Codex
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8b385cb249
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malkhut(cwm): HftBacktestCWM — queue model + 59-test suite
HftBacktestCWM (cwm/hft_cwm.py):
- PowerProbQueueModel: probabilistic fill per level (pre-computed)
- Level 0 always fills, deeper levels have decreasing probability
- Deterministic fallback when use_queue_model=False
- Same transition/reward/terminal API as MinimalCryptoLOBCWM
- Fallback to deterministic level consumption when hftbacktest unavailable
59 tests (test_hft_cwm.py) covering 15 test classes:
1. Queue model correctness (fill probs, monotonic, bounds, determinism)
2. Determinism & reproducibility
3. CWM interface compatibility (cross, place, cancel, post_only, reduce)
4. Reward function (profit, noop, maker bonus)
5. Edge cases (empty book, zero qty, extreme price, many levels)
6. Position tracking (buy, sell, flip)
7. Fee application (taker fee reduces equity)
8. Counterparty ecology (toxic taker hits book, noop preserves)
9. CWM comparison (Hft vs Minimal agree on noop)
10. Venue propagation (scenario tagging, cross-exchange transfer)
11. PerformanceMatrix venue keying (record, per-venue best, comparison)
12. Risk gate integration (approve, leverage, OOD, kill switch, self-trade)
13. Stress tests (rapid transitions, 20 open orders, cancel all)
14. Full episode integration (single episode runs, policy evaluator)
15. hftbacktest availability check
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2026-07-14 19:46:34 +02:00 |
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