4ffc8a601f
Planner: Decoupled UCB/UCT simultaneous-move MCTS (sm_mcts.py), compact action space (action_menu.py), planner alternatives (alternatives.py). Counterparties: 4+ adversarial agent ecology — ToxicTaker, LatencyArb, MarketMaker, NoiseTrader + extended: LiquidationFlow, WhaleOrder, MomentumFollower, SpoofDetector, QueueChaser.
127 lines
5.2 KiB
Python
127 lines
5.2 KiB
Python
"""
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Counterparty ecology — diverse adversarial agents for self-play.
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Each agent is a frozen policy with legal_actions() and rollout_action().
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The ecology is designed so that a pure quote gets picked off by toxic
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takers, and only a mixed distribution survives.
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"""
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from __future__ import annotations
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import random
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from dataclasses import dataclass
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from typing import Optional, Protocol, Tuple
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from malkhut.state import (
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ActionKind,
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AgentRole,
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FulfilmentPolicyParams,
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MarketWorldState,
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Side,
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)
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from malkhut.actions import CounterpartyAction
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class CounterpartyPolicy(Protocol):
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role: AgentRole
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def legal_actions(
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self,
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state: MarketWorldState,
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params: Optional[FulfilmentPolicyParams] = None,
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) -> Tuple[CounterpartyAction, ...]: ...
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def rollout_action(
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self,
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state: MarketWorldState,
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rng: random.Random,
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) -> CounterpartyAction: ...
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@dataclass(frozen=True, slots=True)
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class ToxicTakerPolicy:
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role: AgentRole = AgentRole.TOXIC_TAKER
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sensitivity: float = 0.5 # LOWER = more aggressive (attacks more often)
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def legal_actions(self, state: MarketWorldState, params: Optional[FulfilmentPolicyParams] = None) -> Tuple[CounterpartyAction, ...]:
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return (
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CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.BUY, 0, 0.25, toxicity=0.8),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.SELL, 0, 0.25, toxicity=0.8),
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)
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def rollout_action(self, state: MarketWorldState, rng: random.Random) -> CounterpartyAction:
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tox = state.trade_path.orderflow_toxicity if state.trade_path else 0.0
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if tox > self.sensitivity or rng.random() < 0.3: # 30% base attack rate
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side = Side.SELL if (state.trade_path and state.trade_path.cross_venue_lead_score < 0) else Side.BUY
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return CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, side, 0, 0.25, toxicity=tox)
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return CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0)
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@dataclass(frozen=True, slots=True)
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class PassiveMakerPolicy:
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role: AgentRole = AgentRole.PASSIVE_MAKER
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join_probability: float = 0.60
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def legal_actions(self, state: MarketWorldState, params: Optional[FulfilmentPolicyParams] = None) -> Tuple[CounterpartyAction, ...]:
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return (
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CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0),
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CounterpartyAction(self.role, ActionKind.PLACE, Side.BUY, 0, 0.20),
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CounterpartyAction(self.role, ActionKind.PLACE, Side.SELL, 0, 0.20),
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CounterpartyAction(self.role, ActionKind.CANCEL, None, 0, 0.0),
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)
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def rollout_action(self, state: MarketWorldState, rng: random.Random) -> CounterpartyAction:
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if rng.random() < self.join_probability:
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side = Side.BUY if rng.random() < 0.5 else Side.SELL
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return CounterpartyAction(self.role, ActionKind.PLACE, side, 0, 0.20)
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return CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0)
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@dataclass(frozen=True, slots=True)
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class LatencyArbPolicy:
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role: AgentRole = AgentRole.LATENCY_ARB
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lead_threshold: float = 0.55
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def legal_actions(self, state: MarketWorldState, params: Optional[FulfilmentPolicyParams] = None) -> Tuple[CounterpartyAction, ...]:
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return (
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CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.BUY, 0, 0.15, toxicity=0.9),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.SELL, 0, 0.15, toxicity=0.9),
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)
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def rollout_action(self, state: MarketWorldState, rng: random.Random) -> CounterpartyAction:
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lead = state.trade_path.cross_venue_lead_score if state.trade_path else 0.0
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if abs(lead) > self.lead_threshold:
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side = Side.BUY if lead > 0 else Side.SELL
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return CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, side, 0, 0.15, toxicity=0.9)
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return CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0)
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@dataclass(frozen=True, slots=True)
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class NoiseTraderPolicy:
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role: AgentRole = AgentRole.NOISE_TRADER
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def legal_actions(self, state: MarketWorldState, params: Optional[FulfilmentPolicyParams] = None) -> Tuple[CounterpartyAction, ...]:
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return (
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CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.BUY, 0, 0.05),
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CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.SELL, 0, 0.05),
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)
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def rollout_action(self, state: MarketWorldState, rng: random.Random) -> CounterpartyAction:
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r = rng.random()
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if r < 0.10:
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return CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.BUY, 0, 0.05)
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if r < 0.20:
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return CounterpartyAction(self.role, ActionKind.CROSS_SPREAD, Side.SELL, 0, 0.05)
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return CounterpartyAction(self.role, ActionKind.NOOP, None, 0, 0.0)
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def default_counterparty_ecology() -> Tuple[CounterpartyPolicy, ...]:
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return (
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ToxicTakerPolicy(),
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PassiveMakerPolicy(),
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LatencyArbPolicy(),
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NoiseTraderPolicy(),
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)
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