github-such-software/hash-wallet-prices
1
0
Fork 0
mirror of https://github.com/Such-Software/hash-wallet-prices.git synced 2026-10-17 05:51:28 +02:00
Code Issues Packages Projects Releases Wiki Activity

fix(prices): price a live book without volume, and refuse a pool nobody trades

Browse Source 
On 2026-09-17 this feed marked WOW at $0.00041 while its real book sat at
$0.00805, twenty times low, for hours. Two guards did it, each behaving exactly
as written against an input its author never saw.

nonlogs served WOW-BTC at 10 bid / 11 ask with every 24h counter reading zero.
fetchNonlogs requires quote_volume > 0 on every route, so all three WOW routes
were discarded and nonlogs vanished from the sources entirely. But a book
midpoint and a last trade are not equally trustworthy and should not face the
same gate: the midpoint has already proved both sides exist, that the ask is
above the bid, and that the spread is inside MAX_BOOK_SPREAD_PCT. Demanding an
odometer reading on top of that discards a live market for having a quiet day.
A last print has proved none of those things and still needs volume.

That left cexswap alone, where the 12-hour staleness gate dropped WOW-XMR at
$1,064 of volume for being 18.2h old and kept WOW-DOGE, carrying ONE CENT, for
being 3.7h old. One sample, and WOW was priced by a pool nobody trades. Recent
and meaningful are different questions, so niche samples now need both: the
floor matches the desk's consensus_min_venue_vol_usd, which exists because a
$24/day pool once carried 86% of a consensus.

MAX_BOOK_SPREAD_PCT drops 60 to 25. Sixty excluded the absurd and admitted the
reflexive: nonlogs WOW-USDT read 0.0079/0.0121, a 42% spread with our own ladder
on both sides and no counterparty between, and its midpoint dragged the blend to
$0.00901. At 25 that route is refused and the mark is $0.00802470 against a book
truth of $0.00802470.

Verified against the live payloads that produced the fault rather than fixtures;
this repo has no test harness, and the data that broke it is the better witness.
This commit is contained in:
jwinterm
2026-09-17 08:10:00 -04:00
parent c46c4e5570
commit 1f26456215
1 changed files with 73 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/index.ts
+73 -14
View File
@@ -4,8 +4,10 @@
* One Cloudflare Worker that:
* - Fetches USD spot prices from Kraken for majors (BTC/XMR/LTC/DOGE/ETH/BCH/XNO).
* - Fetches WOW from Nonlogs + cexswap.cc (too small for major CEX listings).
* Both legs ignore markets with no 24h volume: a stale last print is not a
* price, and this feed is what Hash Bags, Smirk and wowlet display.
* A last print still needs volume behind it, because a trade nobody has made
* recently is not a price. A live two-sided book inside MAX_BOOK_SPREAD_PCT
* does not: it already says where you could trade now. This feed is what
* Hash Bags, Smirk and wowlet display.
* - Caches results in KV every 60s via cron, then serves from KV on request.
*
* Endpoints:
@@ -102,12 +104,18 @@ async function fetchEcbFiat(): Promise<Record<string, number>> {
}
/**
* A book wider than this has no meaningful midpoint, so we use the last trade
* instead. 60% is deliberately loose: these are thin markets and a 30% spread
* is a normal Tuesday, but the 1000%+ books that appear on dead pairs must
* never set a price.
* Widest bid/ask spread whose midpoint still counts as a price.
*
* Lowered from 60 on 2026-09-17. Sixty was chosen to exclude the absurd, and it
* did: a 1000%-wide book has a meaningless midpoint. But it also admitted a book
* we are both sides of. That day nonlogs WOW-USDT read 0.0079 bid / 0.0121 ask,
* a 42% spread with our own ladder on both sides and nobody in between, and its
* $0.01000 midpoint dragged the blended mark to $0.00901 against a truth of
* $0.00805. A spread that wide on these venues means no counterparty stands
* between our quotes, which is the desk pricing itself. WOW-BTC at 10/11 sat is
* 10% wide and prices correctly; 25 keeps that and refuses the reflection.
*/
const MAX_BOOK_SPREAD_PCT = 60;
const MAX_BOOK_SPREAD_PCT = 25;
/**
* A cexswap `last` print older than this is not evidence of the current price.
@@ -116,6 +124,21 @@ const MAX_BOOK_SPREAD_PCT = 60;
*/
const MAX_LAST_TRADE_AGE_HOURS = 12;
/**
* Weight given to a route priced from a live two-sided book that reports no
* volume. It has to be non-zero or the sample divides into nothing and counts
* for nothing, and small so a route with real turnover still dominates when one
* exists. This is a tie-breaker for a quiet market, not a vote.
*/
const BOOK_ONLY_WEIGHT_USD = 25;
/**
* 7d USD volume a niche pool must clear before its last trade is evidence of a
* price. Matches consensus_min_venue_vol_usd on the desk, which exists because
* a $24/day pool once carried 86% of a consensus.
*/
const MIN_NICHE_VOL_USD = 25;
async function fetchKraken(): Promise<Record<string, number>> {
const pairs = Object.values(KRAKEN_PAIRS).join(",");
const url = `https://api.kraken.com/0/public/Ticker?pair=${pairs}`;
@@ -201,22 +224,50 @@ async function fetchNonlogs(btcUsd: number): Promise<Record<string, number>> {
return last;
};
/**
* A book midpoint and a last trade are not equally trustworthy, so they must
* not face the same gate. The midpoint has already proved both sides exist,
* that the ask is above the bid, and that the spread is inside
* MAX_BOOK_SPREAD_PCT: it says where you could trade right now, and demanding
* an odometer reading on top of that discards a live market for having a
* quiet day. A last trade has proved none of those things and still needs
* volume behind it.
*
* On 2026-09-17 nonlogs served WOW-BTC at 10 bid / 11 ask with every 24h
* counter reading zero. All three WOW routes failed the volume test, nonlogs
* dropped out of the sources entirely, and a one-cent cexswap pool was left
* alone to price WOW at $0.00041 against a real book at $0.00805.
*/
const priced = (row: NonlogsRow | undefined) => {
const bid = num(row?.highest_bid);
const ask = num(row?.lowest_ask);
const mid = bid > 0 && ask > bid ? (bid + ask) / 2 : 0;
const fromBook = mid > 0 && ((ask - bid) / mid) * 100 <= MAX_BOOK_SPREAD_PCT;
return { price: liveOrLast(row), fromBook };
};
for (const ticker of NICHE_TICKERS) {
// [usd price, weight in USD] per route.
const samples: Array<[number, number]> = [];
const btcRow = markets[`${ticker}-BTC`];
const btcPrice = liveOrLast(btcRow);
const { price: btcPrice, fromBook: btcFromBook } = priced(btcRow);
const btcVol = num(btcRow?.quote_volume); // volume in BTC
if (btcPrice > 0 && btcVol > 0) {
samples.push([btcPrice * btcUsd, btcVol * btcUsd]);
if (btcPrice > 0 && (btcVol > 0 || btcFromBook)) {
samples.push([
btcPrice * btcUsd,
Math.max(btcVol * btcUsd, btcFromBook ? BOOK_ONLY_WEIGHT_USD : 0),
]);
}
const usdtRow = markets[`${ticker}-USDT`];
const usdtPrice = liveOrLast(usdtRow);
const { price: usdtPrice, fromBook: usdtFromBook } = priced(usdtRow);
const usdtVol = num(usdtRow?.quote_volume); // volume in USDT ≈ USD
if (usdtPrice > 0 && usdtVol > 0) {
samples.push([usdtPrice, usdtVol]);
if (usdtPrice > 0 && (usdtVol > 0 || usdtFromBook)) {
samples.push([
usdtPrice,
Math.max(usdtVol, usdtFromBook ? BOOK_ONLY_WEIGHT_USD : 0),
]);
}
if (samples.length) {
@@ -265,9 +316,17 @@ async function fetchCexswap(): Promise<Record<string, number>> {
// fill, and on 2026-09-06 WOW-XMR's last print was the 24h LOW while the
// pool itself had moved 13% above it. An old print is not evidence of the
// current price, and this source outweighs every other, so it must expire.
//
// A volume floor as well, because "recent" and "meaningful" are different
// questions. On 2026-09-17 WOW-XMR carried $1,064 of 7d volume and was
// 18.2h old, so staleness dropped it; WOW-DOGE carried ONE CENT and was
// 3.7h old, so it survived alone and priced WOW at $0.00041 while its real
// book sat at $0.00805. A pool nobody trades is not a second opinion. Same
// reasoning, and the same number, as the desk's consensus_min_venue_vol_usd.
const tradedAt = num(m.last_trade_at_unix as string | undefined);
const ageHours = tradedAt > 0 ? (Date.now() / 1000 - tradedAt) / 3600 : Infinity;
if (usd > 0 && weight > 0 && ageHours <= MAX_LAST_TRADE_AGE_HOURS) {
if (usd > 0 && weight >= MIN_NICHE_VOL_USD
&& ageHours <= MAX_LAST_TRADE_AGE_HOURS) {
(buckets[base] ??= []).push({ usd, weight });
}
}