70 lines
2.3 KiB
Python
70 lines
2.3 KiB
Python
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"""
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Book Fidelity — maps OBF raw book snapshots to OrderBookState.
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From SPEC_MALKHUT_ACTUALS_INTAKE.md §3:
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MALKHUT wants a ladder: Tuple[PriceLevel, ...] (finite, ordered)
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OBF has 15B rows of raw book snapshots (infinite stream)
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Need: OBF → OrderBookState mapping
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Strategy:
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- OBF rows are timestamped book snapshots with bid/ask prices + quantities
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- We aggregate N recent OBF rows into a single OrderBookState
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- The aggregation window determines the "ladder depth" (how many levels)
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- Depth decay follows power law: D(d) = amplitude * d^(1-alpha)
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- We synthesize levels from the decay profile, not from raw OBF rows
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"""
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from __future__ import annotations
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import math
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from dataclasses import dataclass
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from typing import List, Optional, Tuple
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from malkhut.state import OrderBookState, PriceLevel
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@dataclass(frozen=True, slots=True)
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class BookFidelityConfig:
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"""Configuration for OBF → OrderBookState mapping."""
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n_levels: int = 10 # how many price levels per side
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aggregation_window_ms: int = 100 # OBF rows within this window → one snapshot
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min_depth_usd: float = 100.0 # minimum depth per level
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def synthesize_book_from_params(
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symbol: str,
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mid_price: float,
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spread_bps: float,
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depth_amplitude_usd: float,
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depth_alpha: float,
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n_levels: int = 10,
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) -> OrderBookState:
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"""Synthesize an OrderBookState from asset behavior parameters.
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Uses the power-law depth decay model:
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D(d) = amplitude * d^(1-alpha)
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This is the bridge between OBF's raw stream and MALKHUT's finite representation.
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"""
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half_spread = mid_price * spread_bps / 10000 / 2
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bids = []
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asks = []
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for level in range(n_levels):
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dist_bps = (level + 1) * 1.0 # distance from mid in bps
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depth_usd = depth_amplitude_usd * (dist_bps ** (1 - depth_alpha))
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depth_qty = depth_usd / max(mid_price, 1e-12)
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bid_price = mid_price - half_spread - (level * mid_price * 0.0001)
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ask_price = mid_price + half_spread + (level * mid_price * 0.0001)
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bids.append(PriceLevel(price=bid_price, qty=depth_qty))
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asks.append(PriceLevel(price=ask_price, qty=depth_qty))
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return OrderBookState(
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ts_ns=0,
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symbol=symbol,
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bids=tuple(bids),
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asks=tuple(asks),
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)
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