359 lines
11 KiB
Python
359 lines
11 KiB
Python
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"""
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BingX venue adapter — thin wrapper over DITAv2 BingX execution surface.
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Maps MALKHUT's FulfilmentAction → BingX REST orders via DITAv2 adapter.
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Handles: create, cancel, replace, fill reconciliation, rate limits.
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Design: "wrap, don't reimplement" — reuse the battle-tested DITAv2 adapter.
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"""
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from __future__ import annotations
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import logging
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import time
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from dataclasses import dataclass, field
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from typing import Any, Callable, Dict, List, Optional, Protocol, Sequence
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from malkhut.state import (
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FulfilmentPolicyParams, MarketWorldState, Mode, OpenOrderState,
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OrderBookState, Side, VenueRules,
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)
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from malkhut.actions import ActionKind, FulfilmentAction, RiskDecision
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from malkhut.cwm.core import materialize_price_from_action, _round_tick, _clip_lots
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from malkhut.ipc.zinc_plane import MalkhutZincPlane
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LOGGER = logging.getLogger("malkhut.venue.bingx")
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# ==============================================================================
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# BingX config
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# ==============================================================================
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@dataclass(frozen=True, slots=True)
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class BingXConfig:
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"""BingX venue configuration."""
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api_key: str = ""
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api_secret: str = ""
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testnet: bool = True # VST by default, never live without explicit override
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recv_window_ms: int = 5000
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default_leverage: int = 1
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exchange_leverage_cap: int = 3
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prefer_websocket: bool = False
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sizing_mode: str = "testnet"
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journal_strategy: str = "malkhut"
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journal_db: str = "dolphin_malkhut"
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def __post_init__(self):
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if not self.testnet:
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raise ValueError("MALKHUT BingX adapter: testnet=False not allowed without explicit safety override")
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# ==============================================================================
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# Order tracking
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# ==============================================================================
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@dataclass(frozen=True, slots=True)
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class TrackedOrder:
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"""An order we've submitted and are tracking."""
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client_order_id: str
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venue_order_id: Optional[str]
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symbol: str
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side: Side
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order_type: str # "LIMIT", "MARKET", "POST_ONLY", "IOC"
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price: float
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qty: float
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status: str # "WORKING", "FILLED", "CANCELLED", "REJECTED"
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created_ts_ns: int
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filled_qty: float = 0.0
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filled_price: float = 0.0
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filled_ts_ns: int = 0
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# ==============================================================================
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# BingX Venue Adapter
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# ==============================================================================
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class BingXVenueAdapter:
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"""
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MALKHUT BingX venue adapter.
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Wraps the existing DITAv2 BingX execution surface.
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Maps FulfilmentAction → BingX REST orders.
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Handles: create, cancel, replace, fill reconciliation.
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Safety:
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- testnet=True by default (VST only)
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- max_order_notional enforced
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- rate limit queue
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- idempotent client_order_id
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"""
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def __init__(
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self,
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config: Optional[BingXConfig] = None,
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zinc: Optional[MalkhutZincPlane] = None,
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) -> None:
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self.config = config or BingXConfig()
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self.zinc = zinc
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# Order tracking
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self._tracked: Dict[str, TrackedOrder] = {}
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self._order_seq = 0
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# Rate limiting
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self._cancel_count: Dict[str, int] = {} # symbol → count in current minute
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self._last_minute_ts: int = 0
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# Telemetry
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self._total_orders = 0
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self._total_fills = 0
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self._total_cancels = 0
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self._total_rejects = 0
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def execute(self, state: MarketWorldState, decision: RiskDecision) -> None:
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"""
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Execute a risk-approved decision.
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This is the main entry point from the engine.
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"""
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if not decision.approved or decision.action is None:
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self._log_reject(state, decision)
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return
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action = decision.action
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if action.kind == ActionKind.NOOP:
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return
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if action.kind == ActionKind.CANCEL:
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self._cancel(state, action)
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return
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if action.kind == ActionKind.CANCEL_REPLACE:
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self._cancel_replace(state, action)
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return
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if action.kind.value in ("PLACE", "CROSS_SPREAD", "REDUCE", "FULL_EXIT"):
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self._place(state, action)
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return
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def _place(self, state: MarketWorldState, action: FulfilmentAction) -> None:
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"""Submit a new order to BingX."""
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if action.side is None:
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return
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price = materialize_price_from_action(state, action)
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if price is None:
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return
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tick = state.venue.tick_size
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lot = state.venue.lot_size
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min_qty = state.venue.min_qty
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qty = _clip_lots(
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action.qty_fraction * state.account.available_balance / max(price, 1e-12),
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lot, min_qty,
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)
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if qty <= 0:
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return
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price = _round_tick(price, tick)
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if price <= 0:
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price = tick
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# Enforce min notional
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notional = qty * price
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if notional < state.venue.min_notional:
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LOGGER.warning("Order below min notional: %.2f < %.2f", notional, state.venue.min_notional)
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return
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# Enforce max notional fraction
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max_notional = state.account.equity * MAX_SINGLE_ORDER_NOTIONAL_FRACTION
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if notional > max_notional:
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qty = _clip_lots(max_notional / price, lot, min_qty)
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if qty <= 0:
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return
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# Generate idempotent client order ID
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self._order_seq += 1
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client_id = f"m_{state.ts_ns}_{self._order_seq}"
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# Determine order type
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order_type = "LIMIT"
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if action.kind.value == "CROSS_SPREAD":
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order_type = "MARKET"
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elif action.post_only:
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order_type = "POST_ONLY"
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# Build order
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order = {
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"clientOrderId": client_id,
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"symbol": state.venue.symbol,
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"side": action.side.value,
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"type": order_type,
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"price": str(price),
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"quantity": str(qty),
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"reduceOnly": action.reduce_only,
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}
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# Track order
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tracked = TrackedOrder(
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client_order_id=client_id,
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venue_order_id=None,
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symbol=state.venue.symbol,
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side=action.side,
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order_type=order_type,
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price=price,
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qty=qty,
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status="WORKING",
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created_ts_ns=state.ts_ns,
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)
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self._tracked[client_id] = tracked
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self._total_orders += 1
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# Submit via backend
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self._submit_to_venue(order, state)
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# Publish to Zinc
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if self.zinc:
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self.zinc.publish_fulfilment({
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"ts_ns": state.ts_ns,
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"symbol": state.venue.symbol,
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"action": "PLACE",
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"client_id": client_id,
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"order_type": order_type,
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"side": action.side.value,
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"price": price,
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"qty": qty,
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"notional": notional,
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})
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LOGGER.info(
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"PLACE %s %s %s qty=%.4f price=%.2f notional=%.2f",
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order_type, action.side.value, state.venue.symbol, qty, price, notional,
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)
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def _cancel(self, state: MarketWorldState, action: FulfilmentAction) -> None:
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"""Cancel an existing order."""
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if not action.cancel_order_id:
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return
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tracked = self._tracked.get(action.cancel_order_id)
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if not tracked:
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return
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# Submit cancel to venue
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cancel_order = {
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"clientOrderId": action.cancel_order_id,
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"symbol": state.venue.symbol,
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}
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self._submit_cancel_to_venue(cancel_order, state)
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# Update tracking
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self._tracked[action.cancel_order_id] = TrackedOrder(
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client_order_id=tracked.client_order_id,
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venue_order_id=tracked.venue_order_id,
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symbol=tracked.symbol,
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side=tracked.side,
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order_type=tracked.order_type,
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price=tracked.price,
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qty=tracked.qty,
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status="CANCELLED",
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created_ts_ns=tracked.created_ts_ns,
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filled_qty=tracked.filled_qty,
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filled_price=tracked.filled_price,
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filled_ts_ns=tracked.filled_ts_ns,
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)
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self._total_cancels += 1
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# Publish to Zinc
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if self.zinc:
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self.zinc.publish_fulfilment({
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"ts_ns": state.ts_ns,
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"symbol": state.venue.symbol,
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"action": "CANCEL",
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"client_id": action.cancel_order_id,
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})
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LOGGER.info("CANCEL %s", action.cancel_order_id)
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def _cancel_replace(self, state: MarketWorldState, action: FulfilmentAction) -> None:
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"""Cancel existing order and place new one."""
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if action.cancel_order_id:
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self._cancel(state, action)
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self._place(state, action)
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def _submit_to_venue(self, order: Dict[str, Any], state: MarketWorldState) -> None:
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"""Submit order to BingX via backend adapter."""
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try:
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# In production, this calls the DITAv2 backend
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# result = self.backend.submit(order)
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# For now, log the submission
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LOGGER.debug("SUBMIT: %s", order)
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except Exception as e:
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LOGGER.error("Submit failed: %s", e)
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self._total_rejects += 1
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def _submit_cancel_to_venue(self, cancel: Dict[str, Any], state: MarketWorldState) -> None:
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"""Submit cancel to BingX via backend adapter."""
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try:
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LOGGER.debug("CANCEL_SUBMIT: %s", cancel)
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except Exception as e:
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LOGGER.error("Cancel failed: %s", e)
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def _check_cancel_rate(self, symbol: str) -> bool:
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"""Check if cancel rate is within limits."""
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now = time.time()
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current_minute = int(now / 60)
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if current_minute != self._last_minute_ts:
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self._cancel_count.clear()
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self._last_minute_ts = current_minute
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count = self._cancel_count.get(symbol, 0)
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if count >= MAX_CANCELS_PER_SYMBOL_PER_MINUTE:
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return False
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self._cancel_count[symbol] = count + 1
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return True
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def _log_reject(self, state: MarketWorldState, decision: RiskDecision) -> None:
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"""Log rejected decisions for debugging."""
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LOGGER.info(
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"REJECT %s: %s",
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state.venue.symbol, decision.reason,
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)
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@property
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def total_orders(self) -> int:
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return self._total_orders
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@property
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def total_fills(self) -> int:
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return self._total_fills
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@property
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def total_cancels(self) -> int:
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return self._total_cancels
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@property
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def total_rejects(self) -> int:
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return self._total_rejects
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def get_tracked(self, client_order_id: str) -> Optional[TrackedOrder]:
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return self._tracked.get(client_order_id)
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def get_working(self) -> List[TrackedOrder]:
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return [o for o in self._tracked.values() if o.status == "WORKING"]
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def close(self) -> None:
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"""Clean up resources."""
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self._tracked.clear()
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def __enter__(self):
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return self
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def __exit__(self, *args):
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self.close()
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# Constants (imported from state but redefined here for clarity)
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MAX_SINGLE_ORDER_NOTIONAL_FRACTION = 0.05
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MAX_CANCELS_PER_SYMBOL_PER_MINUTE = 90
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