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malkhut(docs): README updated for three-dimensional order type model

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Updated README to reflect Fable's corrections:
- OrderType/TimeInForce/Instructions as three orthogonal dimensions
- POST_ONLY/IOC/FOK correctly described as non-types
- BingX trailing_stop -> TRAILING_STOP_MARKET
- Three mapping tables (order type, TIF, instructions)
- Integration status updated
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2026-07-14 14:52:50 +02:00
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@@ -469,7 +469,7 @@ Re-measurement at correct fees is required for production deployment.
| **Policy Registry** | `training/registry.py` | 14 | CANDIDATE → ACTIVE lifecycle |
| **Training Pipeline** | `training/pipeline.py` | 21 | Bounded continuous learning loop |
| **Strategy DSL v2** | `training/dsl.py` | 69 | 40+ primitives, 40+ sensors, 16 builtins |
| **Order Types** | `training/order_types.py` | (new) | FIX/CCXT-aligned, 5-layer taxonomy, cross-exchange mapping |
| **Order Types** | `training/order_types.py` | (new) | Three-dimensional: OrderType × TimeInForce × Instructions (FIX-aligned) |
| **Strategy Generator** | `training/generator.py` | 20 | Genetic programming: crossover, mutation, tournament |
| **Strategy Selector** | `training/selector.py` | 24 | Regime → strategy mapping, performance matrix |
| **Asset Classification** | `training/asset_classification.py` | 190 | Multi-label taxonomy + exchange registry, 13 assets, system-wide store |
@@ -1195,34 +1195,41 @@ numba already accelerates the CWM hot path (`_HAS_NUMBA = True`).
### Order Type Standardization (Multi-Exchange, FIX/CCXT-Aligned)
Normalized order type taxonomy based on **FIX Protocol Tag 40 (OrdType)** as the
universal reference, with **CCXT** de facto crypto standard for practical interop.
Neither MiFID II nor MiCA defines a standalone order type taxonomy — both defer to FIX.
Three **orthogonal dimensions** (not one flat enum), each mapped independently:
**Five-layer hybrid model:**
**Dimension 1 — Order Types (FIX Tag 40 OrdType):** what the order IS
`MARKET`, `LIMIT`, `STOP_MARKET`, `STOP_LIMIT`, `TRIGGER_MARKET`, `TRIGGER_LIMIT`,
`TRAILING_STOP`, `OCO`, `TP_SL`
| Layer | Standard Source | Types |
|-------|----------------|-------|
| 1. Base | FIX Tag 40 | `MARKET`, `LIMIT` |
| 2. Time-in-force | FIX Tag 59 | `GTC`, `IOC`, `FOK`, `GTD` |
| 3. Conditional/Trigger | FIX Tag 3/4 + MIT | `STOP_MARKET`, `STOP_LIMIT`, `TRIGGER_MARKET`, `TRIGGER_LIMIT`, `TRAILING_STOP` |
| 4. Instructions | FIX Tag 18 | `POST_ONLY`, `REDUCE_ONLY`, `HIDDEN`, `ICEBERG` |
| 5. Compound | Exchange-specific | `OCO`, `TP_SL` |
**Dimension 2 — Time-in-Force (FIX Tag 59):** how long the order LIVES
`GTC`, `IOC`, `FOK`, `GTD`
#### Cross-Exchange Mapping (BingX ↔ Binance ↔ Bybit)
**Dimension 3 — Instructions (FIX Tag 18 ExecInst):** behavioral modifiers
`POST_ONLY`, `REDUCE_ONLY`, `HIDDEN`, `ICEBERG`
> CRITICAL: `POST_ONLY` is an instruction on a `LIMIT` order, not a standalone type.
> `IOC`/`FOK` are TimeInForce values applied to a `LIMIT` order, not order types.
> This aligns with FIX Protocol: Tag 40 (OrdType), Tag 59 (TimeInForce), Tag 18 (ExecInst).
#### Cross-Exchange Order Type Mapping
| Normalized | BingX | Binance Spot | Binance Futures | Bybit |
|-----------|-------|-------------|-----------------|-------|
| `LIMIT` | LIMIT | LIMIT | LIMIT | LIMIT |
| `MARKET` | MARKET | MARKET | MARKET | MARKET |
| `POST_ONLY` | POST_ONLY | LIMIT_MAKER | LIMIT_MAKER | Post-Only |
| `IOC` | IOC | IOC | IOC | IOC |
| `FOK` | FOK | FOK | FOK | FOK |
| `STOP_MARKET` | TRIGGER_MARKET | STOP_MARKET | STOP_MARKET | Stop-Market |
| `STOP_LIMIT` | TRIGGER_LIMIT | STOP_LOSS_LIMIT | STOP | Stop-Limit |
| `TP_MARKET` | TRIGGER_MARKET | TAKE_PROFIT | TAKE_PROFIT_MARKET | TP-Market |
| `TP_LIMIT` | TRIGGER_LIMIT | TAKE_PROFIT_LIMIT | TAKE_PROFIT | TP-Limit |
| `TRAILING_STOP` | TRIGGER_MARKET(trail) | (spot only) | TRAILING_STOP_MARKET | Trailing |
| `STOP_MARKET` | TRIGGER_MARKET | STOP_MARKET | STOP_MARKET | STOP_MARKET |
| `STOP_LIMIT` | TRIGGER_LIMIT | STOP_LOSS_LIMIT | STOP | STOP_LIMIT |
| `TRIGGER_MARKET` | TRIGGER_MARKET | TAKE_PROFIT | TAKE_PROFIT | TAKE_PROFIT_MARKET |
| `TRIGGER_LIMIT` | TRIGGER_LIMIT | TAKE_PROFIT_LIMIT | TAKE_PROFIT | TAKE_PROFIT_LIMIT |
| `TRAILING_STOP` | TRAILING_STOP_MARKET | TRAILING_STOP_MARKET | TRAILING_STOP_MARKET | TRAILING_STOP |
#### TimeInForce Mapping
| Normalized | BingX | Binance | Bybit |
|-----------|-------|---------|-------|
| `GTC` | GTC | GTC | GTC |
| `IOC` | IOC | IOC | IOC |
| `FOK` | FOK | FOK | FOK |
#### Transferability Principle
@@ -1231,15 +1238,6 @@ but semantics are identical. A `LIMIT` on BingX = `LIMIT` on Binance = `LIMIT` o
(same fill behavior). Only the API string differs. The venue adapter translates
normalized → exchange-native at submission time.
#### Integration Status
- `state.py` OrderType: **17 values** (5-layer taxonomy, backward compatible)
- `order_types.py`: **Standalone standardized taxonomy** with exchange mapping tables
- `ExchangeProfile.available_order_types`: per-venue list of supported normalized types
- `action_menu.py`: uses `OrderType.MARKET`, `OrderType.LIMIT`, `OrderType.POST_ONLY`
- CWM transition: passes `action.order_type` to venue adapter
- Agent/adversary code: check `is_type_available(type, exchange)` before placing
#### Standards Referenced
- FIX 4.4: Tag 40 (OrdType), Tag 59 (TimeInForce), Tag 18 (ExecInst)