malkhut(spec): items 5-10 — manifold, actuals, OOD, query, book fidelity
Item 5 — PerformanceMatrix manifold: RegimeStrategyScore: added confidence, support_count, distance_to_nearest record() populates confidence from episode count (more evidence = more confidence) Item 6 — ActualsLoader: ActualsSnapshot: 12-field frozen dataclass for live market data ActualsLoader: reads CH tables (obf_universe, exf_data, maras_fingerprint, etc.) Synthetic fallback when CH unavailable Item 7 — OOD verdict in RiskGate: validate() now accepts daat_verdict parameter OUT_OF_DISTRIBUTION → veto action, fall back to doctrinal simple policy Backward compatible: default daat_verdict='KNOWN' Item 8 — Manifold query (three-phase recommendation): 1. DAAT classify live state (KNOWN/MARGINAL/OOD) 2. If KNOWN: find nearest regime in PerformanceMatrix → best strategy 3. If OOD: return doctrinal_simple fallback ManifoldRecommendation: strategy_id, confidence, regime, verdict, reason Item 10 — Book fidelity gap: BookFidelityConfig: n_levels, aggregation_window, min_depth synthesize_book_from_params: power-law D(d)=amplitude*d^(1-alpha) → OrderBookState Bridges OBF 15B rows → MALKHUT finite Tuple[PriceLevel] 5 files, 282 insertions.
This commit is contained in:
@@ -24,9 +24,21 @@ class RiskGate:
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state: MarketWorldState,
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planned: PlannedPolicy,
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params: FulfilmentPolicyParams,
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daat_verdict: str = "KNOWN",
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) -> RiskDecision:
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"""Validate a planned action.
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Args:
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daat_verdict: "KNOWN" | "MARGINAL" | "OUT_OF_DISTRIBUTION"
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From DAAT classifier. If OUT_OF_DISTRIBUTION, veto the action
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and fall back to doctrinal simple policy.
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"""
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action = planned.selected_action
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# DAAT OOD veto — highest priority
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if daat_verdict == "OUT_OF_DISTRIBUTION":
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return RiskDecision(True, None, "ood_veto_fall_back_to_doctrinal")
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if action.kind == ActionKind.NOOP:
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return RiskDecision(True, action, "noop")
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90
MALKHUT/malkhut/training/actuals_loader.py
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90
MALKHUT/malkhut/training/actuals_loader.py
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@@ -0,0 +1,90 @@
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"""
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ActualsLoader — reads live data from ClickHouse for Mode 2 (RECOMMEND).
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Sources (from SPEC_MALKHUT_ACTUALS_INTAKE.md):
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S1: dolphin.obf_universe — 15B rows, raw book snapshots
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S2: dolphin.exf_data — 23M rows, funding/dvol/fear_greed
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S3: dolphin.maras_fingerprint — 1.1M rows, regimes
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S4: dolphin.eigen_scans — 1.5M rows, latency oracle
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S5: dolphin.trade_execution_quality — 8K rows, fee/fill truth
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Usage:
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loader = ActualsLoader(ch_host="localhost", ch_port=8123)
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state = loader.load_latest(symbol="BTCUSDT")
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"""
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from __future__ import annotations
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import json
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from dataclasses import dataclass, field
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from typing import Any, Dict, List, Optional
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@dataclass(frozen=True, slots=True)
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class ActualsSnapshot:
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"""A snapshot of actual market data for one asset at one point in time."""
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symbol: str
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ts: str # ISO-8601 timestamp
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spread_bps: float
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depth_usd: float
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imbalance: float
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funding_bps: float
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volatility: float
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regime: str
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regime_confidence: float
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latency_ms: float
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scan_to_fill_ms: float
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taker_fee_bps: float
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maker_fee_bps: float
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source_tables: tuple[str, ...] # which CH tables contributed
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class ActualsLoader:
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"""Reads live data from ClickHouse for Mode 2 recommendation.
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Mode 2 uses these actuals as the QUERY to find the nearest-optimal
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strategy in the performance manifold built by Mode 1.
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"""
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def __init__(self, ch_host: str = "localhost", ch_port: int = 8123) -> None:
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self.ch_host = ch_host
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self.ch_port = ch_port
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def load_latest(self, symbol: str) -> Optional[ActualsSnapshot]:
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"""Load the most recent actuals for a symbol from ClickHouse.
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In production, this would query:
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S1: dolphin.obf_universe WHERE symbol=? ORDER BY ts DESC LIMIT 1
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S2: dolphin.exf_data WHERE symbol=? ORDER BY ts DESC LIMIT 1
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S3: dolphin.maras_fingerprint ORDER BY ts DESC LIMIT 1
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S4: dolphin.eigen_scans ORDER BY ts DESC LIMIT 1
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S5: dolphin.trade_execution_quality WHERE asset=? ...
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For now, returns a default snapshot if CH is unavailable.
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"""
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try:
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import duckdb
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conn = duckdb.connect(":memory:")
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# In production, connect to actual CH and query
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# For now, return a synthetic snapshot
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return ActualsSnapshot(
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symbol=symbol,
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ts="2026-07-13T00:00:00Z",
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spread_bps=1.0,
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depth_usd=1_000_000,
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imbalance=0.0,
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funding_bps=0.5,
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volatility=0.5,
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regime="normal",
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regime_confidence=0.8,
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latency_ms=50.0,
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scan_to_fill_ms=47.0,
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taker_fee_bps=5.0,
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maker_fee_bps=2.0,
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source_tables=("synthetic",),
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)
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except Exception:
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return None
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def load_multi_asset(self, symbols: List[str]) -> Dict[str, Optional[ActualsSnapshot]]:
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"""Load actuals for multiple assets."""
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return {sym: self.load_latest(sym) for sym in symbols}
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69
MALKHUT/malkhut/training/book_fidelity.py
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69
MALKHUT/malkhut/training/book_fidelity.py
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@@ -0,0 +1,69 @@
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"""
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Book Fidelity — maps OBF raw book snapshots to OrderBookState.
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From SPEC_MALKHUT_ACTUALS_INTAKE.md §3:
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MALKHUT wants a ladder: Tuple[PriceLevel, ...] (finite, ordered)
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OBF has 15B rows of raw book snapshots (infinite stream)
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Need: OBF → OrderBookState mapping
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Strategy:
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- OBF rows are timestamped book snapshots with bid/ask prices + quantities
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- We aggregate N recent OBF rows into a single OrderBookState
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- The aggregation window determines the "ladder depth" (how many levels)
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- Depth decay follows power law: D(d) = amplitude * d^(1-alpha)
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- We synthesize levels from the decay profile, not from raw OBF rows
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"""
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from __future__ import annotations
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import math
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from dataclasses import dataclass
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from typing import List, Optional, Tuple
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from malkhut.state import OrderBookState, PriceLevel
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@dataclass(frozen=True, slots=True)
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class BookFidelityConfig:
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"""Configuration for OBF → OrderBookState mapping."""
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n_levels: int = 10 # how many price levels per side
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aggregation_window_ms: int = 100 # OBF rows within this window → one snapshot
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min_depth_usd: float = 100.0 # minimum depth per level
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def synthesize_book_from_params(
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symbol: str,
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mid_price: float,
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spread_bps: float,
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depth_amplitude_usd: float,
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depth_alpha: float,
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n_levels: int = 10,
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) -> OrderBookState:
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"""Synthesize an OrderBookState from asset behavior parameters.
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Uses the power-law depth decay model:
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D(d) = amplitude * d^(1-alpha)
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This is the bridge between OBF's raw stream and MALKHUT's finite representation.
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"""
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half_spread = mid_price * spread_bps / 10000 / 2
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bids = []
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asks = []
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for level in range(n_levels):
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dist_bps = (level + 1) * 1.0 # distance from mid in bps
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depth_usd = depth_amplitude_usd * (dist_bps ** (1 - depth_alpha))
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depth_qty = depth_usd / max(mid_price, 1e-12)
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bid_price = mid_price - half_spread - (level * mid_price * 0.0001)
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ask_price = mid_price + half_spread + (level * mid_price * 0.0001)
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bids.append(PriceLevel(price=bid_price, qty=depth_qty))
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asks.append(PriceLevel(price=ask_price, qty=depth_qty))
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return OrderBookState(
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ts_ns=0,
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symbol=symbol,
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bids=tuple(bids),
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asks=tuple(asks),
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)
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98
MALKHUT/malkhut/training/manifold_query.py
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98
MALKHUT/malkhut/training/manifold_query.py
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@@ -0,0 +1,98 @@
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"""
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Manifold Query — cosine RETRIEVE → magnitude GATE → local MODEL.
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Uses the PerformanceMatrix manifold (item 5) + DAAT (item 9) + ActualsLoader (item 6)
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to recommend the best strategy for a live market state.
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Three phases:
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1. DAAT classifies: KNOWN / MARGINAL / OUT_OF_DISTRIBUTION
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2. If KNOWN: find nearest regime in manifold, get best strategy
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3. If OOD: return fall-back to doctrinal simple policy
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"""
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from __future__ import annotations
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from dataclasses import dataclass
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from typing import Optional
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from malkhut.daat.core import DaatQuery, DaatVerdict, daat_classify
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from malkhut.training.actuals_loader import ActualsSnapshot
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from malkhut.training.selector import PerformanceMatrix, MarketRegime
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@dataclass(frozen=True, slots=True)
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class ManifoldRecommendation:
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"""Output of manifold query — the best strategy recommendation."""
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strategy_id: str
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confidence: float # 0.0-1.0
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regime: str
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verdict: str # KNOWN / MARGINAL / OUT_OF_DISTRIBUTION
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reason: str
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# Simple mapping from actuals features to regime (for now)
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_REGIME_MAP = {
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"normal": MarketRegime.NORMAL,
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"crisis": MarketRegime.HIGH_VOLATILITY,
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"recovery": MarketRegime.MEAN_REVERTING,
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"transition": MarketRegime.TRENDING_UP,
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}
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def manifold_query(
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actuals: ActualsSnapshot,
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matrix: PerformanceMatrix,
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explored_states: list = None,
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explored_magnitudes: list = None,
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) -> ManifoldRecommendation:
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"""Query the performance manifold for the best strategy given live actuals.
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Three-phase:
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1. DAAT classify the live state
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2. If KNOWN/MARGINAL: find nearest regime in manifold
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3. If OUT_OF_DISTRIBUTION: return doctrinal fallback
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"""
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# Phase 1: DAAT classify
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query = DaatQuery(
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spread_bps=actuals.spread_bps,
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depth_usd=actuals.depth_usd,
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imbalance=actuals.imbalance,
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funding_bps=actuals.funding_bps,
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volatility=actuals.volatility,
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regime_score=0.0, # normalized from actuals.regime
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latency_ms=actuals.latency_ms,
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inventory_pct=0.0,
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)
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if explored_states is None:
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explored_states = [query] # self-referential: "we've seen this exact state"
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if explored_magnitudes is None:
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explored_magnitudes = [sum(abs(x) for x in [
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query.spread_bps, query.depth_usd, query.imbalance,
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query.funding_bps, query.volatility, query.regime_score,
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query.latency_ms, query.inventory_pct,
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])]
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daat_result = daat_classify(query, explored_states, explored_magnitudes)
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# Phase 2: If KNOWN or MARGINAL, find best strategy in manifold
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if daat_result.verdict in (DaatVerdict.KNOWN, DaatVerdict.MARGINAL):
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regime_str = actuals.regime if actuals.regime in _REGIME_MAP else "normal"
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regime = _REGIME_MAP.get(regime_str, MarketRegime.NORMAL)
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best = matrix.get_best(regime)
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if best:
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return ManifoldRecommendation(
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strategy_id=best,
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confidence=daat_result.confidence * 0.8,
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regime=regime_str,
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verdict=daat_result.verdict.value,
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reason=f"nearest regime: {regime_str}, cosine={daat_result.cosine_sim:.4f}",
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)
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# Phase 3: OOD → fall back to doctrinal
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return ManifoldRecommendation(
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strategy_id="doctrinal_simple",
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confidence=0.0,
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regime="unknown",
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verdict=daat_result.verdict.value,
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reason=f"OOD: cosine={daat_result.cosine_sim:.4f}, mag_ratio={daat_result.magnitude_ratio:.4f}",
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)
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@@ -147,7 +147,13 @@ class RegimeClassifier:
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@dataclass
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class RegimeStrategyScore:
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"""Performance score for a strategy in a specific regime."""
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"""Performance score for a strategy in a specific regime.
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Manifold fields (for Mode 2 recommendation):
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confidence: 0.0-1.0, how reliable is this score
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support_count: how many evaluations produced this score
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distance_to_nearest: distance to nearest other evaluated point
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"""
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strategy_id: str
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regime: MarketRegime
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score: float
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@@ -156,6 +162,9 @@ class RegimeStrategyScore:
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avg_drawdown_bps: float
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avg_adverse_fill_ratio: float
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last_updated_ns: int
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confidence: float = 1.0
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support_count: int = 1
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distance_to_nearest: float = 0.0
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class PerformanceMatrix:
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@@ -208,6 +217,9 @@ class PerformanceMatrix:
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avg_drawdown_bps=new_dd,
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avg_adverse_fill_ratio=new_adverse,
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last_updated_ns=time.time_ns(),
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confidence=min(1.0, new_episodes / 10.0), # confidence grows with evidence
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support_count=new_episodes,
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distance_to_nearest=0.0, # computed lazily on query
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)
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self._strategy_regime_history[strategy_id].append(regime)
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