DEXBot2 Fund Movement & Accounting Technical Reference

1. Core Accounting Model

The accounting system is designed around a Single Source of Truth principle with Optimistic Execution. It prevents double-spending while maximizing capital efficiency by treating pending proceeds as immediately available ("Optimistic ChainFree").

1.1 Fund Components

Naming convention: Capitalized prose names below (e.g. ChainFree, Virtual, Committed) refer to the abstract fund component. The corresponding code identifier is shown in the Code Reference column — most are scoped per side, e.g. ChainFree resolves to accountTotals.buyFree on the buy side and accountTotals.sellFree on the sell side.

Component	Code Reference	Definition & Ownership
ChainFree	`accountTotals.buyFree`	Liquid Capital. The unallocated balance on the blockchain. Balanced: Deducted pre-emptively on fills to offset state release.
Virtual	`funds.virtual`	Planned Capital. Sum of sizes for orders in `VIRTUAL` state. Purpose: Prevents `ChainFree` from being re-spent on overlapping grid layers.
Committed (Chain)	`funds.committed.chain`	Locked Capital. Sum of sizes for `ACTIVE` + `PARTIAL` orders (including those without `orderId` yet). Source: Real-time grid state + on-chain orders.
Committed (Grid)	`funds.committed.grid`	Strategy Capital. Alias for `committed.chain` in the current engine.
Allocated	`funds.allocated.{buy,sell}`	Capital Budget. The bot's configured share of total capital per side. Source: `applyBotFundsAllocation()` applies `botFunds` config (percentage or absolute) against `chainTotal` (free + committed). Purpose: All order sizing (`getSideBudget`, `_getSizingContext`) reads from `Allocated`, not raw `ChainFree`, ensuring the bot never exceeds its configured capital share.
FeesOwed	`funds.btsFeesOwed`	Liability. Accumulated blockchain fees (BTS) that must be settled.
FeesReservation	`btsFeesReservation`	Safety Buffer. Reserved BTS to ensure future grid operations (creation/cancellation) don't fail.

1.2 The Available Funds Formula

This formula determines the bot's spending power. It is calculated atomically in math.ts::calculateAvailableFundsValue.

$$Available = \max(0, \text{ChainFree} - \text{Virtual} - \text{FeesOwed} - \text{FeesReservation})$$

Critical Invariants:

Virtual represents Plan. Orders remain in Virtual only while they are truly uncommitted. As soon as they move to ACTIVE, they move to Committed (Chain), even if the blockchain transaction is still in flight. This maintains the Total = Free + Committed invariant.
Available Funds = True Spending Power. This formula is the single source of truth for how much capital can be deployed immediately.
Non-BTS pair reservation. When neither asset is BTS, the formula adds an extra proportional deduction: any BTS fee-budget deficit (formula budget minus funds.btsBalance.free) is split across buyFree + sellFree proportional to each side's free balance, and the side's share is subtracted from Available. See calculateAvailableFundsValue() in modules/order/utils/math.ts (lines 407–425).

1.3 Capital Allocation Pipeline

The raw Available from §1.2 is the bot's immediate spending power, but order sizing does not use it directly. A separate allocation pipeline applies the botFunds cap to produce funds.allocated, which is the budget source for all grid operations.

Pipeline:

accountTotals.buyFree / sellFree           (raw chain free)
        + funds.committed.chain             (+ what's locked in orders)
        → computeChainFundTotals()
          → chainTotalBuy / chainTotalSell  (total capital per side)

chainTotal × botFunds%                      (apply botFunds cap)
        → resolveConfigValueWithRegistry()
          → funds.allocated.{buy,sell}      (bot's capital budget)

funds.allocated → getSideBudget()           (budget for target grid sizing)
funds.allocated → _getSizingContext()       (budget for spread correction)

Key points:

botFunds percentage applies to total capital (free + locked in orders), not just free. A bot at "50%" gets half of everything, not half of what's currently idle.
funds.allocated is the ceiling for each side. Existing orders already consume part of it; the remaining free portion is available for new placements.
The downstream applyBotFundsAllocation() (manager.ts:949) also caps funds.available to <= allocated as a safety net, but the primary budget chokepoint is getSideBudget / _getSizingContext reading allocated directly (v1.2.6).

1.4 Mixed Order Fund Validation

Mixed BUY/SELL batches are validated per asset using a signed-delta peak running requirement (not a side lump sum), so BUY and SELL ops in the same batch are checked independently against their own free balance.

Fund Availability Checks by Asset

BUY orders sell quote asset (assetB), so they are validated against accountTotals.buyFree — the unallocated assetB available for limit orders.
SELL orders sell base asset (assetA), so they are validated against accountTotals.sellFree — the unallocated assetA available for limit orders.

Implementation Location

File: modules/dexbot_cow_runtime.ts — validateOperationFunds() (line 1488), called from the COW batch broadcast path at line 2908. modules/dexbot_class.ts exposes a thin wrapper _validateOperationFunds() (line 1122).

// Per-asset peak requirement vs. quantized chain-free snapshot.
// Updates consume a signed delta (size delta); creates consume the full amount.
for (const op of operations) {
    // ... resolve sellAssetId / sellAmountInt from op_data ...
    netRequiredFunds[sellAssetId] += signedDelta;          // net after releases
    runningRequiredFunds[sellAssetId] += signedDelta;      // running watermark
    peakRequiredFunds[sellAssetId] = max(peak, running);   // high-water mark
}

const availableFunds = {
    [assetA.id]: quantizeFloat(snap.chainFreeSell, assetA.precision),
    [assetB.id]: quantizeFloat(snap.chainFreeBuy,  assetB.precision)
};

// Precision-aware comparison: int-cast both sides before comparing.
if (floatToBlockchainInt(peak, prec) > floatToBlockchainInt(available, prec)) {
    fundViolations.push({ asset, required: peak, netRequired, available, deficit });
}

Key Points

Each asset validated independently against its own free balance (buyFree for assetB, sellFree for assetA).
Peak-tracking catches interleaved create+update ops whose net is affordable but whose intermediate watermark is not.
No double-counting when BUY and SELL orders are placed in the same batch — they draw from disjoint asset pools.
Quantized comparison (floatToBlockchainInt) eliminates float-accumulation false positives.

Helper Reference

For checking order types and states, use centralized helpers from modules/order/utils/order.ts:

isOrderOnChain(order) - Check if ACTIVE or PARTIAL
isOrderPlaced(order) - Check if safely placed (on-chain with ID)
isOrderVirtual(order) - Check if VIRTUAL state

See developer_guide.md#order-state-helper-functions for complete helper function reference.

1.5 Fill Batch Processing & Timeline

Gap-Slot Batch Fill Processing

Mechanism: Fill events arrive via modules/dexbot_fill_runtime.ts (the fill-runtime module), which pushes them into bot._incomingFillQueue (declared in modules/dexbot_class.ts). The drain loop in dexbot_fill_runtime.ts then chunks the queue into capped batches and calls modules/order/manager.ts::processFilledOrders (line 1438) once per chunk to run the full rebalance pipeline.

Batch Sizing Algorithm: Batch size is derived from the grid gap-slot count (DEXBot._getGapSlotBatchSize): a queue depth at or below gapSlots is processed as one unified batch; deeper queues are chunked into repeated batches of gapSlots (the last chunk may be smaller). The same gap-slot size caps order operations per broadcast transaction (oversized op batches are split into sequential broadcasts).

Configuration: no fixed constant — both FILL_PROCESSING.MAX_FILL_BATCH_SIZE and COW_PERFORMANCE.MAX_OPS_PER_BROADCAST were removed; batch sizing follows the grid gap-slot count.

Fill Batch Processing Timeline

Per-Batch Execution:

Peek & Pop: Check _incomingFillQueue, pop up to N fills (batch size)
Replay-safe Accounting Pass: Each fill is accounted individually via processFillAccounting(fillOp, fillKey) with replay-safe dedup (applyReplaySafeFillAccounting, dexbot_fill_runtime.ts:227)
- Proceeds credited directly to chainFree (via adjustTotalBalance)
- Same-order fill batching (sync_engine Phase 6 cumulative transition) aggregates multiple fill transitions on one order before a single rebalance
- All proceeds immediately available to next rebalance cycle (not split across cycles)
Single Target Calculation: Call calculateTargetGrid() once
- Sizes replacement orders using combined proceeds
- Applies rotations and boundary shifts
Batch Broadcast: Call updateOrdersOnChainBatch() once
- All new orders + cancellations in single operation
Persist: Call persistGrid() to save grid state
Loop: Continue with next batch (or idle if queue empty)

Result: 29 fills now processed in ~8 broadcasts (~24s) instead of 29 broadcasts (~90s).

Residual Dust Cancellation (post-1.4.12): After a sub-dust fill leaves a residual order on chain (e.g. the quote-side value truncates to 0 on bitshares-core maybe_cull_small_order), the fill runtime explicitly cancels those residuals via cancelResidualOrders() (dexbot_fill_runtime.ts:74, [RESIDUAL] tag) so a leftover of ≥1 base unit cannot be re-adopted into a grid slot by maintenance.

Grid Regeneration Trigger (Available Funds Ratio — bidirectional)

The grid regenerates when accumulated proceeds create a significant funding imbalance — in either direction. This is detected using the Available Funds Ratio (grow leg) plus an over-allocation leg (shrink leg), all sharing GRID_REGENERATION_PERCENTAGE (default: 3%):

GROW:   ratio = (availableFunds / allocatedCapital) * 100
        IF ratio >= GRID_REGENERATION_PERCENTAGE (default: 3%):
            → Trigger grid regeneration (deploy proceeds)

SHRINK: overAlloc = (gridTracked - allocatedCapital) / allocatedCapital * 100
        (`gridTracked` = funds.total.grid: ACTIVE + PARTIAL + VIRTUAL planned size)
        IF overAlloc >= threshold:
            → Trigger grid regeneration (resize affected orders down)

Deliberately no per-side chain-total-drop leg: a normal fill moves value across sides (pays one asset, receives the other — see recordFillBalances), so one side's total routinely drops ≥3% on ordinary fills, and the fill pipeline already re-sizes from the post-fill budget.

How It Works (grow):

Fill occurs → proceeds added to chainFree
calculateAvailableFundsValue() computes true spending power (chainFree minus reservations)
Grid divergence check compares this ratio against allocated capital in active orders
If ratio exceeds 3%, the grid has accumulated enough proceeds to warrant redeployment
Grid regeneration recalculates all order sizes and applies new placements

How It Works (shrink):

External removal (manual transfer/withdrawal) → chainTotal drops → funds.allocated (chainTotal × botFunds%) drops while the grid-tracked size stays put
Divergence check flags the side when grid-tracked size exceeds the allocation by ≥ 3% (slow bleeds accumulate across ticks: the grid stays fixed while the allocation sinks)
The same regeneration path runs: _recalculateGridOrderSizesFromBlockchain recomputes geometric ideals on the smaller budget and queues UPDATE actions shrinking affected on-chain orders (delta < 0 releases the difference back to free balance on chain). Fork-kept shelf orders (live non-slot-N ids below the rail) are skipped by the per-slot loop — their manual sizes survive the resize while still counting in the budget denominator.
Under-deployed grids (grid-tracked size still within the shrunken allocation) correctly do NOT trigger — their orders remain fully funded

Recovery Retry System

Recovery uses a count+time-based retry system with periodic reset, so a single failed recovery attempt never locks out future retries.

State Machine:

INITIAL (count=0, time=0)
    ↓
RECOVERY_FAILED (count++, time=now) ← Recovery attempted but failed
    ↓ (wait 60s)
READY_RETRY (count < 5 and time_elapsed ≥ 60s) ← Time passed, can retry
    ↓
RECOVERY_ATTEMPTED (increment count) ← Attempt retry
    ↓ (on fail) ← Success not yet
    ↓ ← Loops back to RECOVERY_FAILED
    ↓ (on success)
RESET via resetRecoveryState() ← Recovery succeeded, reset for next episode

Configuration (modules/constants.ts):

PIPELINE_TIMING: {
  RECOVERY_RETRY_INTERVAL_MS: 60000,  // Min 60s between retry attempts
  MAX_RECOVERY_ATTEMPTS: 5            // Max 5 retries per episode (0 = unlimited)
}

Reset Points (Called by resetRecoveryState() in modules/order/accounting.ts):

Fill-triggered: Every fill in processFilledOrders() resets recovery state
Periodic: Blockchain fetch loop resets state every 10 minutes (even if no fills)
Bootstrap completion: After grid initialization

Impact:

✅ If recovery fails, bot retries every 60s instead of requiring manual restart
✅ Self-heals within minutes after market settles
✅ No permanent lockup from single failure

Stale-Cleaned Order ID Tracking (see §3.6)

When a batch fails because an on-chain order no longer exists, the cleanup releases the local slot — but a delayed orphan-fill event can still arrive and re-credit the proceeds, double-counting capital. The bot tracks stale-cleaned order IDs in _staleCleanedOrderIds and skips crediting any fill whose order is still in that map. The full mechanism, data structure, and TTL rules are documented in §3.6 Orphan-Fill Deduplication & Double-Credit Prevention.

1.6 Remainder Accuracy During Capped Resize

When grid resize is capped by available funds, accounting tracks what portion of the ideal grid went unallocated via per-slot tracking:

Fully allocated slots: receive their ideal size (no remainder)
Fund-capped slots: receive less than ideal because available funds ran out mid-allocation

Computing the remainder from totals instead overstates it when some slots are fully allocated and others are capped.

Per-Slot Tracking

// Track per-slot applied sizes
const appliedSizes = [];
for (const slot of slots) {
    const appliedSize = min(idealSize[slot], availableFundsRemaining);
    appliedSizes.push(appliedSize);
    availableFundsRemaining -= appliedSize;
}

// Compute unallocated remainder from actual allocated values
const remainder = totalIdealSizes - sum(appliedSizes);
// Result: Reflects true remaining capacity for next cycle

Impact:

✅ Remainder accurately reflects what was NOT allocated due to fund caps
✅ Next rebalance cycle gets correct available fund picture
✅ No skewed sizing decisions

2. Grid Topology & Sizing

The grid is a unified array ("Master Rail") of price levels, not separate Buy/Sell arrays.

2.1 Geometric Weighting Formula

Order sizes are calculated using a geometric progression to distribute risk.

Inputs:

$N$: Number of orders
$Total$: Total budget for side
$w$: Weight Distribution parameter (-1 to 2)
$inc$: Increment factor (incrementPercent / 100)

Base Factor: $$base = 1 - inc$$

Raw Weight ($W_i$): For each slot $i$ from $0$ to $N-1$: $$W_i = base^{(i \times w)}$$

Orientation:

SELL Side: Normal indexing ($i=0$ is market-closest).
BUY Side: Reversed indexing ($i=N-1$ is market-closest) to ensure heaviest weights are always near the spread.

Final Size ($S_i$): $$S_i = \left( \frac{W_i}{\sum W} \right) \times Total$$

2.2 Spread Gap & Boundary

The grid is divided into zones by a dynamic Boundary Index.

Gap Size ($G$): Calculated from targetSpreadPercent and incrementPercent. $$G = \lceil \frac{\ln(1 + \text{targetSpread}/100)}{\ln(1 + \text{increment}/100)} \rceil - 1$$ (Min capped at MIN_SPREAD_ORDERS, usually 2. The $-1$ accounts for the naturally occurring center gap during grid centering)
Zones:
- BUY: Indices $[0, \text{boundaryIdx}]$
- SPREAD: Indices $[\text{boundaryIdx}+1, \text{boundaryIdx}+G]$ (Total of $G+1$ actual gaps)
- SELL: Indices $[\text{boundaryIdx}+G+1, N]$

3. The Strategy Engine (Boundary-Crawl Algorithm)

The rebalancing logic (strategy.ts::calculateTargetGrid) computes the target "Crawl" state.

3.1 Boundary Shift (The Crawl)

When a fill occurs, the boundary shifts to "follow" the price.

BUY Fill: Market moved down $\to$ boundaryIdx-- (Shift Left).
SELL Fill: Market moved up $\to$ boundaryIdx++ (Shift Right).

3.2 Global Side Capping

Budgets are dynamic. The bot calculates TotalSideBudget from funds.allocated.{buy,sell} (the botFunds-capped capital per side — see §1.3). This ensures the bot never attempts to deploy more than its configured share of account capital, even when the account holds additional free balance for other bots or manual trading.

Safety Check: If the calculated ideal grid requires more capital than available in the allocation, the increase is capped. $$Increase_{capped} = \min(Ideal - Current, AllocatedRemaining)$$

Batch Sizing Impact

During fill batch rebalancing, the unallocated remainder (amount NOT allocated due to fund caps) affects available funds for the next cycle:

Remainder Calculation:

Old: Computed from ideal sizes even when resize was capped
New: Tracked per-slot, derived from actual allocated values

Effect on Side Capping Formula:

// In next rebalance cycle:
availableFunds = chainFree - virtual - feesOwed - feesReservation
sideIncrease = min(idealSide - currentSide, availableFunds)

// When batch capping applied in previous cycle:
// availableFunds now correctly reflects the unfulfilled allocation gap

Example:

Cycle N (Batch Processing):
- Ideal grid total: 1000 BTS
- Available funds: 600 BTS
- Allocate: 600 BTS (per-slot tracking)
- Unallocated remainder: 400 BTS (1000 - 600)

Cycle N+1:
- Unallocated remainder (400 BTS) available for next allocation
- Prevents "stuck fund" situations where capital appeared allocated but wasn't

Impact:

✅ Accurate available fund calculations for next rebalance
✅ No overstated fund capping in subsequent cycles
✅ Smooth rebalancing when market moves expand/contract positions

3.3 The Rotation Cycle

Rotations move capital from "Surplus" (useless) to "Shortage" (needed).

Identify Shortages: Empty slots inside the active window (near boundary).
Identify Surpluses: Active orders outside the window (far edges).
Sort:
- Shortages: Closest to market first.
- Surpluses: Furthest from market first.
Execute: For each pair (Surplus $S$, Shortage $T$):
- Atomic Transition:
  - $S$ state: ACTIVE $\to$ VIRTUAL (size 0, releases funds).
  - $T$ state: VIRTUAL (size $S_{size}$, reserves funds).
- Fund Calculation:
  - The released funds from $S$ are immediately added to ChainFree.
  - The reserved funds for $T$ are immediately subtracted (added to Virtual).

3.4 Edge-First Surplus Sorting

Change: Prioritize furthest-from-market surpluses (lowest Buy / highest Sell) for rotations.

Reason: Improves execution robustness by using stable edge orders for rotations and leaving volatile inner surpluses to potentially catch "surplus fills" during grid shifts.

Impact:

✅ More stable rotation candidates (outer orders less likely to be filled mid-operation)
✅ Inner surpluses remain available for spontaneous fill opportunities
✅ Reduces unnecessary churn on volatile price action

3.5 Victim Cancel Safety Logic

Change: Explicitly detect and cancel "victim" dust orders when a rotation targets an occupied slot.

Reason: Maintains 1-to-1 mapping between grid slots and blockchain orders in the Edge-First system, preventing "ghost" capital on-chain.

Implementation:

// If rotation target slot has an order (victim), cancel it first
if (targetSlot.orderId) {
    scheduleCancel(targetSlot);
    targetSlot.state = VIRTUAL;  // Prepare slot for new order
}

// Then place new order at target
targetSlot.state = ACTIVE;
targetSlot.orderId = newOrderId;

Impact:

✅ Prevents "ghost" capital lingering on-chain
✅ Ensures grid slot ↔ blockchain order 1-to-1 mapping
✅ No orphaned capital in rotation operations

3.6 Orphan-Fill Deduplication & Double-Credit Prevention

Location: modules/dexbot_class.ts — constructor, _recoverExplicitStaleOrders() (line 448); orphan-fill guard in the fill drain loop and pruning pass after each cycle now live in modules/dexbot_fill_runtime.ts (guard ~lines 628-646, pruning ~lines 934-946).

Stale-Cleaned Order ID Tracking with TTL + Recycled-Slot Guard

Mechanism: Track which orders were cleaned up during batch failure recovery using timestamp + grid-slot retention.

Data Structure (modules/dexbot_class.ts):

// Map of orderId → { markedAt: number, gridId: string | null }
_staleCleanedOrderIds = new Map();

// Retention window (set in the constructor):
_staleCleanupRetentionMs = Math.max(_fillDedupeWindowMs, 5 * 60 * 1000);  // ≥5 minutes

Cleanup Process (in _recoverExplicitStaleOrders()):

1. Parse error message for stale order IDs (e.g., "Limit order 12345 does not exist")
2. For each stale ID matching a grid slot:
   - Virtualize the grid slot (state → VIRTUAL, size 0)
   - Record: _staleCleanedOrderIds.set(orderId, { markedAt: Date.now(), gridId })
3. For stale IDs with no matching grid slot:
   - Record: _staleCleanedOrderIds.set(orderId, { markedAt: Date.now(), gridId: null })

Orphan-Fill Handler Check (in the drain loop):

const entry = _staleCleanedOrderIds.get(orderId);
if (entry) {
    const ageMs = Date.now() - entry.markedAt;
    if (ageMs <= _staleCleanupRetentionMs) {
        // Within retention: skip credit entirely (funds already freed)
        continue;
    }
    if (entry.gridId) {
        const currentOrder = manager.orders.get(entry.gridId);
        if (currentOrder?.orderId && currentOrder.orderId !== orderId) {
            // Slot recycled: funds already redeployed — skip credit
            continue;
        }
    }
    // Expired and slot not recycled: drop the tombstone and credit as normal orphan
    _staleCleanedOrderIds.delete(orderId);
}
// Credit proceeds only if NOT protected above
await adjustTotalBalance(orderType, proceeds, `orphan-fill-${orderId}`);

Why This Works

Delayed Orphans: Fill events can arrive minutes after batch failure (network latency); the retention window covers the dedupe interval.
Recycled-Slot Tombstones: Entries with a gridId are kept indefinitely as tombstones — a fill arriving after TTL is still skipped if the slot has been redeployed, preventing a late orphan from double-counting freed-and-redeployed capital.
Bounded Entry Pruning: Entries without a gridId (no slot to check) are pruned once ageMs > _staleCleanupRetentionMs, so the map stays bounded. Pruning runs after each fill-processing cycle, not on a fixed timer.
ID-Based: Works with any error format (different BitShares versions have different error messages).
Explicit Logging: [ORPHAN-FILL] Skipping double-credit / slot recycled / Pruned N expired messages create an audit trail.

Fund State Verification

The available funds are verified at allocation time:

Proceeds are only added to chainFree when confirmed on blockchain
Stale-cleaned orders don't consume allocation funds
Next cycle sees accurate available funds for sizing decisions

Impact

✅ Eliminates double-counting root cause that fed 47,842 BTS drift
✅ Handles network-latent orphan events (not just immediate fills)
✅ No fund corruption from delayed fill events after batch failure
✅ Production stability after market crashes and stale order cascades

4. Partial Order Handling (Simplified Consolidation)

When a grid is regenerated or resized, existing partial orders (partially filled orders) may remain on-chain. Rather than employing complex merge/split mechanics, the system uses a direct consolidation approach focused on fund efficiency and spreading simplicity.

4.1 Dust Detection

A partial order is classified as Dust if: $$Size_{current} < Size_{ideal} \times 0.05$$

Dust orders are too small to be efficient on-chain and are marked for consolidation into the grid rebuild cycle.

4.2 Consolidation Strategy

When the strategy engine encounters partial orders during rebalancing:

Direct Approach (Simplified):

Identify unhealthy partials: Detect any partial orders below the 5% dust threshold on each side
Mark for consolidation: Flag partials as needing attention in the next rebalance cycle
Fund-driven grid rebuild: Rather than complex slot-by-slot merge/split logic, the entire grid is regenerated based on current total funds (including proceeds from fills)
Natural redistribution: The rebuilt grid automatically sizes all orders (including those replacing consolidation candidates) using the Ideal Grid sizing formula
Spread maintenance: The target spread gap remains constant at targetSpreadPercent—no dynamically inflated corrections

Why This Works:

Simpler code path: No merge vs. split decision logic
Fund-safe: Rebuild uses only available funds; orders that can't be sized are skipped
Constant spread: The spread gap size stays fixed, improving predictability
Minimal blockchain interaction: Grid regeneration happens once per consolidation event (not per partial)

4.3 Fund Dynamics During Consolidation

When consolidating partials:

Proceeds become available: Fill proceeds from the partial are added to chainFree
Grid regenerates once: A single rebalance cycle recalculates all order sizes based on total funds
Partial slot replaced naturally: The new ideal grid may place a fresh order at the partial's price, or skip it if insufficient funds
No special "doubling" flags: All slots are treated uniformly—no side-specific bonuses or penalties

Boundary Behavior:

The boundary index shifts with each fill (as before) to follow market movement
Grid slots are reassigned based on the new boundary and available funds
No additional spread-widening corrections triggered by partial consolidation

Fund Consumption: Only the net sizing operations consume funds. Since partials are absorbed into the grid rebuild, fund impact is purely from the new order placements in the regenerated grid.

5. Fee Management

The bot manages two types of fees: Blockchain Fees (BTS) and Market Fees (Asset deduction).

5.1 BTS Fees (Blockchain Operations)

BitShares charges fees for limit_order_create and limit_order_cancel.

Reservation (BTS_RESERVATION_MULTIPLIER in constants.ts::FEE_PARAMETERS): $$Reserve = N_{active} \times BTS_RESERVATION_MULTIPLIER$$ (Default: 5× per order — covers create, rotate (cancel+place), update, and cancel over the order's lifetime. $N_{active}$ counts window orders plus the reserveOrders edge ladder — reserves rest live on-chain and pay fees like window orders)
Settlement (deductBtsFees):
1. Check Funds.btsFeesOwed.
2. If sufficient chainFree available: deduct full amount atomically.
3. If insufficient: defer settlement and retry when funds become available.
Adoption fee parity: COW chain-adoption paths charge fees exactly like the normal open-orders loop. adoptPlacedBatchFromChain (refused-commit and poll-confirmed paths) and the startup uncertain-create adoption apply the create/cancel/update fees via _applySync.
Safe fee lookup: processBatchResults uses getAssetFeesSafe('BTS') with zero-fee fallbacks — the throwing variant can no longer hard-fail a whole batch after a successful commit (modules/dexbot_cow_runtime.ts).

5.2 Market Fees (Trade Cost)

These are deducted from the proceeds of a fill.

Maker (Limit Orders): Typically lower fee (e.g., 0.1%).
- Rebate: On BitShares, Makers often get a fee rebate on cancellation (vesting).
Taker (Market Orders): Typically higher fee.

Calculation (processFilledOrders):

GrossProceeds = Size * Price
NetProceeds = GrossProceeds - (GrossProceeds * FeePercent)

5.3 BTS Fee Object Structure

For BTS fees, the system returns a structured object (not a simple number) with multiple fields for accounting precision.

Location: modules/order/utils/math.ts::getAssetFees() (line 312). The fee cache itself is populated by modules/order/utils/system.ts::initializeFeeCache() (line 665).

BTS Fee Object (Always Object)

getAssetFees('BTS', amount, isMaker=true)
// Returns (maker example, amount=45000, orderCreationFee=500, MAKER_REFUND_PERCENT=0.9):
{
    netProceeds: 45450,      // amount + refund = 45000 + 450
    total: 45450,            // aliased to netProceeds for downstream use
    refund: 450,              // orderCreationFee * MAKER_REFUND_PERCENT = 500 * 0.9
    isMaker: true            // Flag: is this a maker fee?
}

netProceeds Calculation

For Makers (isMaker = true, gets MAKER_REFUND_PERCENT of orderCreationFee back):

netProceeds = assetAmount + (orderCreationFee * MAKER_REFUND_PERCENT)
// Example: 45,000 asset + (500 fee * 0.9 refund) = 45,450

For Takers (isMaker = false, no rebate):

netProceeds = assetAmount
// Example: 45,000 asset (no refund) = 45,000

Non-BTS Fees (Structured Object When Amount Given)

Without an amount, non-BTS assets return a small percent descriptor. With an amount, they return the same { netProceeds, total, ... } shape as BTS (but with feeAmount instead of refund):

getAssetFees('IOB.XRP', 1000)
// Returns (assumes 0.1% maker market fee, maxMarketFee not binding):
// { netProceeds: 999, total: 999, feeAmount: 1, feePercent: 0.1, isMaker: true }

getAssetFees('USD')          // no amount → percent descriptor only
// Returns: { marketFee: <cached>, takerFee: <cached>, percent: <resolved> }

Backwards Compatibility

Code can safely detect the shape:

// With an amount, both BTS and non-BTS return an object carrying netProceeds.
if (typeof feeInfo === 'object' && feeInfo !== null) {
    const proceeds = feeInfo.netProceeds;   // works for BTS and non-BTS
} else {
    // Percent-descriptor path (no amount supplied): use feeInfo.percent
    const feePercent = feeInfo.percent ?? 0;
}

// Legacy fields on the BTS no-amount descriptor (still present):
const createFee = feeInfo.createFee;   // BTS only

5.4 BUY Side Sizing & Fee Accounting

Fee Application by Side

Side	Asset	Calculation	Notes
BUY	Quote (assetB)	Fee deducted from `buyFree`	Buyers pay in quote currency
SELL	Base (assetA)	Fee deducted from `sellFree`	Sellers pay in base currency

Example Scenario

Trading pair: XRP (base) / USD (quote)

BUY Order Fills:
- Receives: 1000 XRP
- Pays: 45,000 USD
- Fee: 500 USD (0.1% of 45,500 total)
- Net proceeds: 45,000 USD (quoted asset reduced by fee)

SELL Order Fills:
- Receives: 45,000 USD
- Pays: 1000 XRP
- Fee: 1 XRP (0.1% of 1000 total)
- Net proceeds: 999 XRP (base asset reduced by fee)

Maker Refund Impact on BUY Orders

For BUY orders that are makers:

// Market fill amount: 45,500 USD worth
// Maker fee: 500 USD (0.1%)
// Maker refund: 90% of 500 = 450 USD back

// Net proceeds to chainFree:
// - Deposit: 45,500 USD (market received)
// - Fee paid: -500 USD
// - Refund received: +450 USD
// - Final: 45,450 USD credited to buyFree

Impact: Ensures internal ledgers match blockchain totals exactly, preventing accounting drift from fee variances.

5.5 Precision & Quantization

Floating-point arithmetic drifts from true blockchain integer representations over many order-size calculations, price derivations, and fund allocations. Quantization eliminates this accumulation by round-tripping every value through its blockchain integer form.

5.5.1 Core Quantization Functions

Location: modules/order/utils/math.ts (line 265)

`quantizeFloat(value, precision)` - Eliminate Accumulation Errors

Converts float → blockchain int → float to "snap" values to precision boundaries.

/**
 * Quantize a float value by round-tripping through blockchain integer representation.
 * Converts float → blockchain int (satoshi-level precision) → float.
 * Eliminates floating-point accumulation errors.
 *
 * @param {number} value - Float value to quantize (e.g., 45.123456789)
 * @param {number} precision - Asset precision (e.g., 8 for satoshis)
 * @returns {number} Quantized float value (e.g., 45.12345679)
 */
function quantizeFloat(value, precision) {
    return blockchainToFloat(floatToBlockchainInt(value, precision), precision);
}

// Example:
// Input: 45.123456789 (accumulated float error)
// Step 1: Float → Int: 45.123456789 * 10^8 = 4512345678.9 → rounds to 4512345679
// Step 2: Int → Float: 4512345679 / 10^8 = 45.12345679 (corrected!)

Use Cases:

After fund allocation calculations (prevent 0.000000001 drift)
When rounding order sizes to blockchain precision
Before storing prices for comparison operations
After grid divergence calculations

`normalizeInt(value, precision)` - Ensure Integer Alignment

Converts int → float → int to ensure the integer aligns with precision boundaries.

/**
 * Normalize an integer value by round-tripping through float representation.
 * Converts int → float (readable format) → blockchain int.
 * Ensures the integer aligns with precision boundaries.
 * Used for precision-aware comparisons.
 *
 * @param {number} value - Integer value (e.g., 4512345679)
 * @param {number} precision - Asset precision
 * @returns {number} Normalized integer value
 */
function normalizeInt(value, precision) {
    return floatToBlockchainInt(blockchainToFloat(value, precision), precision);
}

// Example: Ensure consistency in size comparisons
const currentSizeInt = 4512345679;
const idealSizeInt = 4512345679;
const normalized = normalizeInt(currentSizeInt, 8);
// Returns normalized value for consistent == comparisons

Use Cases:

Ensuring order sizes align to blockchain satoshi boundaries
Normalizing fund totals before invariant checks
Preparing sizes for blockchain transaction encoding

5.5.2 Consolidated Quantization

Quantization has a single source of truth: quantizeFloat() in modules/order/utils/math.ts.

✅ Consistent precision handling across all modules ✅ Reduced regression risk (tested once, used everywhere) ✅ No subtle float accumulation bugs from divergent rounding paths

5.5.3 Precision Best Practices

Scenario	Function	Example
Calculate order size	`quantizeFloat()`	`quantizeFloat(45.123456789, 8)` → Snap to satoshi
Compare sizes	`normalizeInt()`	Ensure both sides use same integer representation
Fund allocation	`quantizeFloat()`	After geometric distribution, eliminate drift
Price derivation	`quantizeFloat()`	Pool/market price calculations prone to float errors
Validate blockchain match	`normalizeInt()`	Check: `normalizeInt(internal) === normalizeInt(chain)`

5.5.4 Relationship to Fund Validation

The corrected fund validation in _validateOperationFunds() uses quantized values:

// Check: Does required amount fit in available balance?
const availableBalance = snap.chainFreeSell;  // Quantized by accounting
const requiredAmount = quantizeFloat(totalRequired, precision);  // Quantize for comparison

if (requiredAmount > availableBalance) {
    // Reject batch before broadcasting
    return { valid: false, reason: 'Insufficient funds' };
}

This prevents the bug where available = chainFree + required created a tautology (required > chainFree + required always false). Quantized comparisons now accurately reflect blockchain constraints.

6. Safety & Invariants

The Accountant enforces strict mathematical invariants to detect bugs or manual interference. Invariants are checked by _verifyFundInvariants() (modules/order/accounting.ts line 501) after every blockchain sync cycle. The verification reads from a snapshot captured under _fundLock — actualBuy/actualSell are captured at snapshot time, not read live outside the lock, closing a TOCTOU window. When a violation is detected, the system logs a CRITICAL error and attempts automatic recovery via manager.accountant.recalculateFunds() (modules/order/accounting.ts line 346, delegated from modules/order/manager.ts lines 981–990) — resetting internal state to match on-chain reality. If the grid lock is held (mid-rebalance), recovery is deferred until the lock is released. The bot continues operating throughout; it does not halt on invariant violations.

6.1 The Equality Invariant

Total funds on chain must equal free plus committed. $$Total_{chain} = Free_{chain} + Committed_{chain}$$

This is the primary drift detector. A mismatch means the bot's internal ledger has diverged from blockchain reality — typically caused by a missed fill event, a double-credited orphan, or a fee deducted from the wrong side. Recovery resets accountTotals from the live blockchain balances.

6.2 The Ceiling Invariant

Grid commitment cannot exceed total wealth. $$Committed_{grid} \leq Total_{chain}$$

A violation here means the grid has allocated more capital than actually exists on-chain. This can happen if an order was cancelled externally (outside the bot) or if a fill was processed but the commitment was never released. Recovery rebuilds committed totals by walking the current grid state.

6.3 Race Condition Protection (TOCTOU)

To prevent "Time-of-Check to Time-of-Use" errors:

Locking: AsyncLock (re-entrant) prevents concurrent updates to the same order. Nested acquire() from the same execution context runs the callback directly instead of queueing.
Atomic Deduct: tryDeductFromChainFree checks and subtracts in a single synchronous step.
Bootstrapping: Fills arriving during startup (isBootstrapping=true) are queued until the grid is fully reconciled (GRID_RECONCILE.md).

6.4 Stale Accounting & Fee Over-Credit Guards

Stale accountTotals does not abort COW commit. Transient staleness (e.g., the periodic balance fetch overlaps with a COW commit) logs a WARN and schedules recovery instead of throwing ACCOUNTING_COMMITMENT_FAILED. Totals are also refreshed after bootstrap to prevent a spurious full recovery on the first maintenance cycle.

Recovery verifies the fetch before trusting balances. State recovery checks that the chain read actually refreshed (_lastFetchedAt advanced) and defers the attempt otherwise, so drift is never re-measured against stale/optimistic numbers. When drift persists after sync, _recalibrateTrackedFundsFromChain rebuilds the tracked commitment from the fresh chain read (matched slots forced to chain size, fully-consumed and stale-absent slots virtualized under the sync orphan pass's recent-commit lag guards; free balances never derived from totals), then re-runs recalculateFunds and re-checks drift.

Fee-deduction failure logs at error. When getAssetFees throws during fill processing (e.g., network blip), _deductFeesFromProceeds skips the deduction and logs at error with explicit "fund tracking will over-credit" language so operators can detect the drift source in production logs.

TOCTOU protection in processFillAccounting. _buildBtsDeferredRefundAdjustment reads btsFeeState from mgr.orders while the order lock is held — the lock is acquired before accounting runs, and the POST-RESET and BOOTSTRAP tracked-fill accounting paths follow the same locking pattern.

Technical Reference for DEXBot2 v1.6.2 release

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DEXBot2 Fund Movement & Accounting Technical Reference

1. Core Accounting Model

1.1 Fund Components

1.2 The Available Funds Formula

1.3 Capital Allocation Pipeline

1.4 Mixed Order Fund Validation

Fund Availability Checks by Asset

Implementation Location

Key Points

Helper Reference

1.5 Fill Batch Processing & Timeline

Gap-Slot Batch Fill Processing

Fill Batch Processing Timeline

Grid Regeneration Trigger (Available Funds Ratio — bidirectional)

Recovery Retry System

Stale-Cleaned Order ID Tracking (see §3.6)

1.6 Remainder Accuracy During Capped Resize

Per-Slot Tracking

2. Grid Topology & Sizing

2.1 Geometric Weighting Formula

2.2 Spread Gap & Boundary

3. The Strategy Engine (Boundary-Crawl Algorithm)

3.1 Boundary Shift (The Crawl)

3.2 Global Side Capping

Batch Sizing Impact

3.3 The Rotation Cycle

3.4 Edge-First Surplus Sorting

3.5 Victim Cancel Safety Logic

3.6 Orphan-Fill Deduplication & Double-Credit Prevention

Stale-Cleaned Order ID Tracking with TTL + Recycled-Slot Guard

Why This Works

Fund State Verification

Impact

4. Partial Order Handling (Simplified Consolidation)

4.1 Dust Detection

4.2 Consolidation Strategy

4.3 Fund Dynamics During Consolidation

5. Fee Management

5.1 BTS Fees (Blockchain Operations)

5.2 Market Fees (Trade Cost)

5.3 BTS Fee Object Structure

BTS Fee Object (Always Object)

netProceeds Calculation

Non-BTS Fees (Structured Object When Amount Given)

Backwards Compatibility

5.4 BUY Side Sizing & Fee Accounting

Fee Application by Side

Example Scenario

Maker Refund Impact on BUY Orders

5.5 Precision & Quantization

5.5.1 Core Quantization Functions

quantizeFloat(value, precision) - Eliminate Accumulation Errors

normalizeInt(value, precision) - Ensure Integer Alignment

5.5.2 Consolidated Quantization

5.5.3 Precision Best Practices

5.5.4 Relationship to Fund Validation

6. Safety & Invariants

6.1 The Equality Invariant

6.2 The Ceiling Invariant

6.3 Race Condition Protection (TOCTOU)

6.4 Stale Accounting & Fee Over-Credit Guards

`quantizeFloat(value, precision)` - Eliminate Accumulation Errors

`normalizeInt(value, precision)` - Ensure Integer Alignment