7ad123c4c1
Item 5 — PerformanceMatrix manifold: RegimeStrategyScore: added confidence, support_count, distance_to_nearest record() populates confidence from episode count (more evidence = more confidence) Item 6 — ActualsLoader: ActualsSnapshot: 12-field frozen dataclass for live market data ActualsLoader: reads CH tables (obf_universe, exf_data, maras_fingerprint, etc.) Synthetic fallback when CH unavailable Item 7 — OOD verdict in RiskGate: validate() now accepts daat_verdict parameter OUT_OF_DISTRIBUTION → veto action, fall back to doctrinal simple policy Backward compatible: default daat_verdict='KNOWN' Item 8 — Manifold query (three-phase recommendation): 1. DAAT classify live state (KNOWN/MARGINAL/OOD) 2. If KNOWN: find nearest regime in PerformanceMatrix → best strategy 3. If OOD: return doctrinal_simple fallback ManifoldRecommendation: strategy_id, confidence, regime, verdict, reason Item 10 — Book fidelity gap: BookFidelityConfig: n_levels, aggregation_window, min_depth synthesize_book_from_params: power-law D(d)=amplitude*d^(1-alpha) → OrderBookState Bridges OBF 15B rows → MALKHUT finite Tuple[PriceLevel] 5 files, 282 insertions.
101 lines
3.5 KiB
Python
101 lines
3.5 KiB
Python
"""
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Risk gate — final hard stop before venue execution.
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The planner is not trusted. The optimiser is not trusted. The exchange adapter
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is not trusted. This gate enforces hard invariants.
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"""
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from __future__ import annotations
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from malkhut.actions import FulfilmentAction, PlannedPolicy, RiskDecision
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from malkhut.state import (
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ActionKind,
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FulfilmentPolicyParams,
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MarketWorldState,
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MAX_ACCOUNT_LEVERAGE,
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MAX_CANCELS_PER_SYMBOL_PER_MINUTE,
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Side,
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)
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from malkhut.cwm import materialize_price_from_action
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class RiskGate:
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def validate(
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self,
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state: MarketWorldState,
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planned: PlannedPolicy,
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params: FulfilmentPolicyParams,
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daat_verdict: str = "KNOWN",
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) -> RiskDecision:
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"""Validate a planned action.
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Args:
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daat_verdict: "KNOWN" | "MARGINAL" | "OUT_OF_DISTRIBUTION"
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From DAAT classifier. If OUT_OF_DISTRIBUTION, veto the action
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and fall back to doctrinal simple policy.
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"""
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action = planned.selected_action
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# DAAT OOD veto — highest priority
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if daat_verdict == "OUT_OF_DISTRIBUTION":
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return RiskDecision(True, None, "ood_veto_fall_back_to_doctrinal")
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if action.kind == ActionKind.NOOP:
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return RiskDecision(True, action, "noop")
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if self._kill_switch_active():
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return RiskDecision(False, None, "kill_switch")
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if self._cancel_rate_would_exceed(state, action):
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return RiskDecision(False, None, "cancel_rate_limit")
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if self._would_self_trade(state, action):
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return RiskDecision(False, None, "self_trade_risk")
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if self._would_exceed_leverage(state, action, params):
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return RiskDecision(False, None, "leverage_limit")
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if self._would_exceed_symbol_notional(state, action, params):
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return RiskDecision(False, None, "symbol_notional_limit")
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if self._post_only_would_cross(state, action):
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return RiskDecision(False, None, "post_only_cross")
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if self._violates_venue_minima(state, action):
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return RiskDecision(False, None, "venue_minimum")
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return RiskDecision(True, action, "approved")
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def _kill_switch_active(self) -> bool:
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return False
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def _cancel_rate_would_exceed(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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def _would_self_trade(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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def _would_exceed_leverage(
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self, state: MarketWorldState, action: FulfilmentAction, params: FulfilmentPolicyParams,
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) -> bool:
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return state.account.total_notional / max(state.account.equity, 1e-12) > MAX_ACCOUNT_LEVERAGE
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def _would_exceed_symbol_notional(
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self, state: MarketWorldState, action: FulfilmentAction, params: FulfilmentPolicyParams,
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) -> bool:
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return False
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def _post_only_would_cross(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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if not action.post_only:
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return False
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price = materialize_price_from_action(state, action)
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if price is None:
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return False
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if action.side == Side.BUY and price >= state.book.best_ask:
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return True
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if action.side == Side.SELL and price <= state.book.best_bid:
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return True
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return False
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def _violates_venue_minima(self, state: MarketWorldState, action: FulfilmentAction) -> bool:
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return False
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