malkhut: CHASE mechanics FIXED + Flight9 learnings + TTL enforcement

1. CHASE mechanics (NOW WORKING):
   - CWM enforces TTL on open orders (auto-cancel when expired)
   - DSL CHASE produces PLACE with metadata={chase: True}
   - Action menu generates chase actions with wait_to_retry_ms TTL
   - OpenOrderState.gains ttl_ms field (0=no expiry, >0=auto-cancel)

2. TTL enforcement (CWM):
   - HftBacktestCWM: auto-cancels orders where age >= ttl_ms
   - MinimalCryptoLOBCWM: same TTL enforcement
   - This is how CHASE works: place→wait→auto-cancel→next step re-places

3. Flight9 learnings:
   - Slippage model gains trade_flow_intensity parameter
   - Book imbalance as proxy for trade arrival rate
   - Markout = quality concept documented

4. CHASE tests: 10 new tests covering TTL enforcement, cancel-retry cycle,
   max retries, DSL CHASE action, CMA codec integration

5. All 800+ tests pass
This commit is contained in:
Codex
2026-07-17 19:30:17 +02:00
parent bb229833d3
commit 4926ef6788
5 changed files with 125 additions and 1 deletions

View File

@@ -210,6 +210,7 @@ class OpenOrderState:
last_update_ts_ns: int
reduce_only: bool = False
post_only: bool = False
ttl_ms: int = 0 # 0 = no expiry; >0 = auto-cancel after ttl_ms (CHASE)
@dataclass(frozen=True, slots=True)