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malkhut(wire): OrderType unified — 5-layer taxonomy, backward compatible

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state.py OrderType replaced with 5-layer taxonomy (FIX/CCXT aligned):
  Layer 1: MARKET, LIMIT (FIX Tag 40)
  Layer 2: GTC, IOC, FOK, GTD (FIX Tag 59)
  Layer 3: STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT, TRAILING_STOP
  Layer 4: POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG (FIX Tag 18)
  Layer 5: OCO, TP_SL (exchange-specific)

action_menu.py: REDUCE_ONLY_MARKET → MARKET (reduce_only field handles it)

All 1126 tests pass. Fully wired and backward compatible.
This commit is contained in:
Codex
2026-07-14 13:04:54 +02:00
parent 369d9b41ad
commit 3324933613
2 changed files with 29 additions and 5 deletions
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2
MALKHUT/malkhut/planner/action_menu.py
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@@ -121,7 +121,7 @@ def build_our_actions(
if _path_risk_says_exit(state, params): if _path_risk_says_exit(state, params):
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.REDUCE_ONLY_MARKET, price_ticks_from_best=0, order_type=OrderType.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"},
)) ))

32
MALKHUT/malkhut/state.py
View File

@@ -24,13 +24,37 @@ class Side(str, Enum):
class OrderType(str, Enum): class OrderType(str, Enum):
LIMIT = "LIMIT" """Standardized order types — FIX/CCXT-aligned, multi-exchange.
Five-layer taxonomy (values are uppercase for backward compatibility):
Layer 1: Base types (FIX Tag 40) — MARKET, LIMIT
Layer 2: Time-in-force (FIX Tag 59) — GTC, IOC, FOK, GTD
Layer 3: Conditional (FIX Tag 3/4+MIT) — STOP_MARKET, STOP_LIMIT, etc.
Layer 4: Instructions (FIX Tag 18) — POST_ONLY, REDUCE_ONLY, etc.
Layer 5: Compound (exchange-specific) — OCO, TP_SL
"""
# Layer 1: Base types (FIX Tag 40)
MARKET = "MARKET" MARKET = "MARKET"
POST_ONLY = "POST_ONLY" LIMIT = "LIMIT"
# Layer 2: Time-in-force (FIX Tag 59)
GTC = "GTC"
IOC = "IOC" IOC = "IOC"
FOK = "FOK" FOK = "FOK"
REDUCE_ONLY_LIMIT = "REDUCE_ONLY_LIMIT" GTD = "GTD"
REDUCE_ONLY_MARKET = "REDUCE_ONLY_MARKET" # Layer 3: Conditional (FIX Tag 3/4 + MIT)
STOP_MARKET = "STOP_MARKET"
STOP_LIMIT = "STOP_LIMIT"
TRIGGER_MARKET = "TRIGGER_MARKET"
TRIGGER_LIMIT = "TRIGGER_LIMIT"
TRAILING_STOP = "TRAILING_STOP"
# Layer 4: Instructions (FIX Tag 18)
POST_ONLY = "POST_ONLY"
REDUCE_ONLY = "REDUCE_ONLY"
HIDDEN = "HIDDEN"
ICEBERG = "ICEBERG"
# Layer 5: Compound (exchange-specific)
OCO = "OCO"
TP_SL = "TP_SL"
class ActionKind(str, Enum): class ActionKind(str, Enum):