malkhut(T1): scaffold — frozen state model, actions, features, engine

T1 scaffold: 42 frozen dataclasses (state.py), action model + PlannedPolicy +
RiskDecision (actions.py), 17-feature extraction (features.py),
FulfilmentEngine hot-path orchestrator (engine.py).

MALKHUT/malkhut/features.py

@@ -0,0 +1,54 @@
+"""
+Feature extraction for planner and reward functions.
+
+Rule: every human-obvious feature is allowed, but the CMA-ES optimiser
+must be allowed to discover non-obvious interactions (queue churn, time
+since MFE, recovery velocity, cross-venue lead, etc.).
+"""
+from __future__ import annotations
+
+import math
+from dataclasses import dataclass
+from typing import Mapping, Protocol
+
+from malkhut.state import MarketWorldState
+
+
+@dataclass(frozen=True, slots=True)
+class FeatureVector:
+    values: Mapping[str, float]
+
+
+class FeatureExtractor(Protocol):
+    def extract(self, state: MarketWorldState) -> FeatureVector: ...
+
+
+class DefaultFeatureExtractor:
+    def extract(self, state: MarketWorldState) -> FeatureVector:
+        b = state.book
+        bid_qty = sum(x.qty for x in b.bids[:5])
+        ask_qty = sum(x.qty for x in b.asks[:5])
+        imbalance = (bid_qty - ask_qty) / max(bid_qty + ask_qty, 1e-12)
+
+        path = state.trade_path
+
+        values = {
+            "mid": b.mid if b.bids and b.asks else 0.0,
+            "spread_bps": b.spread_bps if b.bids and b.asks else 0.0,
+            "top5_imbalance": imbalance,
+            "funding_bps": state.funding_bps or 0.0,
+            "volatility_state": state.volatility_state or 0.0,
+            "pnl_bps": path.pnl_bps if path else 0.0,
+            "mae_bps": path.mae_bps if path else 0.0,
+            "mfe_bps": path.mfe_bps if path else 0.0,
+            "distance_from_mfe_bps": path.distance_from_mfe_bps if path else 0.0,
+            "seconds_held": path.seconds_held if path else 0.0,
+            "time_in_loss_s": path.time_in_loss_s if path else 0.0,
+            "time_since_deep_mae_s": path.time_since_deep_mae_s if path else 0.0,
+            "recovery_velocity_bps_per_s": path.recovery_velocity_bps_per_s if path else 0.0,
+            "adverse_velocity_bps_per_s": path.adverse_velocity_bps_per_s if path else 0.0,
+            "orderflow_toxicity": path.orderflow_toxicity if path else 0.0,
+            "queue_churn_score": path.queue_churn_score if path else 0.0,
+            "cross_venue_lead_score": path.cross_venue_lead_score if path else 0.0,
+        }
+        return FeatureVector(values=values)