malkhut(wire): venue passed through matrix recording for cross-exchange comparison
- evaluator: passes scenario.venue to matrix.record(venue=...) - PerformanceMatrix.record(): accepts venue parameter (default='bingx') - Enables cross-exchange learnings: same strategy tested on BingX vs Binance gets separate performance entries per venue Adversary ecology analysis: Counterparties operate at ActionKind level (CROSS_SPREAD/PLACE/CANCEL), not at order-type level. The CWM infers order type from ActionKind: CROSS_SPREAD → fills aggressively → equivalent to MARKET PLACE → passive quote → equivalent to LIMIT This is correct and venue-independent. Fee calculation already uses VenueRules (per-exchange fees). No adversary changes needed.
This commit is contained in:
@@ -1046,6 +1046,7 @@ class PolicyEvaluator:
|
||||
# TIE-IN: Record strategy × regime performance
|
||||
if record_to_matrix and matrix is not None:
|
||||
tags = scenario.tags
|
||||
venue_tag = scenario.venue
|
||||
for tag in tags:
|
||||
matrix.record(
|
||||
strategy_id=params.version,
|
||||
@@ -1054,6 +1055,7 @@ class PolicyEvaluator:
|
||||
pnl_bps=result.pnl_bps,
|
||||
drawdown_bps=result.max_drawdown_bps,
|
||||
adverse_fill_ratio=result.adverse_fill_count / max(result.order_count, 1),
|
||||
venue=venue_tag,
|
||||
)
|
||||
score = self._robust_score(results, params)
|
||||
return score, results
|
||||
|
||||
Reference in New Issue
Block a user