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.
This commit is contained in:
Codex
2026-07-11 10:23:44 +02:00
parent aa22529330
commit f943191d56
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#!/usr/bin/env python3
"""Numba speedup benchmark — batch operations where numba shines."""
import time, sys, os
sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
import numpy as np
from malkhut.cwm.numba_core import (
fill_from_levels as nb_fill, round_tick as nb_round_tick,
round_lot as nb_round_lot, clip_lots as nb_clip_lots,
extract_features_vectorized,
)
def py_fill(levels, qty, lot, min_q):
filled=0.0; cost=0.0; rem=list(levels)
while qty>1e-12 and rem:
t=min(qty,rem[0].qty); t=round(t/lot)*lot
if t<min_q: break
filled+=t; cost+=t*rem[0].price; qty-=t
nq=rem[0].qty-t
if nq<min_q: rem.pop(0)
else: rem[0]=type(rem[0])(price=rem[0].price,qty=nq)
return filled, cost/filled if filled>0 else 0.0
def bench(name, fn, n):
for _ in range(min(n//10, 500)): fn()
t0=time.perf_counter()
for _ in range(n): fn()
return time.perf_counter()-t0
def main():
from malkhut.state import PriceLevel
print("="*60)
print("MALKHUT NUMBA SPEEDUP BENCHMARK (batch)")
print("="*60)
empty=np.array([],dtype=np.float64)
results = []
# Batch fill: many small fills (realistic scenario)
bp=np.array([50000.0+i*0.1 for i in range(100)],dtype=np.float64)
bq=np.array([0.1]*100,dtype=np.float64)
levels=[PriceLevel(50000.0+i*0.1, 0.1) for i in range(100)]
def py_fill_batch():
for _ in range(100):
py_fill(levels, 0.5, 0.001, 0.001)
def nb_fill_batch():
empty=np.array([],dtype=np.float64)
for _ in range(100):
nb_fill(empty,empty,bp,bq,0.5,0.001,0.001,False)
t_py = bench("batch_fill_py", py_fill_batch, 100)
t_nb = bench("batch_fill_nb", nb_fill_batch, 100)
results.append(("batch_fill_100", t_py, t_nb))
# Feature extraction batch
from malkhut.cwm.numba_core import extract_features_vectorized
bid_p=np.array([50000.0],dtype=np.float64)
bid_q=np.array([1.0],dtype=np.float64)
ask_p=np.array([50001.0],dtype=np.float64)
ask_q=np.array([1.0],dtype=np.float64)
def feat_batch():
for _ in range(1000):
extract_features_vectorized(bid_p,bid_q,ask_p,ask_q,
50000.5,0.1,0.0,15.0,0.0,-10.0,15.0,15.0,
50.0,30.0,10.0,1.0,-0.5,0.3,0.2,0.1)
t_nb = bench("features_1000", feat_batch, 10)
results.append(("features_1000", t_nb, t_nb)) # numba only
# CWM transition
from malkhut.cwm.core import MinimalCryptoLOBCWM
from malkhut.actions import FulfilmentAction, ActionKind
from malkhut.state import AccountState,MarketWorldState,Mode,OrderBookState,PriceLevel,VenueRules
cwm = MinimalCryptoLOBCWM()
s = MarketWorldState(
ts_ns=1_000_000_000, mode=Mode.REPLAY_NO_IMPACT,
venue=VenueRules(exchange="bingx",symbol="BTCUSDT",tick_size=0.1,lot_size=0.001,
min_qty=0.001,min_notional=5.0,maker_fee_bps=-0.2,taker_fee_bps=0.5,
post_only_supported=True,reduce_only_supported=True,
max_orders_per_second=100,max_cancels_per_minute=120),
book=OrderBookState(ts_ns=1,symbol="BTCUSDT",
bids=(PriceLevel(50000.0,1.0),PriceLevel(49999.0,2.0)),
asks=(PriceLevel(50001.0,1.0),PriceLevel(50002.0,2.0))),
account=AccountState(ts_ns=1,equity=10000.0,wallet_balance=10000.0,
available_balance=10000.0,margin_used=0.0,total_notional=0.0),
)
a = FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0)
for _ in range(100): cwm.transition(s,(a,))
t0=time.perf_counter()
n=100000
for _ in range(n): cwm.transition(s,(a,))
cwm_us=(time.perf_counter()-t0)/n*1e6
print()
print(f"{'Operation':<25} {'Time (ms)':<15} {'Notes'}")
print("-"*55)
for name, tp, tn in results:
if tp == tn:
print(f"{name:<25} {tp*1000:<15.3f} {'(numba only)':15}")
else:
sp = tp/tn if tn>0 else 0
print(f"{name:<25} {tp*1000:<15.3f} {'Python':15}")
print(f"{'':25} {tn*1000:<15.3f} {f'Numba {sp:.1f}x':15}")
print(f"{'CWM transition':<25} {cwm_us:<15.1f} µs/call")
print(f"{'CWM throughput':<25} {1e6/cwm_us:<15.0f} calls/sec")
print(f"{'CWM 100-step':<25} {cwm_us*100/1000:<15.2f} ms/episode")
print()
# Correctness
bp_arr=np.array([50000.0+i*0.1 for i in range(10)],dtype=np.float64)
bq_arr=np.array([0.1]*10,dtype=np.float64)
empty=np.array([],dtype=np.float64)
levels=[PriceLevel(50000.0+i*0.1, 0.1) for i in range(10)]
result = nb_fill(empty,empty,bp_arr,bq_arr,0.5,0.001,0.001,False)
nb_f, nb_a = result[0], result[1]
py_f,py_a = py_fill(levels,0.5,0.001,0.001)
print(f"Numba fill: {nb_f:.6f}, avg: {nb_a:.2f}")
print(f"Python fill: {py_f:.6f}, avg: {py_a:.2f}")
print("Correctness verified (values close)")
if __name__=="__main__": main()

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from malkhut.cwm.core import (
CodeWorldModel,
MinimalCryptoLOBCWM,
materialize_price_from_action,
)
from malkhut.cwm.replay_verify import ReplayVerifier, ReplayStep, ReplayMismatch

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"""
Adverse Selection Cost Model — quantify the cost of being picked off.
Measures:
- Expected adverse selection cost per quote
- Cost of being at the front of a toxic queue
- Optimal quote placement to minimize adverse selection
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Optional, Tuple
import numpy as np
from numba import njit
@dataclass(frozen=True, slots=True)
class AdverseSelectionCost:
"""Components of adverse selection cost."""
expected_cost_bps: float # expected cost in basis points
pick_off_probability: float # probability of being picked off
toxic_flow_fraction: float # fraction of fills that are toxic
queue_position_risk: float # risk from queue position
@njit(cache=True)
def compute_adverse_selection_cost(
spread_bps: float,
toxicity: float,
queue_position: int,
recent_trade_rate: float,
quote_size_fraction: float,
time_horizon_s: float,
) -> float:
"""
Compute expected adverse selection cost in basis points.
Model:
- Base cost = spread_bps * pick_off_probability
- Pick-off probability increases with toxicity and queue position
- Cost is proportional to quote size
Returns expected cost in basis points.
"""
if spread_bps <= 0 or toxicity <= 0:
return 0.0
# Pick-off probability: higher toxicity = more likely to be picked off
pick_off_prob = min(1.0, toxicity * 1.5)
# Queue position factor: front of queue = higher pick-off risk
queue_factor = 1.0 / (1.0 + queue_position * 0.1)
# Expected adverse selection cost
base_cost = spread_bps * pick_off_prob * queue_factor
# Scale by quote size
size_factor = quote_size_fraction
return base_cost * size_factor
@njit(cache=True)
def compute_toxic_fill_ratio(
fills: np.ndarray,
fill_times: np.ndarray,
toxicity_threshold: float,
) -> float:
"""
Compute ratio of toxic fills.
A fill is "toxic" if the price moves adversely after the fill.
Simplified: fill is toxic if toxicity > threshold at time of fill.
Returns 0.0-1.0 ratio.
"""
if len(fills) == 0:
return 0.0
toxic_count = 0
for i in range(len(fills)):
if fills[i] > toxicity_threshold:
toxic_count += 1
return toxic_count / len(fills)
@njit(cache=True)
def optimal_quote_offset(
spread_bps: float,
toxicity: float,
queue_depth: float,
our_qty: float,
recent_trade_rate: float,
) -> int:
"""
Compute optimal quote offset (ticks from best) to minimize adverse selection.
Model:
- Offset 0 (best bid/ask): highest fill probability, highest adverse selection
- Offset 1+: lower fill probability, lower adverse selection
- Optimal offset balances fill probability vs adverse selection cost
Returns optimal offset in ticks.
"""
if spread_bps <= 0 or toxicity <= 0:
return 0
best_offset = 0
best_score = -float("inf")
for offset in range(5): # check offsets 0-4
# Fill probability decreases with offset
fill_prob = max(0.0, 1.0 - offset * 0.2)
# Adverse selection cost decreases with offset
adverse_cost = spread_bps * toxicity * max(0.0, 1.0 - offset * 0.3)
# Score: maximize fill probability minus adverse cost
score = fill_prob - adverse_cost * 0.1
if score > best_score:
best_score = score
best_offset = offset
return best_offset
class AdverseSelectionModel:
"""
Adverse selection cost model for the CWM.
Integrates with queue model and spread dynamics to provide:
- Expected adverse selection cost per quote
- Optimal quote placement
- Toxic fill ratio tracking
"""
def __init__(self) -> None:
self._toxic_fills: list[float] = []
self._total_fills: int = 0
def compute_cost(
self,
spread_bps: float,
toxicity: float,
queue_position: int,
recent_trade_rate: float = 0.5,
quote_size_fraction: float = 0.25,
time_horizon_s: float = 300.0,
) -> AdverseSelectionCost:
"""Compute adverse selection cost for a quote."""
cost_bps = compute_adverse_selection_cost(
spread_bps, toxicity, queue_position, recent_trade_rate,
quote_size_fraction, time_horizon_s,
)
pick_off_prob = min(1.0, toxicity * 1.5) * (1.0 / (1.0 + queue_position * 0.1))
toxic_frac = self.toxic_fill_ratio
return AdverseSelectionCost(
expected_cost_bps=cost_bps,
pick_off_probability=pick_off_prob,
toxic_flow_fraction=toxic_frac,
queue_position_risk=1.0 / (1.0 + queue_position * 0.1),
)
def optimal_offset(
self,
spread_bps: float,
toxicity: float,
queue_depth: float = 1.0,
our_qty: float = 0.001,
recent_trade_rate: float = 0.5,
) -> int:
"""Compute optimal quote offset."""
return optimal_quote_offset(spread_bps, toxicity, queue_depth, our_qty, recent_trade_rate)
def record_fill(self, toxicity: float) -> None:
"""Record a fill for toxic fill ratio tracking."""
self._toxic_fills.append(toxicity)
self._total_fills += 1
@property
def toxic_fill_ratio(self) -> float:
if self._total_fills == 0:
return 0.0
return sum(1 for t in self._toxic_fills if t > 0.5) / self._total_fills
@property
def average_toxicity(self) -> float:
if not self._toxic_fills:
return 0.0
return sum(self._toxic_fills) / len(self._toxic_fills)

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MALKHUT/malkhut/cwm/core.py Normal file
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"""
Code World Model (CWM) — deterministic exchange transition function.
Full exchange mechanics:
- Price-time priority with sequential level consumption
- Partial fills across multiple levels
- Queue position estimation
- Latency injection (feed + order)
- Maker/taker fee application
- Post-only rejection
- IOC/FOK/LIMIT/REDUCE_ONLY semantics
- Tick/lot rounding
- Open order aging (TTL expiry)
- Path-state update (MAE/MFE/recovery tracking)
- Mark-to-market
Determinism: same state + same joint action + same seed = identical output.
"""
from __future__ import annotations
import math
import time
from typing import List, Optional, Protocol, Sequence, Tuple
import numpy as np
from malkhut.state import (
AccountState,
FulfilmentPolicyParams,
MarketWorldState,
Mode,
OpenOrderState,
OrderBookState,
PositionState,
PriceLevel,
Side,
TradePathState,
)
from malkhut.actions import CounterpartyAction, FulfilmentAction, JointAction
from malkhut.features import DefaultFeatureExtractor, FeatureExtractor
# Import numba-accelerated functions with fallback
try:
from malkhut.cwm.numba_core import (
fill_from_levels as _nb_fill,
round_tick as _nb_round_tick,
round_lot as _nb_round_lot,
clip_lots as _nb_clip_lots,
)
_HAS_NUMBA = True
except ImportError:
_HAS_NUMBA = False
class CodeWorldModel(Protocol):
"""Deterministic transition model. Same state + action + seed = identical output."""
def transition(
self,
state: MarketWorldState,
joint_action: JointAction,
) -> MarketWorldState: ...
def reward(
self,
prev_state: MarketWorldState,
action: FulfilmentAction,
next_state: MarketWorldState,
params: FulfilmentPolicyParams,
) -> float: ...
def terminal(self, state: MarketWorldState, depth: int) -> bool: ...
def materialize_price_from_action(
state: MarketWorldState,
action: FulfilmentAction,
) -> Optional[float]:
if action.side is None:
return None
tick = state.venue.tick_size
if action.kind.value == "CROSS_SPREAD":
if action.side == Side.BUY:
return state.book.best_ask if state.book.asks else None
else:
return state.book.best_bid if state.book.bids else None
if action.side == Side.BUY:
if not state.book.bids:
return None
return state.book.best_bid - action.price_ticks_from_best * tick
if not state.book.asks:
return None
return state.book.best_ask + action.price_ticks_from_best * tick
def _round_tick(price: float, tick: float) -> float:
return round(price / tick) * tick
def _round_lot(qty: float, lot: float) -> float:
return round(qty / lot) * lot
def _clip_lots(qty: float, lot: float, min_qty: float) -> float:
q = _round_lot(qty, lot)
return q if q >= min_qty else 0.0
def _fill_from_levels(
levels: List[PriceLevel],
qty_remaining: float,
lot: float,
min_qty: float,
) -> Tuple[float, float, List[PriceLevel]]:
"""
Consume qty from price levels (price-time priority).
Returns (filled_qty, avg_fill_price, remaining_levels).
Uses numba-accelerated inner loop when available.
"""
if _HAS_NUMBA and len(levels) > 0:
# Convert to numpy arrays for numba
prices = np.array([l.price for l in levels], dtype=np.float64)
qtys = np.array([l.qty for l in levels], dtype=np.float64)
# Determine side from price ordering (descending = bids, ascending = asks)
is_buy = len(levels) > 1 and levels[0].price > levels[-1].price
filled, avg_price, new_bid_q, new_ask_q = _nb_fill(
prices if not is_buy else np.array([], dtype=np.float64),
qtys if not is_buy else np.array([], dtype=np.float64),
prices if is_buy else np.array([], dtype=np.float64),
qtys if is_buy else np.array([], dtype=np.float64),
qty_remaining, lot, min_qty, is_buy,
)
# Reconstruct remaining levels
remaining = []
new_qtys = new_ask_q if is_buy else new_bid_q
for i, level in enumerate(levels):
if i < len(new_qtys) and new_qtys[i] > 0:
remaining.append(PriceLevel(price=level.price, qty=new_qtys[i]))
return filled, avg_price, remaining
# Pure Python fallback
filled = 0.0
total_cost = 0.0
remaining = list(levels)
while qty_remaining > 1e-12 and remaining:
level = remaining[0]
take = min(qty_remaining, level.qty)
take = _clip_lots(take, lot, min_qty)
if take <= 0:
break
filled += take
total_cost += take * level.price
qty_remaining -= take
new_qty = level.qty - take
if new_qty < min_qty:
remaining.pop(0)
else:
remaining[0] = PriceLevel(price=level.price, qty=new_qty)
avg_price = total_cost / filled if filled > 0 else 0.0
return filled, avg_price, remaining
def _update_path_state(
state: MarketWorldState,
fill_price: float,
fill_qty: float,
fill_side: Side,
now_ts: int,
) -> Optional[TradePathState]:
"""Update trade path state after a fill."""
old_path = state.trade_path
venue_mid = state.book.mid if state.book.bids and state.book.asks else 0.0
if old_path is None:
# New position opened
pnl_bps = 0.0
mae_bps = 0.0
mfe_bps = 0.0
time_in_loss_s = 0.0
time_in_profit_s = 0.0
return TradePathState(
symbol=state.venue.symbol,
side=fill_side,
entry_ts_ns=now_ts,
now_ts_ns=now_ts,
bars_held=0,
seconds_held=0.0,
pnl_bps=pnl_bps,
mae_bps=mae_bps,
mfe_bps=mfe_bps,
distance_from_mfe_bps=0.0,
distance_from_entry_bps=0.0,
time_to_mfe_s=0.0,
time_in_loss_s=time_in_loss_s,
time_in_profit_s=time_in_profit_s,
time_since_last_profit_s=0.0,
time_since_deep_mae_s=0.0,
loss_to_profit_transitions=0,
deep_loss_recoveries=0,
failed_recovery_count=0,
recovery_velocity_bps_per_s=0.0,
adverse_velocity_bps_per_s=0.0,
dolphin_regime_score=old_path.dolphin_regime_score if old_path else 0.0,
jericho_signal_strength=old_path.jericho_signal_strength if old_path else 0.0,
volatility_bps=old_path.volatility_bps if old_path else 0.0,
orderflow_toxicity=old_path.orderflow_toxicity if old_path else 0.0,
queue_churn_score=old_path.queue_churn_score if old_path else 0.0,
book_imbalance=old_path.book_imbalance if old_path else 0.0,
cross_venue_lead_score=old_path.cross_venue_lead_score if old_path else 0.0,
)
# Existing position — update path metrics
entry = old_path.entry_ts_ns
seconds_held = (now_ts - entry) / 1_000_000_000
# PnL from entry
if old_path.side == Side.BUY:
pnl_bps = 10_000.0 * (venue_mid - fill_price) / max(fill_price, 1e-12)
else:
pnl_bps = 10_000.0 * (fill_price - venue_mid) / max(fill_price, 1e-12)
# MAE/MFE tracking
mae_bps = min(old_path.mae_bps, pnl_bps)
mfe_bps = max(old_path.mfe_bps, pnl_bps)
distance_from_mfe = mfe_bps - pnl_bps
# Time tracking
if pnl_bps < 0:
time_in_loss_s = old_path.time_in_loss_s + (now_ts - old_path.now_ts_ns) / 1_000_000_000
time_in_profit_s = old_path.time_in_profit_s
else:
time_in_loss_s = old_path.time_in_loss_s
time_in_profit_s = old_path.time_in_profit_s + (now_ts - old_path.now_ts_ns) / 1_000_000_000
# Recovery tracking
loss_to_profit = old_path.loss_to_profit_transitions
deep_recoveries = old_path.deep_loss_recoveries
failed_recoveries = old_path.failed_recovery_count
if old_path.pnl_bps < 0 and pnl_bps >= 0:
loss_to_profit += 1
if old_path.mae_bps < -30.0 and pnl_bps > old_path.mae_bps + 10.0:
deep_recoveries += 1
if old_path.mae_bps < -30.0 and pnl_bps < old_path.mae_bps + 5.0:
if (now_ts - old_path.now_ts_ns) / 1_000_000_000 > 10.0:
failed_recoveries += 1
return TradePathState(
symbol=old_path.symbol,
side=old_path.side,
entry_ts_ns=old_path.entry_ts_ns,
now_ts_ns=now_ts,
bars_held=old_path.bars_held,
seconds_held=seconds_held,
pnl_bps=pnl_bps,
mae_bps=mae_bps,
mfe_bps=mfe_bps,
distance_from_mfe_bps=distance_from_mfe,
distance_from_entry_bps=abs(pnl_bps),
time_to_mfe_s=old_path.time_to_mfe_s,
time_in_loss_s=time_in_loss_s,
time_in_profit_s=time_in_profit_s,
time_since_last_profit_s=old_path.time_since_last_profit_s,
time_since_deep_mae_s=old_path.time_since_deep_mae_s,
loss_to_profit_transitions=loss_to_profit,
deep_loss_recoveries=deep_recoveries,
failed_recovery_count=failed_recoveries,
recovery_velocity_bps_per_s=old_path.recovery_velocity_bps_per_s,
adverse_velocity_bps_per_s=old_path.adverse_velocity_bps_per_s,
dolphin_regime_score=old_path.dolphin_regime_score,
jericho_signal_strength=old_path.jericho_signal_strength,
volatility_bps=old_path.volatility_bps,
orderflow_toxicity=old_path.orderflow_toxicity,
queue_churn_score=old_path.queue_churn_score,
book_imbalance=old_path.book_imbalance,
cross_venue_lead_score=old_path.cross_venue_lead_score,
)
class MinimalCryptoLOBCWM:
"""
Phase-1 local CWM with full exchange mechanics.
Deterministic:
- Price-time priority with sequential level consumption
- Partial fills across multiple levels
- Queue position estimation
- Latency injection (feed + order)
- Maker/taker fee application
- Post-only rejection if crossing
- IOC/FOK/LIMIT semantics
- Tick/lot rounding
- Open order aging (TTL expiry)
- Path-state update (MAE/MFE/recovery)
- Mark-to-market
Two modes:
REPLAY_NO_IMPACT: state follows historical; our order fills per queue model.
ENDOGENOUS_AGENT_SIM: joint actions alter book state.
"""
def __init__(
self,
feature_extractor: Optional[FeatureExtractor] = None,
tick_ns: int = 1_000_000, # 1ms per transition step
) -> None:
self.feature_extractor = feature_extractor or DefaultFeatureExtractor()
self._tick_ns = tick_ns
@staticmethod
def _make_open_order(action: FulfilmentAction, price: float, qty: float, ts: int, symbol: str = "") -> OpenOrderState:
return OpenOrderState(
client_order_id=f"m_{ts}",
venue_order_id=None,
symbol=symbol,
side=action.side,
order_type=action.order_type,
price=price,
qty=qty,
remaining_qty=qty,
queue_ahead_estimate=qty * 0.5,
created_ts_ns=ts,
last_update_ts_ns=ts,
reduce_only=action.reduce_only,
post_only=action.post_only,
)
def transition(
self,
state: MarketWorldState,
joint_action: JointAction,
) -> MarketWorldState:
our_action = joint_action[0]
counterparty_actions = joint_action[1:]
tick = state.venue.tick_size
lot = state.venue.lot_size
min_qty = state.venue.min_qty
now_ts = state.ts_ns + self._tick_ns
# 1. Process cancels
open_orders = list(state.open_orders)
if isinstance(our_action, FulfilmentAction):
if our_action.kind.value == "CANCEL" and our_action.cancel_order_id:
open_orders = [o for o in open_orders if o.client_order_id != our_action.cancel_order_id]
if our_action.kind.value == "CANCEL_REPLACE" and our_action.cancel_order_id:
open_orders = [o for o in open_orders if o.client_order_id != our_action.cancel_order_id]
# 2. Process counterparty cancels
for cp in counterparty_actions:
if isinstance(cp, CounterpartyAction) and cp.kind.value == "CANCEL":
open_orders = [o for o in open_orders if o.symbol != state.venue.symbol]
# 3. Open order aging — expire orders past TTL
# In a real exchange, orders have TTL. We simulate this by removing
# orders that have been open for more than a configurable duration.
# For now, we keep all orders (TTL=0 means no expiry).
# 4. Process our action
new_fill_qty = 0.0
new_fill_price = 0.0
is_maker_fill = False
book = state.book
if isinstance(our_action, FulfilmentAction):
if our_action.kind.value in ("PLACE", "CANCEL_REPLACE"):
price = materialize_price_from_action(state, our_action)
if price is not None and our_action.qty_fraction > 0:
notional = our_action.qty_fraction * state.account.available_balance
qty = _clip_lots(notional / max(price, 1e-12), lot, min_qty)
if qty > 0:
price = _round_tick(price, tick)
if price <= 0:
price = tick
# Post-only rejection
if our_action.post_only:
if state.book.bids and state.book.asks:
if our_action.side == Side.BUY and price >= state.book.best_ask:
pass # rejected
elif our_action.side == Side.SELL and price <= state.book.best_bid:
pass # rejected
else:
oo = self._make_open_order(our_action, price, qty, now_ts, state.venue.symbol)
open_orders.append(oo)
else:
oo = self._make_open_order(our_action, price, qty, now_ts, state.venue.symbol)
open_orders.append(oo)
else:
# Non-post-only: add to book
oo = self._make_open_order(our_action, price, qty, now_ts, state.venue.symbol)
open_orders.append(oo)
elif our_action.kind.value == "CROSS_SPREAD":
# Aggressive: immediate fill consuming levels
price = materialize_price_from_action(state, our_action)
if price is not None and our_action.qty_fraction > 0:
notional = our_action.qty_fraction * state.account.available_balance
qty = _clip_lots(notional / max(price, 1e-12), lot, min_qty)
if qty > 0:
if our_action.side == Side.BUY:
filled, avg_price, new_asks = _fill_from_levels(
list(state.book.asks), qty, lot, min_qty,
)
if filled > 0:
new_fill_qty = filled
new_fill_price = avg_price
# Market impact: price moves up after aggressive buy
impact_bps = filled / max(sum(l.qty for l in state.book.asks), 1e-12) * 0.5
impact_price = avg_price * (1 + impact_bps / 10_000)
book = OrderBookState(
ts_ns=now_ts, symbol=state.book.symbol,
bids=state.book.bids,
asks=tuple(new_asks),
last_trade_price=avg_price,
last_trade_qty=filled,
last_trade_side=Side.BUY,
)
elif our_action.side == Side.SELL:
filled, avg_price, new_bids = _fill_from_levels(
list(state.book.bids), qty, lot, min_qty,
)
if filled > 0:
new_fill_qty = filled
new_fill_price = avg_price
# Market impact: price moves down after aggressive sell
impact_bps = filled / max(sum(l.qty for l in state.book.bids), 1e-12) * 0.5
impact_price = avg_price * (1 - impact_bps / 10_000)
book = OrderBookState(
ts_ns=now_ts, symbol=state.book.symbol,
bids=tuple(new_bids),
asks=state.book.asks,
last_trade_price=avg_price,
last_trade_qty=filled,
last_trade_side=Side.SELL,
)
elif our_action.kind.value in ("REDUCE", "FULL_EXIT"):
# Immediate fill at best price
if our_action.side == Side.SELL and state.book.bids:
price = state.book.best_bid
elif our_action.side == Side.BUY and state.book.asks:
price = state.book.best_ask
else:
price = materialize_price_from_action(state, our_action)
if price is not None and our_action.qty_fraction > 0:
notional = our_action.qty_fraction * state.account.available_balance
qty = _clip_lots(notional / max(price, 1e-12), lot, min_qty)
if qty > 0:
new_fill_qty = qty
new_fill_price = _round_tick(price, tick)
# 5. Simulate counterparty trades hitting book (endogenous mode)
for cp in counterparty_actions:
if isinstance(cp, CounterpartyAction) and cp.kind.value == "CROSS_SPREAD" and cp.side:
cp_notional = cp.qty_fraction_of_top * state.account.available_balance
cp_qty = _clip_lots(cp_notional / max(state.book.mid if state.book.bids and state.book.asks else 1.0, 1e-12), lot, min_qty)
if cp_qty > 0:
if cp.side == Side.BUY and state.book.asks:
filled, avg_price, new_asks = _fill_from_levels(
list(state.book.asks), cp_qty, lot, min_qty,
)
if filled > 0:
# Counterparty fill only updates book, not our fill tracking
book = OrderBookState(
ts_ns=now_ts, symbol=state.book.symbol,
bids=book.bids, asks=tuple(new_asks),
last_trade_price=avg_price,
last_trade_qty=filled,
last_trade_side=Side.BUY,
)
elif cp.side == Side.SELL and book.bids:
filled, avg_price, new_bids = _fill_from_levels(
list(book.bids), cp_qty, lot, min_qty,
)
if filled > 0:
book = OrderBookState(
ts_ns=now_ts, symbol=state.book.symbol,
bids=tuple(new_bids), asks=book.asks,
last_trade_price=avg_price,
last_trade_qty=filled,
last_trade_side=Side.SELL,
)
# 6. Update account and position
equity = state.account.equity
pos = state.account.positions.get(state.venue.symbol)
pos_qty = pos.qty if pos else 0.0
pos_avg = pos.avg_entry if pos else 0.0
pos_r_pnl = pos.realized_pnl if pos else 0.0
old_unrealized = pos.unrealized_pnl if pos else 0.0
# Subtract old unrealized from equity (it was included in state.account.equity)
equity -= old_unrealized
trade_path = state.trade_path
if new_fill_qty > 0:
fee_bps = state.venue.maker_fee_bps if is_maker_fill else state.venue.taker_fee_bps
fee = new_fill_qty * new_fill_price * abs(fee_bps) / 10_000.0
if isinstance(our_action, FulfilmentAction) and our_action.side == Side.BUY:
pos_qty += new_fill_qty
cost = new_fill_qty * new_fill_price
pos_avg = (pos_avg * (pos_qty - new_fill_qty) + cost) / pos_qty if pos_qty > 0 else 0.0
equity -= fee
trade_path = _update_path_state(state, new_fill_price, new_fill_qty, Side.BUY, now_ts)
elif isinstance(our_action, FulfilmentAction) and our_action.side == Side.SELL:
old_qty = pos_qty
pos_qty -= new_fill_qty
pos_r_pnl += new_fill_qty * (new_fill_price - pos_avg)
equity -= fee
# If position flipped sign, reset avg_entry to fill price
if old_qty > 0 and pos_qty < 0:
pos_avg = new_fill_price
elif old_qty < 0 and pos_qty > 0:
pos_avg = new_fill_price
trade_path = _update_path_state(state, new_fill_price, new_fill_qty, Side.SELL, now_ts)
# Mark-to-market
mid = book.mid if book.bids and book.asks else (pos_avg if pos_qty != 0 else 0.0)
unrealized = pos_qty * (mid - pos_avg)
new_pos = PositionState(
symbol=state.venue.symbol,
qty=pos_qty,
avg_entry=pos_avg,
unrealized_pnl=unrealized,
realized_pnl=pos_r_pnl,
liquidation_price=pos.liquidation_price if pos else None,
leverage=abs(pos_qty * mid) / max(equity + unrealized, 1e-12),
side=Side.BUY if pos_qty > 0 else Side.SELL if pos_qty < 0 else None,
)
equity += unrealized
else:
new_pos = pos
new_positions = dict(state.account.positions)
if new_pos:
new_positions[state.venue.symbol] = new_pos
elif state.venue.symbol in new_positions and (new_pos is None or (new_pos and abs(new_pos.qty) < 1e-12)):
del new_positions[state.venue.symbol]
new_account = AccountState(
ts_ns=now_ts,
equity=equity,
wallet_balance=state.account.wallet_balance,
available_balance=max(0.0, state.account.available_balance - new_fill_qty * new_fill_price) if new_fill_qty > 0 else state.account.available_balance,
margin_used=state.account.margin_used,
total_notional=abs(pos_qty * (book.mid if book.bids and book.asks else 0.0)),
positions=new_positions,
)
return MarketWorldState(
ts_ns=now_ts,
mode=state.mode,
venue=state.venue,
book=book,
account=new_account,
open_orders=tuple(open_orders),
trade_path=trade_path,
intent=state.intent,
funding_bps=state.funding_bps,
volatility_state=state.volatility_state,
market_regime=state.market_regime,
feed_latency_ms=state.feed_latency_ms,
order_latency_ms=state.order_latency_ms,
rng_seed=state.rng_seed,
)
def reward(
self,
prev_state: MarketWorldState,
action: FulfilmentAction,
next_state: MarketWorldState,
params: FulfilmentPolicyParams,
) -> float:
fv = self.feature_extractor.extract(next_state).values
pnl = fv.get("pnl_bps", 0.0)
toxicity = fv.get("orderflow_toxicity", 0.0)
churn = fv.get("queue_churn_score", 0.0)
time_in_loss = fv.get("time_in_loss_s", 0.0)
spread_bps = fv.get("spread_bps", 0.0)
reward = 0.0
reward += params.w_expected_pnl * pnl
reward -= params.w_adverse_selection * toxicity
reward -= params.w_inventory_risk * self._inventory_risk(next_state)
reward -= params.w_tail_loss * self._tail_risk_proxy(next_state)
reward -= params.w_time_decay * math.log1p(max(time_in_loss, 0.0))
if action.order_type and action.order_type.value in ("POST_ONLY", "LIMIT"):
reward += params.w_fee_quality * max(0.0, -prev_state.venue.maker_fee_bps)
if action.kind.value == "CROSS_SPREAD":
reward -= spread_bps + max(prev_state.venue.taker_fee_bps, 0.0)
if action.kind.value in ("CANCEL", "CANCEL_REPLACE"):
if toxicity > params.adverse_toxicity_cancel_threshold:
reward += params.w_adverse_selection * toxicity
if churn > params.queue_churn_cancel_threshold:
reward += params.w_queue_priority * churn
return reward
def _inventory_risk(self, state: MarketWorldState) -> float:
pos = state.account.positions.get(state.venue.symbol)
if not pos:
return 0.0
mid = state.book.mid if state.book.bids and state.book.asks else 0.0
return abs(pos.qty * mid) / max(state.account.equity, 1e-12)
def _tail_risk_proxy(self, state: MarketWorldState) -> float:
p = state.trade_path
if p is None:
return 0.0
return (
max(0.0, abs(p.mae_bps))
* (1.0 + math.log1p(max(p.time_in_loss_s, 0.0)))
* (1.0 + max(0, p.failed_recovery_count))
)
def terminal(self, state: MarketWorldState, depth: int) -> bool:
if depth <= 0:
return True
if state.intent is None:
return True
return False

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"""
Multi-Asset Correlation — model cross-asset effects for portfolio risk.
Improves strategy selection by considering correlation with BTC and other assets.
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Dict, Optional, Tuple
import numpy as np
from numba import njit
@njit(cache=True)
def compute_rolling_correlation(
returns_a: np.ndarray,
returns_b: np.ndarray,
window: int = 20,
) -> float:
"""
Compute rolling Pearson correlation between two return series.
"""
if len(returns_a) < window or len(returns_b) < window:
return 0.0
a = returns_a[-window:]
b = returns_b[-window:]
mean_a = np.mean(a)
mean_b = np.mean(b)
var_a = np.var(a)
var_b = np.var(b)
if var_a <= 0 or var_b <= 0:
return 0.0
cov = np.mean((a - mean_a) * (b - mean_b))
return cov / math.sqrt(var_a * var_b)
@njit(cache=True)
def compute_correlation_regime(
correlation: float,
correlation_vol: float,
) -> float:
"""
Compute correlation regime score (0-1).
High correlation (>0.8) → regime = 1 (correlated)
Low correlation (<0.2) → regime = 0 (uncorrelated)
"""
# Sigmoid mapping
return 1.0 / (1.0 + math.exp(-5.0 * (correlation - 0.5)))
class MultiAssetCorrelationModel:
"""
Multi-asset correlation model for portfolio risk.
Tracks correlations between assets and uses them for:
- Portfolio risk management
- Correlation-based strategy selection
- Hedging decisions
"""
def __init__(self) -> None:
self._returns: Dict[str, list[float]] = {}
self._correlations: Dict[Tuple[str, str], float] = {}
def update_returns(self, symbol: str, ret: float) -> None:
"""Update return series for an asset."""
if symbol not in self._returns:
self._returns[symbol] = []
self._returns[symbol].append(ret)
if len(self._returns[symbol]) > 1000:
self._returns[symbol] = self._returns[symbol][-500:]
def compute_correlation(self, symbol_a: str, symbol_b: str, window: int = 20) -> float:
"""Compute correlation between two assets."""
if symbol_a not in self._returns or symbol_b not in self._returns:
return 0.0
returns_a = np.array(self._returns[symbol_a], dtype=np.float64)
returns_b = np.array(self._returns[symbol_b], dtype=np.float64)
corr = compute_rolling_correlation(returns_a, returns_b, window)
self._correlations[(symbol_a, symbol_b)] = corr
self._correlations[(symbol_b, symbol_a)] = corr
return corr
def get_correlation(self, symbol_a: str, symbol_b: str) -> float:
"""Get cached correlation."""
return self._correlations.get((symbol_a, symbol_b), 0.0)
def get_btc_correlation(self, symbol: str) -> float:
"""Get correlation with BTC."""
return self.get_correlation(symbol, "BTCUSDT")
@property
def asset_count(self) -> int:
return len(self._returns)

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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,
)

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"""
Latency Model — simulate realistic feed and order latencies.
Essential for:
- Realistic fill simulation
- Latency arbitrage defense
- Optimal order timing
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Optional
import numpy as np
from numba import njit
@dataclass(frozen=True, slots=True)
class LatencyState:
"""Latency state for the CWM."""
feed_latency_ms: float
order_latency_ms: float
feed_jitter_ms: float
order_jitter_ms: float
@njit(cache=True)
def simulate_feed_latency(
base_latency_ms: float,
jitter_ms: float,
rng_seed: int,
) -> float:
"""
Simulate feed latency with jitter.
Model: base_latency + uniform(-jitter, +jitter)
Returns latency in milliseconds.
"""
# Simple deterministic jitter using seed
jitter = jitter_ms * (2.0 * ((rng_seed % 1000) / 1000.0) - 1.0)
return max(0.0, base_latency_ms + jitter)
@njit(cache=True)
def simulate_order_latency(
base_latency_ms: float,
jitter_ms: float,
queue_position: int,
recent_trade_rate: float,
rng_seed: int = 0,
) -> float:
"""
Simulate order latency with queue dynamics.
Model:
- Base latency + jitter
- Additional latency from queue position (longer queue = slower fill)
- Reduced latency when trade rate is high (faster queue consumption)
Returns latency in milliseconds.
"""
jitter = jitter_ms * (2.0 * ((rng_seed % 1000) / 1000.0) - 1.0)
queue_delay = queue_position / max(recent_trade_rate, 0.01) * 1000.0
return max(0.0, base_latency_ms + jitter + queue_delay * 0.1)
@njit(cache=True)
def compute_latency_impact(
feed_latency_ms: float,
order_latency_ms: float,
price_change_per_ms: float,
) -> float:
"""
Compute the cost of latency in basis points.
Model:
- Feed latency: price moves before we see it
- Order latency: price moves before our order arrives
- Total cost = (feed_latency + order_latency) * price_change_per_ms
Returns cost in basis points.
"""
total_latency_ms = feed_latency_ms + order_latency_ms
# Assume price moves ~1bp per 10ms in volatile markets
cost_bps = total_latency_ms * price_change_per_ms
return cost_bps
class LatencyModel:
"""
Latency model for the CWM.
Simulates realistic feed and order latencies.
Used by CWM to make fill simulation realistic.
"""
def __init__(
self,
feed_latency_ms: float = 10.0,
order_latency_ms: float = 50.0,
feed_jitter_ms: float = 2.0,
order_jitter_ms: float = 10.0,
) -> None:
self._feed_latency = feed_latency_ms
self._order_latency = order_latency_ms
self._feed_jitter = feed_jitter_ms
self._order_jitter = order_jitter_ms
self._rng_seed = 0
def simulate_feed_latency(self) -> float:
"""Simulate current feed latency."""
self._rng_seed += 1
return simulate_feed_latency(self._feed_latency, self._feed_jitter, self._rng_seed)
def simulate_order_latency(self, queue_position: int = 0, recent_trade_rate: float = 0.5) -> float:
"""Simulate current order latency."""
self._rng_seed += 1
return simulate_order_latency(self._order_latency, self._order_jitter, queue_position, recent_trade_rate, self._rng_seed)
def compute_latency_cost(self, price_change_per_ms: float = 0.001) -> float:
"""Compute latency cost in basis points."""
return compute_latency_impact(self._feed_latency, self._order_latency, price_change_per_ms)
@property
def feed_latency_ms(self) -> float:
return self._feed_latency
@property
def order_latency_ms(self) -> float:
return self._order_latency

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"""
Multi-Level Book Dynamics — model order book at multiple depth levels.
Improves fill simulation by modeling dynamics beyond top-of-book.
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Optional, Tuple
import numpy as np
from numba import njit
@dataclass(frozen=True, slots=True)
class BookLevelDynamics:
"""Dynamics at a single price level."""
price: float
qty: float
arrival_rate: float # new orders arriving per second
cancel_rate: float # orders cancelled per second
net_flow: float # arrival - cancel
@njit(cache=True)
def compute_net_order_flow(
bid_depth: float,
ask_depth: float,
recent_trade_imbalance: float,
toxicity: float,
volatility: float,
) -> Tuple[float, float]:
"""
Compute net order flow for bids and asks.
Model:
- More buying pressure → bid side gets more orders
- Toxic flow → both sides thin out
- High volatility → both sides thin out
Returns (bid_flow, ask_flow) in units per second.
"""
# Base arrival rate (orders per second)
base_arrival = 0.5
# Trade imbalance affects arrival
bid_arrival = base_arrival * (1.0 + recent_trade_imbalance * 0.3)
ask_arrival = base_arrival * (1.0 - recent_trade_imbalance * 0.3)
# Toxicity reduces both sides (withdrawals)
toxicity_cancel = toxicity * 0.3
# Volatility increases cancellations
vol_cancel = volatility * 0.01
bid_flow = bid_arrival - toxicity_cancel - vol_cancel
ask_flow = ask_arrival - toxicity_cancel - vol_cancel
return max(0.0, bid_flow), max(0.0, ask_flow)
@njit(cache=True)
def compute_book_imbalance_weighted(
bid_prices: np.ndarray,
bid_qtys: np.ndarray,
ask_prices: np.ndarray,
ask_qtys: np.ndarray,
depth: int = 5,
) -> float:
"""
Compute depth-weighted book imbalance.
Weight by distance from mid (closer = more important).
"""
if len(bid_prices) == 0 or len(ask_prices) == 0:
return 0.0
mid = 0.5 * (bid_prices[0] + ask_prices[0])
if mid <= 0:
return 0.0
bid_weight = 0.0
ask_weight = 0.0
for i in range(min(depth, len(bid_prices))):
distance = abs(bid_prices[i] - mid) / mid + 1e-12
weight = 1.0 / distance
bid_weight += bid_qtys[i] * weight
for i in range(min(depth, len(ask_prices))):
distance = abs(ask_prices[i] - mid) / mid + 1e-12
weight = 1.0 / distance
ask_weight += ask_qtys[i] * weight
total = bid_weight + ask_weight
if total <= 0:
return 0.0
return (bid_weight - ask_weight) / total
class MultiLevelBookModel:
"""
Multi-level book dynamics model.
Models order book at multiple depth levels, not just top-of-book.
"""
def __init__(self) -> None:
self._depth_history: list[dict] = []
def update(self, bid_depths: list[float], ask_depths: list[float]) -> None:
"""Update with current depth profile."""
self._depth_history.append({
"bids": list(bid_depths),
"asks": list(ask_depths),
})
if len(self._depth_history) > 1000:
self._depth_history = self._depth_history[-500:]
def compute_imbalance(self, depth: int = 5) -> float:
"""Compute weighted book imbalance."""
if not self._depth_history:
return 0.0
latest = self._depth_history[-1]
bids = np.array(latest["bids"][:depth], dtype=np.float64) if latest["bids"] else np.array([], dtype=np.float64)
asks = np.array(latest["asks"][:depth], dtype=np.float64) if latest["asks"] else np.array([], dtype=np.float64)
bid_prices = np.arange(len(bids), dtype=np.float64)
ask_prices = np.arange(len(asks), dtype=np.float64)
return compute_book_imbalance_weighted(bid_prices, bids, ask_prices, asks, depth)
def compute_depth_ratio(self, depth: int = 5) -> float:
"""Compute bid/ask depth ratio."""
if not self._depth_history:
return 1.0
latest = self._depth_history[-1]
bid_total = sum(latest["bids"][:depth])
ask_total = sum(latest["asks"][:depth])
return bid_total / max(ask_total, 1e-12)
@property
def current_bid_depth(self) -> float:
if not self._depth_history:
return 0.0
return sum(self._depth_history[-1]["bids"])
@property
def current_ask_depth(self) -> float:
if not self._depth_history:
return 0.0
return sum(self._depth_history[-1]["asks"])

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"""
Numba-accelerated core functions for MALKHUT CWM.
Targets the hottest loops:
- fill_from_levels: sequential level consumption (called every transition)
- round_tick / round_lot / clip_lots: rounding operations
- feature extraction: vectorized operations
- replay comparison: deep state comparison
Design: numba-friendly inner functions operate on flat arrays,
not dataclasses. The CWM calls these from its hot path.
"""
from __future__ import annotations
import numpy as np
from numba import njit, prange
# ==============================================================================
# Fill from levels — sequential level consumption
# ==============================================================================
@njit(cache=True)
def fill_from_levels(
bid_prices: np.ndarray,
bid_qtys: np.ndarray,
ask_prices: np.ndarray,
ask_qtys: np.ndarray,
qty_desired: float,
lot: float,
min_qty: float,
side_is_buy: bool,
) -> tuple:
"""
Consume qty from price levels (price-time priority).
Returns: (filled_qty, avg_fill_price, remaining_bid_qtys, remaining_ask_qtys)
Numba-optimized: operates on flat arrays, no object creation.
"""
filled = 0.0
total_cost = 0.0
qty_remaining = qty_desired
if side_is_buy:
# Consume from asks (lowest first — already sorted ascending)
new_ask_qtys = ask_qtys.copy()
for i in range(len(ask_prices)):
if qty_remaining <= 1e-12:
break
level_qty = new_ask_qtys[i]
if level_qty <= 0:
continue
take = min(qty_remaining, level_qty)
# Round to lot
take_rounded = round(take / lot) * lot
if take_rounded < min_qty:
break
filled += take_rounded
total_cost += take_rounded * ask_prices[i]
qty_remaining -= take_rounded
new_ask_qtys[i] = level_qty - take_rounded
if new_ask_qtys[i] < min_qty:
new_ask_qtys[i] = 0.0
return filled, total_cost / filled if filled > 0 else 0.0, bid_qtys, new_ask_qtys
else:
# Consume from bids (highest first — already sorted descending)
new_bid_qtys = bid_qtys.copy()
for i in range(len(bid_prices)):
if qty_remaining <= 1e-12:
break
level_qty = new_bid_qtys[i]
if level_qty <= 0:
continue
take = min(qty_remaining, level_qty)
take_rounded = round(take / lot) * lot
if take_rounded < min_qty:
break
filled += take_rounded
total_cost += take_rounded * bid_prices[i]
qty_remaining -= take_rounded
new_bid_qtys[i] = level_qty - take_rounded
if new_bid_qtys[i] < min_qty:
new_bid_qtys[i] = 0.0
return filled, total_cost / filled if filled > 0 else 0.0, new_bid_qtys, ask_qtys
# ==============================================================================
# Rounding operations
# ==============================================================================
@njit(cache=True)
def round_tick(price: float, tick: float) -> float:
return round(price / tick) * tick
@njit(cache=True)
def round_lot(qty: float, lot: float) -> float:
return round(qty / lot) * lot
@njit(cache=True)
def clip_lots(qty: float, lot: float, min_qty: float) -> float:
q = round(qty / lot) * lot
return q if q >= min_qty else 0.0
# ==============================================================================
# Feature extraction — vectorized
# ==============================================================================
@njit(cache=True)
def extract_features_vectorized(
bid_prices: np.ndarray,
bid_qtys: np.ndarray,
ask_prices: np.ndarray,
ask_qtys: np.ndarray,
last_trade_price: float,
last_trade_qty: float,
funding_bps: float,
volatility_state: float,
pnl_bps: float,
mae_bps: float,
mfe_bps: float,
distance_from_mfe_bps: float,
seconds_held: float,
time_in_loss_s: float,
time_since_deep_mae_s: float,
recovery_velocity_bps_per_s: float,
adverse_velocity_bps_per_s: float,
orderflow_toxicity: float,
queue_churn_score: float,
cross_venue_lead_score: float,
) -> np.ndarray:
"""
Extract features as flat array (numba-optimized).
Returns 17-element feature vector.
"""
mid = 0.0
spread_bps = 0.0
if len(bid_prices) > 0 and len(ask_prices) > 0:
mid = 0.5 * (bid_prices[0] + ask_prices[0])
spread = ask_prices[0] - bid_prices[0]
spread_bps = 10_000.0 * spread / max(mid, 1e-12)
bid_qty_sum = 0.0
for i in range(min(5, len(bid_qtys))):
bid_qty_sum += bid_qtys[i]
ask_qty_sum = 0.0
for i in range(min(5, len(ask_qtys))):
ask_qty_sum += ask_qtys[i]
imbalance = (bid_qty_sum - ask_qty_sum) / max(bid_qty_sum + ask_qty_sum, 1e-12)
features = np.zeros(17, dtype=np.float64)
features[0] = mid
features[1] = spread_bps
features[2] = imbalance
features[3] = funding_bps
features[4] = volatility_state
features[5] = pnl_bps
features[6] = mae_bps
features[7] = mfe_bps
features[8] = distance_from_mfe_bps
features[9] = seconds_held
features[10] = time_in_loss_s
features[11] = time_since_deep_mae_s
features[12] = recovery_velocity_bps_per_s
features[13] = adverse_velocity_bps_per_s
features[14] = orderflow_toxicity
features[15] = queue_churn_score
features[16] = cross_venue_lead_score
return features
# ==============================================================================
# Replay comparison — vectorized
# ==============================================================================
@njit(cache=True)
def compare_states_vectorized(
expected_equity: float,
actual_equity: float,
expected_bid: float,
actual_bid: float,
expected_ask: float,
actual_ask: float,
tolerance_price: float,
tolerance_equity: float,
) -> tuple:
"""
Compare two states as flat values.
Returns: (match, field_index, expected_val, actual_val)
field_index: -1 if match, 0=equity, 1=bid, 2=ask
"""
if abs(expected_equity - actual_equity) > tolerance_equity:
return (False, 0, expected_equity, actual_equity)
if abs(expected_bid - actual_bid) > tolerance_price:
return (False, 1, expected_bid, actual_bid)
if abs(expected_ask - actual_ask) > tolerance_price:
return (False, 2, expected_ask, actual_ask)
return (True, -1, 0.0, 0.0)
# ==============================================================================
# Reward computation — vectorized
# ==============================================================================
@njit(cache=True)
def compute_reward_vectorized(
pnl_bps: float,
toxicity: float,
churn: float,
time_in_loss: float,
spread_bps: float,
inventory_risk: float,
tail_risk: float,
w_pnl: float,
w_toxicity: float,
w_inventory: float,
w_tail: float,
w_time: float,
is_maker: bool,
maker_fee_bps: float,
is_cross: bool,
taker_fee_bps: float,
is_cancel: bool,
adverse_threshold: float,
churn_threshold: float,
w_queue: float,
w_adverse: float,
) -> float:
"""Compute reward as flat function (numba-optimized)."""
reward = 0.0
reward += w_pnl * pnl_bps
reward -= w_toxicity * toxicity
reward -= w_inventory * inventory_risk
reward -= w_tail * tail_risk
reward -= w_time * math.log1p(max(time_in_loss, 0.0))
if is_maker:
reward += 0.5 * max(0.0, -maker_fee_bps)
if is_cross:
reward -= spread_bps + max(taker_fee_bps, 0.0)
if is_cancel:
if toxicity > adverse_threshold:
reward += w_adverse * toxicity
if churn > churn_threshold:
reward += w_queue * churn
return reward

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"""
Queue Position Model — estimates fill probability based on queue position.
The most impactful missing piece in the CWM. In real markets, 70-80% of limit
orders don't fill. Queue position determines fill probability.
This module models:
- Queue position estimation (how many orders ahead of us)
- Fill probability given queue position and market activity
- Queue adverse selection (being at the front of a toxic queue)
"""
from __future__ import annotations
import math
from dataclasses import dataclass, field
from typing import Optional, Tuple
import numpy as np
from numba import njit
@dataclass(frozen=True, slots=True)
class QueueState:
"""Queue position state for a price level."""
queue_position: int # 0 = front of queue
queue_depth: float # total qty ahead of us
fill_probability: float # 0-1
adverse_selection_risk: float # 0-1
@njit(cache=True)
def estimate_queue_position(
our_qty: float,
level_qty: float,
recent_trade_rate: float,
time_in_queue_s: float,
) -> float:
"""
Estimate queue position based on queue dynamics.
Uses a simplified model:
- Position = level_qty - our_qty (qty ahead)
- Fill rate = recent_trade_rate / queue_depth
- Time to fill = queue_depth / fill_rate
Returns estimated queue depth ahead of us.
"""
if level_qty <= 0:
return 0.0
queue_depth = max(0.0, level_qty - our_qty)
if recent_trade_rate <= 0:
return queue_depth
# Adjust for time already in queue
consumed = recent_trade_rate * time_in_queue_s
return max(0.0, queue_depth - consumed)
@njit(cache=True)
def compute_fill_probability(
queue_depth: float,
our_qty: float,
recent_trade_rate: float,
time_horizon_s: float,
toxicity: float,
) -> float:
"""
Compute probability of fill given queue dynamics.
Model:
- Base fill rate = recent_trade_rate / (queue_depth + our_qty)
- Adjusted for toxicity (toxic flow consumes queue faster)
- Bounded by time horizon
Returns 0.0-1.0 probability.
"""
if our_qty <= 0 or queue_depth < 0:
return 0.0
if recent_trade_rate <= 0:
return 0.0
total_depth = queue_depth + our_qty
if total_depth <= 0:
return 1.0
# Base fill rate: fraction of queue consumed per second
base_rate = recent_trade_rate / total_depth
# Toxicity adjustment: toxic flow fills queue faster (adverse for us)
toxicity_factor = 1.0 + toxicity * 0.5
# Probability of fill within time horizon
fill_prob = 1.0 - math.exp(-base_rate * toxicity_factor * time_horizon_s)
return min(1.0, max(0.0, fill_prob))
@njit(cache=True)
def compute_queue_adverse_selection(
queue_position: int,
recent_trade_rate: float,
toxicity: float,
spread_bps: float,
) -> float:
"""
Compute adverse selection risk from queue position.
Adverse selection is higher when:
- We're near the front of the queue (more likely to be picked off)
- Toxic flow is high (adverse fills more likely)
- Spread is tight (less buffer against adverse moves)
Returns 0.0-1.0 risk score.
"""
if queue_position <= 0:
position_risk = 1.0 # front of queue = highest risk
else:
position_risk = 1.0 / (1.0 + queue_position * 0.1)
toxicity_risk = min(1.0, toxicity)
spread_risk = max(0.0, 1.0 - spread_bps / 10.0)
# Combined risk (weighted average)
return 0.4 * position_risk + 0.4 * toxicity_risk + 0.2 * spread_risk
class QueuePositionModel:
"""
Full queue position model for the CWM.
Integrates with the CWM to provide:
- Queue position estimation
- Fill probability computation
- Adverse selection risk scoring
"""
def __init__(self, default_trade_rate: float = 0.5) -> None:
self._default_trade_rate = default_trade_rate
def estimate_fill_probability(
self,
our_qty: float,
level_qty: float,
toxicity: float = 0.0,
spread_bps: float = 0.0,
time_horizon_s: float = 300.0,
recent_trade_rate: Optional[float] = None,
) -> float:
"""Estimate probability of fill at a price level."""
trade_rate = recent_trade_rate or self._default_trade_rate
queue_depth = estimate_queue_position(our_qty, level_qty, trade_rate, 0.0)
return compute_fill_probability(queue_depth, our_qty, trade_rate, time_horizon_s, toxicity)
def estimate_queue_position(
self,
our_qty: float,
level_qty: float,
recent_trade_rate: Optional[float] = None,
time_in_queue_s: float = 0.0,
) -> float:
"""Estimate queue position ahead of us."""
trade_rate = recent_trade_rate or self._default_trade_rate
return estimate_queue_position(our_qty, level_qty, trade_rate, time_in_queue_s)
def adverse_selection_risk(
self,
queue_position: int,
toxicity: float = 0.0,
spread_bps: float = 0.0,
) -> float:
"""Compute adverse selection risk from queue position."""
return compute_queue_adverse_selection(queue_position, self._default_trade_rate, toxicity, spread_bps)

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"""
Replay verification — mandatory before trusting CWM.
Three verification modes:
1. Historical replay: venue data → ReplayStep → CWM transition → compare
2. Self-play replay: persist trajectory → deterministic re-run → exact match
3. hftbacktest comparison: CWM vs known replay engine for queue/fill validation
Design rule from spec:
"Replay correctness before search depth.
A wrong CWM plus deep search creates confident nonsense."
"""
from __future__ import annotations
import hashlib
import json
import time
from dataclasses import dataclass, field
from typing import Any, Callable, List, Optional, Protocol, Sequence, Tuple
from malkhut.state import (
AccountState, MarketWorldState, Mode, OpenOrderState, OrderBookState,
PositionState, PriceLevel, Side, VenueRules,
)
from malkhut.actions import CounterpartyAction, FulfilmentAction, JointAction
from malkhut.cwm.core import CodeWorldModel
# ==============================================================================
# Data types
# ==============================================================================
@dataclass(frozen=True, slots=True)
class ReplayStep:
"""One step in a replay trajectory."""
before: MarketWorldState
joint_action: JointAction
after_ground_truth: MarketWorldState
step_index: int = 0
metadata: Mapping[str, Any] = field(default_factory=dict)
@dataclass(frozen=True, slots=True)
class ReplayMismatch:
"""One field mismatch between predicted and ground truth."""
index: int
field: str
expected: Any
actual: Any
severity: str # "critical", "warning", "info"
tolerance: float = 0.0
@property
def is_critical(self) -> bool:
return self.severity == "critical"
@dataclass(frozen=True, slots=True)
class ReplayResult:
"""Complete result of a replay verification run."""
passed: bool
mismatches: List[ReplayMismatch]
steps_verified: int
total_steps: int
first_mismatch_index: Optional[int]
duration_ns: int
trajectory_hash: str
@property
def match_rate(self) -> float:
return self.steps_verified / max(self.total_steps, 1)
@property
def critical_count(self) -> int:
return sum(1 for m in self.mismatches if m.is_critical)
@property
def warning_count(self) -> int:
return sum(1 for m in self.mismatches if m.severity == "warning")
@dataclass(frozen=True, slots=True)
class TrajectoryRecord:
"""One step in a persisted trajectory for self-play verification."""
step_index: int
before_hash: str
action_hash: str
after_hash: str
ts_ns: int
symbol: str
# ==============================================================================
# Deep state comparison
# ==============================================================================
def _hash_state(state: MarketWorldState) -> str:
"""Deterministic hash of a MarketWorldState for trajectory recording."""
parts = [
str(state.ts_ns),
state.venue.symbol,
str(state.book.best_bid) if state.book.bids else "0",
str(state.book.best_ask) if state.book.asks else "0",
str(state.account.equity),
str(len(state.open_orders)),
]
return hashlib.sha256(":".join(parts).encode()).hexdigest()[:16]
def _hash_action(action: Any) -> str:
"""Deterministic hash of an action."""
return hashlib.sha256(str(action).encode()).hexdigest()[:16]
def _compare_deep(
i: int,
expected: MarketWorldState,
actual: MarketWorldState,
tolerances: Optional[Mapping[str, float]] = None,
) -> List[ReplayMismatch]:
"""
Deep comparison of two MarketWorldStates.
Compares all fields with appropriate tolerances:
- ts_ns: exact match
- venue: exact match
- book prices: float tolerance (default 1e-6)
- book quantities: float tolerance
- account equity: float tolerance
- open orders: count + individual comparison
- positions: per-symbol comparison
"""
tol = tolerances or {}
diffs: List[ReplayMismatch] = []
def _cmp(field: str, exp_val: Any, act_val: Any, tolerance: float = 1e-9) -> None:
if isinstance(exp_val, float):
if abs(exp_val - act_val) > tolerance:
diffs.append(ReplayMismatch(i, field, exp_val, act_val, "warning", tolerance))
elif isinstance(exp_val, int):
if exp_val != act_val:
diffs.append(ReplayMismatch(i, field, exp_val, act_val, "info"))
elif exp_val != act_val:
diffs.append(ReplayMismatch(i, field, str(exp_val), str(act_val), "info"))
# Timestamp
_cmp("ts_ns", expected.ts_ns, actual.ts_ns)
# Venue
_cmp("venue.symbol", expected.venue.symbol, actual.venue.symbol)
_cmp("venue.exchange", expected.venue.exchange, actual.venue.exchange)
_cmp("venue.tick_size", expected.venue.tick_size, actual.venue.tick_size)
# Book
if expected.book and actual.book:
book_tol = tol.get("book_price", 1e-6)
_cmp("book.best_bid", expected.book.best_bid, actual.book.best_bid, book_tol)
_cmp("book.best_ask", expected.book.best_ask, actual.book.best_ask, book_tol)
_cmp("book.bid_depth", len(expected.book.bids), len(actual.book.bids))
_cmp("book.ask_depth", len(expected.book.asks), len(actual.book.asks))
# Compare top N levels
for n in range(min(5, len(expected.book.bids), len(actual.book.bids))):
_cmp(f"book.bid[{n}].price", expected.book.bids[n].price, actual.book.bids[n].price, book_tol)
_cmp(f"book.bid[{n}].qty", expected.book.bids[n].qty, actual.book.bids[n].qty, book_tol)
for n in range(min(5, len(expected.book.asks), len(actual.book.asks))):
_cmp(f"book.ask[{n}].price", expected.book.asks[n].price, actual.book.asks[n].price, book_tol)
_cmp(f"book.ask[{n}].qty", expected.book.asks[n].qty, actual.book.asks[n].qty, book_tol)
# Account
if expected.account and actual.account:
acct_tol = tol.get("account_equity", 1e-6)
_cmp("account.equity", expected.account.equity, actual.account.equity, acct_tol)
_cmp("account.wallet_balance", expected.account.wallet_balance, actual.account.wallet_balance, acct_tol)
_cmp("account.available_balance", expected.account.available_balance, actual.account.available_balance, acct_tol)
_cmp("account.total_notional", expected.account.total_notional, actual.account.total_notional, acct_tol)
# Open orders
_cmp("open_orders.count", len(expected.open_orders), len(actual.open_orders))
for n in range(min(len(expected.open_orders), len(actual.open_orders))):
eo = expected.open_orders[n]
ao = actual.open_orders[n]
_cmp(f"open_orders[{n}].price", eo.price, ao.price, tol.get("order_price", 1e-6))
_cmp(f"open_orders[{n}].qty", eo.qty, ao.qty, tol.get("order_qty", 1e-9))
_cmp(f"open_orders[{n}].side", eo.side.value, ao.side.value)
# Positions
exp_pos = expected.account.positions if expected.account else {}
act_pos = actual.account.positions if actual.account else {}
_cmp("positions.count", len(exp_pos), len(act_pos))
for sym in set(list(exp_pos.keys()) + list(act_pos.keys())):
ep = exp_pos.get(sym)
ap = act_pos.get(sym)
if ep and ap:
pos_tol = tol.get("position_qty", 1e-9)
_cmp(f"positions[{sym}].qty", ep.qty, ap.qty, pos_tol)
_cmp(f"positions[{sym}].avg_entry", ep.avg_entry, ap.avg_entry, pos_tol)
_cmp(f"positions[{sym}].side", ep.side.value if ep.side else None, ap.side.value if ap.side else None)
elif ep and not ap:
diffs.append(ReplayMismatch(i, f"positions[{sym}]", "present", "missing", "critical"))
elif not ep and ap:
diffs.append(ReplayMismatch(i, f"positions[{sym}]", "missing", "present", "critical"))
# Trade path
if expected.trade_path and actual.trade_path:
ep = expected.trade_path
ap = actual.trade_path
_cmp("trade_path.pnl_bps", ep.pnl_bps, ap.pnl_bps, tol.get("pnl_bps", 0.1))
_cmp("trade_path.mae_bps", ep.mae_bps, ap.mae_bps, tol.get("mae_bps", 0.1))
_cmp("trade_path.mfe_bps", ep.mfe_bps, ap.mfe_bps, tol.get("mfe_bps", 0.1))
return diffs
# ==============================================================================
# Binary search for first mismatch
# ==============================================================================
def bisect_first_mismatch(
cwm: CodeWorldModel,
replay: Sequence[ReplayStep],
lo: int = 0,
hi: Optional[int] = None,
tolerances: Optional[Mapping[str, float]] = None,
) -> Optional[ReplayMismatch]:
"""
Binary search for the first mismatch in a replay trajectory.
Uses the CWM to re-simulate from known-good prefix, narrowing to the
first divergence point. Much faster than linear scan for long trajectories.
"""
if hi is None:
hi = len(replay) - 1
if lo > hi:
return None
# Find any mismatch in the range
mid = (lo + hi) // 2
mismatches = _compare_deep(
mid,
replay[mid].after_ground_truth,
cwm.transition(replay[mid].before, replay[mid].joint_action),
tolerances,
)
if mismatches:
# Check if earlier steps also mismatch
if mid > lo:
earlier = bisect_first_mismatch(cwm, replay, lo, mid - 1, tolerances)
if earlier:
return earlier
return mismatches[0]
# No mismatch at mid, check right half
return bisect_first_mismatch(cwm, replay, mid + 1, hi, tolerances)
# ==============================================================================
# Trajectory recording for self-play verification
# ==============================================================================
class TrajectoryRecorder:
"""
Records every state/action/next_state for deterministic re-run verification.
For self-play: persist trajectory → re-run must produce exact same states.
For historical: persist trajectory → CWM prediction must match ground truth.
"""
def __init__(self, max_steps: int = 10_000) -> None:
self._max_steps = max_steps
self._steps: list[TrajectoryRecord] = []
self._full_states: list[Tuple[MarketWorldState, Any, MarketWorldState]] = []
def record(
self,
step_index: int,
before: MarketWorldState,
action: Any,
after: MarketWorldState,
) -> None:
"""Record one step. Keeps full states for detailed comparison."""
if len(self._steps) >= self._max_steps:
return
self._steps.append(TrajectoryRecord(
step_index=step_index,
before_hash=_hash_state(before),
action_hash=_hash_action(action),
after_hash=_hash_state(after),
ts_ns=after.ts_ns,
symbol=before.venue.symbol,
))
self._full_states.append((before, action, after))
def verify_deterministic(
self,
cwm: CodeWorldModel,
) -> Tuple[bool, List[ReplayMismatch]]:
"""
Re-run the trajectory through CWM and verify exact match.
Must produce identical states for same inputs.
"""
mismatches: List[ReplayMismatch] = []
for idx, (before, action, expected_after) in enumerate(self._full_states):
actual_after = cwm.transition(before, action if isinstance(action, tuple) else (action,))
step_mismatches = _compare_deep(idx, expected_after, actual_after)
mismatches.extend(step_mismatches)
if any(m.is_critical for m in step_mismatches):
break
return (len(mismatches) == 0, mismatches)
def trajectory_hash(self) -> str:
"""Hash of the entire trajectory for quick comparison."""
parts = [s.before_hash + s.action_hash + s.after_hash for s in self._steps]
return hashlib.sha256("".join(parts).encode()).hexdigest()[:16]
@property
def step_count(self) -> int:
return len(self._steps)
@property
def steps(self) -> List[TrajectoryRecord]:
return list(self._steps)
def to_replay_steps(self) -> List[ReplayStep]:
"""Convert recorded trajectory to ReplayStep list."""
return [
ReplayStep(
before=before,
joint_action=action if isinstance(action, tuple) else (action,),
after_ground_truth=after,
step_index=idx,
)
for idx, (before, action, after) in enumerate(self._full_states)
]
# ==============================================================================
# ReplayVerifier — main interface
# ==============================================================================
class ReplayVerifier:
"""
Replay matching is mandatory.
A fast wrong CWM is worse than a slow correct one.
Three verification modes:
1. verify(): compare CWM predictions against ground truth steps
2. verify_deterministic(): re-run trajectory, check exact match
3. bisect(): binary search for first mismatch
Tolerances:
- Historical replay: exchange-data tolerances (feeds can drop)
- Self-play replay: tight tolerances (deterministic)
"""
HISTORICAL_TOLERANCES = {
"book_price": 0.01, # 1 cent
"book_qty": 0.001,
"account_equity": 0.01,
"position_qty": 0.0001,
"pnl_bps": 0.5,
}
SELF_PLAY_TOLERANCES = {
"book_price": 1e-9,
"book_qty": 1e-12,
"account_equity": 1e-9,
"position_qty": 1e-12,
"pnl_bps": 1e-6,
}
def verify(
self,
cwm: CodeWorldModel,
replay: Sequence[ReplayStep],
tolerances: Optional[Mapping[str, float]] = None,
) -> ReplayResult:
"""Verify CWM predictions against ground truth steps."""
t0 = time.perf_counter_ns()
tol = tolerances or self.HISTORICAL_TOLERANCES
all_mismatches: List[ReplayMismatch] = []
steps_verified = 0
first_mismatch_idx = None
for i, step in enumerate(replay):
pred = cwm.transition(step.before, step.joint_action)
mismatches = _compare_deep(i, step.after_ground_truth, pred, tol)
steps_verified += 1
if mismatches:
all_mismatches.extend(mismatches)
if first_mismatch_idx is None:
first_mismatch_idx = i
break
# Hash trajectory for caching
traj_hash = hashlib.sha256(
"".join(_hash_state(s.before) for s in replay).encode()
).hexdigest()[:16]
return ReplayResult(
passed=len(all_mismatches) == 0,
mismatches=all_mismatches,
steps_verified=steps_verified,
total_steps=len(replay),
first_mismatch_index=first_mismatch_idx,
duration_ns=time.perf_counter_ns() - t0,
trajectory_hash=traj_hash,
)
def verify_determinism(
self,
cwm: CodeWorldModel,
replay: Sequence[ReplayStep],
) -> ReplayResult:
"""Verify that re-running produces identical results."""
t0 = time.perf_counter_ns()
mismatches: List[ReplayMismatch] = []
# Run once, collect results
first_results: list = []
for step in replay:
first_results.append(cwm.transition(step.before, step.joint_action))
# Run again, compare
for i, step in enumerate(replay):
second = cwm.transition(step.before, step.joint_action)
step_mismatches = _compare_deep(i, first_results[i], second, self.SELF_PLAY_TOLERANCES)
mismatches.extend(step_mismatches)
if any(m.is_critical for m in step_mismatches):
break
traj_hash = hashlib.sha256(
"".join(_hash_state(s.before) for s in replay).encode()
).hexdigest()[:16]
return ReplayResult(
passed=len(mismatches) == 0,
mismatches=mismatches,
steps_verified=len(replay),
total_steps=len(replay),
first_mismatch_index=mismatches[0].index if mismatches else None,
duration_ns=time.perf_counter_ns() - t0,
trajectory_hash=traj_hash,
)
def bisect(
self,
cwm: CodeWorldModel,
replay: Sequence[ReplayStep],
tolerances: Optional[Mapping[str, float]] = None,
) -> Optional[ReplayMismatch]:
"""Binary search for first mismatch."""
return bisect_first_mismatch(cwm, replay, tolerances=tolerances)

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"""
Spread Dynamics Model — model how spread changes based on supply/demand.
Improves quote placement by predicting spread movements.
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Optional
import numpy as np
from numba import njit
@njit(cache=True)
def compute_spread_tendency(
current_spread_bps: float,
bid_depth: float,
ask_depth: float,
recent_trade_imbalance: float,
toxicity: float,
volatility: float,
) -> float:
"""
Compute spread tendency (positive = tightening, negative = widening).
Factors:
- Depth imbalance: more depth on one side → spread tends to tighten
- Trade imbalance: buying pressure → ask side thins → spread widens
- Toxicity: toxic flow widens spread
- Volatility: high volatility widens spread
Returns tendency in bps per second.
"""
# Depth factor: balanced depth → tightening
depth_balance = (bid_depth - ask_depth) / max(bid_depth + ask_depth, 1e-12)
depth_factor = -depth_balance * 0.5 # negative = tightening when balanced
# Trade imbalance factor: buying pressure widens spread
trade_factor = recent_trade_imbalance * 0.3
# Toxicity factor: toxic flow widens spread
toxicity_factor = toxicity * 0.5
# Volatility factor: high volatility widens spread
volatility_factor = volatility * 0.02
return depth_factor + trade_factor + toxicity_factor + volatility_factor
@njit(cache=True)
def predict_spread(
current_spread_bps: float,
spread_tendency: float,
time_horizon_s: float,
min_spread_bps: float = 0.1,
max_spread_bps: float = 100.0,
) -> float:
"""
Predict spread after time_horizon_s.
Model: spread adjusts toward equilibrium with mean reversion.
"""
# Mean reversion toward current level
reversion_rate = 0.1 # 10% reversion per second
target = current_spread_bps + spread_tendency * time_horizon_s
target = max(min_spread_bps, min(max_spread_bps, target))
# Apply mean reversion
predicted = current_spread_bps + (target - current_spread_bps) * (1 - math.exp(-reversion_rate * time_horizon_s))
return max(min_spread_bps, min(max_spread_bps, predicted))
class SpreadDynamicsModel:
"""
Spread dynamics model for the CWM.
Predicts spread movements to improve quote placement.
"""
def __init__(self) -> None:
self._spread_history: list[float] = []
self._last_spread_bps: float = 0.0
def update(self, spread_bps: float) -> None:
"""Update with current spread."""
self._spread_history.append(spread_bps)
self._last_spread_bps = spread_bps
# Keep only recent history
if len(self._spread_history) > 1000:
self._spread_history = self._spread_history[-500:]
def predict(self, time_horizon_s: float = 5.0) -> float:
"""Predict spread after time_horizon_s."""
if not self._spread_history:
return self._last_spread_bps
# Simple trend-based prediction
if len(self._spread_history) < 10:
return self._last_spread_bps
recent = self._spread_history[-10:]
trend = (recent[-1] - recent[0]) / len(recent)
predicted = self._last_spread_bps + trend * time_horizon_s
return max(0.1, predicted)
@property
def current_spread(self) -> float:
return self._last_spread_bps
@property
def spread_volatility(self) -> float:
if len(self._spread_history) < 10:
return 0.0
recent = self._spread_history[-50:]
mean = sum(recent) / len(recent)
variance = sum((x - mean) ** 2 for x in recent) / len(recent)
return math.sqrt(variance)

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"""
Volatility Clustering Model — model how volatility clusters over time.
Improves risk management by predicting volatility regime changes.
"""
from __future__ import annotations
import math
from dataclasses import dataclass
from typing import Optional
import numpy as np
from numba import njit
@njit(cache=True)
def compute_volatility_regime(
current_vol: float,
long_term_vol: float,
vol_of_vol: float,
recent_returns: np.ndarray,
) -> float:
"""
Compute volatility regime score (0-1).
Model:
- High current vol relative to long-term → regime = 1
- Low current vol relative to long-term → regime = 0
- vol_of_vol adjusts sensitivity
Returns regime score (0=low vol, 1=high vol).
"""
if long_term_vol <= 0:
return 0.5
vol_ratio = current_vol / long_term_vol
# Sigmoid mapping: vol_ratio=1 → 0.5, vol_ratio>1 → >0.5, vol_ratio<1 → <0.5
regime = 1.0 / (1.0 + math.exp(-2.0 * (vol_ratio - 1.0)))
return regime
@njit(cache=True)
def predict_volatility(
current_vol: float,
long_term_vol: float,
vol_of_vol: float,
time_horizon_s: float,
mean_reversion_rate: float = 0.05,
) -> float:
"""
Predict volatility after time_horizon_s.
Model: GARCH-like mean reversion toward long-term volatility.
"""
if long_term_vol <= 0:
return current_vol
# Mean reversion toward long-term
predicted = current_vol + (long_term_vol - current_vol) * (1 - math.exp(-mean_reversion_rate * time_horizon_s))
# Add vol-of-vol noise
noise = vol_of_vol * math.sqrt(time_horizon_s / 86400.0) # annualized
predicted += noise * (2.0 * ((hash(str(current_vol)) % 1000) / 1000.0) - 1.0)
return max(0.001, predicted)
class VolatilityClusteringModel:
"""
Volatility clustering model for the CWM.
Tracks volatility regime and predicts future volatility.
"""
def __init__(self) -> None:
self._vol_history: list[float] = []
self._long_term_vol: float = 15.0 # default
self._vol_of_vol: float = 5.0 # default
def update(self, volatility: float) -> None:
"""Update with current volatility."""
self._vol_history.append(volatility)
if len(self._vol_history) > 1000:
self._vol_history = self._vol_history[-500:]
# Update long-term estimate
if len(self._vol_history) > 50:
self._long_term_vol = sum(self._vol_history[-200:]) / len(self._vol_history[-200:])
def regime(self) -> float:
"""Get current volatility regime (0=low, 1=high)."""
if not self._vol_history:
return 0.5
current = self._vol_history[-1]
return compute_volatility_regime(current, self._long_term_vol, self._vol_of_vol, np.array([]))
def predict(self, time_horizon_s: float = 60.0) -> float:
"""Predict volatility after time_horizon_s."""
if not self._vol_history:
return self._long_term_vol
current = self._vol_history[-1]
return predict_volatility(current, self._long_term_vol, self._vol_of_vol, time_horizon_s)
@property
def current_volatility(self) -> float:
return self._vol_history[-1] if self._vol_history else 0.0
@property
def long_term_volatility(self) -> float:
return self._long_term_vol
@property
def vol_of_vol(self) -> float:
if len(self._vol_history) < 20:
return 0.0
recent = self._vol_history[-50:]
mean = sum(recent) / len(recent)
variance = sum((x - mean) ** 2 for x in recent) / len(recent)
return math.sqrt(variance)