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
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@@ -392,3 +392,55 @@ The OB microstructure directly determines fill quality:
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The PerformanceMatrix tracks `avg_fill_value_score` per (regime, strategy, venue),
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enabling the system to learn: "In this regime, on this venue, this strategy
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achieves the best fill quality."
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## 14. Flight9/BLUE Fill Learnings (Fable, 2026-07-16)
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Real FLIGHT9/BLUE fill backfill — generalizable features, not hardcoded thresholds.
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### Markout = Quality
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Fill quality is measured by **post-fill markout** (price move N ticks after fill),
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not just fill/no-fill. A maker fill at a good quoted price can still be a bad fill
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if the market moves adversely after execution. The system scores fills by markout.
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**Generalizable:** score fills by post-fill markout. Model fill-CONDITIONAL-on-adverse-flow.
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### Fill = Queue × Flow Intensity
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Fill probability is driven by **trade-arrival intensity** (the tape), not the static book.
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A resting maker fills only when trades print through its level for enough volume to clear
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the queue ahead. The HftBacktestCWM queue model is the right substrate — it needs real
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trade-flow intensity as input.
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**On testnet:** maker fill-rate ~0% (no flow). This is an artifact, not a signal.
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### Depth-for-Size, Not Spread
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Spread alone LIES: an asset with 1.5bp spread behind ~$977 of depth is unfillable at any
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size. Generalizable: key fill viability on **depth-within-K-bps** relative to order
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notional, not spread.
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### Measured Fees (Venue-Parameterized)
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| Venue | Maker | Taker | Sign |
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|-------|-------|-------|------|
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| BingX | 2.00 bp | 5.016 bp | NEGATIVE = DEBIT |
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Generalize: parameterize fee + sign per venue from measurement, never assume.
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### Realized Friction (F9 VST Fills)
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- Taker: ~20-27 bp adverse on thin/mid books
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- Maker: saves ~3-4 bp WHEN it fills
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- Maker fill-rate: ~0% on VST (no flow — testnet artifact)
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### Counterfactual Maker Fill (Real Binance Book)
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- ~50% fill on liquid books (at-touch upper bound)
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- Queue + venue-thinness reduce it
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### Validation Methodology
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When validating against a crude fill sim, optimize on **RELATIVE lift** between two policies
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through the SAME sim — fidelity bias cancels in the difference. Trust the ordering of
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policies even when absolute fill rates are approximate.
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@@ -583,9 +583,15 @@ class MinimalCryptoLOBCWM:
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if cumulative_levels > 0:
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from malkhut.training.slippage_calibration import expected_slippage_bps as _esb
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total_book_usd = sum(l.price * l.qty for l in (book_depth or ()))
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bid_vol = sum(l.qty for l in (state.book.bids or ()))
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ask_vol = sum(l.qty for l in (state.book.asks or ()))
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total_vol = bid_vol + ask_vol
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imbalance = abs(bid_vol - ask_vol) / max(total_vol, 1e-12)
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flow_intensity = min(imbalance * 2.0, 1.0)
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expected_slippage_bps = _esb(
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state.venue.symbol, cumulative_levels,
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new_fill_price * new_fill_qty, total_book_usd,
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trade_flow_intensity=flow_intensity,
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)
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is_maker_fill = (our_action.order_type and our_action.order_type.value == "LIMIT") or our_action.post_only if isinstance(our_action, FulfilmentAction) else False
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price_improvement_bps = 0.0
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@@ -503,12 +503,19 @@ class HftBacktestCWM:
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if cumulative_usd >= new_fill_price * new_fill_qty:
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break
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if cumulative_levels > 0:
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# Calibrated slippage: per-asset model from VST data
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# Calibrated slippage: per-asset model with flow intensity (Fable Flight9)
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from malkhut.training.slippage_calibration import expected_slippage_bps as _esb
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total_book_usd = sum(l.price * l.qty for l in (book_depth or ()))
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# Estimate flow intensity from book imbalance (proxy for trade arrivals)
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bid_vol = sum(l.qty for l in (prev_book.bids or ()))
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ask_vol = sum(l.qty for l in (prev_book.asks or ()))
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total_vol = bid_vol + ask_vol
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imbalance = abs(bid_vol - ask_vol) / max(total_vol, 1e-12)
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flow_intensity = min(imbalance * 2.0, 1.0) # high imbalance = more flow
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expected_slippage_bps = _esb(
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prev_state.venue.symbol, cumulative_levels,
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new_fill_price * new_fill_qty, total_book_usd,
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trade_flow_intensity=flow_intensity,
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)
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# Price improvement: how much better than best bid/ask?
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@@ -64,8 +64,18 @@ class SlippageCalibration:
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order_usd: float = 0.0,
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book_depth_usd: float = 1.0,
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is_mainnet: bool = False,
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trade_flow_intensity: float = 0.0,
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) -> float:
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"""Predict slippage. Switches model based on book depth."""
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"""Predict slippage. Switches model based on book depth.
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Generalizable features (Fable, Flight9/BLUE):
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1. Fill = queue position × trade-flow intensity (not just book snapshot)
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2. Depth-for-size > spread (spread lies — unfillable behind $977)
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3. Markout = quality (post-fill adverse selection)
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"""
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# Flow intensity boost: more trade arrivals → higher fill probability
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flow_boost = 1.0 + trade_flow_intensity * 0.1
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if book_depth_usd < self.thin_book_threshold_usd:
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# THIN BOOK: intercept-dominant (alts, meme coins)
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# The fill walks the entire book in 1-2 levels.
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@@ -77,6 +87,9 @@ class SlippageCalibration:
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depth_ratio = order_usd / max(book_depth_usd, 1.0)
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base = self.alpha * levels_consumed + self.beta * depth_ratio
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# Adjust for flow intensity: more flow = better fills (lower slippage)
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base /= max(flow_boost, 0.5)
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if is_mainnet:
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base *= self.testnet_to_mainnet
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return base
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@@ -123,10 +136,11 @@ class SlippageRegistry:
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order_usd: float = 0.0,
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book_depth_usd: float = 1.0,
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is_mainnet: bool = False,
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trade_flow_intensity: float = 0.0,
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) -> float:
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"""Predict slippage using the appropriate model."""
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model = self.get(symbol)
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return model.expected_slippage_bps(levels_consumed, order_usd, book_depth_usd, is_mainnet)
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return model.expected_slippage_bps(levels_consumed, order_usd, book_depth_usd, is_mainnet, trade_flow_intensity)
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# ==============================================================================
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@@ -219,6 +233,7 @@ def expected_slippage_bps(
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order_usd: float = 0.0,
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book_depth_usd: float = 1.0,
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is_mainnet: bool = False,
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trade_flow_intensity: float = 0.0,
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) -> float:
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"""Predict slippage using Flight7-calibrated model."""
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return REGISTRY.expected_slippage_bps(symbol, levels_consumed, order_usd, book_depth_usd, is_mainnet)
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return REGISTRY.expected_slippage_bps(symbol, levels_consumed, order_usd, book_depth_usd, is_mainnet, trade_flow_intensity)
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