S1 — Leverage cache (bingx_direct.py):
_ensure_leverage(): per-symbol asyncio.Lock + cached value check; skips ~350ms
POST when exchange already has the requested leverage. Saves ~350ms/trade.
Cache updated ONLY on success; failed POST leaves cache stale → correct retry.
Persist: JSON sidecar /tmp/.bingx_leverage_cache_{env}.json; survives restarts.
connect(): _verify_leverage_drift() detects when another process changed leverage
at the exchange and updates cache to exchange truth (logs WARNING on drift).
Multi-runner contract: leverage is account-level on BingX; documented that
concurrent runners with different leverage desires for same symbol conflict.
20 mock tests: same-lev skip, change-triggers-POST, failure-no-cache-update,
concurrent-same-symbol (lock prevents race), drift-detect, persist/restore,
multi-runner known-limitation documentation test.
S2 — Background state refresh (bingx_direct.py):
MARKET fills: asyncio.create_task(_refresh_state_background) — does not block
submit path. WS FILL_SETTLED + ACCOUNT_UPDATE deliver capital truth anyway.
LIMIT fills: synchronous refresh retained (include_history=False, not True) —
needed to detect resting order state for next pump cycle.
Saves ~600–900ms/trade on MARKET exits. ENTER similarly improved.
Gap 1 — VenueEvent friction fields (contracts.py):
Added: fee, fee_asset, fee_source, is_maker, exchange_ts, slippage_bps,
mark_at_submit — all with defaults so existing callers are unaffected.
Detailed inline docs for sign conventions and provenance codes.
Gap 2 — Fee estimation + WS_SETTLED provenance (bingx_direct.py, pink_clickhouse.py):
submit_intent: estimates fee from fill_price × fill_qty × taker/maker rate;
annotates ack_row with _fee_estimated, _fee_source, _is_maker_est.
persist_fee_settled(): new method writes fee_settled_events row when WS
ORDER_TRADE_UPDATE delivers actual commission ("n" field); fee_source="WS_SETTLED".
pink_direct._run_account_stream: calls persist_fee_settled on FILL_SETTLED.
Gap 3 — Slippage measurement (bingx_direct.py, bingx_venue.py, pink_clickhouse.py):
Captures mark_at_submit before the order POST; computes slippage_bps signed
by side: positive = adverse (taker overpaid / maker undersold), negative =
price improvement. Measured for BOTH taker and maker fills for symmetry.
Flows through VenueEvent → trade_events.slippage_bps + trade_exit_legs.slippage_bps.
S3 / SOR — Maker order placement: comprehensive TODO block in submit_intent with:
SHORT/LONG-aware price offset design, OBF integration requirements,
TODO_ADD_PARAMSET_VIBRISS for spread_bps threshold, intelligent timeout_s
calibration requirements, price-impact awareness gap, SOR abstraction CRITICAL TODO.
REST/WS split: documented why BingX (and all retail venues) separate these
and why a unified VenueAdapter protocol is the long-term solution.
151/151 existing tests green + 20 new leverage cache tests = 171 total.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
L3 live validation surfaced a live-only defect: a working LIMIT order could not
be cancelled (MARKET never exercised cancel — synchronous fills).
Two coupled fixes:
- Rust FSM (lib.rs): propagate the venue's order id onto the active order for
ALL order types and event kinds (ACK/partial/full fill) whenever the exchange
provides one — orders are created at submit with an empty venue_order_id, so a
later cancel had no real id to reference. Only fills empty ids, never overwrites.
Requires recompiling libdita_v2_kernel.so.
- Backend (bingx_direct.py): add cancel(order) — a properly-signed DELETE by
orderId (clientOrderId fallback) with TRUTH-BASED confirmation: BingX can return
transient errors ("order not exist", dup-within-1s from an internal retry) even
when the order was removed, so the cancel succeeds iff the order is no longer
open on the venue. The venue adapter prefers this backend cancel over its raw
signed_delete fallback (which failed signature with an empty id).
Validated:
- Offline: 63 + new cancel-truth unit tests green (no regression post-recompile).
- Live VST: resting SHORT LIMIT (+5%) rests as ENTRY_WORKING, confirmed as a LIMIT
open order, cancel -> CANCEL_ACK -> IDLE, exchange flat (test_pink_limit_live.py).
- Live VST MARKET run-through re-validated post-recompile: PASS, exact capital
reconciliation, two-phase rows visible (ORDER_REQUESTED + ENTRY_FILLED/EXIT).
LIMIT remains execution-infra only; PINK policy stays MARKET. BLUE untouched.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
