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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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MALKHUT/malkhut/state.py
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@@ -386,3 +386,13 @@ class FulfilmentPolicyParams:
toxic_counterparty_weight: float
low_liquidity_weight: float
latency_stress_weight: float
# Chase mechanics (cancel → wait → retry)
wait_to_retry_ms: int = 0 # ms to wait before re-quoting after cancel
chase_enabled: bool = False # enable chase-follow behavior
chase_offset_ticks: int = 1 # ticks from target price to chase
chase_max_retries: int = 3 # max cancel-retry cycles
# Urgency-driven maker/taker decision (CMA-ES optimizable)
urgency_taker_threshold: float = 0.65 # above this urgency, prefer taker
urgency_taker_penalty_bps: float = 2.0 # penalty for taker at low urgency