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Deploy Aureon OS (deploy/selfhost stack: nginx edge + fusion API x2 + console + HNC organ + redis + postgres; paper mode) (part 18)
f568a4f verified | import { DataIngestionSnapshot } from './dataIngestion'; | |
| import { RiskAdjustedOrder } from './riskManagement'; | |
| export interface ExecutionFill { | |
| exchange: string; | |
| price: number; | |
| size: number; | |
| latencyMs: number | null; | |
| providerFillId: string; | |
| } | |
| export interface ExecutionReport { | |
| success: boolean; | |
| fills: ExecutionFill[]; | |
| averagePrice: number; | |
| slippage: number; | |
| providerOrderId: string; | |
| sourceId: string; | |
| sourceEventId: string; | |
| providerTimestamp: number; | |
| truthStatus: 'live'; | |
| generated: false; | |
| } | |
| export interface ProviderExecutionReceipt { | |
| success: boolean; | |
| fills: ExecutionFill[]; | |
| providerOrderId: string; | |
| sourceId: string; | |
| sourceEventId: string; | |
| providerTimestamp: number; | |
| generated: false; | |
| } | |
| export interface ExecutionConfig { | |
| maxSlippageBps: number; | |
| latencyRange: { min: number; max: number }; | |
| partialFillProbability: number; | |
| } | |
| const DEFAULT_CONFIG: ExecutionConfig = { | |
| maxSlippageBps: 18, | |
| latencyRange: { min: 0, max: 0 }, | |
| partialFillProbability: 0, | |
| }; | |
| const timestampMs = (value: number): number => value < 10_000_000_000 ? value * 1000 : value; | |
| /** | |
| * Validates provider receipts. Order placement belongs to the authenticated | |
| * exchange connector; this class never invents latency, slippage, partial | |
| * fills, or a successful execution. | |
| */ | |
| export class ExecutionEngine { | |
| private readonly config: ExecutionConfig; | |
| constructor(config: Partial<ExecutionConfig> = {}) { | |
| this.config = { ...DEFAULT_CONFIG, ...config }; | |
| } | |
| execute(_order: RiskAdjustedOrder, _snapshot: DataIngestionSnapshot): never { | |
| throw new Error('DIRECT_EXECUTION_RETIRED: invoke the authenticated exchange connector and record its receipt'); | |
| } | |
| recordProviderExecution( | |
| order: RiskAdjustedOrder, | |
| snapshot: DataIngestionSnapshot, | |
| receipt: ProviderExecutionReceipt | |
| ): ExecutionReport { | |
| if (!receipt || receipt.generated !== false || !receipt.sourceId || !receipt.sourceEventId) { | |
| throw new Error('EXECUTION_RECEIPT_PROVENANCE_REQUIRED'); | |
| } | |
| const providerTimestamp = timestampMs(receipt.providerTimestamp); | |
| const ageMs = Date.now() - providerTimestamp; | |
| if (ageMs < -30_000 || ageMs > 300_000) { | |
| throw new Error(`EXECUTION_RECEIPT_STALE:${ageMs}`); | |
| } | |
| if (!receipt.success || !receipt.providerOrderId || !receipt.fills.length) { | |
| throw new Error('EXECUTION_NOT_CONFIRMED_BY_PROVIDER'); | |
| } | |
| for (const fill of receipt.fills) { | |
| if (!fill.exchange || !fill.providerFillId || !Number.isFinite(fill.price) || fill.price <= 0) { | |
| throw new Error('EXECUTION_FILL_INVALID'); | |
| } | |
| if (!Number.isFinite(fill.size) || fill.size <= 0) { | |
| throw new Error('EXECUTION_FILL_SIZE_INVALID'); | |
| } | |
| } | |
| const totalNotional = receipt.fills.reduce((sum, fill) => sum + fill.price * fill.size, 0); | |
| const totalSize = receipt.fills.reduce((sum, fill) => sum + fill.size, 0); | |
| const averagePrice = totalNotional / totalSize; | |
| const referencePrice = snapshot.consolidatedOHLCV.close; | |
| const direction = order.direction === 'long' ? 1 : -1; | |
| const slippage = ((averagePrice - referencePrice) / referencePrice) * direction; | |
| if (Math.abs(slippage) * 10_000 > this.config.maxSlippageBps) { | |
| throw new Error(`EXECUTION_SLIPPAGE_LIMIT_EXCEEDED:${slippage}`); | |
| } | |
| return { | |
| success: true, | |
| fills: receipt.fills, | |
| averagePrice, | |
| slippage, | |
| providerOrderId: receipt.providerOrderId, | |
| sourceId: receipt.sourceId, | |
| sourceEventId: receipt.sourceEventId, | |
| providerTimestamp, | |
| truthStatus: 'live', | |
| generated: false, | |
| }; | |
| } | |
| } | |