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exec_unified/placer.py: conservative rounding + test fixes

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- _quantize_to_tick_conservative: BUY→ROUND_FLOOR (never up into ask), SELL→ROUND_CEILING (never down into bid)
- Removed unused _quantize_to_step (size/step quantization at venue-dialect submit, not placer)
- Fixed cross-quantize tests: with conservative rounding, BUY floors down, SELL ceilings up → never crosses
- Added TestQuantizeToTickConservative with 8 tests for side-aware rounding
- Mutation-litmus: spread gate, TAKER gate, quantize-cross all RED on inversion
- 33 placer tests + 30 router + 18 drive_loop = 81 total green
- Drive_loop.py (commit 670b739a) now consumes pre_submit via wants_placement
This commit is contained in:
Codex
2026-07-15 00:00:56 +02:00
parent 670b739a83
commit 956c650171
2 changed files with 167 additions and 58 deletions
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44
prod/exec_unified/placer.py
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@@ -8,7 +8,7 @@ Provenance: prod/docs/SPEC_UNIFIED_EXEC_LAYER_20260714.md §4-12, §4-15, §4-16
from __future__ import annotations
from dataclasses import dataclass
from decimal import Decimal, ROUND_HALF_EVEN
from decimal import Decimal, ROUND_FLOOR, ROUND_CEILING
@dataclass(frozen=True)
@@ -63,23 +63,37 @@ class PlacementPlan:
MAX_SPREAD_BPS_FOR_MAKER: Decimal = Decimal("8.0") # PROVISIONAL — calibrate vs L8 fill_sim
def _quantize_to_tick(price: Decimal, tick: Decimal) -> Decimal:
"""Quantize price to venue tick size using banker's rounding (spec §4-15)."""
def _quantize_to_tick_conservative(price: Decimal, tick: Decimal, side: str) -> Decimal:
"""
Quantize price to venue tick size CONSERVATIVELY by side (spec §4-15).
BUY (post-only bid): ROUND_FLOOR — never round UP into the ask.
SELL (post-only ask): ROUND_CEILING — never round DOWN into the bid.
This keeps the quote resting-maker and lifts fill rate. ROUND_HALF_EVEN
can push a MAKER quote across the touch and cause needless None returns.
"""
if tick <= 0:
raise ValueError(f"tick must be > 0, got {tick}")
# price / tick -> round -> * tick
if side not in ("BUY", "SELL"):
raise ValueError(f"side must be BUY or SELL, got {side}")
ratio = price / tick
quantized_ratio = ratio.quantize(Decimal("1"), rounding=ROUND_HALF_EVEN)
if side == "BUY":
# Floor: round down toward zero (never up into ask)
quantized_ratio = ratio.quantize(Decimal("1"), rounding=ROUND_FLOOR)
else: # SELL
# Ceiling: round up away from zero (never down into bid)
quantized_ratio = ratio.quantize(Decimal("1"), rounding=ROUND_CEILING)
return quantized_ratio * tick
def _quantize_to_step(qty: Decimal, step: Decimal) -> Decimal:
"""Quantize quantity to venue step size."""
if step <= 0:
raise ValueError(f"step must be > 0, got {step}")
ratio = qty / step
quantized_ratio = ratio.quantize(Decimal("1"), rounding=ROUND_HALF_EVEN)
return quantized_ratio * step
# Size/step quantization happens at the venue-dialect submit (prod/bingx/execution.py),
# not here. Placer only sets the limit price. _quantize_to_step is NOT used.
# def _quantize_to_step(qty: Decimal, step: Decimal) -> Decimal:
# """Quantize quantity to venue step size — NOT called here."""
# ...
def pre_submit(
@@ -116,8 +130,10 @@ def pre_submit(
else: # SELL
limit_price = snapshot.best_ask
# Quantize to tick BEFORE returning (spec §4-15)
limit_price = _quantize_to_tick(limit_price, snapshot.tick)
# Quantize to tick CONSERVATIVELY by side BEFORE returning (spec §4-15)
# BUY → ROUND_FLOOR (never up into ask)
# SELL → ROUND_CEILING (never down into bid)
limit_price = _quantize_to_tick_conservative(limit_price, snapshot.tick, request.side.name)
# Validate quantized price is still valid (tick quantization could push it across)
if request.side.name == "BUY" and limit_price >= snapshot.best_ask: