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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
View File

@@ -5,6 +5,14 @@ Menu size target:
our actions: 8-24 our actions: 8-24
each counterparty role: 3-12 each counterparty role: 3-12
depth: 2-4 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 from __future__ import annotations
@@ -116,18 +124,17 @@ def build_our_actions(
# Below threshold: passive only (maker). Above: aggressive (taker). # Below threshold: passive only (maker). Above: aggressive (taker).
# The system learns the cheapest/fastest path as a function of urgency. # The system learns the cheapest/fastest path as a function of urgency.
if intent.urgency > params.urgency_taker_threshold: 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): for frac in (0.05, 0.10, 0.25):
actions.append(FulfilmentAction( actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side, 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, qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only, 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: 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): for frac in (0.03, 0.06):
actions.append(FulfilmentAction( actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side, kind=ActionKind.CROSS_SPREAD, side=side,
@@ -135,17 +142,18 @@ def build_our_actions(
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms, qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC", time_in_force="IOC",
reduce_only=intent.reduce_only, 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 # Low urgency: passive only (maker) — no taker actions added
# Path-risk exits # Path-risk exits
if _path_risk_says_exit(state, params): if _path_risk_says_exit(state, params):
# STOP_MARKET for stop-loss exits (trigger → market)
actions.append(FulfilmentAction( actions.append(FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=_exit_side_for_position(state), 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, 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) # Chase actions (cancel → wait → retry with configurable wait_to_retry_ms)
@@ -160,7 +168,8 @@ def build_our_actions(
ttl_ms=chase_ttl, ttl_ms=chase_ttl,
post_only=True, post_only=True,
metadata={"chase": True, "chase_offset": offset, 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) return tuple(actions)

28
MALKHUT/malkhut/training/dsl.py
View File

@@ -616,10 +616,17 @@ def _primitive_to_action(primitive: ActionPrimitive, state: MarketWorldState) ->
) )
elif at in (ActionType.CROSS, ActionType.SNIPER, ActionType.PING): elif at in (ActionType.CROSS, ActionType.SNIPER, ActionType.PING):
# CROSS: aggressive fill. Use MARKET for immediate execution.
# SNIPER: precision entry, use LIMIT + IOC for partial fill control.
# PING: small aggressive test, use LIMIT + IOC.
if at == ActionType.CROSS:
order_type = OrderType.MARKET
else:
order_type = OrderType.LIMIT
return FulfilmentAction( return FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=primitive.side, order_type=OrderType.LIMIT, kind=ActionKind.CROSS_SPREAD, side=primitive.side, order_type=order_type,
price_ticks_from_best=0, qty_fraction=primitive.size_fraction, ttl_ms=50, price_ticks_from_best=0, qty_fraction=primitive.size_fraction, ttl_ms=50,
time_in_force="IOC", time_in_force="IOC" if order_type == OrderType.LIMIT else "GTC",
) )
elif at == ActionType.CANCEL_ALL: elif at == ActionType.CANCEL_ALL:
@@ -637,8 +644,10 @@ def _primitive_to_action(primitive: ActionPrimitive, state: MarketWorldState) ->
side = Side.SELL if pos and pos.qty > 0 else Side.BUY if pos and pos.qty < 0 else None side = Side.SELL if pos and pos.qty > 0 else Side.BUY if pos and pos.qty < 0 else None
if side is None: if side is None:
return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0) return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
# EMERGENCY_EXIT uses MARKET for immediate fill; EXIT uses STOP_MARKET
order_type = OrderType.MARKET if at == ActionType.EMERGENCY_EXIT else OrderType.STOP_MARKET
return FulfilmentAction( return FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.MARKET, kind=ActionKind.FULL_EXIT, side=side, order_type=order_type,
price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True, price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True,
) )
@@ -648,9 +657,9 @@ def _primitive_to_action(primitive: ActionPrimitive, state: MarketWorldState) ->
if side is None: if side is None:
return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0) return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
return FulfilmentAction( return FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.MARKET, kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.STOP_MARKET,
price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True, price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True,
metadata={"reason": "stop_loss"}, metadata={"reason": "stop_loss", "order_type_combo": "STOP_MARKET"},
) )
elif at == ActionType.TAKE_PROFIT: elif at == ActionType.TAKE_PROFIT:
@@ -659,9 +668,9 @@ def _primitive_to_action(primitive: ActionPrimitive, state: MarketWorldState) ->
if side is None: if side is None:
return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0) return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
return FulfilmentAction( return FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.MARKET, kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.TRIGGER_MARKET,
price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True, price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True,
metadata={"reason": "take_profit"}, metadata={"reason": "take_profit", "order_type_combo": "TRIGGER_MARKET"},
) )
elif at == ActionType.TRAILING_STOP: elif at == ActionType.TRAILING_STOP:
@@ -670,9 +679,10 @@ def _primitive_to_action(primitive: ActionPrimitive, state: MarketWorldState) ->
if side is None: if side is None:
return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0) return FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
return FulfilmentAction( return FulfilmentAction(
kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.MARKET, kind=ActionKind.FULL_EXIT, side=side, order_type=OrderType.TRAILING_STOP,
price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True, price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True,
metadata={"reason": "trailing_stop", "trail_bps": primitive.trail_distance_bps}, metadata={"reason": "trailing_stop", "trail_bps": primitive.trail_distance_bps,
"order_type_combo": "TRAILING_STOP"},
) )
elif at == ActionType.HALF_EXIT: elif at == ActionType.HALF_EXIT: