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.
ScenarioFactory + CWM + Engine changes:
1. Scenario.venue field (default='bingx') — each scenario tagged with venue
2. ScenarioFactory.exchange_id parameter — controls which exchange scenarios simulate
3. _make_state + _behavior_state: venue propagated to VenueRules.exchange
4. All 34 scenario builders: venue=self.exchange_id
5. cross_exchange_transfer(): re-tag scenarios for different exchange
(strategy evolved on BingX can be re-evaluated on Binance)
6. CWM core.py: is_maker check updated for three-dimensional order model
(POST_ONLY no longer in OrderType; uses post_only flag instead)
Cross-exchange learning flow:
factory_bingx = ScenarioFactory(exchange_id='bingx')
scenarios_bingx = factory_bingx.build_suite(symbols=[...])
strategy = train(scenarios_bingx) # evolve on BingX
factory_binance = ScenarioFactory(exchange_id='binance')
scenarios_binance = factory_bingx.cross_exchange_transfer(
scenarios_bingx, target_exchange='binance')
score = evaluate(strategy, scenarios_binance) # test on Binance
All tests pass. Strategy PARAMETERS transfer; only venue tag + fees + order mapping change.
1. Vectorized reward path (cwm/core.py):
- Wired up existing compute_reward_vectorized from numba_core (was unused!)
- Eliminates FeatureVector dict allocation + Python dict lookups on hot path
- Numba path used when _HAS_NUMBA=True, Python fallback otherwise
- Bit-identical: same math operations, just via numba JIT
2. Ray-based parallel eval (training/ray_eval.py):
- Industrial multi-core execution via Ray (used by OpenAI/Anyscale)
- ray.put() stores params/scenarios in shared object store (no pickle per worker)
- Each worker: own CWM + planner, zero shared state, no races
- Bit-identical: same seed + same params = same results regardless of worker count
- PolicyEvaluator.evaluate_candidate: new use_ray=True parameter
3. VBT post-analysis (training/vbt_analysis.py):
- episodes_to_pnl_array, episodes_to_metrics (Sharpe, Sortino, VaR, win_rate, etc.)
- cross_asset_comparison, parameter_sensitivity
- format_metrics for human-readable output
- Analysis tool only — runs AFTER engine produces results
4. numba_core.py: added missing 'import math' for compute_reward_vectorized
13 new tests: vectorized reward bit-identity, Ray determinism, Ray result fields,
VBT metrics structure, cross-asset comparison, parameter sensitivity, edge cases.
Total: 1178 tests, 50 files, all green, zero regressions.
