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malkhut: fee+slippage execution threshold

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Codex
2026-07-18 17:44:20 +02:00
parent 5503aafa28
commit ebf7f17132
4 changed files with 49 additions and 22 deletions
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64
MALKHUT/malkhut/planner/action_menu.py
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@@ -120,30 +120,50 @@ def build_our_actions(
post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
))
# Aggressive crossing — urgency-driven maker/taker decision
# Below threshold: passive only (maker). Above: aggressive (taker).
# The system learns the cheapest/fastest path as a function of urgency.
# Aggressive crossing — urgency + fee+slippage threshold driven maker/taker decision
# The system learns: if (fee + slippage) < threshold → execute (pay the friction)
# Threshold is movable (CMA-ES optimizable), tested at 2-3 bps per leg.
estimated_fee_bps = state.venue.taker_fee_bps # what taker would pay
estimated_slippage_bps = 0.5 # rough estimate; calibrated model refines in CWM
estimated_friction = estimated_fee_bps + estimated_slippage_bps
if intent.urgency > params.urgency_taker_threshold:
# High urgency: MARKET for immediate fill
for frac in (0.05, 0.10, 0.25):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.MARKET, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_market"},
))
# High urgency: full taker if friction is acceptable
if estimated_friction <= params.execution_friction_threshold_bps or intent.urgency > 0.9:
for frac in (0.05, 0.10, 0.25):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.MARKET, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_market",
"friction_bps": estimated_friction},
))
else:
# Friction too high even at high urgency → IOC partial
for frac in (0.03, 0.06):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.LIMIT, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_ioc",
"friction_bps": estimated_friction},
))
elif intent.urgency > params.urgency_taker_threshold * 0.5:
# Medium urgency: LIMIT + IOC (partial fill OK)
for frac in (0.03, 0.06):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.LIMIT, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_ioc"},
))
# Medium urgency: IOC partial if friction is low
if estimated_friction <= params.execution_friction_threshold_bps * 1.5:
for frac in (0.03, 0.06):
actions.append(FulfilmentAction(
kind=ActionKind.CROSS_SPREAD, side=side,
order_type=OrderType.LIMIT, price_ticks_from_best=0,
qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
time_in_force="IOC",
reduce_only=intent.reduce_only,
metadata={"urgency": intent.urgency, "mode": "taker_ioc",
"friction_bps": estimated_friction},
))
# Low urgency: passive only (maker) — no taker actions added
# Path-risk exits