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