Codex 97a770da65 malkhut: online EWMA self-calibrating slippage model ...

Flight7 model underestimates by 80% in CWM dynamic book:
  raw predicted: 0.034 bps, actual: 0.180 bps
  Constant error across 22K episodes — no feedback loop.

Root cause: Flight7 calibrated on real BingX taker fills, but CWM's
synthetic dynamic book has different fill characteristics.

Fix: SlippageSelfCalibrator with EWMA feedback loop.
  After each fill: error = actual - predicted (clipped to +/-20 bps)
  EWMA smooths per-symbol errors (alpha=0.2)
  Next prediction = raw_model + EWMA_correction
  Bounded output: 0-50 bps absolute

Convergence (300 eps across 8 assets):
  ETH: 9% error (from 80%)
  SOL: 3.5%
  DOGE: 6.7%
  LINK: 5.7%
  ADA: 9.7%
  BTC: 48.6% (low fill count, converging)
  AVAX: 28.6% (low fill count)
  UNI: 52.5% (low fill count, early outlier)

Truthfulness guarantees:
  - Correction is observable (CALIBRATOR.correction(symbol))
  - Resets between runs (no hidden state)
  - Only uses observed fills, no assumptions
  - Error clipping prevents outlier domination
  - Absolute bounds prevent runaway

2026-07-20 15:17:16 +02:00

..

assets

malkhut(assets): full taxonomy onboarded for all 50 universe symbols (AssetCompiler, 0 failures)

2026-07-11 21:57:04 +02:00

clock

malkhut(T7): UV Clock — event-driven reactor + staleness watchdog

2026-07-11 10:36:30 +02:00

cwm

malkhut: online EWMA self-calibrating slippage model

2026-07-20 15:17:16 +02:00

daat

malkhut(spec): item 9 — DAAT package (Direction-Anchored Ambiguity Triage)

2026-07-14 02:33:31 +02:00

execution

malkhut(T5): risk gate + ASEx + IPC + storage + venue adapter

2026-07-11 10:31:31 +02:00

ipc

malkhut(T5): risk gate + ASEx + IPC + storage + venue adapter

2026-07-11 10:31:31 +02:00

planner

malkhut: fee+slippage execution threshold

2026-07-18 17:44:20 +02:00

risk

malkhut(e2e): 100-opponent swarm + empty book fix + error handling

2026-07-15 00:11:57 +02:00

storage

malkhut(fix): DuckDB sync FK-safe delete order + full E2E verification

2026-07-12 20:52:56 +02:00

tests

malkhut: fee+slippage execution threshold

2026-07-18 17:44:20 +02:00

training

malkhut: online EWMA self-calibrating slippage model

2026-07-20 15:17:16 +02:00

venue

malkhut: P0 guard + P1 BingX protective strings + tests fixed

2026-07-18 15:08:57 +02:00

__init__.py

malkhut(T1): scaffold — frozen state model, actions, features, engine

2026-07-11 10:21:27 +02:00

actions.py

malkhut(wire): OrderType as three orthogonal dimensions — Fable's corrections

2026-07-14 14:46:44 +02:00

bench_numba.py

malkhut(T2): Code World Model — deterministic exchange simulator

2026-07-11 10:23:44 +02:00

cma_rerun.py

malkhut(bench): CMA-ES re-run script at corrected fees

2026-07-14 17:39:24 +02:00

cognition_launcher.py

malkhut(T8): cognition pipeline + regime expansion + prod tooling

2026-07-11 10:39:03 +02:00

continuous_pipeline.py

malkhut(T8): cognition pipeline + regime expansion + prod tooling

2026-07-11 10:39:03 +02:00

counterparties_extended.py

malkhut(T3): planner + adversarial counterparties

2026-07-11 10:26:01 +02:00

counterparties.py

malkhut(T3): planner + adversarial counterparties

2026-07-11 10:26:01 +02:00

e2e_system_exercise.py

malkhut(e2e): full system exercise — HftBacktestCWM + 11-agent swarm + characterization

2026-07-14 23:07:38 +02:00

engine.py

malkhut(T1): scaffold — frozen state model, actions, features, engine

2026-07-11 10:21:27 +02:00

features.py

malkhut(T1): scaffold — frozen state model, actions, features, engine

2026-07-11 10:21:27 +02:00

launch_smoke_test.py

malkhut(T9): smoke test launchers

2026-07-11 10:41:31 +02:00

long_e2e_3h.py

malkhut(e2e): CMA-ES disabled for pure 100-opponent episode loop

2026-07-15 00:48:48 +02:00

long_e2e_35h.py

malkhut: 3.5H instrumented E2E + calibrated slippage + conditional slippage

2026-07-15 19:32:46 +02:00

long_learning_5h.py

malkhut: configurable friction per scenario + 5h learning test

2026-07-19 05:47:34 +02:00

mcts_e2e.py

malkhut: MCTS planner E2E — planner IS learning (slippage 1.1→0.008 bps)

2026-07-19 19:06:10 +02:00

smoke_test_60min.py

malkhut(T9): smoke test launchers

2026-07-11 10:41:31 +02:00

state.py

malkhut: fee+slippage execution threshold

2026-07-18 17:44:20 +02:00