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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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2
MALKHUT/malkhut/training/cma_trainer.py
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@@ -95,6 +95,7 @@ class CMAParameterCodec:
ParamSpec("chase_max_retries", "int", 0, 5),
ParamSpec("urgency_taker_threshold", "float", 0.1, 0.9),
ParamSpec("urgency_taker_penalty_bps", "float", 0.0, 10.0),
ParamSpec("execution_friction_threshold_bps", "float", 0.5, 10.0),
)
def initial_vector(self, baseline: FulfilmentPolicyParams) -> list[float]:
@@ -157,6 +158,7 @@ class CMAParameterCodec:
chase_max_retries=vals.get("chase_max_retries", 0),
urgency_taker_threshold=vals.get("urgency_taker_threshold", 0.65),
urgency_taker_penalty_bps=vals.get("urgency_taker_penalty_bps", 2.0),
execution_friction_threshold_bps=vals.get("execution_friction_threshold_bps", 3.0),
)