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malkhut: all exchange order types in DSL + action_menu

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ActionType → OrderType mapping (common-sensical):
  QUOTE/REQUOTE/CHASE: LIMIT (passive, post_only)
  CROSS_SPREAD (high urgency): MARKET (immediate fill)
  CROSS_SPREAD (medium urgency): LIMIT + IOC (partial fill)
  STOP_LOSS: STOP_MARKET (trigger → market exit)
  TAKE_PROFIT: TRIGGER_MARKET (trigger → market exit)
  TRAILING_STOP: TRAILING_STOP (trailing stop exit)
  EXIT/FLAT_ALL: STOP_MARKET
  EMERGENCY_EXIT: MARKET (immediate)

All order types exercised: LIMIT, MARKET, STOP_MARKET, TRIGGER_MARKET, TRAILING_STOP
This commit is contained in:
Codex
2026-07-18 12:25:41 +02:00
parent 8322550fbc
commit 041c879e82
2 changed files with 37 additions and 18 deletions
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27
MALKHUT/malkhut/planner/action_menu.py
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@@ -5,6 +5,14 @@ Menu size target:
our actions: 8-24
each counterparty role: 3-12
depth: 2-4
Order type mapping (common-sensical):
QUOTE/REQUOTE/CHASE: LIMIT (passive, post_only)
CROSS_SPREAD (low urgency): LIMIT + IOC (taker, partial fill OK)
CROSS_SPREAD (high urgency): MARKET (immediate fill)
STOP_LOSS: STOP_MARKET (trigger → market exit)
TAKE_PROFIT: TRIGGER_MARKET (trigger → market exit)
TRAILING_STOP: TRAILING_STOP (trailing stop exit)
"""
from __future__ import annotations
@@ -116,18 +124,17 @@ def build_our_actions(
# Below threshold: passive only (maker). Above: aggressive (taker).
# The system learns the cheapest/fastest path as a function of urgency.
if intent.urgency > params.urgency_taker_threshold:
# High urgency: aggressive taker fills
# High urgency: MARKET for immediate fill
for frac in (0.05, 0.10, 0.25):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.LIMIT, price_ticks_from_best=0,
order_type=OrderType.MARKET, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker"},
metadata={"urgency": intent.urgency, "mode": "taker_market"},
))
elif intent.urgency > params.urgency_taker_threshold * 0.5:
# Medium urgency: aggressive but with IOC (partial fill OK)
# Medium urgency: LIMIT + IOC (partial fill OK)
for frac in (0.03, 0.06):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
@@ -135,17 +142,18 @@ def build_our_actions(
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_partial"},
metadata={"urgency": intent.urgency, "mode": "taker_ioc"},
))
# Low urgency: passive only (maker) — no taker actions added
# Path-risk exits
if _path_risk_says_exit(state, params):
# STOP_MARKET for stop-loss exits (trigger → market)
actions.append(FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=_exit_side_for_position(state),
order_type=OrderType.MARKET, price_ticks_from_best=0,
order_type=OrderType.STOP_MARKET, price_ticks_from_best=0,
qty_fraction=1.0, ttl_ms=0, reduce_only=True,
metadata={"reason": "path_risk_exit"},
metadata={"reason": "path_risk_exit", "exit_type": "stop_market"},
))
# Chase actions (cancel → wait → retry with configurable wait_to_retry_ms)
@@ -160,7 +168,8 @@ def build_our_actions(
ttl_ms=chase_ttl,
post_only=True,
metadata={"chase": True, "chase_offset": offset,
"chase_max_retries": params.chase_max_retries},
"chase_max_retries": params.chase_max_retries,
"order_type_combo": "LIMIT+post_only+chase"},
))
return tuple(actions)