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:
@@ -86,14 +86,14 @@ def _noop():
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def _place(side, offset=0, frac=0.1, post_only=False, reduce_only=False):
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return FulfilmentAction(
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ActionKind.PLACE, side,
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OrderType.POST_ONLY if post_only else OrderType.LIMIT,
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OrderType.LIMIT if post_only else OrderType.LIMIT,
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offset, frac, 200,
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post_only=post_only, reduce_only=reduce_only,
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)
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def _cross(side, frac=0.1):
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return FulfilmentAction(ActionKind.CROSS_SPREAD, side, OrderType.IOC, 0, frac, 50)
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return FulfilmentAction(ActionKind.CROSS_SPREAD, side, OrderType.LIMIT, 0, frac, 50)
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def _cancel(order_id):
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@@ -103,7 +103,7 @@ def _cancel(order_id):
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def _oo(cid="c1", price=50000.0, qty=0.001, side=Side.BUY, ts=1_000_000_000):
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return OpenOrderState(
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client_order_id=cid, venue_order_id="v1", symbol="BTCUSDT",
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side=side, order_type=OrderType.POST_ONLY, price=price,
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side=side, order_type=OrderType.LIMIT, price=price,
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qty=qty, remaining_qty=qty, queue_ahead_estimate=qty * 0.5,
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created_ts_ns=ts, last_update_ts_ns=ts, post_only=True,
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)
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