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:
@@ -90,7 +90,7 @@ def build_our_actions(
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for offset in params.quote_offsets_ticks:
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actions.append(FulfilmentAction(
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kind=ActionKind.CANCEL_REPLACE, side=side,
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order_type=OrderType.POST_ONLY if intent.prefer_maker else OrderType.LIMIT,
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order_type=OrderType.LIMIT,
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price_ticks_from_best=offset, qty_fraction=0.25,
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ttl_ms=params.passive_ttl_ms, cancel_order_id=oo.client_order_id,
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post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
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@@ -101,7 +101,7 @@ def build_our_actions(
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for frac in params.quote_size_fractions:
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actions.append(FulfilmentAction(
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kind=ActionKind.PLACE, side=side,
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order_type=OrderType.POST_ONLY if intent.prefer_maker else OrderType.LIMIT,
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order_type=OrderType.LIMIT,
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price_ticks_from_best=offset, qty_fraction=frac,
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ttl_ms=params.passive_ttl_ms,
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post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
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@@ -112,8 +112,9 @@ def build_our_actions(
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for frac in (0.05, 0.10, 0.25):
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actions.append(FulfilmentAction(
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kind=ActionKind.CROSS_SPREAD, side=side,
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order_type=OrderType.IOC, price_ticks_from_best=0,
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order_type=OrderType.LIMIT, price_ticks_from_best=0,
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qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
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time_in_force="IOC",
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reduce_only=intent.reduce_only,
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))
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