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i < recentMids.length; i++) {\n returns.push(Math.log(recentMids[i] / recentMids[i - 1]));\n }\n const mean = returns.reduce((a, b) => a + b, 0) / returns.length;\n const variance = returns.reduce((a, r) => a + (r - mean) ** 2, 0) / returns.length;\n const stdev = Math.sqrt(variance);\n return Math.max(0.8, Math.min(3.0, stdev / 0.001));\n }\n\n function getQuoteDecimals(symbol: string): number {\n const m: Record = {\n btcusd: 2, ethusd: 2, solusd: 2, dogeusd: 5,\n ltcusd: 2, linkusd: 2, avaxusd: 2, maticusd: 4,\n };\n return m[symbol.toLowerCase()] ?? 2;\n }\n\n function getBaseDecimals(symbol: string): number {\n const m: Record = {\n btcusd: 6, ethusd: 6, solusd: 4, dogeusd: 0,\n ltcusd: 5, linkusd: 4, avaxusd: 4, maticusd: 2,\n };\n return m[symbol.toLowerCase()] ?? 6;\n }\n\n async function executeSingleCycle(): Promise {\n const config = state.getConfig();\n const symbol = config.symbol || \"btcusd\";\n const orderSize = parseFloat(config.orderSize || \"0.0001\");\n const spreadBps = config.spreadBps || 20;\n const maxInventory = config.maxInventory || 0.005;\n const inventorySkewFactor = config.inventorySkewFactor || 0.5;\n\n const [book, ticker] = await Promise.all([\n client.getOrderBook(symbol, 3, 3),\n client.getTicker(symbol),\n ]);\n\n const bestBid = parseFloat(book.bids?.[0]?.price || \"0\");\n const bestAsk = parseFloat(book.asks?.[0]?.price || \"0\");\n const mid = (bestBid + bestAsk) / 2;\n\n if (mid <= 0) {\n state.addLog(\"Invalid mid price, skipping.\");\n return { mid: 0, spread: 0, bidPrice: 0, askPrice: 0, skipped: true };\n }\n\n recentMids.push(mid);\n if (recentMids.length > 30) recentMids.shift();\n const volMult = computeVolMultiplier();\n\n let inventory = 0;\n try {\n const balances = await client.getBalances();\n const base = symbol.replace(/usd$/i, \"\").toUpperCase();\n const found = balances.find((b: any) => b.currency.toUpperCase() === base);\n inventory = parseFloat(found?.available || \"0\");\n } catch {\n state.addLog(\"Balance fetch failed, assuming zero inventory.\");\n }\n\n const invRatio = maxInventory > 0 ? inventory / maxInventory : 0;\n const skew = invRatio * inventorySkewFactor * (spreadBps / 10000) * mid;\n const halfSpread = (spreadBps / 10000 / 2) * mid * volMult;\n\n let bidPrice = mid - halfSpread - skew;\n let askPrice = mid + halfSpread - skew;\n\n // Fee floor: spread must exceed 2× maker fee (0.1% each side = 20bps total)\n const feeFloor = mid * 0.002;\n if ((askPrice - bidPrice) < feeFloor) {\n const widen = (feeFloor - (askPrice - bidPrice)) / 2;\n bidPrice -= widen;\n askPrice += widen;\n state.addLog(`Widened to fee floor: ${feeFloor.toFixed(2)}`);\n }\n\n // Cancel stale orders\n try { await client.cancelAllOrders(); }\n catch (e: any) { state.addLog(`Cancel warn: ${e.message}`); }\n\n const qd = getQuoteDecimals(symbol);\n const bd = getBaseDecimals(symbol);\n const bidStr = bidPrice.toFixed(qd);\n const askStr = askPrice.toFixed(qd);\n const amtStr = orderSize.toFixed(bd);\n const finalSpread = askPrice - bidPrice;\n\n const results: any = { mid, spread: finalSpread, bidPrice, askPrice, inventory, inventoryRatio: invRatio, volMultiplier: volMult };\n\n // Post bid if under inventory cap\n if (inventory < maxInventory) {\n try {\n const o = await client.newOrder(symbol, amtStr, bidStr, \"buy\");\n results.bidOrderId = o.order_id;\n results.bidStatus = o.is_live ? \"live\" : o.is_cancelled ? \"moc-rejected\" : \"filled\";\n state.addLog(`BID ${amtStr} @ ${bidStr} → ${results.bidStatus}`);\n } catch (e: any) {\n results.bidError = e.message;\n state.addLog(`BID err: ${e.message}`);\n }\n }\n\n // Post ask if we hold base\n if (inventory > 0) {\n const sellAmt = Math.min(orderSize, inventory);\n const sellStr = sellAmt.toFixed(bd);\n try {\n const o = await client.newOrder(symbol, sellStr, askStr, \"sell\");\n results.askOrderId = o.order_id;\n results.askStatus = o.is_live ? \"live\" : o.is_cancelled ? \"moc-rejected\" : \"filled\";\n state.addLog(`ASK ${sellStr} @ ${askStr} → ${results.askStatus}`);\n } catch (e: any) {\n results.askError = e.message;\n state.addLog(`ASK err: ${e.message}`);\n }\n } else {\n state.addLog(\"No base to sell — bid-only mode.\");\n }\n\n const cycle: CycleResult = { timestamp: Date.now(), ...results };\n state.addCycle(cycle);\n return cycle;\n }\n\n async function safeCycle(): Promise {\n try {\n await executeSingleCycle();\n consecutiveErrors = 0;\n } catch (e: any) {\n consecutiveErrors++;\n state.addLog(`Cycle error #${consecutiveErrors}: ${e.message}`);\n if (consecutiveErrors >= 5) {\n state.addLog(\"KILL SWITCH: 5 consecutive errors.\");\n engine.stop();\n try { await client.cancelAllOrders(); } catch { /* noop */ }\n state.addLog(\"All orders cancelled.\");\n }\n }\n }\n\n const engine: MarketMakerEngine = {\n async start() {\n state.setRunning(true);\n consecutiveErrors = 0;\n const ms = (state.getConfig().cycleIntervalSec || 15) * 1000;\n state.addLog(`Engine ON — cycle every ${ms / 1000}s`);\n await safeCycle();\n intervalId = setInterval(() => safeCycle(), ms) as unknown as number;\n },\n\n stop() {\n if (intervalId !== null) {\n clearInterval(intervalId);\n intervalId = null;\n }\n state.setRunning(false);\n state.addLog(\"Engine OFF.\");\n },\n\n executeSingleCycle,\n };\n\n return engine;\n}","deleted","label",[102],"permalink","https://www.val.town/x/ziggyware/untitled-5155/code/market-maker.ts","extension","actionData","errors"]