Cancel-Fill Correlation

const ws = new WebSocket("wss://hyper.polynode.dev/ws?key=YOUR_KEY");

ws.send(JSON.stringify({
  action: "subscribe",
  filters: { action_types: ["cancel", "cancelByCloid", "order", "fill"] }
}));

// Track cancel oids per asset
const cancelOids = new Map(); // asset → Set<oid>
const cancelVelocity = new Map(); // asset → count in current window

ws.on("message", (raw) => {
  const event = JSON.parse(raw);

  if (event.consensus === "pre" && event.type === "cancel") {
    const asset = event.asset;
    for (const c of event.data.cancels) {
      if (!cancelOids.has(asset)) cancelOids.set(asset, new Set());
      cancelOids.get(asset).add(c.oid);
      cancelVelocity.set(asset, (cancelVelocity.get(asset) || 0) + 1);
    }
  }

  if (event.consensus === "confirmed" && event.type === "order_filled") {
    const oid = event.data.oid;
    const asset = event.asset;
    // Was this order being canceled?
    if (cancelOids.get(asset)?.has(oid)) {
      console.log("PICK-OFF:", asset, "oid", oid,
        "filled at", event.data.px, "x", event.data.sz,
        "user", event.user);
    }
  }
});