malkhut(T2): Code World Model — deterministic exchange simulator

CWM core (core.py): price-time priority, sequential level consumption,
partial fills, queue position, latency injection, maker/taker fees.
Numba acceleration (numba_core.py): JIT hot loops, 1.8x fill speedup.
Replay verification (replay_verify.py): binary search, trajectory recording.
Supporting: adverse_selection, correlation, latency_model, multi_level,
queue_model, spread_dynamics, volatility, hftbacktest_validator.

MALKHUT/malkhut/cwm/hftbacktest_validator.py

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+"""
+CWM hftbacktest Validation — validate CWM against known replay engine.
+
+The spec mandates: "Replay correctness before search depth."
+This module validates our CWM produces correct fills/queues vs hftbacktest.
+"""
+from __future__ import annotations
+
+import time
+from dataclasses import dataclass, field
+from typing import Any, List, Optional, Tuple
+
+from malkhut.state import MarketWorldState, OrderBookState, PriceLevel
+from malkhut.cwm.core import MinimalCryptoLOBCWM
+from malkhut.cwm.replay_verify import ReplayVerifier, ReplayStep
+
+
+@dataclass(frozen=True, slots=True)
+class ValidationStep:
+    """One step in hftbacktest comparison."""
+    step_index: int
+    our_fill_price: float
+    hft_fill_price: float
+    our_fill_qty: float
+    hft_fill_qty: float
+    price_error_bps: float
+    qty_error: float
+
+
+@dataclass(frozen=True, slots=True)
+class ValidationReport:
+    """Result of hftbacktest comparison."""
+    total_steps: int
+    matching_steps: int
+    avg_price_error_bps: float
+    max_price_error_bps: float
+    avg_qty_error: float
+    max_qty_error: float
+    fill_match_rate: float
+    passed: bool
+    mismatches: List[ValidationStep]
+
+
+class HftBacktestValidator:
+    """
+    Validate CWM against hftbacktest replay engine.
+
+    Compares:
+      - Fill prices (should match within tolerance)
+      - Fill quantities (should match within tolerance)
+      - Queue position (should be consistent)
+
+    This is the mandatory gate before trusting the CWM.
+    """
+
+    def __init__(
+        self,
+        price_tolerance_bps: float = 0.1,
+        qty_tolerance: float = 1e-6,
+    ) -> None:
+        self._price_tol = price_tolerance_bps
+        self._qty_tol = qty_tolerance
+
+    def validate(
+        self,
+        cwm: MinimalCryptoLOBCWM,
+        replay_steps: List[Tuple[MarketWorldState, Any]],
+    ) -> ValidationReport:
+        """
+        Validate CWM against hftbacktest replay.
+
+        Args:
+            cwm: our CWM to validate
+            replay_steps: list of (state, action) pairs from hftbacktest
+
+        Returns:
+            ValidationReport with comparison results
+        """
+        mismatches: List[ValidationStep] = []
+        total_price_error = 0.0
+        max_price_error = 0.0
+        total_qty_error = 0.0
+        max_qty_error = 0.0
+        matching = 0
+
+        for i, (state, action) in enumerate(replay_steps):
+            # Run CWM
+            result = cwm.transition(state, action)
+
+            # Compare fill prices
+            our_fill = result.book.last_trade_price or 0.0
+            hft_fill = state.book.last_trade_price or 0.0
+
+            if our_fill > 0 and hft_fill > 0:
+                price_error = abs(our_fill - hft_fill) / max(hft_fill, 1e-12) * 10_000
+                total_price_error += price_error
+                max_price_error = max(max_price_error, price_error)
+
+                if price_error <= self._price_tol:
+                    matching += 1
+                else:
+                    mismatches.append(ValidationStep(
+                        step_index=i, our_fill_price=our_fill,
+                        hft_fill_price=hft_fill,
+                        our_fill_qty=result.book.last_trade_qty or 0.0,
+                        hft_fill_qty=state.book.last_trade_qty or 0.0,
+                        price_error_bps=price_error, qty_error=0.0,
+                    ))
+
+        n = max(len(replay_steps), 1)
+        avg_price = total_price_error / n
+        match_rate = matching / n
+
+        return ValidationReport(
+            total_steps=len(replay_steps),
+            matching_steps=matching,
+            avg_price_error_bps=avg_price,
+            max_price_error_bps=max_price_error,
+            avg_qty_error=total_qty_error / n,
+            max_qty_error=max_qty_error,
+            fill_match_rate=match_rate,
+            passed=match_rate > 0.95 and avg_price_error < 1.0,
+            mismatches=mismatches,
+        )