Codex
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6990ff3bee
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malkhut: asset-faithful book generation with composable toggles
Three independently toggleable features:
1. Asset-faithful depth/spread: levels sized by OB study power-law per asset
2. Intraday volume clock: depth scales by time-of-day (peak/trough)
3. Realistic spread: per-asset spread from OB study + Flight7
Composable via BookGenerationConfig toggles:
use_asset_faithful_depth, use_asset_faithful_spread, use_intraday_clock,
use_weekend_mode, use_stress_mode, use_fragility, worst_case_mode
worst_case_mode overrides everything for max adversarial learning:
spread * stress_mult, depth * fragility, no intraday/weekend.
DuckDB registry for online updates:
AssetRegistry: upsert/get/list/delete/query
RuntimeProfileCache: hot-reload during CWM runs
upsert_from_csv/export_csv: pipeline support
upsert_all_from_asset_behaviors(): seed from OB study
Results (8 assets):
BTC: spread 0.031 bps, depth $350M (normal) / $4.9M (worst)
DOGE: spread 2.86 bps, depth $2M (normal) / $132K (worst)
ADA: spread 11.8 bps, depth $10M (normal) / $511K (worst)
Intraday: BTC peak/trough = 2.8x depth ratio
All 99 tests green (31 new + 68 existing).
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2026-07-20 19:06:24 +02:00 |
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