senofy/autofirmer-expanded
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Entries of unknown outcome hold the account until settled; wipes keep their guards

Browse Source 
Fifth review round (1eb0736):

- An entry now has three outcomes. Filled (confirmed): one-and-done is done
  for the day. Never placed: leg taken back, free to retry. Unknown (an ack
  or fill that never came back): the account — any mode — is held until a
  good sync at least 90s later shows it flat with realized P&L unchanged,
  then the leg is taken back and it may retry. Stop-after-all counts it in
  play meanwhile. This closes both the day-long bench of 52ed9c7 and the
  stacked re-entries of 1eb0736.
- Tradovate cancels an acked order whose fill didn't come within 30s (as
  TopstepX already does), so a retry can't sit beside a still-working one.
- A wipe keeps the rebuild's guards: wipeAccountData leaves the Cash History
  baseline, roll base, wipe hold, pre-wipe fund signature and the
  resolver's inferred size in account_meta; the routes forget history
  before wiping (so the stored rows are still there to read), and a wipe
  hold restored after a restart keeps its pre-wipe yardstick.
- Wipe routes take the set of typed accounts before wiping, so an account
  the resolver un-assigns mid-rebuild still counts.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Brandon Li
2026-09-24 21:12:51 -05:00
co-authored by Claude Opus 5.5
parent 1eb0736fbe
commit 8e66631b0e
5 changed files with 114 additions and 25 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/tradovate-class.ts
+32 -4
View File
@@ -139,6 +139,9 @@ const HOLD_UNCHECKED_RELEASE_MS = 60 * 60_000;
const BASELINE_META = 'cash_baseline';
const HOLD_META = 'history_hold';
const ROLL_BASE_META = 'roll_base';
const WIPE_SIG_META = 'wipe_fund_sig';
/** A pre-wipe fund signature that wasn't kept: no rebuilt row counts as new. */
const UNKNOWN_SIG = '?';
function holdRetryMs(attempts: number): number {
return Math.min(HOLD_RETRY_MAX_MS, HOLD_RETRY_MS * 2 ** Math.max(0, attempts - 1));
@@ -153,6 +156,7 @@ function fundSignature(txns: { date: string; amount: number }[] | undefined): st
/** Whether `now` holds a fund transaction `before` didn't (a rebuild after a
* wipe can lose rows older than the report's window without booking any). */
function bookedNew(before: string, now: string): boolean {
if (before === UNKNOWN_SIG) return false;
const had = new Set(before ? before.split('|') : []);
return (now ? now.split('|') : []).some((row) => !had.has(row));
}
@@ -1531,10 +1535,17 @@ export class TradovateClient {
// The fund transactions and baseline from before the wipe stay as the
// yardstick: the rebuild must explain today's balance against them,
// so a payout the rebuilt report hasn't booked yet stays held.
const preWipe = this.historyHolds.get(accountId)?.fundSig ?? fundSignature(this.fundTransactions[accountId]);
// Called before wipeAccountData, so the stored rows and baseline are
// still there when this process hasn't loaded them yet.
const preWipe = this.historyHolds.get(accountId)?.fundSig
?? fundSignature(this.fundTransactions[accountId] ?? loadFundTransactions(accountId));
this.hold(accountId, 'wipe', preWipe);
saveAccountMeta(accountId, HOLD_META, 'wipe');
this.saveBaseline(accountId); // wipeAccountData dropped the saved one
saveAccountMeta(accountId, WIPE_SIG_META, preWipe);
if (!this.balanceBaseline[accountId]) {
const saved = this.savedBaseline(accountId);
if (saved) this.balanceBaseline[accountId] = saved;
}
delete this.dailyPnL[accountId];
delete this.fullDailyPnL[accountId];
delete this.daysTraded[accountId];
@@ -1580,7 +1591,8 @@ export class TradovateClient {
this.historyLoadedIds.add(accountId);
const now = Date.now();
if (!this.historyHolds.has(accountId) && loadAccountMeta(accountId, HOLD_META) === 'wipe') {
this.hold(accountId, 'wipe', ''); // a wipe from before a restart
// A wipe from before a restart, with its pre-wipe yardstick.
this.hold(accountId, 'wipe', loadAccountMeta(accountId, WIPE_SIG_META) ?? UNKNOWN_SIG);
}
const hold = this.historyHolds.get(accountId);
if (!this.balanceBaseline[accountId]) {
@@ -1632,6 +1644,7 @@ export class TradovateClient {
}
if (hold.reason === 'wipe') {
saveAccountMeta(accountId, HOLD_META, '');
saveAccountMeta(accountId, WIPE_SIG_META, '');
// Rebuilt — but the balance must still be explained against
// the pre-wipe baseline, unless the rebuild booked a fund
// transaction the pre-wipe rows didn't have.
@@ -2002,6 +2015,13 @@ export class TradovateClient {
/** Resolves with the fill event for `orderId` (it carries the real
* execution price). Registered synchronously from the ack handler, so a
* fill later in the same frame as the ack is not missed. */
/** Cancel a working order (order/cancelorder). */
private cancelOrder(orderId: number): Promise<void> {
return this.sendRequest('order/cancelorder', `\n${JSON.stringify({ orderId })}`, ACK_TIMEOUT_MS, (response) => {
console.log(`${this.tag} cancelorder ${orderId}:`, JSON.stringify(response));
});
}
private waitForFill(orderId: number | undefined): Promise<Record<string, any>> {
// Fills are pushed on the event stream, independently of the ack: one
// that got ahead of it (an earlier frame, or earlier in the same one)
@@ -2030,7 +2050,15 @@ export class TradovateClient {
};
const timeout = setTimeout(() => {
this.indirectEventCallbacks = this.indirectEventCallbacks.filter((info) => info !== watcher);
reject(new Error(`Order ${orderId} acknowledged but no fill within 30s (market may be closed)`));
// The caller gives up on it and places no exit, so a late fill
// would open a position nothing manages — and a retry would
// add a second order beside it. Cancel it, best effort (a
// no-op if it filled after all), like TopstepX does.
if (orderId != null) {
this.cancelOrder(orderId).catch((err) =>
console.error(`${this.tag} failed to cancel unfilled order ${orderId}: ${errorMessage(err)}`));
}
reject(new Error(`Order ${orderId} acknowledged but no fill within 30s (market may be closed) — cancel requested`));
}, FILL_TIMEOUT_MS);
this.indirectEventCallbacks.push(watcher);
});