4 Commits

Author	SHA1	Message	Date
Codex	c868dbfb66	malkhut(docs): updated all docs — fee model, markout, urgency threshold	2026-07-18 19:14:34 +02:00
Codex	8857daedfa	malkhut: urgency-driven maker/taker + calibrated slippage + chase + docs	2026-07-17 10:16:55 +02:00
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	4aeadf1aae	docs: hftbacktest CWM integration design — drop-in LOB backend ... Architecture: hftbacktest replaces _fill_from_levels() + manual book updates Everything above transition() stays the same What changes: - HftBacktestCWM: new class implementing CodeWorldModel protocol - transition(): submit/cancel via hftbacktest, convert state back - fill model: ProbQueueModel (queue-position-aware) - latency: interpolated from historical data What does NOT change: - Planner (SM-MCTS, EXP3, Thompson, etc.) - Counterparty ecology (ToxicTaker, PassiveMaker, etc.) - Risk gate (all 6 checks) - CMA-ES trainer - PerformanceMatrix - Reward function (same PnL + adverse selection + risk) - Action menu, FulfilmentAction, ScenarioFactory - ALL existing tests Integration: 3 steps, zero core changes: 1. Create malkhut/cwm/hft_cwm.py 2. Swap cwm_factory in PolicyEvaluator 3. Done	2026-07-14 18:37:41 +02:00