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.
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@@ -26,33 +26,23 @@ class Side(str, Enum):
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class OrderType(str, Enum):
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"""Standardized order types — FIX/CCXT-aligned, multi-exchange.
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Five-layer taxonomy (values are uppercase for backward compatibility):
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Layer 1: Base types (FIX Tag 40) — MARKET, LIMIT
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Layer 2: Time-in-force (FIX Tag 59) — GTC, IOC, FOK, GTD
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Layer 3: Conditional (FIX Tag 3/4+MIT) — STOP_MARKET, STOP_LIMIT, etc.
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Layer 4: Instructions (FIX Tag 18) — POST_ONLY, REDUCE_ONLY, etc.
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Layer 5: Compound (exchange-specific) — OCO, TP_SL
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THREE ORTHOGONAL DIMENSIONS (not one flat enum):
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1. Order Type (FIX Tag 40): what the order IS — this enum
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2. TimeInForce (FIX Tag 59): how long it LIVES — separate parameter
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3. Instructions (FIX Tag 18): behavioral modifiers — separate parameter
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CRITICAL: IOC, FOK, POST_ONLY are NOT order types.
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IOC/FOK = TimeInForce on a LIMIT order.
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POST_ONLY = ExecInst modifier on a LIMIT order.
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"""
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# Layer 1: Base types (FIX Tag 40)
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# Core order types (FIX Tag 40)
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MARKET = "MARKET"
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LIMIT = "LIMIT"
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# Layer 2: Time-in-force (FIX Tag 59)
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GTC = "GTC"
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IOC = "IOC"
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FOK = "FOK"
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GTD = "GTD"
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# Layer 3: Conditional (FIX Tag 3/4 + MIT)
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STOP_MARKET = "STOP_MARKET"
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STOP_LIMIT = "STOP_LIMIT"
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TRIGGER_MARKET = "TRIGGER_MARKET"
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TRIGGER_LIMIT = "TRIGGER_LIMIT"
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TRAILING_STOP = "TRAILING_STOP"
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# Layer 4: Instructions (FIX Tag 18)
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POST_ONLY = "POST_ONLY"
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REDUCE_ONLY = "REDUCE_ONLY"
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HIDDEN = "HIDDEN"
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ICEBERG = "ICEBERG"
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# Layer 5: Compound (exchange-specific)
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OCO = "OCO"
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TP_SL = "TP_SL"
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