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:
@@ -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
|
||||
|
||||
Reference in New Issue
Block a user