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malkhut: fee+slippage execution threshold

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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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MALKHUT/malkhut/state.py
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@@ -397,3 +397,7 @@ class FulfilmentPolicyParams:
# Urgency-driven maker/taker decision (CMA-ES optimizable)
urgency_taker_threshold: float = 0.65 # above this urgency, prefer taker
urgency_taker_penalty_bps: float = 2.0 # penalty for taker at low urgency
# Fee+slippage execution threshold (movable, CMA-ES optimizable)
# If (fee + slippage) < threshold → system tends to EXECUTE (pay the friction)
execution_friction_threshold_bps: float = 3.0 # per leg, test 2-3 bps