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Feat: add Filltracker service #5

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Merged
terwey merged 1 commit into from
Oct 21, 2025
Merged

Feat: add Filltracker service #5

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67 changes: 13 additions & 54 deletions cmd/recomma/main.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,6 @@ package main

import (
"context"
"database/sql"
"errors"
"log"
"log/slog"
Expand All @@ -17,12 +16,12 @@ import (

"github.com/go-webauthn/webauthn/webauthn"
"github.com/rs/cors"
"github.com/sonirico/go-hyperliquid"

tc "github.com/terwey/3commas-sdk-go/threecommas"
"github.com/terwey/recomma/cmd/recomma/internal/config"
"github.com/terwey/recomma/emitter"
"github.com/terwey/recomma/engine"
"github.com/terwey/recomma/filltracker"
"github.com/terwey/recomma/hl"
"github.com/terwey/recomma/hl/ws"
"github.com/terwey/recomma/internal/api"
Expand Down Expand Up @@ -69,7 +68,7 @@ func main() {

appCtx = rlog.ContextWithLogger(appCtx, logger)

store, err := storage.New(cfg.StoragePath, nil)
store, err := storage.New(cfg.StoragePath)
if err != nil {
fatal("storage init failed", err)
}
Expand Down Expand Up @@ -200,7 +199,12 @@ func main() {
fatal("Could not create Hyperliquid Exchange", err)
}

ws, err := ws.New(appCtx, store, secrets.Secrets.HYPERLIQUIDWALLET, secrets.Secrets.HYPERLIQUIDURL)
fillTracker := filltracker.New(store, logger)
if err := fillTracker.Rebuild(appCtx); err != nil {
logger.Warn("fill tracker rebuild failed", slog.String("error", err.Error()))
}

ws, err := ws.New(appCtx, store, fillTracker, secrets.Secrets.HYPERLIQUIDWALLET, secrets.Secrets.HYPERLIQUIDURL)
if err != nil {
fatal("Could not create Hyperliquid websocket conn", err)
}
Expand Down Expand Up @@ -230,6 +234,7 @@ func main() {
e := engine.NewEngine(client,
engine.WithStorage(store),
engine.WithEmitter(engineEmitter),
engine.WithFillTracker(fillTracker),
)

submitter := emitter.NewHyperLiquidEmitter(exchange, ws, store)
Expand All @@ -253,57 +258,11 @@ func main() {
}
produceOnce(appCtx)

cancelTakeProfit := func(ctx context.Context) {
deals, err := store.ListDealIDs(ctx)
if err != nil {
slog.Debug("cancelTakeProfit ListDeals returned an error", slog.String("error", err.Error()))
}

logger.Debug("checking deals if completed", slog.Any("deals", deals))

for _, d := range deals {
dealLogger := logger.With("deal_id", d)
filled, err := store.DealSafetiesFilled(uint32(d))
if err != nil {
dealLogger.Debug("cancelTakeProfit DealSafetiesFilled returned an error", slog.String("error", err.Error()))
}
if !filled {
continue
}

md, event, err := store.LoadTakeProfitForDeal(uint32(d))
if err != nil {
if errors.Is(err, sql.ErrNoRows) {
dealLogger.Debug("deal has no TakeProfit")
continue
}
dealLogger.Warn("cancelTakeProfit LoadTakeProfitForDeal returned an error", slog.String("error", err.Error()))
continue
}

cancelCtx, cancel := context.WithTimeout(ctx, 30*time.Second)

err = submitter.Emit(cancelCtx, recomma.OrderWork{
MD: *md,
Action: recomma.Action{
Type: recomma.ActionCancel,
Cancel: &hyperliquid.CancelOrderRequestByCloid{
Coin: event.Coin,
Cloid: md.Hex(),
},
Reason: "safeties filled for deal",
},
})
cancel()
if err != nil {
dealLogger.Warn("could not cancel TP", slog.String("error", err.Error()))
} else {
dealLogger.Info("Safeties filled for Deal, cancelled TP")
}
}
reconcileTakeProfits := func(ctx context.Context) {
fillTracker.CancelCompletedTakeProfits(ctx, submitter)
}

cancelTakeProfit(appCtx)
reconcileTakeProfits(appCtx)

// Periodic resync; stops automatically when ctx is cancelled
resync := cfg.ResyncInterval
Expand All @@ -322,7 +281,7 @@ func main() {
return
}
produceOnce(appCtx)
cancelTakeProfit(appCtx)
reconcileTakeProfits(appCtx)
}
}
}()
Expand Down
118 changes: 118 additions & 0 deletions engine/engine.go
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Original file line number Diff line number Diff line change
Expand Up @@ -6,10 +6,12 @@ import (
"errors"
"fmt"
"log/slog"
"math"
"time"

tc "github.com/terwey/3commas-sdk-go/threecommas"
"github.com/terwey/recomma/adapter"
"github.com/terwey/recomma/filltracker"
"github.com/terwey/recomma/metadata"
"github.com/terwey/recomma/recomma"
"github.com/terwey/recomma/storage"
Expand Down Expand Up @@ -38,6 +40,7 @@ type Engine struct {
store *storage.Storage
emitter recomma.Emitter
logger *slog.Logger
tracker *filltracker.Service
}

type EngineOption func(*Engine)
Expand All @@ -54,6 +57,12 @@ func WithEmitter(emitter recomma.Emitter) EngineOption {
}
}

func WithFillTracker(tracker *filltracker.Service) EngineOption {
return func(h *Engine) {
h.tracker = tracker
}
}

func NewEngine(client ThreeCommasAPI, opts ...EngineOption) *Engine {
e := &Engine{
client: client,
Expand Down Expand Up @@ -182,6 +191,22 @@ func (e *Engine) processDeal(ctx context.Context, wi WorkKey, currency string, e
logger := e.logger.With("deal-id", wi.DealID).With("bot-id", wi.BotID)
seen := make(map[uint32]metadata.Metadata)

var fillSnapshot *filltracker.DealSnapshot
if e.tracker != nil {
if snapshot, ok := e.tracker.Snapshot(wi.DealID); ok {
fillSnapshot = &snapshot
logger.Debug("fill snapshot",
slog.Float64("net_qty", snapshot.Position.NetQty),
slog.Float64("avg_entry", snapshot.Position.AverageEntry),
slog.Bool("all_buys_filled", snapshot.AllBuysFilled),
slog.Float64("outstanding_buys", snapshot.OutstandingBuyQty),
slog.Float64("outstanding_sells", snapshot.OutstandingSellQty),
)
} else {
logger.Debug("fill snapshot unavailable")
}
}

for _, event := range events {
md := metadata.Metadata{
BotID: wi.BotID,
Expand All @@ -199,6 +224,7 @@ func (e *Engine) processDeal(ctx context.Context, wi WorkKey, currency string, e
if event.OrderType == tc.MarketOrderDealOrderTypeTakeProfit {
if event.Action == tc.BotEventActionCancel || event.Action == tc.BotEventActionCancelled {
// we ignore Take Profit cancellations, we cancel TP's ourselves based on the combined orders for the deal
// TODO: figure out that the Take Profit SHOULD be cancelled because the price changed!!
continue
}
}
Expand Down Expand Up @@ -227,6 +253,12 @@ func (e *Engine) processDeal(ctx context.Context, wi WorkKey, currency string, e
if !shouldEmit {
continue
}
if fillSnapshot != nil && latestEvent != nil {
action, shouldEmit = e.adjustActionWithTracker(currency, md, *latestEvent, action, fillSnapshot, logger.With("botevent-id", md.BotEventID))
if !shouldEmit {
continue
}
}
work := recomma.OrderWork{MD: md, Action: action}
if latestEvent != nil {
work.BotEvent = *latestEvent
Expand Down Expand Up @@ -348,3 +380,89 @@ func sameSnapshot(a, b *recomma.BotEvent) bool {
a.Type == b.Type &&
a.IsMarket == b.IsMarket
}

const qtyTolerance = 1e-6

func nearlyEqual(a, b float64) bool {
return math.Abs(a-b) <= qtyTolerance
}

func (e *Engine) adjustActionWithTracker(
currency string,
md metadata.Metadata,
latest recomma.BotEvent,
action recomma.Action,
snapshot *filltracker.DealSnapshot,
logger *slog.Logger,
) (recomma.Action, bool) {
if snapshot == nil {
return action, true
}
if latest.OrderType != tc.MarketOrderDealOrderTypeTakeProfit {
return action, true
}

desiredQty := snapshot.Position.NetQty
if desiredQty <= qtyTolerance {
logger.Info("skipping take profit placement: position flat",
slog.Float64("net_qty", desiredQty),
slog.Any("action_type", action.Type),
)
return recomma.Action{Type: recomma.ActionNone, Reason: "skip take-profit: position flat"}, false
}

active := snapshot.ActiveTakeProfit
if active != nil && active.ReduceOnly && nearlyEqual(active.RemainingQty, desiredQty) {
logger.Debug("take profit already matches position",
slog.Float64("desired_qty", desiredQty),
slog.Float64("existing_qty", active.RemainingQty),
)
return recomma.Action{Type: recomma.ActionNone, Reason: "take-profit already matches position"}, false
}

switch action.Type {
case recomma.ActionNone:
req := adapter.ToCreateOrderRequest(currency, latest, md)
req.Size = desiredQty
req.ReduceOnly = true
logger.Info("placing take profit to match position",
slog.Float64("desired_qty", desiredQty),
slog.Float64("price", req.Price),
)
return recomma.Action{Type: recomma.ActionCreate, Create: &req}, true
case recomma.ActionCreate:
if action.Create == nil {
req := adapter.ToCreateOrderRequest(currency, latest, md)
action.Create = &req
}
action.Create.Size = desiredQty
action.Create.ReduceOnly = true
logger.Info("creating take profit with tracked size",
slog.Float64("desired_qty", desiredQty),
slog.Float64("price", action.Create.Price),
)
return action, true
case recomma.ActionModify:
if action.Modify == nil {
req := adapter.ToCreateOrderRequest(currency, latest, md)
req.Size = desiredQty
req.ReduceOnly = true
logger.Warn("modify without prior request; emitting create instead",
slog.Float64("desired_qty", desiredQty),
)
return recomma.Action{Type: recomma.ActionCreate, Create: &req}, true
}
action.Modify.Order.Size = desiredQty
action.Modify.Order.ReduceOnly = true
logger.Info("modifying take profit to tracked size",
slog.Float64("desired_qty", desiredQty),
slog.Float64("price", action.Modify.Order.Price),
)
return action, true
case recomma.ActionCancel:
logger.Debug("take profit cancel requested", slog.Float64("net_qty", desiredQty))
return action, true
default:
return action, true
}
}
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