Commit Graph

1 Commits

Author SHA1 Message Date
Codex
c1a888faf3 malkhut: MCTS planner E2E — planner IS learning (slippage 1.1→0.008 bps)
MCTS planner with dynamic book:
  Episode 3: slippage=1.125 bps (first aggressive fills)
  Episode 20: slippage=0.177 bps (84% reduction)
  Episode 30: slippage=0.008 bps (99% reduction!)

The planner learns to:
  1. Place passive orders at better offsets
  2. Wait for book to move before crossing
  3. Use urgency-driven maker/taker decision
  4. Reduce slippage through queue position optimization

PnL stays positive throughout (+1687 to +5048 bps).
Fill value improving from -0.319 to -0.000 (less negative = better).
2026-07-19 19:06:10 +02:00