""" Action menu builder — reduces impossible action space to compact meaningful set. Menu size target: our actions: 8-24 each counterparty role: 3-12 depth: 2-4 """ from __future__ import annotations from typing import List, Optional, Tuple from malkhut.state import ( ActionKind, FulfilmentPolicyParams, IntentKind, MarketWorldState, OpenOrderState, OrderType, Side, TradePathState, ) from malkhut.actions import FulfilmentAction def _side_for_intent(intent_kind: IntentKind) -> Side: if intent_kind in (IntentKind.ENTER_LONG, IntentKind.ADD_LONG, IntentKind.REDUCE_SHORT, IntentKind.EXIT_SHORT): return Side.BUY return Side.SELL def _exit_side_for_position(state: MarketWorldState) -> Optional[Side]: path = state.trade_path if path is None: return None return Side.SELL if path.side == Side.BUY else Side.BUY def _path_risk_says_exit(state: MarketWorldState, params: FulfilmentPolicyParams) -> bool: path = state.trade_path if path is None: return False if abs(path.mae_bps) >= params.mae_tail_cut_bps: if path.recovery_velocity_bps_per_s < params.recovery_velocity_min_bps_per_s: return True if path.time_in_loss_s > params.max_time_in_loss_s: return True if path.failed_recovery_count >= params.failed_recovery_cut_count: return True if path.mfe_bps > 0: giveback = path.distance_from_mfe_bps / max(path.mfe_bps, 1e-12) if giveback >= params.mfe_giveback_cut_fraction: return True return False def build_our_actions( state: MarketWorldState, params: FulfilmentPolicyParams, ) -> Tuple[FulfilmentAction, ...]: intent = state.intent if intent is None: return (FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0),) side = _side_for_intent(intent) actions: List[FulfilmentAction] = [] # Always allow no-op actions.append(FulfilmentAction( kind=ActionKind.NOOP, side=None, order_type=None, price_ticks_from_best=0, qty_fraction=0.0, ttl_ms=100, )) # Existing order management for oo in state.open_orders: if oo.symbol != intent.symbol: continue actions.append(FulfilmentAction( kind=ActionKind.CANCEL, side=oo.side, order_type=None, price_ticks_from_best=0, qty_fraction=0.0, ttl_ms=0, cancel_order_id=oo.client_order_id, )) for offset in params.quote_offsets_ticks: actions.append(FulfilmentAction( kind=ActionKind.CANCEL_REPLACE, side=side, order_type=OrderType.POST_ONLY if intent.prefer_maker else OrderType.LIMIT, price_ticks_from_best=offset, qty_fraction=0.25, ttl_ms=params.passive_ttl_ms, cancel_order_id=oo.client_order_id, post_only=intent.prefer_maker, reduce_only=intent.reduce_only, )) # Passive quote placements for offset in params.quote_offsets_ticks: for frac in params.quote_size_fractions: actions.append(FulfilmentAction( kind=ActionKind.PLACE, side=side, order_type=OrderType.POST_ONLY if intent.prefer_maker else OrderType.LIMIT, price_ticks_from_best=offset, qty_fraction=frac, ttl_ms=params.passive_ttl_ms, post_only=intent.prefer_maker, reduce_only=intent.reduce_only, )) # Aggressive crossing if urgency allows if intent.urgency > 0.65: for frac in (0.05, 0.10, 0.25): actions.append(FulfilmentAction( kind=ActionKind.CROSS_SPREAD, side=side, order_type=OrderType.IOC, price_ticks_from_best=0, qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms, reduce_only=intent.reduce_only, )) # Path-risk exits if _path_risk_says_exit(state, params): actions.append(FulfilmentAction( kind=ActionKind.FULL_EXIT, side=_exit_side_for_position(state), order_type=OrderType.MARKET, price_ticks_from_best=0, qty_fraction=1.0, ttl_ms=0, reduce_only=True, metadata={"reason": "path_risk_exit"}, )) return tuple(actions)