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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@@ -105,7 +105,7 @@ class TestCWMProperties:
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account=AccountState(ts_ns=1, equity=10000.0, wallet_balance=10000.0,
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available_balance=10000.0, margin_used=0.0, total_notional=0.0),
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)
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a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.POST_ONLY, offset, 0.1, 200)
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a = FulfilmentAction(ActionKind.PLACE, Side.BUY, OrderType.LIMIT, offset, 0.1, 200)
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price = materialize_price_from_action(s, a)
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assert price is not None
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assert price <= book.best_bid # buy offset should be <= best bid
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