malkhut: standardized order types — FIX/CCXT-aligned, multi-exchange mapping

order_types.py: Five-layer taxonomy normalized to industry standards: Layer 1: Base types (FIX Tag 40) — MARKET, LIMIT Layer 2: Time-in-force (FIX Tag 59) — GTC, IOC, FOK, GTD Layer 3: Conditional/Trigger (FIX Tag 3/4+MIT) — STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT, TRAILING_STOP Layer 4: Instructions (FIX Tag 18) — POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG Layer 5: Compound (exchange-specific) — OCO, TP_SL Cross-exchange mapping: BingX ↔ Binance ↔ Bybit (from CCXT source code). Standards: FIX 4.4 Tag 40/59/18, CCXT unified API, ISO 10383 (MIC). Transferability: strategy PARAMETERS transfer. ORDER TYPE NAMES are venue-specific but semantics identical (LIMIT = LIMIT everywhere). 14 tests. README updated with full mapping table and standards references.
2026-07-14 12:02:01 +02:00
parent 13811cc789
commit 53e02c84ec
3 changed files with 251 additions and 0 deletions
--- a/MALKHUT/README.md
+++ b/MALKHUT/README.md
@@ -136,6 +136,7 @@ MALKHUT/
 │   │   ├── pipeline.py          # Bounded continuous learning loop + logger
 │   │   ├── dsl.py               # Strategy DSL v2 (40+ primitives, 40+ sensors)
 │   │   ├── generator.py         # Genetic programming strategy evolution
+│   │   ├── order_types.py       # Standardized order type enum (FIX/CCXT-aligned)
 │   │   ├── selector.py          # Regime → strategy mapping + performance matrix
 │   │   ├── asset_classification.py  # Multi-label taxonomy + exchange registry
 │   │   ├── asset_behavior.py    # 10-dimension behavior DSL, research-validated
@@ -468,6 +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 |
 | **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 |
@@ -1191,6 +1193,52 @@ zero fidelity loss). CMA-ES training speedup is ~1.5x because multiprocessing ov
 is amortized across 90 scenarios per eval. Bottleneck is planner (MCTS), not CWM —
 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.
+
+**Five-layer hybrid model:**
+
+| 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` |
+
+#### Cross-Exchange Mapping (BingX ↔ Binance ↔ Bybit)
+
+| 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 |
+
+#### Transferability Principle
+
+Strategy **PARAMETERS** transfer across exchanges. Order type **NAMES** are venue-specific
+but semantics are identical. A `LIMIT` on BingX = `LIMIT` on Binance = `LIMIT` on Bybit
+(same fill behavior). Only the API string differs. The venue adapter translates
+normalized → exchange-native at submission time.
+
+#### Standards Referenced
+
+- FIX 4.4: Tag 40 (OrdType), Tag 59 (TimeInForce), Tag 18 (ExecInst)
+- CCXT: unified `limit`/`market` + parameter composition (triggerPrice, stopPrice)
+- ISO 10383: MIC for venue identification
+- MiFID II / MiCA: defers to FIX for order type classification
+- FIA: references FIX Tag 40 in digital asset guidelines
+
 ### Prod Tooling

 | Component | Purpose | File |
--- a/MALKHUT/malkhut/tests/test_order_types.py
+++ b/MALKHUT/malkhut/tests/test_order_types.py
@@ -0,0 +1,83 @@
+"""
+Tests for standardized order types — FIX/CCXT-aligned, multi-exchange.
+"""
+import pytest
+from malkhut.training.order_types import (
+    BaseType, TimeInForce, ConditionalType, OrderInstruction, CompoundOrder,
+    EXCHANGE_ORDER_MAP, normalize_to_exchange, get_supported_types, is_type_available,
+)
+
+
+class TestOrderTypeEnums:
+    def test_base_types(self):
+        assert BaseType.MARKET.value == "market"
+        assert BaseType.LIMIT.value == "limit"
+
+    def test_time_in_force(self):
+        assert TimeInForce.GTC.value == "gtc"
+        assert TimeInForce.IOC.value == "ioc"
+        assert TimeInForce.FOK.value == "fok"
+
+    def test_conditional_types(self):
+        assert ConditionalType.STOP_MARKET.value == "stop_market"
+        assert ConditionalType.STOP_LIMIT.value == "stop_limit"
+        assert ConditionalType.TRAILING_STOP.value == "trailing_stop"
+
+    def test_instructions(self):
+        assert OrderInstruction.POST_ONLY.value == "post_only"
+        assert OrderInstruction.REDUCE_ONLY.value == "reduce_only"
+
+    def test_compound(self):
+        assert CompoundOrder.OCO.value == "oco"
+        assert CompoundOrder.TP_SL.value == "tp_sl"
+
+
+class TestExchangeMapping:
+    def test_binance_has_all_types(self):
+        types = get_supported_types("binance")
+        assert "limit" in types
+        assert "market" in types
+        assert "stop_market" in types
+        assert "post_only" in types
+
+    def test_bingx_has_all_types(self):
+        types = get_supported_types("bingx")
+        assert "limit" in types
+        assert "market" in types
+        assert "trigger_market" in types
+
+    def test_bybit_has_all_types(self):
+        types = get_supported_types("bybit")
+        assert "limit" in types
+        assert "market" in types
+        assert "stop_market" in types
+
+    def test_normalize_limit_all_exchanges(self):
+        """LIMIT should map to LIMIT on all exchanges."""
+        for ex in ["binance", "bingx", "bybit"]:
+            assert normalize_to_exchange("limit", ex) == "LIMIT"
+
+    def test_normalize_market_all_exchanges(self):
+        """MARKET should map to MARKET on all exchanges."""
+        for ex in ["binance", "bingx", "bybit"]:
+            assert normalize_to_exchange("market", ex) == "MARKET"
+
+    def test_normalize_post_only_varies(self):
+        """POST_ONLY maps differently across exchanges."""
+        assert normalize_to_exchange("post_only", "binance") == "LIMIT_MAKER"
+        assert normalize_to_exchange("post_only", "bingx") == "POST_ONLY"
+        assert normalize_to_exchange("post_only", "bybit") == "POST_ONLY"
+
+    def test_normalize_unknown_type(self):
+        assert normalize_to_exchange("invalid_type", "binance") is None
+
+    def test_is_type_available(self):
+        assert is_type_available("limit", "binance")
+        assert is_type_available("stop_market", "bingx")
+        assert not is_type_available("invalid", "binance")
+
+    def test_get_supported_types_unique(self):
+        """Each exchange should support at least 8 types."""
+        for ex in ["binance", "bingx", "bybit"]:
+            types = get_supported_types(ex)
+            assert len(types) >= 8
--- a/MALKHUT/malkhut/training/order_types.py
+++ b/MALKHUT/malkhut/training/order_types.py
@@ -0,0 +1,120 @@
+"""
+Standardized Order Types — FIX/CCXT-aligned, multi-exchange compatible.
+
+Five-layer taxonomy normalized to industry standards:
+  Layer 1: Base types (FIX Tag 40 OrdType)
+  Layer 2: Time-in-force (FIX Tag 59)
+  Layer 3: Conditional/Trigger (FIX Tag 3/4 + MIT)
+  Layer 4: Instructions (FIX Tag 18)
+  Layer 5: Compound (exchange-specific)
+
+Transferability: strategy PARAMETERS transfer across exchanges.
+Order type NAMES are venue-specific but semantics are identical.
+The venue adapter translates normalized → exchange-native at submission.
+"""
+from __future__ import annotations
+
+from enum import Enum
+from typing import Dict, Optional
+
+
+# ==============================================================================
+# Layer 1: Base Types (FIX Tag 40 OrdType)
+# ==============================================================================
+
+class BaseType(str, Enum):
+    MARKET = "market"    # FIX: 1 — immediate execution at best available price
+    LIMIT = "limit"      # FIX: 2 — execute only at specified price or better
+
+
+# ==============================================================================
+# Layer 2: Time-in-Force (FIX Tag 59)
+# ==============================================================================
+
+class TimeInForce(str, Enum):
+    GTC = "gtc"          # FIX: 1 — Good Till Cancel
+    IOC = "ioc"          # FIX: 3 — Immediate or Cancel (partial fill OK)
+    FOK = "fok"          # FIX: 4 — Fill or Kill (all-or-nothing)
+    GTD = "gtd"          # FIX: 6 — Good Till Date
+
+
+# ==============================================================================
+# Layer 3: Conditional/Trigger (FIX Tag 3/4 + MIT)
+# ==============================================================================
+
+class ConditionalType(str, Enum):
+    STOP_MARKET = "stop_market"      # FIX: 3 — trigger → market
+    STOP_LIMIT = "stop_limit"        # FIX: 4 — trigger → limit
+    TRIGGER_MARKET = "trigger_market"  # FIX: J (MIT) — market if touched
+    TRIGGER_LIMIT = "trigger_limit"  # FIX: 4 — limit if touched
+    TRAILING_STOP = "trailing_stop"  # FIX: P + ExecInst — trailing stop
+
+
+# ==============================================================================
+# Layer 4: Instructions (FIX Tag 18 ExecInst)
+# ==============================================================================
+
+class OrderInstruction(str, Enum):
+    POST_ONLY = "post_only"        # FIX: ExecInst — maker-only, reject if crossing
+    REDUCE_ONLY = "reduce_only"    # FIX: ExecInst — only reduce existing position
+    HIDDEN = "hidden"              # FIX: ExecInst — iceberg/hidden order
+    ICEBERG = "iceberg"            # FIX: ExecInst — visible portion only
+
+
+# ==============================================================================
+# Layer 5: Compound (exchange-specific, no FIX equivalent)
+# ==============================================================================
+
+class CompoundOrder(str, Enum):
+    OCO = "oco"                    # One-Cancels-Other (linked orders)
+    TP_SL = "tp_sl"                # Take-Profit / Stop-Loss (attached to position)
+
+
+# ==============================================================================
+# Exchange-specific mapping tables
+# ==============================================================================
+
+EXCHANGE_ORDER_MAP: Dict[str, Dict[str, str]] = {
+    "binance": {
+        "limit": "LIMIT", "market": "MARKET",
+        "stop_market": "STOP_MARKET", "stop_limit": "STOP_LOSS_LIMIT",
+        "trigger_market": "TAKE_PROFIT", "trigger_limit": "TAKE_PROFIT_LIMIT",
+        "trailing_stop": "TRAILING_STOP_MARKET",
+        "post_only": "LIMIT_MAKER", "ioc": "IOC", "fok": "FOK",
+        "reduce_only": "REDUCE_ONLY",
+    },
+    "bingx": {
+        "limit": "LIMIT", "market": "MARKET",
+        "stop_market": "TRIGGER_MARKET", "stop_limit": "TRIGGER_LIMIT",
+        "trigger_market": "TRIGGER_MARKET", "trigger_limit": "TRIGGER_LIMIT",
+        "trailing_stop": "TRIGGER_MARKET",
+        "post_only": "POST_ONLY", "ioc": "IOC", "fok": "FOK",
+        "reduce_only": "REDUCE_ONLY",
+    },
+    "bybit": {
+        "limit": "LIMIT", "market": "MARKET",
+        "stop_market": "STOP_MARKET", "stop_limit": "STOP_LIMIT",
+        "trigger_market": "TAKE_PROFIT_MARKET", "trigger_limit": "TAKE_PROFIT_LIMIT",
+        "trailing_stop": "TRAILING_STOP",
+        "post_only": "POST_ONLY", "ioc": "IOC", "fok": "FOK",
+        "reduce_only": "REDUCE_ONLY",
+    },
+}
+
+
+def normalize_to_exchange(normalized_type: str, exchange_id: str) -> Optional[str]:
+    """Convert a normalized order type to exchange-native string."""
+    mapping = EXCHANGE_ORDER_MAP.get(exchange_id, {})
+    return mapping.get(normalized_type)
+
+
+def get_supported_types(exchange_id: str) -> list[str]:
+    """Get all normalized order types supported by an exchange."""
+    mapping = EXCHANGE_ORDER_MAP.get(exchange_id, {})
+    return list(mapping.keys())
+
+
+def is_type_available(normalized_type: str, exchange_id: str) -> bool:
+    """Check if a normalized order type is available on an exchange."""
+    mapping = EXCHANGE_ORDER_MAP.get(exchange_id, {})
+    return normalized_type in mapping