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

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2026-07-17 10:16:55 +02:00
parent 5c4ccdb1de
commit 8857daedfa
9 changed files with 335 additions and 145 deletions
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39
MALKHUT/malkhut/planner/action_menu.py
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@@ -23,6 +23,10 @@ from malkhut.state import (
from malkhut.actions import FulfilmentAction
CHASE_MIN_OFFSET = 0 # minimum offset ticks for chase
CHASE_MAX_OFFSET = 5 # maximum offset ticks for chase
def _side_for_intent(intent_kind: IntentKind) -> Side:
if intent_kind in (IntentKind.ENTER_LONG, IntentKind.ADD_LONG, IntentKind.REDUCE_SHORT, IntentKind.EXIT_SHORT):
return Side.BUY
@@ -107,8 +111,11 @@ def build_our_actions(
post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
))
# Aggressive crossing if urgency allows
if intent.urgency > 0.65:
# Aggressive crossing — urgency-driven maker/taker decision
# Below threshold: passive only (maker). Above: aggressive (taker).
# The system learns the cheapest/fastest path as a function of urgency.
if intent.urgency > params.urgency_taker_threshold:
# High urgency: aggressive taker fills
for frac in (0.05, 0.10, 0.25):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
@@ -116,7 +123,20 @@ def build_our_actions(
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker"},
))
elif intent.urgency > params.urgency_taker_threshold * 0.5:
# Medium urgency: aggressive but with IOC (partial fill OK)
for frac in (0.03, 0.06):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.LIMIT, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_partial"},
))
# Low urgency: passive only (maker) — no taker actions added
# Path-risk exits
if _path_risk_says_exit(state, params):
@@ -127,4 +147,19 @@ def build_our_actions(
metadata={"reason": "path_risk_exit"},
))
# Chase actions (cancel → wait → retry with configurable wait_to_retry_ms)
if params.chase_enabled and params.wait_to_retry_ms > 0:
chase_ttl = params.wait_to_retry_ms
for offset in range(CHASE_MIN_OFFSET, min(CHASE_MAX_OFFSET + 1, params.chase_offset_ticks + 1)):
for frac in params.quote_size_fractions:
actions.append(FulfilmentAction(
kind=ActionKind.PLACE, side=side,
order_type=OrderType.LIMIT,
price_ticks_from_best=offset, qty_fraction=frac,
ttl_ms=chase_ttl,
post_only=True,
metadata={"chase": True, "chase_offset": offset,
"chase_max_retries": params.chase_max_retries},
))
return tuple(actions)