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:
Codex
2026-07-14 14:46:44 +02:00
parent a21f64e066
commit d24d9bc6bd
21 changed files with 346 additions and 199 deletions

View File

@@ -103,7 +103,7 @@ class TestExchangeMechanics:
cwm = MinimalCryptoLOBCWM()
state = _default_state()
action = FulfilmentAction(
ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.10, 200,
ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 0, 0.10, 200,
post_only=True,
)
result = cwm.transition(state, (action,))
@@ -113,7 +113,7 @@ class TestExchangeMechanics:
from malkhut.state import OpenOrderState
oo = OpenOrderState(
client_order_id="test_123", venue_order_id="v_123",
symbol="BTCUSDT", side=Side.BUY, order_type=OrderType.POST_ONLY,
symbol="BTCUSDT", side=Side.BUY, order_type=OrderType.LIMIT,
price=50000.0, qty=0.001, remaining_qty=0.001,
queue_ahead_estimate=0.001, created_ts_ns=1_000_000_000,
last_update_ts_ns=1_000_000_000, post_only=True,
@@ -136,7 +136,7 @@ class TestExchangeMechanics:
state = _default_state()
# Post-only buy at best_ask should be rejected
action = FulfilmentAction(
ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, -1, 0.10, 200,
ActionKind.PLACE, Side.BUY, OrderType.LIMIT, -1, 0.10, 200,
post_only=True,
)
result = cwm.transition(state, (action,))
@@ -148,7 +148,7 @@ class TestPriceMaterialization:
def test_cross_spread_buy_returns_best_ask(self):
state = _default_state()
action = FulfilmentAction(
ActionKind.CROSS_SPREAD, Side.BUY, OrderType.IOC, 0, 0.10, 50,
ActionKind.CROSS_SPREAD, Side.BUY, OrderType.LIMIT, 0, 0.10, 50,
)
price = materialize_price_from_action(state, action)
assert price == 50001.0
@@ -156,7 +156,7 @@ class TestPriceMaterialization:
def test_cross_spread_sell_returns_best_bid(self):
state = _default_state()
action = FulfilmentAction(
ActionKind.CROSS_SPREAD, Side.SELL, OrderType.IOC, 0, 0.10, 50,
ActionKind.CROSS_SPREAD, Side.SELL, OrderType.LIMIT, 0, 0.10, 50,
)
price = materialize_price_from_action(state, action)
assert price == 50000.0
@@ -164,7 +164,7 @@ class TestPriceMaterialization:
def test_buy_offset_0_returns_best_bid(self):
state = _default_state()
action = FulfilmentAction(
ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, 0, 0.10, 200,
ActionKind.PLACE, Side.BUY, OrderType.LIMIT, 0, 0.10, 200,
)
price = materialize_price_from_action(state, action)
assert price == 50000.0