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Mauricio Barragan
4ffce9a59e
Kraken WS v2 book channel does not send deletes for levels evicted from its top-N window; without client-side truncation those levels lingered forever as phantom quotes, eventually crossing the local book (bid >= ask) and feeding the engine a fake permanent arbitrage (~$62.9M bogus P&L). - BookSide.truncate() removes levels beyond the best depth prices from the internal map (not just the emitted array) - KrakenConnector uses depth 10 consistently (subscription + LocalBook) and truncates both sides after every update - ExchangeConnector.emit() drops internally crossed books, logs and forces a resync (book reset + reconnect for a fresh snapshot) - Unit tests for truncation and the crossed-book guard - OpenSpec: order-book-integrity spec; change archived (2026-07-19) Refs: Linear WAY-77 Co-authored-by: Cursor <cursoragent@cursor.com>
27 lines
1.3 KiB
Markdown
27 lines
1.3 KiB
Markdown
# Tasks — fix-kraken-phantom-book-levels
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## 1. LocalBook: truncado real
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- [x] Añadir `BookSide.truncate()` que elimine del Map los niveles fuera de los mejores `depth` precios del lado
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- [x] Unit tests de `truncate()`: elimina el peor nivel al exceder depth, no toca nada si size <= depth, y el bid fantasma desaparece tras updates sucesivos
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## 2. Conector Kraken
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- [x] Hacer `ExchangeConnector.depth` sobreescribible por subclase e inicializar `LocalBook` con el depth del conector
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- [x] Fijar depth 10 en `KrakenConnector` (igual a la suscripción) y truncar ambos lados tras aplicar cada update
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## 3. Guard de libro cruzado
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- [x] En `ExchangeConnector.emit()`: si `bids[0].price >= asks[0].price`, no emitir, log warn, reset del libro y reconexión para re-sync
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- [x] Unit test del guard: libro cruzado no se emite a listeners y dispara re-sync
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## 4. Documentación
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- [x] Actualizar skill `exchange-ws` (truncado obligatorio en Kraken v2, guard de cruce en la base, depth por conector)
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- [x] Revisar README/AGENTS por menciones al manejo del libro que queden desactualizadas
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## 5. Verificación
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- [x] `npm run typecheck` + `npm test` en verde
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- [x] Arrancar en local con feeds reales y verificar via `/api/state` que Kraken emite libro no cruzado y quotes coherentes con el mercado (matar el proceso al terminar)
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