malkhut: fee+slippage execution threshold

MALKHUT/malkhut/planner/action_menu.py

@@ -120,21 +120,27 @@ def build_our_actions(
                 post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
             ))
 
-    # Aggressive crossing — urgency-driven maker/taker decision
+    # Aggressive crossing — urgency + fee+slippage threshold driven maker/taker decision
-    # Below threshold: passive only (maker). Above: aggressive (taker).
+    # The system learns: if (fee + slippage) < threshold → execute (pay the friction)
-    # The system learns the cheapest/fastest path as a function of urgency.
+    # 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
+        # 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"},
+                    metadata={"urgency": intent.urgency, "mode": "taker_market",
+                              "friction_bps": estimated_friction},
                 ))
-    elif intent.urgency > params.urgency_taker_threshold * 0.5:
+        else:
-        # Medium urgency: LIMIT + IOC (partial fill OK)
+            # 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,
@@ -142,7 +148,21 @@ def build_our_actions(
                     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"},
+                    metadata={"urgency": intent.urgency, "mode": "taker_ioc",
+                              "friction_bps": estimated_friction},
+                ))
+    elif intent.urgency > params.urgency_taker_threshold * 0.5:
+        # 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
 

MALKHUT/malkhut/state.py

@@ -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

MALKHUT/malkhut/tests/test_hft_cwm.py

@@ -107,6 +107,7 @@ def _params() -> FulfilmentPolicyParams:
         low_liquidity_weight=2.0, latency_stress_weight=1.0,
         wait_to_retry_ms=0, chase_enabled=False, chase_offset_ticks=1, chase_max_retries=0,
         urgency_taker_threshold=0.65, urgency_taker_penalty_bps=2.0,
+        execution_friction_threshold_bps=3.0,
     )
 
 def _place(side: Side = Side.BUY, price_ticks: int = 0, qty: float = 0.10,

MALKHUT/malkhut/training/cma_trainer.py

@@ -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),
         )