2 Commits

Author	SHA1	Message	Date
Codex	619966605e	malkhut(docs): fill quality documentation — README, integration, OB study ... README: Fill Quality section (core optimization target, metrics, reward function, PerformanceMatrix, CMA-ES integration) HftBacktestCWM integration doc: FillQuality dataclass, fill_value_score computation, reward function weighting, PerformanceMatrix tracking OB microstructure study: Section 13 — Fill Quality Optimization, per-asset expectations, optimization strategy, connection to OB dynamics Fill quality is MALKHUT's core aim: the system learns to get better fills (faster, better-priced, less adverse selection) across regimes and venues.	2026-07-15 15:36:22 +02:00
Codex	943b3ef985	docs: order book microstructure study — 12 sections, 13 assets ... Comprehensive OB study compiled from live Binance/BingX data + academic literature (Bouchaud, Cont/Stoikov, Cartea/Jaimungal): 1. Depth power-law decay: D(d) = A * d^(1-alpha), per-asset params 2. Spread profiles: normal + stress multipliers for all 13 assets 3. Order flow: arrival rates, cancel/fill ratios, size distributions 4. Market maker behavior: inventory limits, pull speed, margins 5. Volatility regimes: GARCH params, half-lives, crisis multipliers 6. Intraday patterns: peak/trough hours, session analysis 7. Cross-asset correlations: normal vs crash behavior 8. BingX-specific: spread/depth/latency/fees vs Binance ratios 9. Book fragility & cascade dynamics: flash crash anatomy 10. Retail vs institutional composition 11. Funding rates: per-asset means, std, positive% 12. Expected slippage model	2026-07-14 18:17:15 +02:00