repo hygiene: track the PINK launcher import closure
67 production .py modules that the running PINK service imports but which were never committed: prod/bingx/ (HTTP client, market/user streams, journal, config), prod/clean_arch/ adapters/persistence/runtime/dita/dita_v2 production modules and their co-located tests. Rule going forward: every module imported by launch_dolphin_pink.py / pink_direct.py must appear in git ls-files. Excludes _backup dirs, __pycache__, and non-code files. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
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Codex
226
prod/bingx/friction.py
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226
prod/bingx/friction.py
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from __future__ import annotations
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from decimal import Decimal
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from typing import Any
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from nautilus_trader.model.enums import LiquiditySide
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from nautilus_trader.model.enums import OrderType
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from nautilus_trader.model.enums import TimeInForce
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from nautilus_trader.model.objects import Price
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from nautilus_trader.model.objects import Quantity
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from nautilus_trader.model.orders import Order
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def _decimal(value: Any) -> Decimal | None:
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if value in (None, "", "null"):
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return None
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try:
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return Decimal(str(value))
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except Exception:
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return None
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def _decimal_text(value: Decimal | None) -> str | None:
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if value is None:
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return None
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text = format(value.normalize(), "f")
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if "." in text:
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text = text.rstrip("0").rstrip(".")
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return text or "0"
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def _fill_quality_score(
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*,
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slippage_bps: Decimal | None,
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fee_bps: Decimal | None,
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liquidity_side: LiquiditySide,
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) -> tuple[Decimal, str]:
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"""Return a compact fill-quality score and label.
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The score is intentionally conservative: 100 is ideal, and lower scores
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reflect adverse slippage plus fee drag. Maker fills are allowed a small
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bonus because they are typically less toxic than taker fills.
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"""
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score = Decimal("100")
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if slippage_bps is not None:
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score -= abs(slippage_bps)
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if fee_bps is not None:
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score -= abs(fee_bps)
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if liquidity_side == LiquiditySide.MAKER:
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score += Decimal("1")
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score = max(Decimal("0"), min(Decimal("100"), score))
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if score >= Decimal("99"):
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label = "excellent"
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elif score >= Decimal("95"):
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label = "good"
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elif score >= Decimal("85"):
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label = "fair"
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else:
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label = "poor"
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return score, label
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def _price_from_order(order: Order) -> Decimal | None:
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if getattr(order, "has_price", False):
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price = getattr(order, "price", None)
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if price is not None:
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try:
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return price.as_decimal()
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except Exception:
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return _decimal(price)
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return None
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def infer_liquidity_side(order: Order, row: dict[str, Any] | None = None) -> LiquiditySide:
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row = row or {}
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explicit = row.get("liquiditySide") or row.get("liquidity_side")
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if isinstance(explicit, str):
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upper = explicit.upper()
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if "MAKER" in upper:
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return LiquiditySide.MAKER
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if "TAKER" in upper:
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return LiquiditySide.TAKER
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for key in ("isMaker", "maker", "m"):
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value = row.get(key)
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if isinstance(value, bool):
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return LiquiditySide.MAKER if value else LiquiditySide.TAKER
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if isinstance(value, str):
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lower = value.strip().lower()
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if lower in {"true", "1", "yes", "maker"}:
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return LiquiditySide.MAKER
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if lower in {"false", "0", "no", "taker"}:
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return LiquiditySide.TAKER
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if bool(getattr(order, "is_post_only", False)):
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return LiquiditySide.MAKER
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tif = getattr(order, "time_in_force", None)
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if tif in {TimeInForce.IOC, TimeInForce.FOK}:
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return LiquiditySide.TAKER
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if order.order_type in {
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OrderType.MARKET,
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OrderType.STOP_MARKET,
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OrderType.MARKET_IF_TOUCHED,
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OrderType.TRAILING_STOP_MARKET,
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}:
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return LiquiditySide.TAKER
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if order.order_type in {
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OrderType.LIMIT,
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OrderType.STOP_LIMIT,
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OrderType.LIMIT_IF_TOUCHED,
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OrderType.TRAILING_STOP_LIMIT,
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}:
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return LiquiditySide.MAKER
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return LiquiditySide.NO_LIQUIDITY_SIDE
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def reference_price(order: Order, row: dict[str, Any] | None = None) -> tuple[Decimal | None, str]:
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row = row or {}
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for key in ("referencePrice", "referencePx", "expectedPrice", "expectedPx", "bestPrice"):
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value = _decimal(row.get(key))
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if value is not None and value > 0:
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return value, key
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if getattr(order, "has_price", False):
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price = _price_from_order(order)
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if price is not None and price > 0:
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return price, "order_price"
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if getattr(order, "has_trigger_price", False) and order.order_type in {
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OrderType.STOP_MARKET,
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OrderType.MARKET_IF_TOUCHED,
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OrderType.TRAILING_STOP_MARKET,
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}:
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trigger = getattr(order, "trigger_price", None)
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if trigger is not None:
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try:
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value = trigger.as_decimal()
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except Exception:
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value = _decimal(trigger)
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if value is not None and value > 0:
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return value, "trigger_price"
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return None, "unavailable"
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def _commission_quote(
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*,
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commission_amount: Decimal,
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commission_asset: str,
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quote_currency: str,
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base_currency: str,
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last_px: Decimal | None,
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estimate_quote: Decimal,
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) -> tuple[Decimal, str]:
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if commission_amount == 0:
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return estimate_quote, "estimated"
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if commission_asset == quote_currency:
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return commission_amount, "quote"
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if commission_asset == base_currency and last_px is not None:
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return commission_amount * last_px, "base_converted"
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return estimate_quote, "estimated"
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def estimate_friction(
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order: Order,
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row: dict[str, Any],
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*,
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last_qty: Quantity | None = None,
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last_px: Price | None = None,
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quote_currency: str,
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base_currency: str,
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maker_fee: Decimal,
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taker_fee: Decimal,
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feed_source: str = "unknown",
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) -> dict[str, Any]:
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qty = last_qty.as_decimal() if last_qty is not None else _decimal(row.get("lastFilledQty") or row.get("executedQty")) or Decimal("0")
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px = last_px.as_decimal() if last_px is not None else _decimal(row.get("lastFillPrice") or row.get("avgPrice") or row.get("price"))
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notional = qty * px if px is not None else Decimal("0")
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liquidity_side = infer_liquidity_side(order, row)
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fee_rate = maker_fee if liquidity_side == LiquiditySide.MAKER else taker_fee if liquidity_side == LiquiditySide.TAKER else taker_fee
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estimated_fee_quote = notional * fee_rate if notional > 0 else Decimal("0")
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commission_amount = _decimal(row.get("commission")) or Decimal("0")
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commission_asset = str(row.get("commissionAsset") or quote_currency)
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actual_fee_quote, commission_source = _commission_quote(
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commission_amount=commission_amount,
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commission_asset=commission_asset,
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quote_currency=quote_currency,
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base_currency=base_currency,
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last_px=px,
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estimate_quote=estimated_fee_quote,
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)
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reference_px, reference_source = reference_price(order, row)
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slippage_quote = None
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slippage_bps = None
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if reference_px is not None and px is not None and qty > 0:
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side = getattr(order.side, "name", str(order.side)).upper()
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delta = px - reference_px if side == "BUY" else reference_px - px
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slippage_quote = delta * qty
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if reference_px > 0:
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slippage_bps = (delta / reference_px) * Decimal("10000")
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net_friction_quote = actual_fee_quote + (slippage_quote or Decimal("0"))
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gross_friction_quote = abs(actual_fee_quote) + abs(slippage_quote or Decimal("0"))
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fee_bps = None
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if notional > 0:
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fee_bps = (actual_fee_quote / notional) * Decimal("10000")
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fill_quality_score, fill_quality_class = _fill_quality_score(
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slippage_bps=slippage_bps,
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fee_bps=fee_bps,
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liquidity_side=liquidity_side,
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)
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return {
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"liquidity_side": getattr(liquidity_side, "name", str(liquidity_side)),
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"feed_source": str(feed_source or "unknown"),
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"commission_asset": commission_asset,
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"commission_source": commission_source,
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"commission_quote": _decimal_text(actual_fee_quote),
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"estimated_fee_quote": _decimal_text(estimated_fee_quote),
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"fee_rate": _decimal_text(fee_rate),
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"fee_bps": _decimal_text(fee_bps),
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"reference_px": _decimal_text(reference_px),
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"reference_source": reference_source,
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"slippage_quote": _decimal_text(slippage_quote),
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"slippage_bps": _decimal_text(slippage_bps),
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"net_friction_quote": _decimal_text(net_friction_quote),
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"gross_friction_quote": _decimal_text(gross_friction_quote),
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"fill_quality_score": _decimal_text(fill_quality_score),
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"fill_quality_class": fill_quality_class,
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"notional_quote": _decimal_text(notional),
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"last_qty": _decimal_text(qty),
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"last_px": _decimal_text(px),
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}
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