zwitschi
93f4f62d42
- Add IdempotencyKeyFactory for generating unique user references based on execution legs. - Introduce OrderReconciler to reconcile order statuses with historical data. - Implement PartialFillRecovery to handle partial fills by canceling orders and placing hedges. - Create TriangularExecutionSequencer for executing triangular arbitrage strategies. - Enhance storage with new tables for trades, orders, and PnL events. - Develop AsyncExecutionWriter for asynchronous writing of execution records to the database. - Add unit tests for execution persistence, sequencer behavior, fill monitoring, and idempotency checks. - Update KrakenRestClient to ensure proper payloads for order placement and querying.
1.1 KiB
1.1 KiB
[Unreleased] - 2026-06-01
Added
- Added stop-condition risk controls for abnormal source/apply latency and repeated execution failures.
- Added a new stop-conditions guard and integration in market feed processing.
Changed
- Live execution path now auto-activates the kill switch when configured stop conditions are breached.
- Added configuration env keys for stop-condition thresholds.
Removed
- None.
Fixed
- Added/expanded unit coverage for risk limits and kill-switch enforcement, including stop-condition scenarios.
- Added partial-fill recovery logic that cancels open orders when possible and hedges residual exposure on timeout or failure.
- Added deterministic order idempotency via Kraken userref plus reconciliation helpers for Kraken order history responses.
- Added execution journaling for trades, orders, and estimated P&L, plus a DuckDB startup fallback when the default file path is unavailable.
- Added a mocked execution integration test that drives the triangular sequencer through the execution journal and DuckDB persistence.