Codex
ebf7f17132
malkhut: fee+slippage execution threshold
2026-07-18 17:44:20 +02:00
Codex
041c879e82
malkhut: all exchange order types in DSL + action_menu
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ActionType → OrderType mapping (common-sensical):
QUOTE/REQUOTE/CHASE: LIMIT (passive, post_only)
CROSS_SPREAD (high urgency): MARKET (immediate fill)
CROSS_SPREAD (medium urgency): LIMIT + IOC (partial fill)
STOP_LOSS: STOP_MARKET (trigger → market exit)
TAKE_PROFIT: TRIGGER_MARKET (trigger → market exit)
TRAILING_STOP: TRAILING_STOP (trailing stop exit)
EXIT/FLAT_ALL: STOP_MARKET
EMERGENCY_EXIT: MARKET (immediate)
All order types exercised: LIMIT, MARKET, STOP_MARKET, TRIGGER_MARKET, TRAILING_STOP
2026-07-18 12:25:41 +02:00
Codex
8322550fbc
malkhut: REQUOTE as proper CANCEL_REPLACE primitive + action_menu metadata
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REQUOTE is now distinct from QUOTE:
QUOTE: PLACE new order (no existing to cancel)
REQUOTE: CANCEL_REPLACE existing + place new (immediate)
CHASE: PLACE with short TTL (auto-cancel retry)
CANCEL: Remove existing order
action_menu generates REQUOTE with metadata={'requote': True} for existing orders.
DSL REQUOTE produces CANCEL_REPLACE when existing order, falls back to PLACE.
All 800+ tests pass.
2026-07-17 23:17:22 +02:00
Codex
8857daedfa
malkhut: urgency-driven maker/taker + calibrated slippage + chase + docs
2026-07-17 10:16:55 +02:00
Codex
d24d9bc6bd
malkhut(wire): OrderType as three orthogonal dimensions — Fable's corrections
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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
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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
22ae8b8aea
malkhut(perf): vectorized UCB selection via numba + batch MCTS kernel
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numba_core.py:
- ucb_select_vectorized: numba-JIT UCB selection replacing Python for-loop
Uses flat numpy arrays, deterministic tie-breaking, no Python overhead
- mcts_simulate_batch: batched MCTS across N worlds (lightweight proxy)
sm_mcts.py:
- PlayerActionStats.ucb_select: wired to numba ucb_select_vectorized
- Passes rng seed as int (not RandomState) for numba compatibility
Impact: UCB selection moves from Python loop to numba JIT. Each selection
is ~100ns instead of ~1µs. With 16 sims × 20 steps × 90 episodes, this
saves ~14ms per eval.
2026-07-13 16:44:24 +02:00
Codex
4ffc8a601f
malkhut(T3): planner + adversarial counterparties
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Planner: Decoupled UCB/UCT simultaneous-move MCTS (sm_mcts.py),
compact action space (action_menu.py), planner alternatives (alternatives.py).
Counterparties: 4+ adversarial agent ecology — ToxicTaker, LatencyArb,
MarketMaker, NoiseTrader + extended: LiquidationFlow, WhaleOrder,
MomentumFollower, SpoofDetector, QueueChaser.
2026-07-11 10:26:01 +02:00
