fix(core): avoid float drift in venue decimal math

realfishsam · realfishsam · commit 6b8daba65110 · 2026-06-08T10:57:43.000Z
diff --git a/core/src/exchanges/gemini-titan/index.ts b/core/src/exchanges/gemini-titan/index.ts
@@ -17,6 +17,7 @@ import {
     BuiltOrder,
 } from '../../types';
 import { AuthenticationError } from '../../errors';
+import { toFixedDecimal } from '../../utils/decimal-math';
 import { getGeminiConfig, GeminiApiConfig } from './config';
 import { GeminiFetcher } from './fetcher';
 import { GeminiNormalizer } from './normalizer';
@@ -230,7 +231,7 @@ export class GeminiTitanExchange extends PredictionMarketExchange {
             orderType: 'limit',
             side: params.side,
             quantity: String(params.amount),
-            price: params.price !== undefined ? params.price.toFixed(2) : '0.50',
+            price: params.price !== undefined ? toFixedDecimal(params.price, 2) : '0.50',
             outcome: side,
             timeInForce: params.type === 'market' ? 'immediate-or-cancel' : 'good-til-cancel',
         };
diff --git a/core/src/exchanges/gemini-titan/normalizer.ts b/core/src/exchanges/gemini-titan/normalizer.ts
@@ -10,6 +10,7 @@ import {
 import { IExchangeNormalizer } from '../interfaces';
 import { addBinaryOutcomes } from '../../utils/market-utils';
 import { buildSourceMetadata } from '../../utils/metadata';
+import { averageDecimals, complementDecimal, multiplyDecimals, roundDecimalPlaces, subtractDecimals } from '../../utils/decimal-math';
 import { toMarketId, toOutcomeId } from './utils';
 import { TICK_SIZE } from './config';
 import {
@@ -106,11 +107,8 @@ function extractDescription(desc: unknown): string {
     return '';
 }
 
-/**
- * Round to 2 decimal places to avoid floating point noise.
- */
 function roundPrice(n: number): number {
-    return Math.round(n * 100) / 100;
+    return roundDecimalPlaces(n, 2);
 }
 
 // ----------------------------------------------------------------------------
@@ -211,18 +209,20 @@ export class GeminiNormalizer implements IExchangeNormalizer<GeminiRawEvent, Gem
         const marketId = toMarketId(instrumentSymbol);
 
         // Extract prices
-        const bestBid = contract.prices?.bestBid ? parseFloat(contract.prices.bestBid) : 0.5;
-        const bestAsk = contract.prices?.bestAsk ? parseFloat(contract.prices.bestAsk) : 0.5;
+        const bestBidRaw = contract.prices?.bestBid ?? '0.5';
+        const bestAskRaw = contract.prices?.bestAsk ?? '0.5';
+        const bestBid = parseFloat(bestBidRaw);
+        const bestAsk = parseFloat(bestAskRaw);
         const buyYes = contract.prices?.buy?.yes ? parseFloat(contract.prices.buy.yes) : undefined;
         const sellYes = contract.prices?.sell?.yes ? parseFloat(contract.prices.sell.yes) : undefined;
         const buyNo = contract.prices?.buy?.no ? parseFloat(contract.prices.buy.no) : undefined;
         const sellNo = contract.prices?.sell?.no ? parseFloat(contract.prices.sell.no) : undefined;
         const lastPrice = contract.prices?.lastTradePrice
             ? parseFloat(contract.prices.lastTradePrice)
-            : (bestBid + bestAsk) / 2;
+            : averageDecimals(bestBidRaw, bestAskRaw);
 
         const yesPriceSource = buyYes ?? sellYes ?? lastPrice;
-        const noPriceSource = buyNo ?? sellNo ?? (1 - yesPriceSource);
+        const noPriceSource = buyNo ?? sellNo ?? complementDecimal(yesPriceSource);
 
         const yesPrice = roundPrice(Math.max(0, Math.min(1, yesPriceSource)));
         const noPrice = roundPrice(Math.max(0, Math.min(1, noPriceSource)));
@@ -325,6 +325,7 @@ export class GeminiNormalizer implements IExchangeNormalizer<GeminiRawEvent, Gem
             : 0;
         const entryPrice = parseFloat(raw.avgPrice);
         const size = parseFloat(raw.totalQuantity);
+        const priceDelta = subtractDecimals(raw.prices?.bestBid ?? '0', raw.avgPrice);
 
         return {
             marketId: toMarketId(raw.symbol),
@@ -333,7 +334,7 @@ export class GeminiNormalizer implements IExchangeNormalizer<GeminiRawEvent, Gem
             size,
             entryPrice,
             currentPrice,
-            unrealizedPnL: (currentPrice - entryPrice) * size,
+            unrealizedPnL: multiplyDecimals(priceDelta, raw.totalQuantity),
         };
     }
 }
diff --git a/core/src/exchanges/kalshi/normalizer.ts b/core/src/exchanges/kalshi/normalizer.ts
@@ -3,6 +3,7 @@ import { UnifiedMarket, UnifiedEvent, UnifiedSeries, PriceCandle, OrderBook, Tra
 import { IExchangeNormalizer } from '../interfaces';
 import { addBinaryOutcomes } from '../../utils/market-utils';
 import { buildSourceMetadata } from '../../utils/metadata';
+import { averageDecimals, complementDecimal, subtractDecimals } from '../../utils/decimal-math';
 import { fromKalshiCents, invertKalshiUnified } from './price';
 import { KalshiRawEvent, KalshiRawMarket, KalshiRawCandlestick, KalshiRawTrade, KalshiRawFill, KalshiRawOrder, KalshiRawPosition, KalshiRawOrderBookFp, KalshiRawSeries } from './fetcher';
 
@@ -51,7 +52,7 @@ export class KalshiNormalizer implements IExchangeNormalizer<KalshiRawEvent, Kal
         if (market.last_price_dollars != null) {
             price = parseFloat(market.last_price_dollars);
         } else if (market.yes_ask_dollars != null && market.yes_bid_dollars != null) {
-            price = (parseFloat(market.yes_ask_dollars) + parseFloat(market.yes_bid_dollars)) / 2;
+            price = averageDecimals(market.yes_ask_dollars, market.yes_bid_dollars);
         } else if (market.yes_ask_dollars != null) {
             price = parseFloat(market.yes_ask_dollars);
         } else if (market.last_price) {
@@ -66,7 +67,7 @@ export class KalshiNormalizer implements IExchangeNormalizer<KalshiRawEvent, Kal
 
         let priceChange = 0;
         if (market.previous_price_dollars != null && market.last_price_dollars != null) {
-            priceChange = parseFloat(market.last_price_dollars) - parseFloat(market.previous_price_dollars);
+            priceChange = subtractDecimals(market.last_price_dollars, market.previous_price_dollars);
         }
 
         const outcomes: MarketOutcome[] = [
@@ -222,7 +223,7 @@ export class KalshiNormalizer implements IExchangeNormalizer<KalshiRawEvent, Kal
                 size: parseFloat(level[1]),
             }));
             asks = (data.yes_dollars || []).map((level) => ({
-                price: Math.round((1 - parseFloat(level[0])) * 10000) / 10000,
+                price: complementDecimal(level[0], 4),
                 size: parseFloat(level[1]),
             }));
         } else {
@@ -231,7 +232,7 @@ export class KalshiNormalizer implements IExchangeNormalizer<KalshiRawEvent, Kal
                 size: parseFloat(level[1]),
             }));
             asks = (data.no_dollars || []).map((level) => ({
-                price: Math.round((1 - parseFloat(level[0])) * 10000) / 10000,
+                price: complementDecimal(level[0], 4),
                 size: parseFloat(level[1]),
             }));
         }
diff --git a/core/src/exchanges/opinion/normalizer.ts b/core/src/exchanges/opinion/normalizer.ts
@@ -14,6 +14,7 @@ import {
 import { IExchangeNormalizer } from '../interfaces';
 import { addBinaryOutcomes } from '../../utils/market-utils';
 import { buildSourceMetadata } from '../../utils/metadata';
+import { divideDecimals, proportionalDecimal, subtractDecimals } from '../../utils/decimal-math';
 import { parseNumStr, mapOrderStatus, toMillis, intervalToMs } from './utils';
 import {
     OpinionRawMarket,
@@ -83,9 +84,8 @@ export class OpinionNormalizer implements IExchangeNormalizer<OpinionRawMarket,
         const totalChildVolume = children.reduce((sum, c) => sum + parseNumStr(c.volume), 0);
 
         for (const child of children) {
-            const childVolume = parseNumStr(child.volume);
             const childVolume24h = totalChildVolume > 0
-                ? (childVolume / totalChildVolume) * parentVolume24h
+                ? proportionalDecimal(child.volume || '0', totalChildVolume, parentVolume24h, 6)
                 : 0;
             const market = this.normalizeChildMarket(child, raw, childVolume24h);
             if (market) results.push(market);
@@ -243,7 +243,9 @@ export class OpinionNormalizer implements IExchangeNormalizer<OpinionRawMarket,
     normalizePosition(raw: OpinionRawPosition): Position {
         const sharesOwned = parseNumStr(raw.sharesOwned);
         const currentValue = parseNumStr(raw.currentValueInQuoteToken);
-        const currentPrice = sharesOwned > 0 ? currentValue / sharesOwned : 0;
+        const currentPrice = sharesOwned > 0
+            ? divideDecimals(raw.currentValueInQuoteToken || '0', raw.sharesOwned || '0')
+            : 0;
 
         return {
             marketId: String(raw.marketId),
@@ -272,7 +274,7 @@ export class OpinionNormalizer implements IExchangeNormalizer<OpinionRawMarket,
             amount: orderShares,
             status: mapOrderStatus(raw.status),
             filled: filledShares,
-            remaining: orderShares - filledShares,
+            remaining: subtractDecimals(raw.orderShares || '0', raw.filledShares || '0'),
             timestamp: toMillis(raw.createdAt) ?? 0,
         };
     }
diff --git a/core/src/exchanges/polymarket_us/price.ts b/core/src/exchanges/polymarket_us/price.ts
@@ -1,4 +1,5 @@
 import type { OrderIntent, Amount } from 'polymarket-us';
+import { complementDecimal, roundToTickDecimal } from '../../utils/decimal-math';
 
 /**
  * Polymarket US price/quantity conversion utilities.
@@ -37,10 +38,8 @@ const LONG_INTENTS: ReadonlySet<OrderIntent> = new Set<OrderIntent>([
 ]);
 
 /**
- * Round a price to a tick size using Math.round. Defaults to the
+ * Round a price to a tick size using decimal string arithmetic. Defaults to the
  * Polymarket US tick size (0.001) but accepts a per-market override.
- * Re-rounds to `POLYMARKET_US_PRICE_DECIMALS` afterwards to avoid
- * floating-point drift.
  *
  * Note: this is a pure rounding helper - it does NOT validate bounds.
  * Out-of-range inputs (e.g. 0.9999 -> 1.000) will pass through unchanged.
@@ -49,10 +48,7 @@ export function roundToTickSize(
   price: number,
   tickSize: number = POLYMARKET_US_TICK_SIZE,
 ): number {
-  const ticks = Math.round(price / tickSize);
-  const rounded = ticks * tickSize;
-  const scale = Math.pow(10, POLYMARKET_US_PRICE_DECIMALS);
-  return Math.round(rounded * scale) / scale;
+  return roundToTickDecimal(price, tickSize, POLYMARKET_US_PRICE_DECIMALS);
 }
 
 /**
@@ -94,7 +90,7 @@ export function toLongSidePrice(intent: OrderIntent, userPrice: number): number
   if (LONG_INTENTS.has(intent)) {
     return userPrice;
   }
-  const longPrice = 1 - userPrice;
+  const longPrice = complementDecimal(userPrice, POLYMARKET_US_PRICE_DECIMALS);
   validatePriceBounds(longPrice);
   return longPrice;
 }
@@ -114,7 +110,7 @@ export function fromLongSidePrice(intent: OrderIntent, longPrice: number): numbe
   if (LONG_INTENTS.has(intent)) {
     return longPrice;
   }
-  const userPrice = 1 - longPrice;
+  const userPrice = complementDecimal(longPrice, POLYMARKET_US_PRICE_DECIMALS);
   validatePriceBounds(userPrice);
   return userPrice;
 }
diff --git a/core/src/exchanges/smarkets/normalizer.ts b/core/src/exchanges/smarkets/normalizer.ts
@@ -2,6 +2,7 @@ import { UnifiedMarket, UnifiedEvent, OrderBook, Trade, UserTrade, Position, Bal
 import { IExchangeNormalizer } from '../interfaces';
 import { addBinaryOutcomes } from '../../utils/market-utils';
 import { buildSourceMetadata } from '../../utils/metadata';
+import { subtractDecimals } from '../../utils/decimal-math';
 import { fromBasisPoints, fromQuantityUnits } from './price';
 import {
     SmarketsRawEventWithMarkets,
@@ -304,12 +305,13 @@ export class SmarketsNormalizer implements IExchangeNormalizer<SmarketsRawEventW
     normalizeBalance(raw: SmarketsRawBalance): Balance[] {
         const balance = parseFloat(raw.balance || '0');
         const available = parseFloat(raw.available_balance || '0');
+        const locked = subtractDecimals(raw.balance || '0', raw.available_balance || '0');
 
         return [{
             currency: raw.currency || 'GBP',
             total: balance,
             available,
-            locked: balance - available,
+            locked,
         }];
     }
 
diff --git a/core/src/exchanges/smarkets/price.ts b/core/src/exchanges/smarkets/price.ts
@@ -5,6 +5,8 @@
  * and 1/10000 GBP units for quantities.
  */
 
+import { toScaledInteger } from '../../utils/decimal-math';
+
 const BASIS_POINTS_SCALE = 10000;
 
 /**
@@ -18,7 +20,7 @@ export function fromBasisPoints(basisPoints: number): number {
  * Convert probability (0.0-1.0) to Smarkets basis points (0-10000).
  */
 export function toBasisPoints(probability: number): number {
-  return Math.round(probability * BASIS_POINTS_SCALE);
+  return toScaledInteger(probability, BASIS_POINTS_SCALE);
 }
 
 /**
@@ -32,7 +34,7 @@ export function fromQuantityUnits(units: number): number {
  * Convert GBP to Smarkets quantity units (1/10000 GBP).
  */
 export function toQuantityUnits(gbp: number): number {
-  return Math.round(gbp * BASIS_POINTS_SCALE);
+  return toScaledInteger(gbp, BASIS_POINTS_SCALE);
 }
 
 /**
diff --git a/core/src/utils/decimal-math.ts b/core/src/utils/decimal-math.ts
diff --git a/core/test/utils/decimal-math.test.ts b/core/test/utils/decimal-math.test.ts
