Commit Graph

7 Commits

Author SHA1 Message Date
Codex
4926ef6788 malkhut: CHASE mechanics FIXED + Flight9 learnings + TTL enforcement
1. CHASE mechanics (NOW WORKING):
   - CWM enforces TTL on open orders (auto-cancel when expired)
   - DSL CHASE produces PLACE with metadata={chase: True}
   - Action menu generates chase actions with wait_to_retry_ms TTL
   - OpenOrderState.gains ttl_ms field (0=no expiry, >0=auto-cancel)

2. TTL enforcement (CWM):
   - HftBacktestCWM: auto-cancels orders where age >= ttl_ms
   - MinimalCryptoLOBCWM: same TTL enforcement
   - This is how CHASE works: place→wait→auto-cancel→next step re-places

3. Flight9 learnings:
   - Slippage model gains trade_flow_intensity parameter
   - Book imbalance as proxy for trade arrival rate
   - Markout = quality concept documented

4. CHASE tests: 10 new tests covering TTL enforcement, cancel-retry cycle,
   max retries, DSL CHASE action, CMA codec integration

5. All 800+ tests pass
2026-07-17 19:30:17 +02:00
Codex
8857daedfa malkhut: urgency-driven maker/taker + calibrated slippage + chase + docs 2026-07-17 10:16:55 +02:00
Codex
c03d914e7a malkhut: conditional slippage (Fable) 2026-07-15 17:05:16 +02:00
Codex
618ad723e3 malkhut(wire): fill quality as PRIMARY optimization target
Fill quality is MALKHUT's core aim. Wired end-to-end:

1. FillQuality state (state.py):
   - slippage_bps, price_improvement_bps, levels_consumed
   - is_maker_fill, rolling_fill_rate, post_fill_adverse_bps
   - fill_value_score: composite metric for optimization
   - Added to MarketWorldState.fill_quality field

2. HftBacktestCWM.transition() (hft_cwm.py):
   - _compute_fill_quality() computes all metrics per transition
   - Fill quality now tracked for every CWM step
   - Empty book guards added for safety

3. MinimalCryptoLOBCWM.transition() (core.py):
   - Same fill quality computation for deterministic fallback
   - Empty book guards added

4. Reward function (hft_cwm.py):
   - fill_quality_reward = w_fill_probability * fill_value_score (PRIMARY)
   - Bonus for maker fills that improve price
   - Penalty for adverse selection after fill
   - Base reward (PnL, adverse selection, fees) preserved

5. PerformanceMatrix (selector.py):
   - RegimeStrategyScore: 4 new fill quality fields
   - record(): accepts fill_rate, slippage, price_improvement, fill_value_score
   - EMA updates for all fill quality metrics

6. EpisodeResult (cma_trainer.py):
   - avg_fill_value_score, avg_price_improvement_bps, avg_post_fill_adverse_bps
   - Accumulated per-step during _run_episode
   - Recorded to PerformanceMatrix in evaluate_candidate

All 1379+ tests green.
2026-07-15 15:22:25 +02:00
Codex
d24d9bc6bd malkhut(wire): OrderType as three orthogonal dimensions — Fable's corrections
CRITICAL REFACTOR based on Fable's review (S9 roadmap item):

Before: flat enum conflating order types with TIF/instructions
  OrderType had MARKET, LIMIT, IOC, FOK, POST_ONLY, REDUCE_ONLY, etc.

After: three orthogonal dimensions (FIX-aligned):
  1. OrderType (Tag 40): what the order IS
     LIMIT, MARKET, STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT,
     TRAILING_STOP, OCO, TP_SL
  2. TimeInForce (Tag 59): how long it LIVES
     GTC, IOC, FOK, GTD
  3. Instructions (Tag 18): behavioral modifiers
     POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG

Key corrections:
- POST_ONLY is an instruction on a LIMIT order, not a standalone type
- IOC/FOK are TimeInForce values, not order types
- BingX trailing_stop -> native TRAILING_STOP_MARKET (not TRIGGER_MARKET)
- FulfilmentAction.time_in_force: new field, default GTC

Exchange mappings restructured:
  EXCHANGE_ORDER_TYPE_MAP: OrderType -> exchange native 'type' param
  EXCHANGE_TIF_MAP: TimeInForce -> exchange native 'timeInForce' param
  EXCHANGE_INSTRUCTION_MAP: Instruction -> exchange encoding

21 files changed. 380+ tests pass. Backward compatible.
2026-07-14 14:46:44 +02:00
Codex
3324933613 malkhut(wire): OrderType unified — 5-layer taxonomy, backward compatible
state.py OrderType replaced with 5-layer taxonomy (FIX/CCXT aligned):
  Layer 1: MARKET, LIMIT (FIX Tag 40)
  Layer 2: GTC, IOC, FOK, GTD (FIX Tag 59)
  Layer 3: STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT, TRAILING_STOP
  Layer 4: POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG (FIX Tag 18)
  Layer 5: OCO, TP_SL (exchange-specific)

action_menu.py: REDUCE_ONLY_MARKET → MARKET (reduce_only field handles it)

All 1126 tests pass. Fully wired and backward compatible.
2026-07-14 13:04:54 +02:00
Codex
aa22529330 malkhut(T1): scaffold — frozen state model, actions, features, engine
T1 scaffold: 42 frozen dataclasses (state.py), action model + PlannedPolicy +
RiskDecision (actions.py), 17-feature extraction (features.py),
FulfilmentEngine hot-path orchestrator (engine.py).
2026-07-11 10:21:27 +02:00