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bb229833d3
malkhut: Flight9 learnings — markout=quality, queue×flow, depth-for-size
Fable's Flight9/BLUE generalizable features incorporated:
1. Slippage model gains trade_flow_intensity parameter:
- Estimated from book imbalance (proxy for trade arrivals)
- More flow → better fills (lower slippage)
- Fable: 'fill = queue position × trade-flow intensity'
2. Markout = quality concept documented:
- Score fills by post-fill markout, not just fill/no-fill
- Maker fills are adversely selected
3. Depth-for-size documented:
- Spread lies; key on depth-within-K-bps vs order notional
4. Measured fees:
- BingX maker=2.00bp, taker=5.016bp (over 1,455 fills)
- BingX commission = NEGATIVE (debit)
5. OB study updated with Flight9 learnings