malkhut: conditional slippage (Fable)

2026-07-15 17:05:16 +02:00
parent 619966605e
commit c03d914e7a
3 changed files with 41 additions and 4 deletions
--- a/MALKHUT/malkhut/state.py
+++ b/MALKHUT/malkhut/state.py
@@ -283,6 +283,9 @@ class FillQuality:
    # How close to mid did we fill? (for aggressive: positive = slipped)
    slippage_bps: float = 0.0

+    # Expected slippage from book depth model (conditional on actual book state)
+    expected_slippage_bps: float = 0.0
+
    # For passive fills: how much better than best bid/ask? (positive = improvement)
    price_improvement_bps: float = 0.0