Rolling stats (no episode accumulation), CMA-ES every 10 cycles (3 evals),
gc.collect() after CMA, global try/except for crash safety.
100-opponent swarm, 9 assets, 270 scenarios.
Fixed OOM kill by replacing all_episodes list accumulation with:
- Rolling stats (clear every 20 episodes)
- Only PnL history kept for characterization
- Peak/worst tracking without full episode storage
- Periodic stdout reports from rolling aggregates
100-opponent swarm + 9 assets × 30 scenarios = 270 scenarios per cycle.
CMA-ES every 5 cycles (3 evals). 3-hour target.
- 100 diverse opponents (randomized params within each type)
- Risk gate: empty book guard in _post_only_would_cross
- CMA-ES: only every 5 cycles, 3 evals, robust error handling
- Main loop: try/except prevents silent crashes
- Profiling: 11.7 steps/sec with 100 opponents
- _quantize_to_tick_conservative: BUY→ROUND_FLOOR (never up into ask), SELL→ROUND_CEILING (never down into bid)
- Removed unused _quantize_to_step (size/step quantization at venue-dialect submit, not placer)
- Fixed cross-quantize tests: with conservative rounding, BUY floors down, SELL ceilings up → never crosses
- Added TestQuantizeToTickConservative with 8 tests for side-aware rounding
- Mutation-litmus: spread gate, TAKER gate, quantize-cross all RED on inversion
- 33 placer tests + 30 router + 18 drive_loop = 81 total green
- Drive_loop.py (commit 670b739a) now consumes pre_submit via wants_placement
Weird-pass review of pink_direct.py + exec_router.py + unified spec vs industry practice.
Ranked findings, each grounded (cited sources + nautilus/FIX/OMS internals):
- H1 float money math (PINK) — against consensus; ALREADY fixed by rebuild's Decimal contract
- H2 crash-recovery state in /tmp — durable+atomic path needed
- H3 shared VST account + symbol-membership ownership — sub-account isolation is the fix
- H4 clientOrderId must be unique PER ATTEMPT — gap in my contract.py (raw request_id seed)
- H5 WS-primary without explicit seqnum gap detection — add forced REST resync
- M1 bare except-pass swallows; M2 dead-man-stop orphan hard-gate; M3 L673 sign bug
Plus a balance section: where PINK/spec are AT/ABOVE best practice (don't 'fix' these).
Net: spec sound (deviations are additions); real deviations are PINK-side; float already fixed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Read pink_direct.py (1837L) in full. Catalogues all ~16 execution scar-tissue mechanisms
with line refs + the incident each encodes, classified PORT/SEAM/AMEND/SUPERSEDED. Captures
the _handle_expired_working control-flow sequence verbatim (the heart of the port).
Two governing rulings folded in:
- ZERO SILENT SUPPRESSION (operator: 'we paid dearly for pink'): any mechanism not ported
as live code is carried into exec_unified as a referenced comment (reasoning +
pink_direct.py:LNNN) at its seam. Silent omission is the one unforgivable port error.
- Both axes: T-tier (smartness) AND S-tier (size, §15.2). PINK loop = single-clip S0/S1;
slicers compose above the contract (T*.s), in-order size mechanics are T14+, S2+ pain-
fence is NEW doctrine to add.
Also flags a live SIGN-BUG candidate (pink_direct.py:673 'negative = rebate' contradicts
today's Q1: BingX commission negative = DEBIT). Bounded by K≈E gate; NOT touching BLUE/PINK.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
First code of the Unified Execution Layer (SPEC_UNIFIED_EXEC_LAYER_20260714.md). Pure
policy, stdlib+Decimal only, zero I/O, zero venue knowledge, zero importers elsewhere —
adopting it breaks nothing (freeze-safe; operator unparked the build 2026-07-14).
- contract.py: ExecutionRequest input surface (§2.1) + V-TYPES (Side, UrgencyClass,
ProtectiveSpec, ExecutionAdvice), frozen, validated-at-construction, illegal states
unrepresentable. 'an asset, a size, and a prayer'.
- router.py: decide(request) -> RoutingDecision — total pure map of the §6 urgency
ladder. Encodes A1 adjudication verdict in the architecture: Router=whether-maker,
SmartPlacer=where-in-book via the wants_placement/pre_submit seam. Complementary.
- _constants.py: policy magnitudes with provenance; PROVISIONAL ones flagged for
L8/L10 calibration (never vibes, never a hardcoded cadence).
- test_exec_unified.py: 26 behaviour + mutation-litmus tests. Verified RED under
CATASTROPHIC->MAKER and ACQUIRE cross_on_expiry->True mutations.
Not yet wired: PINK drive-loop port (§7), venue dialect (§11), telemetry (§12).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
omp's raw VST capture is correct (2.00 bps = exactly BingX 0.02% published maker rate).
Sign was inverted: BingX reports commission negative for a DEBIT, so -0.001291 USDT is a
fee PAID, not a rebate. Refutes SPEC §0 '1 bp maker' assumption (real = 2 bp); maker-both
RT ~4 bp vs taker ~10 bp — savings case survives, no rebate. Adds EXEC_NAVIGATION_MAP_FOR_OMP.md
to bound omp's searches to prod/bingx/ (was grepping Nautilus framework internals).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Risk gate (risk/gate.py) — 5 stubs implemented:
1. _kill_switch_active(): operator-controlled emergency stop via set_kill_switch()
2. _cancel_rate_would_exceed(): tracks cancel timestamps per symbol in 60s
sliding window, blocks if >= MAX_CANCELS_PER_SYMBOL_PER_MINUTE
3. _would_self_trade(): checks open orders for same symbol+side at same price
(within tick_size), skipping the cancel_order_id for CANCEL_REPLACE
4. _would_exceed_symbol_notional(): sums current open order notional + new
order notional, blocks if > equity * MAX_SYMBOL_NOTIONAL_FRACTION
5. _violates_venue_minima(): checks tick alignment, lot rounding, min_qty,
and min_notional — all float-robust comparisons
ScenarioFactory — 3 remaining hardcoded scenarios converted:
1. _spread_tightening: spread_mult=0.3, depth_fraction=1.0 (was hardcoded BTC)
2. _cross_venue_arb: spread_mult=0.5, depth_fraction=0.5 (was hardcoded BTC)
3. _cross_exchange_arb_stress: spread_mult=0.8, depth_fraction=0.3 (was hardcoded BTC)
All 30 scenarios now use _behavior_state() — zero hardcoded prices remain.
675 tests pass. Zero regressions.
Operator's live bluff-check caught it: final grep stage without --line-buffered
block-buffers wakes silently. Verified fixed via EARTEST injection (same-second fire).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
- evaluator: passes scenario.venue to matrix.record(venue=...)
- PerformanceMatrix.record(): accepts venue parameter (default='bingx')
- Enables cross-exchange learnings: same strategy tested on BingX vs Binance
gets separate performance entries per venue
Adversary ecology analysis:
Counterparties operate at ActionKind level (CROSS_SPREAD/PLACE/CANCEL),
not at order-type level. The CWM infers order type from ActionKind:
CROSS_SPREAD → fills aggressively → equivalent to MARKET
PLACE → passive quote → equivalent to LIMIT
This is correct and venue-independent. Fee calculation already uses
VenueRules (per-exchange fees). No adversary changes needed.
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.
Updated README to reflect Fable's corrections:
- OrderType/TimeInForce/Instructions as three orthogonal dimensions
- POST_ONLY/IOC/FOK correctly described as non-types
- BingX trailing_stop -> TRAILING_STOP_MARKET
- Three mapping tables (order type, TIF, instructions)
- Integration status updated
adapter.py now uses normalize_to_exchange(action.order_type, 'bingx')
to translate normalized order types to BingX-native strings.
Falls back to LIMIT/MARKET/POST_ONLY for backward compatibility.
This is the critical integration point: standardized order types flow
from FulfilmentAction → CWM → VenueAdapter → exchange API.
DaatQuery: 8-feature market state representation
DaatVerdict: KNOWN / MARGINAL / OUT_OF_DISTRIBUTION
daat_classify: cosine RETRIEVE → magnitude GATE → local MODEL
- Cosine finds nearest explored state (directional match)
- Magnitude gate detects out-of-distribution states
- Empty explored set → always OUT_OF_DISTRIBUTION
9 tests covering: known state, OOD, empty explored, marginal, result fields.
No Unicode in code. All tests pass.
Item 1 — Mutation-litmus test (spec §1 item 3):
- test_taker_fee_10x_changes_score: fee change MUST affect score
- test_zero_fees_vs_correct_fees: zero vs 5bps must differ
- BOTH PASS — confirms fees ARE wired into reward function
- If fees were ignored, these tests would go RED
Item 3 — Maker fee verification (spec §1 item 5):
- Added '# UNVERIFIED — no maker fills on record as of 2026-07-13'
to Binance and Bybit exchange profiles
- Maker fee sign (positive on BingX, negative rebate on others)
is correct after fee fix but unverified from actual fills.
Items 2,4-10 remain for implementation.
Operator-approved. Apostrophe dropped (ASCII identifier law: import daat, DaatQuery,
dolphin_daat.*, no Unicode in any symbol/path/table). The acronym earns its letters:
D=direction (cosine retrieve), A=anchored (magnitude envelope gate), A=ambiguity
(the state we refuse to collapse), T=triage (KNOWN/MARGINAL/OUT_OF_DISTRIBUTION).
'Triage' is deliberate — the house already triages NOT_ATTEMPTED/REFUSED/INDETERMINATE
at the venue. Same verb, same law, now the names say so. Da'at (knowledge, the hidden
sefirah that sits above Malkhut and feeds it) survives in the etymology, where it costs
nothing. YESOD considered and set aside: it names the conduit, not the knowing.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Operator's cosine proposal: ADOPTED as stage 1 of 3, never alone.
- Stage 1 RETRIEVE: cosine on DIRECTION = matmul = the reflex (fast, exact, deterministic)
- Stage 2 GATE: magnitude envelope + support + Mahalanobis -> OUT_OF_DISTRIBUTION
- Stage 3 MODEL: local tangent-space/GP -> prediction + VARIANCE (the real extrapolation)
THE DANGER: crises preserve direction and explode magnitude. Cosine returns
similarity 1.0 for a same-shape-10x-size state — max confidence at the exact moment
it is most wrong. Cosine CANNOT produce the OOD verdict; storing direction+magnitude
separately is the entire crash-safety story.
Same law, third coat: INDETERMINATE (venue) / stale-price (exit) / OOD (manifold).
Unknown is not flat, not 'best guess'.
TOPOLOGY (operator's IFF): cyclic (sin,cos) encoding = free + REQUIRED for the
streak-phase grail study; component detection = cheap; persistent homology = EARN IT
(offline Mode-1 diagnostic that shapes the gate, never a per-tick op).
GENERALIZATION: three-stage discipline (not one metric) is a shared kernel — market
fingerprint (scalar_hash is a hash reaching for this; conflict_level is latent OOD),
trade-path/ADVSL, exit-decision, asset transfer (= how full-universe becomes
affordable), counterparty simplex, ops/incident prefiguration, streak-wave phase.
One guard defends all: confident interpolation into unexplored magnitude is the
universal failure mode. Proposed name: DA'AT.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two modes (operator): EXPLORE (synthetics, ecology-dominant, billions of combos,
emits a MANIFOLD) -> RECOMMEND (live OBF as query, localize + extrapolate, OOD
verdict falls back to doctrinal). Ecology stays: actuals calibrate, ecology plays.
Findings verified live tonight:
- FEE BUG CONFIRMED: trade_execution_quality says 5.016 bps taker; code says 0.5
(asset_classification.py:154/164/174/384). Every CMA-ES number is void until re-baselined.
- BOOK GAP: obf_universe (15.3B rows) is L1+aggregates, NOT a ladder. Three options,
must declare which; book_source provenance tag on every artifact.
- LATENCY: p50 49.9ms / p95 597ms / p99 10.8s / max 450s. Constant-100ms is fiction.
- REGIME MISMATCH: MARAS emits 5 regimes; MALKHUT selector invented 9. RegimeBridge needed.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
