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malkhut(docs): updated all docs — fee model, markout, urgency threshold

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2026-07-18 19:14:34 +02:00
parent ebf7f17132
commit c868dbfb66
3 changed files with 29 additions and 5 deletions
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MALKHUT/docs/HFTBACKTEST_CWM_INTEGRATION.md
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@@ -387,10 +387,19 @@ The reward function weights fill quality via `w_fill_probability` (default 0.5):
```
reward = w_fill_probability * fill_value_score ← PRIMARY
+ w_expected_pnl * pnl ← secondary
+ w_fee_quality * fee_savings ← maker saves (taker-maker) bps
- w_fee_quality * taker_fee ← taker pays full fee
- w_fee_quality * markout_cost * 0.3 ← markout = honest execution cost
- w_adverse_selection * toxicity
...
```
**Fee model:** BingX has NO rebates. Maker=2.0bp (you pay), taker=5.0bp (you pay).
Fee savings = 3.0 bps. System learns: prefer maker when savings > fill probability cost.
**Markout = quality:** slippage_bps + post_fill_adverse_bps = honest execution cost.
System learns: pay the friction when urgency × (fee + slippage) < threshold.
PerformanceMatrix stores `avg_fill_rate`, `avg_slippage_bps`, `avg_price_improvement_bps`,
`avg_fill_value_score` per (regime, strategy, venue) — enabling:
"Which strategy achieves the best fill quality in regime X on venue Y?"