malkhut: urgency-driven maker/taker + calibrated slippage + chase + docs

MALKHUT/docs/HFTBACKTEST_CWM_INTEGRATION.md

@@ -394,3 +394,44 @@ reward = w_fill_probability * fill_value_score  ← PRIMARY
 PerformanceMatrix stores `avg_fill_rate`, `avg_slippage_bps`, `avg_price_improvement_bps`,
 `avg_fill_value_score` per (regime, strategy, venue) — enabling:
 "Which strategy achieves the best fill quality in regime X on venue Y?"
+
+## Urgency-Driven Maker/Taker Decision
+
+Two CMA-ES optimizable parameters control the maker/taker boundary:
+- `urgency_taker_threshold` (default 0.65): urgency level to switch from passive to aggressive
+- `urgency_taker_penalty_bps` (default 2.0): penalty for taker fills at low urgency
+
+Action menu generates three urgency bands:
+1. urgency < threshold×0.5: passive only (no CROSS_SPREAD actions)
+2. threshold×0.5 < urgency < threshold: IOC partial taker (small sizes)
+3. urgency > threshold: full taker (aggressive crossing)
+
+Reward function adds urgency penalty:
+```python
+if is_cross and urgency < threshold:
+    penalty = urgency_taker_penalty_bps * (1 - urgency / threshold)
+    fill_quality_reward -= penalty
+```
+
+The CMA-ES learns the optimal threshold per (asset, regime, venue).
+
+## Calibrated Slippage
+
+SlippageCalibration uses Flight7 VST + mainnet anchors:
+- **Deep book** (BTC/ETH): `alpha * levels + beta * depth_ratio` (walks book)
+- **Thin book** (alts): `intercept + adverse_selection` (fills entire book in 1-2 levels)
+
+Switch: `book_depth_usd < thin_book_threshold_usd → thin mode`
+
+Per-asset configurable, per-run overridable via `SlippageRegistry.override()`.
+
+## Chase Mechanics
+
+CHASE in DSL: cancel → wait_to_retry_ms → retry at new offset.
+Parameters in FulfilmentPolicyParams:
+- `wait_to_retry_ms` (0-2000): delay before re-quoting
+- `chase_enabled`: enable chase-follow behavior
+- `chase_offset_ticks` (0-10): ticks from target price to chase
+- `chase_max_retries` (0-5): max cancel-retry cycles
+
+All three parameters are in the CMA-ES optimization cycle.