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

..

__init__.py

malkhut(T6): training core — CMA-ES trainer, registry, pipeline, selector

2026-07-11 10:33:56 +02:00

_DATA_STORAGE_SCHEMA_FORMATS.md

malkhut: three-layer identifier architecture for cross-system asset identification

2026-07-12 00:40:14 +02:00

actuals_loader.py

malkhut(spec): items 5-10 — manifold, actuals, OOD, query, book fidelity

2026-07-14 06:11:37 +02:00

advantage_scorer.py

malkhut(scoring): fast scalar + advantage mode, reward execution quality

2026-07-13 13:38:32 +02:00

asset_behavior.py

malkhut: asset classification, behavior DSL, auto-compiler, behavior-driven scenarios

2026-07-11 06:37:17 +02:00

asset_bridge.py

malkhut: asset bridge — directory ↔ classification integration

2026-07-12 10:45:37 +02:00

asset_classification.py

malkhut: ExchangeProfile gains available_order_types per venue

2026-07-14 12:14:54 +02:00

asset_compiler.py

malkhut: asset classification, behavior DSL, auto-compiler, behavior-driven scenarios

2026-07-11 06:37:17 +02:00

book_fidelity.py

malkhut(spec): items 5-10 — manifold, actuals, OOD, query, book fidelity

2026-07-14 06:11:37 +02:00

cma_trainer.py

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

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

cognition.py

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

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

discrepancy.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

dsl.py

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

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

execution_quality.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

generator.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

hooks.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

importance.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

manifold_query.py

malkhut(spec): items 5-10 — manifold, actuals, OOD, query, book fidelity

2026-07-14 06:11:37 +02:00

monitor.py

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

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

news_sources.py

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

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

observability.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

order_types.py

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

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

parallel_eval.py

malkhut(perf): parallel episode eval — 9x single-eval speedup, zero fidelity loss

2026-07-11 20:19:32 +02:00

parallel.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

pipeline.py

malkhut(T6): training core — CMA-ES trainer, registry, pipeline, selector

2026-07-11 10:33:56 +02:00

ray_eval.py

malkhut(optim): vectorized reward + Ray parallel eval + VBT post-analysis

2026-07-12 23:56:16 +02:00

regime_expansion.py

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

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

registry.py

malkhut(T6): training core — CMA-ES trainer, registry, pipeline, selector

2026-07-11 10:33:56 +02:00

rollback.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

scenario_library.py

malkhut(spec): item 4 — ScenarioLibrary sweep for Mode 1 coverage

2026-07-14 05:34:05 +02:00

selector.py

malkhut(wire): fill quality as PRIMARY optimization target

2026-07-15 15:22:25 +02:00

slippage_calibration.py

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

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

stress.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

structured_obs.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

trajectory.py

malkhut(T4): Strategy DSL v2 + generator + supporting modules

2026-07-11 10:28:38 +02:00

vbt_analysis.py

malkhut(optim): vectorized reward + Ray parallel eval + VBT post-analysis

2026-07-12 23:56:16 +02:00