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

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