malkhut(wire): OrderType as three orthogonal dimensions — Fable's corrections
CRITICAL REFACTOR based on Fable's review (S9 roadmap item):
Before: flat enum conflating order types with TIF/instructions
OrderType had MARKET, LIMIT, IOC, FOK, POST_ONLY, REDUCE_ONLY, etc.
After: three orthogonal dimensions (FIX-aligned):
1. OrderType (Tag 40): what the order IS
LIMIT, MARKET, STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT,
TRAILING_STOP, OCO, TP_SL
2. TimeInForce (Tag 59): how long it LIVES
GTC, IOC, FOK, GTD
3. Instructions (Tag 18): behavioral modifiers
POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG
Key corrections:
- POST_ONLY is an instruction on a LIMIT order, not a standalone type
- IOC/FOK are TimeInForce values, not order types
- BingX trailing_stop -> native TRAILING_STOP_MARKET (not TRIGGER_MARKET)
- FulfilmentAction.time_in_force: new field, default GTC
Exchange mappings restructured:
EXCHANGE_ORDER_TYPE_MAP: OrderType -> exchange native 'type' param
EXCHANGE_TIF_MAP: TimeInForce -> exchange native 'timeInForce' param
EXCHANGE_INSTRUCTION_MAP: Instruction -> exchange encoding
21 files changed. 380+ tests pass. Backward compatible.
This commit is contained in:
@@ -11,6 +11,16 @@ from typing import Any, Mapping, Optional, Tuple
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from malkhut.state import ActionKind, AgentRole, OrderType, Side
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# Lazy import to avoid circular dependency (training -> actions -> training)
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_TimeInForce = None
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def _get_TimeInForce():
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global _TimeInForce
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if _TimeInForce is None:
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from malkhut.training.order_types import TimeInForce
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_TimeInForce = TimeInForce
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return _TimeInForce
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@dataclass(frozen=True, slots=True)
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class FulfilmentAction:
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@@ -24,8 +34,14 @@ class FulfilmentAction:
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cancel_order_id: Optional[str] = None
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reduce_only: bool = False
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post_only: bool = False
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time_in_force: str = "GTC"
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metadata: Mapping[str, Any] = field(default_factory=dict)
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@property
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def time_in_force_enum(self):
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TIF = _get_TimeInForce()
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return TIF(self.time_in_force)
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@dataclass(frozen=True, slots=True)
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class CounterpartyAction:
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