d24d9bc6bd
CRITICAL REFACTOR based on Fable's review (S9 roadmap item):
Before: flat enum conflating order types with TIF/instructions
OrderType had MARKET, LIMIT, IOC, FOK, POST_ONLY, REDUCE_ONLY, etc.
After: three orthogonal dimensions (FIX-aligned):
1. OrderType (Tag 40): what the order IS
LIMIT, MARKET, STOP_MARKET, STOP_LIMIT, TRIGGER_MARKET, TRIGGER_LIMIT,
TRAILING_STOP, OCO, TP_SL
2. TimeInForce (Tag 59): how long it LIVES
GTC, IOC, FOK, GTD
3. Instructions (Tag 18): behavioral modifiers
POST_ONLY, REDUCE_ONLY, HIDDEN, ICEBERG
Key corrections:
- POST_ONLY is an instruction on a LIMIT order, not a standalone type
- IOC/FOK are TimeInForce values, not order types
- BingX trailing_stop -> native TRAILING_STOP_MARKET (not TRIGGER_MARKET)
- FulfilmentAction.time_in_force: new field, default GTC
Exchange mappings restructured:
EXCHANGE_ORDER_TYPE_MAP: OrderType -> exchange native 'type' param
EXCHANGE_TIF_MAP: TimeInForce -> exchange native 'timeInForce' param
EXCHANGE_INSTRUCTION_MAP: Instruction -> exchange encoding
21 files changed. 380+ tests pass. Backward compatible.
131 lines
4.1 KiB
Python
131 lines
4.1 KiB
Python
"""
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Action menu builder — reduces impossible action space to compact meaningful set.
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Menu size target:
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our actions: 8-24
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each counterparty role: 3-12
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depth: 2-4
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"""
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from __future__ import annotations
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from typing import List, Optional, Tuple
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from malkhut.state import (
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ActionKind,
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FulfilmentPolicyParams,
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IntentKind,
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MarketWorldState,
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OpenOrderState,
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OrderType,
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Side,
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TradePathState,
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)
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from malkhut.actions import FulfilmentAction
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def _side_for_intent(intent_kind: IntentKind) -> Side:
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if intent_kind in (IntentKind.ENTER_LONG, IntentKind.ADD_LONG, IntentKind.REDUCE_SHORT, IntentKind.EXIT_SHORT):
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return Side.BUY
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return Side.SELL
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def _exit_side_for_position(state: MarketWorldState) -> Optional[Side]:
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path = state.trade_path
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if path is None:
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return None
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return Side.SELL if path.side == Side.BUY else Side.BUY
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def _path_risk_says_exit(state: MarketWorldState, params: FulfilmentPolicyParams) -> bool:
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path = state.trade_path
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if path is None:
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return False
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if abs(path.mae_bps) >= params.mae_tail_cut_bps:
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if path.recovery_velocity_bps_per_s < params.recovery_velocity_min_bps_per_s:
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return True
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if path.time_in_loss_s > params.max_time_in_loss_s:
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return True
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if path.failed_recovery_count >= params.failed_recovery_cut_count:
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return True
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if path.mfe_bps > 0:
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giveback = path.distance_from_mfe_bps / max(path.mfe_bps, 1e-12)
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if giveback >= params.mfe_giveback_cut_fraction:
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return True
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return False
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def build_our_actions(
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state: MarketWorldState,
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params: FulfilmentPolicyParams,
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) -> Tuple[FulfilmentAction, ...]:
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intent = state.intent
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if intent is None:
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return (FulfilmentAction(ActionKind.NOOP, None, None, 0, 0.0, 0),)
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side = _side_for_intent(intent)
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actions: List[FulfilmentAction] = []
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# Always allow no-op
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actions.append(FulfilmentAction(
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kind=ActionKind.NOOP, side=None, order_type=None,
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price_ticks_from_best=0, qty_fraction=0.0, ttl_ms=100,
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))
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# Existing order management
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for oo in state.open_orders:
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if oo.symbol != intent.symbol:
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continue
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actions.append(FulfilmentAction(
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kind=ActionKind.CANCEL, side=oo.side, order_type=None,
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price_ticks_from_best=0, qty_fraction=0.0, ttl_ms=0,
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cancel_order_id=oo.client_order_id,
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))
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for offset in params.quote_offsets_ticks:
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actions.append(FulfilmentAction(
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kind=ActionKind.CANCEL_REPLACE, side=side,
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order_type=OrderType.LIMIT,
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price_ticks_from_best=offset, qty_fraction=0.25,
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ttl_ms=params.passive_ttl_ms, cancel_order_id=oo.client_order_id,
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post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
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))
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# Passive quote placements
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for offset in params.quote_offsets_ticks:
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for frac in params.quote_size_fractions:
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actions.append(FulfilmentAction(
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kind=ActionKind.PLACE, side=side,
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order_type=OrderType.LIMIT,
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price_ticks_from_best=offset, qty_fraction=frac,
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ttl_ms=params.passive_ttl_ms,
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post_only=intent.prefer_maker, reduce_only=intent.reduce_only,
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))
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# Aggressive crossing if urgency allows
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if intent.urgency > 0.65:
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for frac in (0.05, 0.10, 0.25):
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actions.append(FulfilmentAction(
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kind=ActionKind.CROSS_SPREAD, side=side,
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order_type=OrderType.LIMIT, price_ticks_from_best=0,
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qty_fraction=frac, ttl_ms=params.aggressive_ttl_ms,
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time_in_force="IOC",
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reduce_only=intent.reduce_only,
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))
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# Path-risk exits
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if _path_risk_says_exit(state, params):
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actions.append(FulfilmentAction(
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kind=ActionKind.FULL_EXIT, side=_exit_side_for_position(state),
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order_type=OrderType.MARKET, price_ticks_from_best=0,
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qty_fraction=1.0, ttl_ms=0, reduce_only=True,
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metadata={"reason": "path_risk_exit"},
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))
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return tuple(actions)
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