malkhut: Flight9 learnings — markout=quality, queue×flow, depth-for-size

Fable's Flight9/BLUE generalizable features incorporated:

1. Slippage model gains trade_flow_intensity parameter:
   - Estimated from book imbalance (proxy for trade arrivals)
   - More flow → better fills (lower slippage)
   - Fable: 'fill = queue position × trade-flow intensity'

2. Markout = quality concept documented:
   - Score fills by post-fill markout, not just fill/no-fill
   - Maker fills are adversely selected

3. Depth-for-size documented:
   - Spread lies; key on depth-within-K-bps vs order notional

4. Measured fees:
   - BingX maker=2.00bp, taker=5.016bp (over 1,455 fills)
   - BingX commission = NEGATIVE (debit)

5. OB study updated with Flight9 learnings

MALKHUT/malkhut/cwm/hft_cwm.py

@@ -503,12 +503,19 @@ class HftBacktestCWM:
                 if cumulative_usd >= new_fill_price * new_fill_qty:
                     break
             if cumulative_levels > 0:
-                # Calibrated slippage: per-asset model from VST data
+                # Calibrated slippage: per-asset model with flow intensity (Fable Flight9)
                 from malkhut.training.slippage_calibration import expected_slippage_bps as _esb
                 total_book_usd = sum(l.price * l.qty for l in (book_depth or ()))
+                # Estimate flow intensity from book imbalance (proxy for trade arrivals)
+                bid_vol = sum(l.qty for l in (prev_book.bids or ()))
+                ask_vol = sum(l.qty for l in (prev_book.asks or ()))
+                total_vol = bid_vol + ask_vol
+                imbalance = abs(bid_vol - ask_vol) / max(total_vol, 1e-12)
+                flow_intensity = min(imbalance * 2.0, 1.0)  # high imbalance = more flow
                 expected_slippage_bps = _esb(
                     prev_state.venue.symbol, cumulative_levels,
                     new_fill_price * new_fill_qty, total_book_usd,
+                    trade_flow_intensity=flow_intensity,
                 )
 
         # Price improvement: how much better than best bid/ask?