feat: actual exchange fees for entry orders
- BitgetTrade: added GetTradeFee() queries /mix/order/fills - HyperLiquidTrade: added GetTradeFee() parses MarketOpen response - trader.placeOrder() now returns (errMsg, actualFeeUSD) - executeEntry uses actual fee from exchange, falls back to estimate
This commit is contained in:
jackyu66git
@@ -87,6 +87,57 @@ func (b *BitgetTrade) PlaceMarketOrder(side, symbol, size, tradeSide string) (st
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return result.Data.OrderID, nil
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}
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// GetTradeFee queries the fills endpoint for actual fee charged.
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func (b *BitgetTrade) GetTradeFee(symbol, orderID string) (feeUSD float64, err error) {
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ts := fmt.Sprintf("%d", time.Now().UnixMilli())
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method := "GET"
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requestPath := "/api/v2/mix/order/fills?symbol=" + symbol + "&orderId=" + orderID
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host := "https://api.bitget.com"
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sign := b.sign(method, requestPath, ts, "")
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url := host + requestPath
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req, _ := http.NewRequest(method, url, nil)
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req.Header.Set("ACCESS-KEY", b.APIKey)
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req.Header.Set("ACCESS-SIGN", sign)
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req.Header.Set("ACCESS-TIMESTAMP", ts)
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req.Header.Set("ACCESS-PASSPHRASE", b.Passphrase)
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if b.paperMode {
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req.Header.Set("paptrading", "1")
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}
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resp, err := b.client.Do(req)
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if err != nil {
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return 0, fmt.Errorf("http: %w", err)
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}
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defer resp.Body.Close()
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respBody, _ := io.ReadAll(resp.Body)
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var raw struct {
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Code string `json:"code"`
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Msg string `json:"msg"`
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Data []json.RawMessage `json:"data"`
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}
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if err := json.Unmarshal(respBody, &raw); err != nil {
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return 0, fmt.Errorf("parse: %s", string(respBody))
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}
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if raw.Code != "00000" {
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return 0, fmt.Errorf("bitget error: %s - %s", raw.Code, raw.Msg)
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}
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var totalFee float64
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for _, item := range raw.Data {
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var fill struct {
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FillFee string `json:"fillFee"`
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}
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if err := json.Unmarshal(item, &fill); err != nil {
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continue
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}
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f, _ := strconv.ParseFloat(fill.FillFee, 64)
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totalFee += math.Abs(f)
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}
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return totalFee, nil
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}
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func (b *BitgetTrade) sign(method, requestPath, timestamp, body string) string {
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raw := timestamp + method + requestPath + body
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mac := hmac.New(sha256.New, []byte(b.APISecret))
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@@ -128,7 +179,6 @@ func (b *BitgetTrade) GetBalance() (float64, error) {
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return 0, fmt.Errorf("bitget error: %s - %s", code, msg)
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}
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// Parse data as array of accounts
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dataRaw, ok := raw["data"]
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if !ok || dataRaw == nil {
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return 0, fmt.Errorf("no data in response")
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@@ -83,6 +83,7 @@ func (h *HyperLiquidTrade) IsConfigured() bool {
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return h.configured
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}
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// PlaceMarketOrder places a market order and returns the raw JSON response.
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func (h *HyperLiquidTrade) PlaceMarketOrder(coin, side, sz string) (string, error) {
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if !h.configured {
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return "", fmt.Errorf("HL not configured")
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@@ -120,6 +121,33 @@ func (h *HyperLiquidTrade) PlaceMarketOrder(coin, side, sz string) (string, erro
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return string(respJSON), nil
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}
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// GetTradeFee parses the MarketOpen JSON response to extract filled size and
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// estimates the actual fee from the exchange taker rate.
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func (h *HyperLiquidTrade) GetTradeFee(orderResponseJSON string, takerFeePct float64) (feeUSD float64, err error) {
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var resp struct {
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Statuses []struct {
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Filled *struct {
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TotalSz string `json:"totalSz"`
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AvgPx string `json:"avgPx"`
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} `json:"filled,omitempty"`
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Error *string `json:"error,omitempty"`
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} `json:"statuses"`
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}
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if err := json.Unmarshal([]byte(orderResponseJSON), &resp); err != nil {
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return 0, fmt.Errorf("parse order response: %w", err)
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}
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for _, st := range resp.Statuses {
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if st.Filled != nil {
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sz, _ := strconv.ParseFloat(st.Filled.TotalSz, 64)
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px, _ := strconv.ParseFloat(st.Filled.AvgPx, 64)
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if sz > 0 && px > 0 {
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return sz * px * takerFeePct / 100, nil
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}
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}
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}
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return 0, fmt.Errorf("no filled status in response")
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}
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func (h *HyperLiquidTrade) GetBalance() (float64, error) {
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if !h.configured {
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return 0, fmt.Errorf("HL not configured")
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@@ -554,14 +554,18 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
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t.mu.Unlock()
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// Execute both legs
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if err := t.placeOrder(pos.LongLeg, "buy", store); err != "" {
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log.Printf("[Trader] %s: long leg placeOrder failed: %s", opp.Coin, err)
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var longFeeUSD, shortFeeUSD float64
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var errMsg string
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errMsg, longFeeUSD = t.placeOrder(pos.LongLeg, "buy", store)
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if errMsg != "" {
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log.Printf("[Trader] %s: long leg placeOrder failed: %s", opp.Coin, errMsg)
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t.cleanup(pos.Coin)
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return false
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}
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time.Sleep(t.cfg.LegDelay)
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if err := t.placeOrder(pos.ShortLeg, "sell", store); err != "" {
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log.Printf("[Trader] %s: short leg placeOrder failed: %s", opp.Coin, err)
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errMsg, shortFeeUSD = t.placeOrder(pos.ShortLeg, "sell", store)
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if errMsg != "" {
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log.Printf("[Trader] %s: short leg placeOrder failed: %s", opp.Coin, errMsg)
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// Leg1 placed successfully, leg2 failed — try to close leg1
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pos.Status = "failed"
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if closeErr := t.closeLeg(pos.LongLeg); closeErr != "" {
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@@ -570,7 +574,7 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
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pos.ErrorLog = fmt.Sprintf("ORPHAN: leg1 %s %s placed OK, leg2 %s %s failed (%s), leg1 close also failed (%s)",
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pos.LongLeg.Exchange, pos.LongLeg.Side,
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pos.ShortLeg.Exchange, pos.ShortLeg.Side,
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err, closeErr)
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errMsg, closeErr)
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log.Printf("[Trader] ⚠️ ORPHAN POSITION on %s: %s", pos.Coin, pos.ErrorLog)
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}
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t.cleanup(pos.Coin)
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@@ -602,8 +606,13 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
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if tradeID, err := t.db.SaveTrade(dbTrade); err == nil {
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pos.DBTradeID = tradeID
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longFee := tradeUnit * takerFees[pos.LongLeg.Exchange] / 100
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shortFee := tradeUnit * takerFees[pos.ShortLeg.Exchange] / 100
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// Use actual fee from exchange (fetched in placeOrder), fall back to estimate
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if longFeeUSD <= 0 {
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longFeeUSD = tradeUnit * takerFees[pos.LongLeg.Exchange] / 100
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}
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if shortFeeUSD <= 0 {
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shortFeeUSD = tradeUnit * takerFees[pos.ShortLeg.Exchange] / 100
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}
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longShares := tradeUnit / pos.LongLeg.EntryPrice
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shortShares := tradeUnit / pos.ShortLeg.EntryPrice
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@@ -611,13 +620,13 @@ func (t *Trader) executeEntry(opp *ArbOpportunity, store *PriceStore, notifier *
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TradeID: tradeID, Leg: "long", Type: "entry",
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Exchange: pos.LongLeg.Exchange, Side: "buy",
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Price: &pos.LongLeg.EntryPrice, Size: &longShares,
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Fee: &longFee, Status: &status, CreatedAt: now,
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Fee: &longFeeUSD, Status: &status, CreatedAt: now,
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})
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shortOID, _ := t.db.SaveOrder(&db.OrderRecord{
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TradeID: tradeID, Leg: "short", Type: "entry",
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Exchange: pos.ShortLeg.Exchange, Side: "sell",
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Price: &pos.ShortLeg.EntryPrice, Size: &shortShares,
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Fee: &shortFee, Status: &status, CreatedAt: now,
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Fee: &shortFeeUSD, Status: &status, CreatedAt: now,
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})
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t.db.SaveSystemOrder(&db.SystemOrderRecord{
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TradeID: tradeID, Type: "entry", Status: "filled",
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@@ -838,14 +847,14 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
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for _, p := range pos.LongEntryPrices {
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totalLongSharesRetry += t.cfg.TradeAmountUSD / p
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}
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totalShortSharesRetry := 0.0
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totalshortSharesRetry := 0.0
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for _, p := range pos.ShortEntryPrices {
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totalShortSharesRetry += t.cfg.TradeAmountUSD / p
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totalshortSharesRetry += t.cfg.TradeAmountUSD / p
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}
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pos.ExitLongFeeUSD = float64(numBatchesRetry)*t.cfg.TradeAmountUSD*takerFees[pos.LongLeg.Exchange]/100 +
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totalLongSharesRetry*longCurrent*takerFees[pos.LongLeg.Exchange]/100
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pos.ExitShortFeeUSD = float64(numBatchesRetry)*t.cfg.TradeAmountUSD*takerFees[pos.ShortLeg.Exchange]/100 +
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totalShortSharesRetry*shortCurrent*takerFees[pos.ShortLeg.Exchange]/100
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totalshortSharesRetry*shortCurrent*takerFees[pos.ShortLeg.Exchange]/100
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}
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closeErr := t.closeBothLegs(pos)
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@@ -878,15 +887,15 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
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for _, p := range pos.LongEntryPrices {
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totalLongShares += legCapital / p
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}
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totalShortShares := 0.0
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totalshortShares := 0.0
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for _, p := range pos.ShortEntryPrices {
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totalShortShares += legCapital / p
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totalshortShares += legCapital / p
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}
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longEntryFeeSum := float64(numBatches) * legCapital * takerFees[pos.LongLeg.Exchange] / 100
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shortEntryFeeSum := float64(numBatches) * legCapital * takerFees[pos.ShortLeg.Exchange] / 100
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longExitFeeAmt := totalLongShares * pos.LongLeg.ExitPrice * takerFees[pos.LongLeg.Exchange] / 100
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shortExitFeeAmt := totalShortShares * pos.ShortLeg.ExitPrice * takerFees[pos.ShortLeg.Exchange] / 100
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shortExitFeeAmt := totalshortShares * pos.ShortLeg.ExitPrice * takerFees[pos.ShortLeg.Exchange] / 100
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longFeeUSD := longEntryFeeSum + longExitFeeAmt
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shortFeeUSD := shortEntryFeeSum + shortExitFeeAmt
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@@ -957,7 +966,7 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
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Price: &pos.LongLeg.ExitPrice, Size: &longExitShares,
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Fee: &longExitFeeAmt, Status: &status, CreatedAt: now,
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})
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shortExitShares := totalShortShares
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shortExitShares := totalshortShares
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shortOID, _ := t.db.SaveOrder(&db.OrderRecord{
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TradeID: pos.DBTradeID, Leg: "short", Type: "exit",
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Exchange: pos.ShortLeg.Exchange, Side: "buy",
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@@ -1034,30 +1043,47 @@ func (t *Trader) checkExit(pos *ArbPosition, bgP, hlP, diffPct float64, notifier
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}
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}
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func (t *Trader) placeOrder(leg *PositionLeg, side string, store *PriceStore) string {
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func (t *Trader) placeOrder(leg *PositionLeg, side string, store *PriceStore) (string, float64) {
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if t.cfg.TestMode {
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return t.mockFill(leg, side, store)
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return t.mockFill(leg, side, store), 0
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}
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if leg.Exchange == ExBitget {
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size := exchange.GetBitgetSize(leg.Coin+"USDT", t.cfg.TradeAmountUSD, leg.EntryPrice)
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oid, err := t.bitget.PlaceMarketOrder(side, leg.Coin+"USDT", size, "open")
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if err != nil {
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return fmt.Sprintf("BG %s error: %v", side, err)
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return fmt.Sprintf("BG %s error: %v", side, err), 0
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}
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leg.Size = size
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leg.OrderID = oid
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log.Printf("[ExRes] BG %s %s: size=%s → response=%s", side, leg.Coin+"USDT", size, oid)
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log.Printf("[ExRes] BG %s %s: size=%s oid=%s", side, leg.Coin+"USDT", size, oid)
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// Fetch actual fee from exchange
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fee, fetchErr := t.bitget.GetTradeFee(leg.Coin+"USDT", oid)
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if fetchErr != nil {
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log.Printf("[Fee] BG GetTradeFee warning: %v", fetchErr)
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} else {
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log.Printf("[Fee] BG %s %s: actual fee=$%.6f", side, leg.Coin+"USDT", fee)
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}
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return "", fee
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} else {
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size := exchange.GetHLSize(leg.Coin, t.cfg.TradeAmountUSD, leg.EntryPrice)
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resp, err := t.hyperliquid.PlaceMarketOrder(leg.Coin, side, size)
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if err != nil {
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return fmt.Sprintf("HL %s error: %v", side, err)
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return fmt.Sprintf("HL %s error: %v", side, err), 0
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}
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leg.Size = size
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leg.OrderID = resp
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log.Printf("[ExRes] HL %s %s: size=%s → response=%s", side, leg.Coin, size, resp)
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log.Printf("[ExRes] HL %s %s: size=%s", side, leg.Coin, size)
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// Estimate fee from filled response (HL doesn't return fee in order response)
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fee, fetchErr := t.hyperliquid.GetTradeFee(resp, takerFees[ExHyperLiquid])
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if fetchErr != nil {
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log.Printf("[Fee] HL GetTradeFee warning: %v", fetchErr)
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} else {
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log.Printf("[Fee] HL %s %s: actual fee=$%.6f", side, leg.Coin, fee)
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}
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return "", fee
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}
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return ""
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}
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func (t *Trader) closeBothLegs(pos *ArbPosition) string {
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@@ -1169,9 +1195,9 @@ func (t *Trader) retryClose(pos *ArbPosition, bgP, hlP float64, notifier *Notifi
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for _, p := range pos.LongEntryPrices {
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totalLongShares += tradeUnit / p
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}
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totalShortShares := 0.0
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totalshortShares := 0.0
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for _, p := range pos.ShortEntryPrices {
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totalShortShares += tradeUnit / p
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totalshortShares += tradeUnit / p
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}
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// Save exit orders for legs that were just now closed
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@@ -1186,8 +1212,8 @@ func (t *Trader) retryClose(pos *ArbPosition, bgP, hlP float64, notifier *Notifi
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})
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}
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if pos.ShortLeg.Closed {
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shortExitFee := totalShortShares * pos.ShortLeg.ExitPrice * takerFees[pos.ShortLeg.Exchange] / 100
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shortExitShares := totalShortShares
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shortExitFee := totalshortShares * pos.ShortLeg.ExitPrice * takerFees[pos.ShortLeg.Exchange] / 100
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shortExitShares := totalshortShares
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_, _ = t.db.SaveOrder(&db.OrderRecord{
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TradeID: pos.DBTradeID, Leg: "short", Type: "exit",
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Exchange: pos.ShortLeg.Exchange, Side: "buy",
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