}`).join(", ");
+        throw new PerpError("INVALID_PARAMS", `${param} ${periods} exceeds the funding-history cap of ${caps}`, {
+            remediation: `Set ${param} to at most ${Math.min(...over.map(v => FUNDING_HISTORY_CAP[v]))}`,
+        });
+    }
+}
 export async function scoreFunding(adapter, symbol, exchangeName, periods, cache) {
     const key = `${exchangeName}:${symbol}`;
     const cached = cache?.get(key);
@@ -197,15 +222,23 @@ export async function scoreFunding(adapter, symbol, exchangeName, periods, cache
     if (fH === null)
         return null; // per-symbol basis unknown — the hourly rate would be a guess
     const history = await adapter.getFundingHistory(symbol, periods);
-    if (history.length < 2)
+    // A print without a rate is unknown, not 0, and a closed-market window (QFEX outside
+    // market_hours: rate null, marketClosed) carries no funding: both left out of the average.
+    const known = history.filter((h) => h.rate !== null && h.marketClosed !== true);
+    if (known.length < 2)
         return null;
-    const rates = history.map(h => parseFloat(h.rate));
+    const rates = known.map(h => parseFloat(h.rate));
     if (rates.some(r => !Number.isFinite(r))) {
         throw new PerpError("EXCHANGE_ERROR", `${exchangeName} ${symbol}: funding history has a non-numeric rate`, { exchange: exchangeName });
     }
-    const avgRate = rates.reduce((s, r) => s + r, 0) / rates.length;
+    // Every print normalized by its own interval (Lighter /fundings prints are per 1 h while the
+    // venue's quoted rate is per 8 h); intervalHours null → the market basis fH.
+    const hourly = known.map((h, i) => rates[i] / (typeof h.intervalHours === "number" ? h.intervalHours : fH));
+    const avgHourly = hourly.reduce((s, r) => s + r, 0) / hourly.length;
+    /** Average rate per the market's own interval (fH), from interval-normalized prints. */
+    const avgRate = avgHourly * fH;
     const consistency = rates.filter(r => r > 0).length / rates.length;
-    const annualized = annualizeHourlyRate(avgRate / fH);
+    const annualized = annualizeHourlyRate(avgHourly);
     const score = { symbol, exchange: exchangeName, avgRate, consistency, annualized, payments: rates.length };
     cache?.set(key, { score, ts: Date.now() });
     return score;
@@ -217,7 +250,7 @@ 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) {

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) {

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

@@ -1,7 +1,7 @@
 /**
  * Spot-Perp Arbitrage Strategy
  *
- * Focused strategy: buy spot (HL or Lighter) + short perp on the BEST of 4 exchanges.
+ * Focused strategy: buy spot (HL or Lighter) + short perp on the best of the configured perp exchanges (`exchanges`).
  * No perp-perp logic. History-based entry/exit with short rotation.
  *
  * Strategy layer handles ONLY decisions (opportunity scanning, scoring, close/rotation decisions).