fix: market expiry guard, FAK orders, 2% slippage, sanitize CLOB logs
Market expiry guard (executor.js): - getMarketOptions() now returns endDateIso, active, acceptingOrders from Gamma API response - executeBuy() skips immediately if market is closed / not accepting orders - executeBuy() skips if market closes within MIN_MARKET_TIME_LEFT seconds (default 300 s = 5 min), logging exact time remaining - Add MIN_MARKET_TIME_LEFT to config and .env.example FAK + 2% slippage (executor.js): - Replace OrderType.FOK with OrderType.FAK for both BUY and SELL market orders — eliminates "FOK fully filled or killed" failures - Reduce slippage from 5% to 2% (price * 1.02 / price * 0.98) - Fix zero-fill detection: FAK success with 0 shares logs "no liquidity" and retries instead of recording a phantom fill CLOB log sanitization (logger.js + index.js): - Add sanitizeClobMessage(): strips axios config object (auth headers) from [CLOB Client] dumps, keeps only HTTP status + error string - Add interceptConsole(): overrides console.error/warn globally - Call interceptConsole() at startup in index.js Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
direkturcrypto
co-authored by
Claude Sonnet 4.6
Claude Sonnet 4.6
parent
526076fe6e
commit
69d8d1401d
+54
-33
@@ -36,10 +36,13 @@ async function getMarketOptions(tokenId) {
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const marketInfo = await fetchMarketByTokenId(tokenId);
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if (marketInfo) {
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return {
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tickSize: String(marketInfo.minimum_tick_size || '0.01'),
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negRisk: marketInfo.neg_risk || false,
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tickSize: String(marketInfo.minimum_tick_size || '0.01'),
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negRisk: marketInfo.neg_risk || false,
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conditionId: marketInfo.condition_id || '',
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question: marketInfo.question || '',
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question: marketInfo.question || '',
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endDateIso: marketInfo.end_date_iso || marketInfo.game_start_time || null,
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active: marketInfo.active !== false,
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acceptingOrders: marketInfo.accepting_orders !== false,
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};
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}
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} catch (err) {
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@@ -50,10 +53,10 @@ async function getMarketOptions(tokenId) {
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try {
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const tickSize = await client.getTickSize(tokenId);
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const negRisk = await client.getNegRisk(tokenId);
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return { tickSize: String(tickSize), negRisk, conditionId: '', question: '' };
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return { tickSize: String(tickSize), negRisk, conditionId: '', question: '', endDateIso: null, active: true, acceptingOrders: true };
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} catch (err) {
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logger.warn('Failed to get tick size from SDK, using default 0.01');
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return { tickSize: '0.01', negRisk: false, conditionId: '', question: '' };
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return { tickSize: '0.01', negRisk: false, conditionId: '', question: '', endDateIso: null, active: true, acceptingOrders: true };
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}
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}
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@@ -64,10 +67,29 @@ async function getMarketOptions(tokenId) {
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export async function executeBuy(trade) {
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const { tokenId, conditionId, market, price, size } = trade;
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// Get market options first to resolve conditionId
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// Get market options first to resolve conditionId + end time
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const marketOpts = await getMarketOptions(tokenId);
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const effectiveConditionId = conditionId || marketOpts.conditionId;
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// ── Market expiry guard ────────────────────────────────────────────────────
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if (!marketOpts.active || !marketOpts.acceptingOrders) {
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logger.warn(`Market closed/not accepting orders: ${market || effectiveConditionId} — skipping buy`);
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return;
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}
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if (marketOpts.endDateIso) {
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const secsLeft = (new Date(marketOpts.endDateIso).getTime() - Date.now()) / 1000;
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if (secsLeft < config.minMarketTimeLeft) {
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const minsLeft = Math.max(0, Math.floor(secsLeft / 60));
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const sLeft = Math.max(0, Math.floor(secsLeft % 60));
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logger.warn(
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`Market expires in ${minsLeft}m ${sLeft}s — below MIN_MARKET_TIME_LEFT ` +
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`(${config.minMarketTimeLeft}s). Skipping buy: ${market || effectiveConditionId}`,
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);
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return;
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}
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}
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// ──────────────────────────────────────────────────────────────────────────
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// Check existing position and max position size cap
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const existingPos = getPosition(effectiveConditionId);
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if (existingPos) {
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@@ -131,7 +153,7 @@ export async function executeBuy(trade) {
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return;
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}
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// Place market order with retries
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// Place market order (FAK) with retries
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const client = getClient();
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let filled = false;
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let totalSharesFilled = 0;
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@@ -144,47 +166,41 @@ export async function executeBuy(trade) {
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logger.info(`Buy attempt ${attempt}/${config.maxRetries} | Amount: $${remainingAmount.toFixed(2)}`);
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// Use FAK (fill-and-kill) to get what's available, then retry remainder
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const response = await client.createAndPostMarketOrder(
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{
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tokenID: tokenId,
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side: Side.BUY,
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amount: remainingAmount,
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price: Math.min(price * 1.05, 0.99), // 5% slippage allowance, max 0.99
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price: Math.min(price * 1.02, 0.99), // 2% slippage, max 0.99
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},
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{
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tickSize: marketOpts.tickSize,
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negRisk: marketOpts.negRisk,
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},
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OrderType.FOK,
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OrderType.FAK, // Fill-and-Kill: takes what's available, no full-fill requirement
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);
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if (response && response.success) {
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logger.success(`Order placed: ${response.orderID} | Status: ${response.status}`);
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const sharesFilled = parseFloat(response.takingAmount || '0');
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const costFilled = parseFloat(response.makingAmount || '0');
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// Check if fully filled by trying to get trade info
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const takingAmount = parseFloat(response.takingAmount || '0');
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const makingAmount = parseFloat(response.makingAmount || '0');
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if (takingAmount > 0 || makingAmount > 0) {
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totalSharesFilled += takingAmount || (remainingAmount / price);
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totalCostFilled += makingAmount || remainingAmount;
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if (sharesFilled > 0) {
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logger.success(`Order filled: ${response.orderID} | ${sharesFilled.toFixed(4)} shares @ ~$${(costFilled / sharesFilled).toFixed(4)}`);
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totalSharesFilled += sharesFilled;
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totalCostFilled += costFilled || (sharesFilled * price);
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filled = true;
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break; // FOK either fills fully or cancels
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// If remainder is below minimum, stop; otherwise loop for partial fill
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if (tradeSize - totalCostFilled < config.minTradeSize) break;
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} else {
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filled = true;
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totalSharesFilled = tradeSize / price;
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totalCostFilled = tradeSize;
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break;
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logger.warn(`No liquidity — FAK filled 0 shares (attempt ${attempt})`);
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}
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} else {
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logger.warn(`Order not filled. Error: ${response?.errorMsg || 'Unknown'}`);
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logger.warn(`Order rejected: ${response?.errorMsg || 'unknown'}`);
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}
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} catch (err) {
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logger.error(`Buy attempt ${attempt} failed:`, err.message);
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logger.error(`Buy attempt ${attempt} failed: ${err.message}`);
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}
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// Wait before retry
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if (attempt < config.maxRetries) {
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await new Promise((r) => setTimeout(r, config.retryDelay));
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}
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@@ -286,7 +302,7 @@ export async function executeSell(trade) {
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for (let attempt = 1; attempt <= config.maxRetries; attempt++) {
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try {
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if (config.sellMode === 'market') {
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// Market sell (FOK)
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// Market sell (FAK) — takes what's available at 2% slippage
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logger.info(`Sell attempt ${attempt}/${config.maxRetries} (market) | Shares: ${position.shares}`);
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const response = await client.createAndPostMarketOrder(
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@@ -294,21 +310,26 @@ export async function executeSell(trade) {
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tokenID: tokenId,
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side: Side.SELL,
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amount: position.shares,
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price: Math.max(price * 0.95, 0.01), // 5% slippage, min 0.01
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price: Math.max(price * 0.98, 0.01), // 2% slippage, min 0.01
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},
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{
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tickSize: marketOpts.tickSize,
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negRisk: marketOpts.negRisk,
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},
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OrderType.FOK,
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OrderType.FAK, // Fill-and-Kill: takes what's available
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);
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if (response && response.success) {
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logger.success(`Sell order placed: ${response.orderID}`);
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filled = true;
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break;
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const sharesFilled = parseFloat(response.takingAmount || '0');
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if (sharesFilled > 0) {
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logger.success(`Sell filled: ${response.orderID} | ${sharesFilled.toFixed(4)} shares`);
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filled = true;
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break;
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} else {
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logger.warn(`No bid liquidity — FAK filled 0 shares (attempt ${attempt})`);
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}
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} else {
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logger.warn(`Sell not filled: ${response?.errorMsg || 'Unknown'}`);
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logger.warn(`Sell rejected: ${response?.errorMsg || 'unknown'}`);
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}
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} else {
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// Limit sell at trader's sell price
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