Codex 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

2026-07-17 16:18:43 +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: Flight9 learnings — markout=quality, queue×flow, depth-for-size

2026-07-17 16:18:43 +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: urgency-driven maker/taker + calibrated slippage + chase + docs

2026-07-17 10:16:55 +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: urgency-driven maker/taker + calibrated slippage + chase + docs

2026-07-17 10:16:55 +02:00

training

malkhut: Flight9 learnings — markout=quality, queue×flow, depth-for-size

2026-07-17 16:18:43 +02:00

venue

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

2026-07-14 14:46:44 +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

smoke_test_60min.py

malkhut(T9): smoke test launchers

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

state.py

malkhut: urgency-driven maker/taker + calibrated slippage + chase + docs

2026-07-17 10:16:55 +02:00