fieldtest: cycle-0011 — 3 examples, 5 findings
Per-cycle fieldtest of the aura-ingest ingestion boundary (issue #7), from the public interface only. 3 examples (transpose/normalize core; close_stream -> deterministic harness run with epoch-ns end-to-end; load_m1_window over real AAPL.US 2006-08 bars + None paths), all green. 0 bugs, 0 friction. Two spec_gaps named for follow-up (neither a code defect; both filed to the tracker): - load_m1_window returns Some(empty M1Columns) — not None — for an in-coverage but bar-empty window. The rustdoc's "None if no data in [from_ms,to_ms]" reads bar-level but the realized boundary is file-level (it inherits data-server's file-skip None). A consumer matching None == "no bars" is wrong for the in-coverage-empty case. -> tighten the load_m1_window rustdoc (one line). - AAPL.US (the carrier/integration-test symbol) has only ~21 M1 bars/month, so the SMA-cross never warms and the end-to-end run yields all-zero (degenerate but valid) metrics. The boundary is correct (C2 warm-up); the milestone's shipped demo data is too thin to show a non-degenerate trace. -> weigh against C22's "newcomer sees a populated trace" before the Walking-skeleton close (document expected density or name a denser demo symbol/window).
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# Fieldtest — cycle-0011 — 2026-06-04
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**Status:** Draft — awaiting orchestrator triage
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**Author:** fieldtester (dispatched by fieldtest skill)
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## Scope
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Cycle 0011 (Walking-skeleton milestone, #7) shipped a NEW public crate
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`aura-ingest` — aura's first real data-source ingestion boundary and the
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workspace's external-dependency firewall (it alone links `data-server` and its
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transitive `chrono`/`regex`/`zip`). Public surface field-tested:
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1. `unix_ms_to_epoch_ns(time_ms: i64) -> Timestamp` — the single C3 unit
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normalization (`= ms * 1_000_000`), at this one boundary and nowhere else.
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2. `M1Columns` — the OHLCV bar transposed AoS → SoA (C7): public fields
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`ts: Vec<Timestamp>`, `open/high/low/close/spread: Vec<f64>`,
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`volume: Vec<i64>`; derives Clone + Debug + PartialEq.
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3. `transpose_m1(&[M1Parsed]) -> M1Columns` — pure AoS → SoA, normalizing time
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at the boundary.
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4. `M1Columns::close_stream() -> Vec<(Timestamp, Scalar)>` — the close column as
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the engine source-stream shape the SMA-cross sample strategy consumes.
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5. `load_m1_window(&Arc<DataServer>, symbol, from_ms, to_ms) -> Option<M1Columns>`
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— drains a data-server M1 window and transposes once at the boundary.
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Tested from the public interface only: `cargo doc -p aura-ingest` /
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`cargo doc -p data-server` rustdoc, the design ledger (C1/C3/C7/C10/C12/C16),
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the `data-server` README, and the observable behaviour of the functions —
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never `crates/*/src`. The build exercised: `cargo build --workspace` (green from
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HEAD), then each fixture via
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`cargo run --manifest-path fieldtests/cycle-0011-ingest/Cargo.toml --bin <name>`
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so HEAD source is always what runs. The fixture crate is a standalone non-member
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crate path-depending on `aura-core/-engine/-std/-ingest` plus the `data-server`
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git dep, exactly as a C16 research project that ingests recorded bars would.
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## Examples
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### fieldtests/cycle-0011-ingest/c0011_1_transpose_core.rs — the pure transpose/normalize core (axis a)
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- Drives `unix_ms_to_epoch_ns` on representative values (0, 1 ms, a real 2006-era
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Unix-ms), then `transpose_m1` on three hand-built `M1Parsed` bars with distinct
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per-field values (so a swapped column would be caught), checks each SoA column
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field-wise, index alignment (`ts[i]` ↔ `close[i]`), `volume` kept i64, purity
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(identical bars → equal columns via PartialEq), `close_stream` shape, and the
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empty-input edge.
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- Why it fits: this is the C3/C7 boundary contract a project author transposing
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recorded data exercises, verified from rustdoc alone.
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- Outcome: built and ran first try; every assertion held. `ms*1e6` exact,
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field-wise transpose correct, volume i64, pure, `close_stream` =
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`(normalized ts, close as Scalar::F64)`, empty → empty. Matched expected.
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### fieldtests/cycle-0011-ingest/c0011_2_close_stream_run.rs — close_stream → a real engine run (axis b)
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- Transposes synthetic OHLCV bars (close rises then reverses), takes
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`close_stream()`, feeds it straight into a Harness (SMA(2)/SMA(4) → Sub →
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Exposure(4) → SimBroker(1.0) → two shipped `aura_std::Recorder` sinks), runs,
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drains, `f64_field` + `summarize`, asserts finite metrics, ≥1 exposure flip,
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that recorded equity timestamps equal the ingested normalized bar timestamps
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(epoch-ns end to end), and that a disjoint second run is bit-identical (C1).
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- Why it fits: this is the C3 → C1 hand-off — the `(Timestamp, Scalar)` shape
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`close_stream` returns is exactly `Harness::run`'s source-stream input shape;
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the ingestion boundary must connect to the engine with no hand-authored stream.
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- Outcome: built and ran first try. equity `[0,0,0,0,1,0,-0.5]`, exposure flips
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once at the reversal, `total_pips -0.5`, `max_drawdown 1.5`, recorded ts ==
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ingested ts, two runs byte-identical. Matched expected.
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### fieldtests/cycle-0011-ingest/c0011_3_load_window_real.rs — load_m1_window against real data (axis c)
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- Opens the local `data-server` archive (`DEFAULT_DATA_PATH`), loads the real
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AAPL.US 2006-08 M1 window, checks SoA column lengths aligned, every bar ts
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normalized to epoch-ns and inside the requested window, `close_stream`
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non-decreasing, then runs an end-to-end SMA-cross signal-quality backtest over
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the real close bars (deterministic across two runs, C1). Then exercises the
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documented `None` paths (far-future window, unknown symbol) and the
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in-coverage-but-empty sub-window grey zone. Skips cleanly where
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`/mnt/tickdata` is absent.
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- Why it fits: the milestone's headline — "a backtest runs over real bars" —
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driven exactly as a downstream researcher would, plus the documented `None`
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path.
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- Outcome: built and ran first try on the real archive. Loaded **21** bars for
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2006-08; ts normalized and in-window; `close_stream` ascending; the end-to-end
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run was deterministic; far-future window → `None`, unknown symbol → `None`;
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an in-coverage empty sub-window → `Some(empty)`. Surfaced two spec_gaps (below).
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## Findings
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### [working] transpose_m1 / unix_ms_to_epoch_ns / close_stream match the C3/C7 contract from rustdoc alone
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- Example: c0011_1.
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- What happened: `unix_ms_to_epoch_ns` is exactly `ms * 1_000_000` (checked at 0,
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1 ms, and a real 2006 ms = 1_154_390_400_000 → 1_154_390_400_000_000_000 ns);
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`transpose_m1` produces field-wise-correct SoA columns with no column swap,
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`volume` kept `i64` (C7's one i64 column), `ts[i]` aligned with `close[i]`;
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it is pure (identical bars → PartialEq-equal columns, C1); `close_stream`
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yields `(normalized ts, Scalar::F64(close))` per bar; empty input → empty
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columns and empty stream.
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- Why working: the entire pure boundary core is reachable, correct, and
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unambiguous from the public rustdoc + ledger (C3/C7/C1) without reading any
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implementation source. The public-fielded `M1Columns` + the `M1Parsed` public
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fields make a hand-built fixture trivial to author.
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- Recommended action: carry-on.
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### [working] close_stream feeds Harness::run directly; epoch-ns flows end to end; deterministic
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- Example: c0011_2.
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- What happened: `close_stream()`'s `Vec<(Timestamp, Scalar)>` is exactly the
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shape `Harness::run(vec![stream])` consumes — no adapter. Over a rise-then-
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reverse close series the chain warmed, the recorded equity-curve timestamps
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equalled the ingested (normalized epoch-ns) bar timestamps verbatim
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(normalization survives the whole run loop intact), one exposure sign flip was
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registered at the reversal, and a disjoint second run produced a bit-identical
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`RunReport.to_json()` (C1).
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- Why working: the C3 (ingestion) → C1 (deterministic run) seam — the milestone's
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reason to exist — is reachable and correct from the public surface as a
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downstream consumer, mirroring the cycle-0007/0009 patterns over real ingested
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data rather than a hand-authored stream.
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- Recommended action: carry-on.
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### [working] load_m1_window over real bars: in-window normalized, ascending, deterministic; far-future & unknown-symbol None paths hold
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- Example: c0011_3.
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- What happened: against the real archive, `load_m1_window("AAPL.US", 2006-08
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window)` returned `Some(M1Columns)` with 21 bars; all SoA columns equal length,
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every ts normalized to epoch-ns and inside the requested (×1e6) window,
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`close_stream` non-decreasing in ts; the end-to-end backtest over the real
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closes ran and was bit-identical across two disjoint runs. A far-future window
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for the present symbol → `None`; an unknown symbol → `None`, both as the
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rustdoc documents.
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- Why working: the real-data path — open archive, load a window, transpose once
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at the boundary, run a deterministic backtest — works first try from the public
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surface, and the two documented `None` conditions (no file overlaps the window;
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unknown symbol) behave as stated.
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- Recommended action: carry-on.
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### [spec_gap] `Some(empty)` vs `None`: an in-coverage but bar-empty window returns `Some(empty M1Columns)`, not `None`
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- Example: c0011_3 (grey-zone block).
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- What happened: the `load_m1_window` rustdoc states "`None` if the symbol has no
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data in `[from_ms, to_ms]`". Empirically, `None` is **file-level**: it occurs
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when no data-server file overlaps the window (e.g. a far-future window — those
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files are skipped without I/O) or the symbol is unknown. But a **narrow window
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inside a loaded file's date coverage that happens to contain zero bars**
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(a single 2006-08-01 day inside the loaded 2006-08 file) returns
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`Some(M1Columns { ... empty vecs ... })`, **not** `None`. So a downstream
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consumer pattern-matching `None` to mean "no bars here" is wrong for the
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in-coverage-empty case; it must additionally check `cols.close.is_empty()`.
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- Why spec_gap: "no data in `[from_ms, to_ms]`" reads bar-level on the public
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surface, but the realized boundary is file-level (it inherits data-server's own
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file-skip `None`). Two readings are equally plausible — "`None` ⇔ zero bars"
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(what the wording suggests) vs "`None` ⇔ no overlapping file, else `Some`
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(possibly empty)" (what ships). I asserted the **observed (file-level)** reading
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in the fixture; a tightening to the bar-level reading would flip that assertion.
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- Recommended action: ratify-or-tighten the ledger/rustdoc. Either document
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precisely ("`None` only when no file overlaps the window or the symbol is
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unknown; an in-coverage window with no bars returns `Some` with empty columns —
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check `.close.is_empty()`"), or collapse the empty case into `None` so the
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binary `Some`/`None` cleanly means "has bars" / "has none". One rustdoc line on
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`load_m1_window` closes it.
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### [spec_gap] the only documented real symbol is too sparse for a meaningful signal-quality run over a realistic window
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- Example: c0011_3.
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- What happened: AAPL.US — the symbol named in the carrier and the gated
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integration test — has **21 M1 bars for all of August 2006** and **~100 for the
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whole year 2006** (verified via `load_m1_window` over a year/month/day window).
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The end-to-end backtest therefore ran but produced **all-zero metrics**
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(`total_pips 0, max_drawdown 0, exposure_sign_flips 0`): with any realistic
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SMA-cross (even SMA(10)/SMA(30)) the slow SMA never warms over ≤21 bars, so the
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signal never fires (correct C2 warm-up / no-look-ahead behaviour — **not a
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bug**). The boundary itself is faultless; the data behind the milestone's
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shipped example is too thin to demonstrate a *non-degenerate* run.
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- Why spec_gap: the milestone promise is "a backtest runs over real bars" — which
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is technically met — but a downstream consumer following the documented surface
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(this symbol, this archive) cannot reach a *meaningful* signal-quality result,
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and nothing on the public surface signals that 21 bars/month is the expected
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density (vs a window-bounds bug, a corrupt file, or a normalization error). The
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consumer guesses "this is just sparse early data"; "the window is mis-bounded"
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is an equally plausible reading from the surface alone. I picked the
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sparse-data reading (the bounds were honoured, ts are in-window, the year window
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also returns only ~100 bars).
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- Recommended action: ratify (document expected per-symbol bar density, or name a
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denser default symbol/window for the milestone demo) **or** plan a follow-up
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that points the walking-skeleton sample at a real window dense enough to warm a
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realistic signal — so "runs over real bars" demonstrably yields a non-degenerate
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trace, consistent with C22's "newcomer sees a populated trace". No code change
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to `aura-ingest` implied; this is about which data the milestone showcases.
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## Recommendation summary
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| Finding | Class | Action |
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|---|---|---|
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| transpose/normalize/close_stream match C3/C7 from rustdoc | working | carry-on |
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| close_stream → deterministic engine run, epoch-ns end to end | working | carry-on |
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| load_m1_window real bars + documented None paths | working | carry-on |
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| `Some(empty)` vs `None` boundary not crisp | spec_gap | ratify / tighten the ledger + rustdoc |
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| AAPL.US too sparse for a non-degenerate milestone run | spec_gap | ratify / plan a denser demo symbol+window |
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@@ -0,0 +1,37 @@
|
||||
# Standalone downstream-consumer crate for the cycle-0011 fieldtest
|
||||
# (the aura-ingest data-server M1 ingestion boundary).
|
||||
#
|
||||
# Like the cycle-0007..0010 fixtures, this is NOT a member of the aura
|
||||
# workspace — it path-depends on the engine crates exactly as a real research
|
||||
# project (C16) would. It additionally path-deps aura-ingest (this cycle's new
|
||||
# crate) and the external data-server git dep, as a project that ingests real
|
||||
# recorded bars would. Built/run via
|
||||
# cargo run --manifest-path fieldtests/cycle-0011-ingest/Cargo.toml --bin <name>
|
||||
# so HEAD source is always what runs.
|
||||
# Empty [workspace] table: marks this fixture crate as its OWN workspace root.
|
||||
[workspace]
|
||||
|
||||
[package]
|
||||
name = "c0011-fieldtest"
|
||||
version = "0.0.0"
|
||||
edition = "2024"
|
||||
publish = false
|
||||
|
||||
[dependencies]
|
||||
aura-core = { path = "../../crates/aura-core" }
|
||||
aura-engine = { path = "../../crates/aura-engine" }
|
||||
aura-std = { path = "../../crates/aura-std" }
|
||||
aura-ingest = { path = "../../crates/aura-ingest" }
|
||||
data-server = { git = "http://192.168.178.103:3000/Brummel/data-server.git", branch = "main" }
|
||||
|
||||
[[bin]]
|
||||
name = "c0011_1_transpose_core"
|
||||
path = "c0011_1_transpose_core.rs"
|
||||
|
||||
[[bin]]
|
||||
name = "c0011_2_close_stream_run"
|
||||
path = "c0011_2_close_stream_run.rs"
|
||||
|
||||
[[bin]]
|
||||
name = "c0011_3_load_window_real"
|
||||
path = "c0011_3_load_window_real.rs"
|
||||
@@ -0,0 +1,93 @@
|
||||
//! Fieldtest c0011 #1 — the pure transpose/normalize core (axis a).
|
||||
//!
|
||||
//! Question under test: a project author who has recorded a handful of M1 bars
|
||||
//! (as data-server `M1Parsed` AoS records) calls `transpose_m1`, inspects the
|
||||
//! resulting SoA `M1Columns`, and the C3/C7 boundary contract — field-wise
|
||||
//! transpose, Unix-ms -> epoch-ns normalization, volume kept as i64 — holds
|
||||
//! exactly as the public rustdoc promises, WITHOUT reading crates/*/src.
|
||||
//!
|
||||
//! Public-surface facts used (aura-ingest rustdoc + design ledger C3/C7):
|
||||
//! - `unix_ms_to_epoch_ns(time_ms) -> Timestamp` = "Normalize Unix-millisecond
|
||||
//! to canonical epoch-ns" (the single C3 unit normalization). The feat-commit
|
||||
//! surface line states `= ms * 1_000_000`.
|
||||
//! - `transpose_m1(&[M1Parsed]) -> M1Columns` — "Pure: identical bars yield
|
||||
//! identical columns (C1)". AoS -> SoA (C7).
|
||||
//! - `M1Columns { ts: Vec<Timestamp>, open/high/low/close/spread: Vec<f64>,
|
||||
//! volume: Vec<i64> }` — public fields; "All columns share an index: ts[i]
|
||||
//! is the timestamp of close[i]"; derives Clone + Debug + PartialEq.
|
||||
//! - `M1Columns::close_stream() -> Vec<(Timestamp, Scalar)>` — close column
|
||||
//! zipped with normalized ts as `Scalar::F64`.
|
||||
//! - data-server rustdoc: `M1Parsed { time_ms: i64, open/high/low/close/spread:
|
||||
//! f64, volume: i64 }`, all public fields, Copy.
|
||||
|
||||
use aura_core::{Scalar, Timestamp};
|
||||
use aura_ingest::{M1Columns, transpose_m1, unix_ms_to_epoch_ns};
|
||||
use data_server::records::M1Parsed;
|
||||
|
||||
fn main() {
|
||||
// ---- Part 1: the unit-normalization primitive, standalone (C3). --------
|
||||
// The surface claims ns = ms * 1_000_000. Check a few representative values
|
||||
// a project author would care about: zero, a small ms, and a realistic
|
||||
// 2006-era Pepperstone Unix-ms timestamp.
|
||||
assert_eq!(unix_ms_to_epoch_ns(0), Timestamp(0), "zero maps to zero");
|
||||
assert_eq!(unix_ms_to_epoch_ns(1), Timestamp(1_000_000), "1 ms = 1e6 ns");
|
||||
// 2006-08-01T00:00:00Z is 1_154_390_400_000 ms; ns must be *1e6 of that.
|
||||
let ms_2006 = 1_154_390_400_000_i64;
|
||||
assert_eq!(
|
||||
unix_ms_to_epoch_ns(ms_2006),
|
||||
Timestamp(ms_2006 * 1_000_000),
|
||||
"realistic 2006 ms scales by exactly 1e6"
|
||||
);
|
||||
println!("unix_ms_to_epoch_ns: 0->0, 1->1e6, 2006 ms -> {:?}", unix_ms_to_epoch_ns(ms_2006));
|
||||
|
||||
// ---- Part 2: field-wise AoS -> SoA transpose (C7). ---------------------
|
||||
// Three hand-built bars, distinct values per field so a transposition that
|
||||
// swapped two columns (e.g. high<->low) would be caught.
|
||||
let bars = [
|
||||
M1Parsed { time_ms: 1_000, open: 10.0, high: 11.0, low: 9.5, close: 10.5, spread: 0.2, volume: 100 },
|
||||
M1Parsed { time_ms: 2_000, open: 10.5, high: 12.0, low: 10.1, close: 11.8, spread: 0.3, volume: 250 },
|
||||
M1Parsed { time_ms: 3_000, open: 11.8, high: 12.4, low: 11.0, close: 11.2, spread: 0.25, volume: 75 },
|
||||
];
|
||||
|
||||
let cols: M1Columns = transpose_m1(&bars);
|
||||
println!("transposed M1Columns = {cols:?}");
|
||||
|
||||
// Each column must be exactly the corresponding field of each bar, in order.
|
||||
assert_eq!(cols.ts, vec![Timestamp(1_000_000_000), Timestamp(2_000_000_000), Timestamp(3_000_000_000)],
|
||||
"ts column = each bar's time_ms normalized to epoch-ns");
|
||||
assert_eq!(cols.open, vec![10.0, 10.5, 11.8], "open column");
|
||||
assert_eq!(cols.high, vec![11.0, 12.0, 12.4], "high column (not swapped with low)");
|
||||
assert_eq!(cols.low, vec![9.5, 10.1, 11.0], "low column");
|
||||
assert_eq!(cols.close, vec![10.5, 11.8, 11.2], "close column");
|
||||
assert_eq!(cols.spread, vec![0.2, 0.3, 0.25], "spread column");
|
||||
// volume stays i64 (C7: the one i64 column), never coerced to f64.
|
||||
assert_eq!(cols.volume, vec![100_i64, 250, 75], "volume column kept as i64");
|
||||
|
||||
// Index alignment: ts[i] is the timestamp of close[i] (rustdoc claim).
|
||||
for i in 0..bars.len() {
|
||||
assert_eq!(cols.ts[i], unix_ms_to_epoch_ns(bars[i].time_ms), "ts[{i}] normalized");
|
||||
assert_eq!(cols.close[i], bars[i].close, "close[{i}] aligned");
|
||||
}
|
||||
|
||||
// ---- Part 3: purity (C1) — identical bars -> identical columns. --------
|
||||
let cols_again = transpose_m1(&bars);
|
||||
assert_eq!(cols, cols_again, "transpose is pure: same input -> same output (PartialEq)");
|
||||
|
||||
// ---- Part 4: close_stream — the engine source-stream shape (C7). -------
|
||||
// The close column zipped with normalized ts as Scalar::F64.
|
||||
let stream = cols.close_stream();
|
||||
println!("close_stream = {stream:?}");
|
||||
let expected: Vec<(Timestamp, Scalar)> = vec![
|
||||
(Timestamp(1_000_000_000), Scalar::F64(10.5)),
|
||||
(Timestamp(2_000_000_000), Scalar::F64(11.8)),
|
||||
(Timestamp(3_000_000_000), Scalar::F64(11.2)),
|
||||
];
|
||||
assert_eq!(stream, expected, "close_stream = (normalized ts, close as Scalar::F64) per bar");
|
||||
|
||||
// ---- Part 5: empty edge — a window with no bars. -----------------------
|
||||
let empty = transpose_m1(&[]);
|
||||
assert!(empty.ts.is_empty() && empty.close.is_empty(), "empty input -> empty columns");
|
||||
assert!(empty.close_stream().is_empty(), "empty columns -> empty close_stream");
|
||||
|
||||
println!("c0011_1 OK: transpose_m1 / unix_ms_to_epoch_ns / close_stream match the rustdoc C3/C7 contract");
|
||||
}
|
||||
@@ -0,0 +1,178 @@
|
||||
//! Fieldtest c0011 #2 — close_stream -> a real engine run (axis b).
|
||||
//!
|
||||
//! Question under test: a project author transposes recorded M1 bars to
|
||||
//! `M1Columns`, takes `close_stream()`, and feeds it straight into a Harness
|
||||
//! (SMA-cross -> Exposure -> SimBroker -> Recorder, the cycle-0007/0009 pattern
|
||||
//! over the shipped aura_std::Recorder), runs it, drains the recorded equity
|
||||
//! curve, and the recorded stream is what a downstream consumer expects — the
|
||||
//! ingestion boundary connects to the engine without a hand-authored stream.
|
||||
//!
|
||||
//! This is the C3 -> C1 hand-off: the (Timestamp, Scalar) shape `close_stream`
|
||||
//! returns is exactly `Harness::run`'s source-stream input shape.
|
||||
//!
|
||||
//! Public-surface facts used (rustdoc + design ledger):
|
||||
//! - aura_ingest::{M1Columns via transpose_m1, close_stream}.
|
||||
//! - aura_std::{Sma, Sub, Exposure, SimBroker, Recorder}.
|
||||
//! - aura_engine::{Harness, Edge, SourceSpec, Target, RunManifest, RunReport,
|
||||
//! f64_field, summarize}.
|
||||
//! - SimBroker slots: 0 = exposure, 1 = price (ledger C10 Realization 0007).
|
||||
|
||||
use std::sync::mpsc;
|
||||
|
||||
use aura_core::{Firing, Scalar, ScalarKind, Timestamp};
|
||||
use aura_engine::{Edge, Harness, RunManifest, RunReport, SourceSpec, Target, f64_field, summarize};
|
||||
use aura_ingest::transpose_m1;
|
||||
use aura_std::{Exposure, Recorder, SimBroker, Sma, Sub};
|
||||
use data_server::records::M1Parsed;
|
||||
|
||||
/// Build a deterministic synthetic set of M1 bars (close rises then reverses),
|
||||
/// the way a project author would after recording a real window. We only use
|
||||
/// the close column downstream, but transpose_m1 carries the full OHLCV bundle.
|
||||
fn synthetic_bars() -> Vec<M1Parsed> {
|
||||
// close: 100,102,104,106,108,106,104 — a rise then a reversal, so the
|
||||
// SMA-cross flips sign once (exercises exposure_sign_flips like the CLI demo).
|
||||
let closes = [100.0, 102.0, 104.0, 106.0, 108.0, 106.0, 104.0];
|
||||
closes
|
||||
.iter()
|
||||
.enumerate()
|
||||
.map(|(i, &c)| M1Parsed {
|
||||
time_ms: (i as i64 + 1) * 60_000, // one M1 bar per minute, Unix-ms
|
||||
open: c,
|
||||
high: c + 0.5,
|
||||
low: c - 0.5,
|
||||
close: c,
|
||||
spread: 0.1,
|
||||
volume: 1_000,
|
||||
})
|
||||
.collect()
|
||||
}
|
||||
|
||||
fn main() {
|
||||
// --- Ingestion boundary: AoS bars -> SoA columns -> close source stream ---
|
||||
let bars = synthetic_bars();
|
||||
let cols = transpose_m1(&bars);
|
||||
let price_stream: Vec<(Timestamp, Scalar)> = cols.close_stream();
|
||||
println!("close source stream from ingestion = {price_stream:?}");
|
||||
|
||||
// The C3 precondition close_stream documents: ascending in timestamp.
|
||||
for w in price_stream.windows(2) {
|
||||
assert!(w[0].0 < w[1].0, "close_stream ascending in timestamp (C3 precondition)");
|
||||
}
|
||||
|
||||
// --- Wire the signal-quality harness over the ingested close stream. ---
|
||||
let (eq_tx, eq_rx) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
let (exp_tx, exp_rx) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
|
||||
// nodes: 0=SMA(2) fast, 1=SMA(4) slow, 2=Sub, 3=Exposure(4), 4=SimBroker(1.0),
|
||||
// 5=equity sink (taps broker), 6=exposure sink (taps Exposure).
|
||||
let mut h = Harness::bootstrap(
|
||||
vec![
|
||||
Box::new(Sma::new(2)),
|
||||
Box::new(Sma::new(4)),
|
||||
Box::new(Sub::new()),
|
||||
Box::new(Exposure::new(4.0)),
|
||||
Box::new(SimBroker::new(1.0)),
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, eq_tx)),
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, exp_tx)),
|
||||
],
|
||||
vec![SourceSpec {
|
||||
kind: ScalarKind::F64,
|
||||
targets: vec![
|
||||
Target { node: 0, slot: 0 }, // -> SMA fast
|
||||
Target { node: 1, slot: 0 }, // -> SMA slow
|
||||
Target { node: 4, slot: 1 }, // -> SimBroker price (slot 1)
|
||||
],
|
||||
}],
|
||||
vec![
|
||||
Edge { from: 0, to: 2, slot: 0, from_field: 0 }, // SMA2 -> Sub.in0
|
||||
Edge { from: 1, to: 2, slot: 1, from_field: 0 }, // SMA4 -> Sub.in1
|
||||
Edge { from: 2, to: 3, slot: 0, from_field: 0 }, // Sub -> Exposure
|
||||
Edge { from: 3, to: 4, slot: 0, from_field: 0 }, // Exposure -> SimBroker.in0
|
||||
Edge { from: 3, to: 6, slot: 0, from_field: 0 }, // Exposure -> exposure sink
|
||||
Edge { from: 4, to: 5, slot: 0, from_field: 0 }, // SimBroker -> equity sink
|
||||
],
|
||||
)
|
||||
.expect("valid signal-quality DAG over the ingested close stream");
|
||||
|
||||
// Run #1 over the ingested stream.
|
||||
h.run(vec![price_stream.clone()]);
|
||||
let equity_rows: Vec<(Timestamp, Vec<Scalar>)> = eq_rx.try_iter().collect();
|
||||
let exposure_rows: Vec<(Timestamp, Vec<Scalar>)> = exp_rx.try_iter().collect();
|
||||
println!("equity rows = {equity_rows:?}");
|
||||
println!("exposure rows = {exposure_rows:?}");
|
||||
|
||||
let equity = f64_field(&equity_rows, 0);
|
||||
let exposure = f64_field(&exposure_rows, 0);
|
||||
let metrics = summarize(&equity, &exposure);
|
||||
println!("metrics over ingested bars = {metrics:?}");
|
||||
|
||||
// The recorded equity curve must be non-empty (the source stream warmed the
|
||||
// chain) and the metrics finite — the downstream "did the ingested data
|
||||
// actually drive a sim?" check.
|
||||
assert!(!equity_rows.is_empty(), "ingested close stream produced a recorded equity curve");
|
||||
assert!(metrics.total_pips.is_finite(), "total_pips finite");
|
||||
assert!(metrics.max_drawdown.is_finite() && metrics.max_drawdown >= 0.0, "drawdown finite, >= 0");
|
||||
// The reversal in the close series must register at least one exposure flip.
|
||||
assert!(metrics.exposure_sign_flips >= 1, "the rise-then-reverse close flips exposure at least once");
|
||||
|
||||
// The recorded equity timestamps are exactly the ingested (normalized) bar
|
||||
// timestamps — confirming epoch-ns flowed end to end, unchanged, through the
|
||||
// run loop (the broker fires on every price-fresh cycle, C10 Realization).
|
||||
let recorded_ts: Vec<Timestamp> = equity_rows.iter().map(|(t, _)| *t).collect();
|
||||
let ingested_ts: Vec<Timestamp> = price_stream.iter().map(|(t, _)| *t).collect();
|
||||
assert_eq!(recorded_ts, ingested_ts, "recorded equity ts == ingested normalized bar ts (epoch-ns end to end)");
|
||||
|
||||
// --- Determinism (C1): a second disjoint run over the same ingested stream
|
||||
// yields a bit-identical report. ---
|
||||
let (eq_tx2, eq_rx2) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
let (exp_tx2, exp_rx2) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
let mut h2 = Harness::bootstrap(
|
||||
vec![
|
||||
Box::new(Sma::new(2)),
|
||||
Box::new(Sma::new(4)),
|
||||
Box::new(Sub::new()),
|
||||
Box::new(Exposure::new(4.0)),
|
||||
Box::new(SimBroker::new(1.0)),
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, eq_tx2)),
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, exp_tx2)),
|
||||
],
|
||||
vec![SourceSpec {
|
||||
kind: ScalarKind::F64,
|
||||
targets: vec![
|
||||
Target { node: 0, slot: 0 },
|
||||
Target { node: 1, slot: 0 },
|
||||
Target { node: 4, slot: 1 },
|
||||
],
|
||||
}],
|
||||
vec![
|
||||
Edge { from: 0, to: 2, slot: 0, from_field: 0 },
|
||||
Edge { from: 1, to: 2, slot: 1, from_field: 0 },
|
||||
Edge { from: 2, to: 3, slot: 0, from_field: 0 },
|
||||
Edge { from: 3, to: 4, slot: 0, from_field: 0 },
|
||||
Edge { from: 3, to: 6, slot: 0, from_field: 0 },
|
||||
Edge { from: 4, to: 5, slot: 0, from_field: 0 },
|
||||
],
|
||||
)
|
||||
.expect("valid second DAG");
|
||||
h2.run(vec![price_stream]);
|
||||
let equity2 = f64_field(&eq_rx2.try_iter().collect::<Vec<_>>(), 0);
|
||||
let exposure2 = f64_field(&exp_rx2.try_iter().collect::<Vec<_>>(), 0);
|
||||
let metrics2 = summarize(&equity2, &exposure2);
|
||||
|
||||
let report1 = RunReport {
|
||||
manifest: RunManifest {
|
||||
commit: "c0011-ingested-synthetic".to_string(),
|
||||
params: vec![("sma_fast".to_string(), 2.0), ("sma_slow".to_string(), 4.0)],
|
||||
window: (ingested_ts[0], *ingested_ts.last().unwrap()),
|
||||
seed: 0,
|
||||
broker: "sim-optimal(pip_size=1)".to_string(),
|
||||
},
|
||||
metrics,
|
||||
};
|
||||
let report2 = RunReport {
|
||||
manifest: report1.manifest.clone(),
|
||||
metrics: metrics2,
|
||||
};
|
||||
assert_eq!(report1.to_json(), report2.to_json(), "two runs over the same ingested stream are bit-identical (C1)");
|
||||
println!("c0011_2 OK: ingested close_stream drove a deterministic end-to-end signal-quality run");
|
||||
}
|
||||
@@ -0,0 +1,181 @@
|
||||
//! Fieldtest c0011 #3 — load_m1_window against real data (axis c).
|
||||
//!
|
||||
//! Question under test: a downstream researcher opens the local data-server
|
||||
//! archive, asks `load_m1_window` for a real symbol/window, gets back SoA
|
||||
//! `M1Columns`, takes `close_stream()`, and runs an end-to-end signal-quality
|
||||
//! backtest over REAL recorded AAPL.US 2006 M1 close bars — deterministically.
|
||||
//! And: the documented `None` path (symbol/window miss) behaves as the rustdoc
|
||||
//! says.
|
||||
//!
|
||||
//! Public-surface facts used (rustdoc + data-server README):
|
||||
//! - aura_ingest::load_m1_window(&Arc<DataServer>, symbol, from_ms, to_ms)
|
||||
//! -> Option<M1Columns>; "None if the symbol has no data in [from_ms,
|
||||
//! to_ms]"; inclusive Unix-ms bounds (data-server's contract).
|
||||
//! - data_server::{DataServer, DEFAULT_DATA_PATH}; DataServer::new(base_path);
|
||||
//! has_symbol(symbol) -> bool; stream is over Arc<DataServer>.
|
||||
//! - close_stream() ascending in timestamp -> Harness::run source shape.
|
||||
//!
|
||||
//! Skips cleanly (exit 0, prints SKIP) where the local archive is absent, so it
|
||||
//! is hermetic on machines without /mnt/tickdata — mirroring the gated
|
||||
//! integration test's documented behaviour.
|
||||
|
||||
use std::path::Path;
|
||||
use std::sync::{Arc, mpsc};
|
||||
|
||||
use aura_core::{Firing, Scalar, ScalarKind, Timestamp};
|
||||
use aura_engine::{Edge, Harness, SourceSpec, Target, f64_field, summarize};
|
||||
use aura_ingest::load_m1_window;
|
||||
use aura_std::{Exposure, Recorder, SimBroker, Sma, Sub};
|
||||
use data_server::{DEFAULT_DATA_PATH, DataServer};
|
||||
|
||||
// AAPL.US 2006-08 is present per the carrier. Window the whole month, inclusive.
|
||||
const SYMBOL: &str = "AAPL.US";
|
||||
// 2006-08-01T00:00:00Z .. 2006-09-01T00:00:00Z in Unix-ms.
|
||||
const FROM_MS: i64 = 1_154_390_400_000;
|
||||
const TO_MS: i64 = 1_157_068_800_000;
|
||||
|
||||
fn main() {
|
||||
if !Path::new(DEFAULT_DATA_PATH).exists() {
|
||||
println!("c0011_3 SKIP: {DEFAULT_DATA_PATH} absent (no local archive)");
|
||||
return;
|
||||
}
|
||||
|
||||
let server = Arc::new(DataServer::new(DEFAULT_DATA_PATH));
|
||||
if !server.has_symbol(SYMBOL) {
|
||||
println!("c0011_3 SKIP: symbol {SYMBOL} not in local archive");
|
||||
return;
|
||||
}
|
||||
|
||||
// ---- The happy path: load a real M1 window. ----------------------------
|
||||
let cols = match load_m1_window(&server, SYMBOL, FROM_MS, TO_MS) {
|
||||
Some(c) => c,
|
||||
None => {
|
||||
println!("c0011_3 SKIP: {SYMBOL} present but no bars in the 2006-08 window");
|
||||
return;
|
||||
}
|
||||
};
|
||||
let n = cols.close.len();
|
||||
println!("loaded {n} real M1 bars for {SYMBOL} in 2006-08");
|
||||
assert!(n > 0, "a present symbol+window yields at least one bar");
|
||||
|
||||
// SoA column lengths are all aligned (C7: one index across columns).
|
||||
assert_eq!(cols.ts.len(), n, "ts column length matches close");
|
||||
assert_eq!(cols.open.len(), n, "open length");
|
||||
assert_eq!(cols.high.len(), n, "high length");
|
||||
assert_eq!(cols.low.len(), n, "low length");
|
||||
assert_eq!(cols.spread.len(), n, "spread length");
|
||||
assert_eq!(cols.volume.len(), n, "volume (i64) length");
|
||||
|
||||
// Timestamps normalized to epoch-ns and inside the requested window
|
||||
// (the boundary normalizes Unix-ms -> ns; the window bounds are Unix-ms).
|
||||
let from_ns = Timestamp(FROM_MS * 1_000_000);
|
||||
let to_ns = Timestamp(TO_MS * 1_000_000);
|
||||
for (i, t) in cols.ts.iter().enumerate() {
|
||||
assert!(*t >= from_ns && *t <= to_ns, "bar {i} ts {t:?} inside the normalized window");
|
||||
}
|
||||
|
||||
// ---- close_stream is ascending (the C3 precondition Harness::run needs). -
|
||||
let price_stream: Vec<(Timestamp, Scalar)> = cols.close_stream();
|
||||
assert_eq!(price_stream.len(), n, "one close-stream entry per bar");
|
||||
for w in price_stream.windows(2) {
|
||||
assert!(w[0].0 <= w[1].0, "real close_stream non-decreasing in timestamp (C3)");
|
||||
}
|
||||
println!(
|
||||
"first bar = (ts {:?}, close {:?}), last = (ts {:?}, close {:?})",
|
||||
price_stream[0].0, price_stream[0].1,
|
||||
price_stream[n - 1].0, price_stream[n - 1].1,
|
||||
);
|
||||
|
||||
// ---- End-to-end signal-quality run over REAL close bars. ---------------
|
||||
let report1 = run_signal_quality(&price_stream);
|
||||
let report2 = run_signal_quality(&price_stream); // disjoint second run
|
||||
println!("metrics over real AAPL.US 2006-08 close bars = {report1:?}");
|
||||
|
||||
assert!(report1.0.is_finite(), "total_pips finite over real bars");
|
||||
assert!(report1.1.is_finite() && report1.1 >= 0.0, "max_drawdown finite, >= 0 over real bars");
|
||||
// Determinism (C1): same recorded input -> bit-identical metrics.
|
||||
assert_eq!(report1, report2, "two runs over the same real window are bit-identical (C1)");
|
||||
|
||||
// ---- The documented None path: a symbol with no data in the window. ----
|
||||
// A far-future window for a present symbol -> data-server's own None.
|
||||
let future_from = 30_000_000_000_000_i64; // ~year 2920 in Unix-ms
|
||||
let future_to = 30_000_086_400_000_i64;
|
||||
let miss = load_m1_window(&server, SYMBOL, future_from, future_to);
|
||||
assert!(miss.is_none(), "present symbol, empty window -> None (rustdoc)");
|
||||
println!("None-path: {SYMBOL} with a far-future window -> {miss:?}");
|
||||
|
||||
// An unknown symbol -> None as well.
|
||||
let miss_sym = load_m1_window(&server, "NO.SUCH.SYMBOL_XYZ", FROM_MS, TO_MS);
|
||||
assert!(miss_sym.is_none(), "unknown symbol -> None (rustdoc / data-server contract)");
|
||||
println!("None-path: unknown symbol -> {miss_sym:?}");
|
||||
|
||||
// ---- The grey zone: a window INSIDE the file's date coverage but with no
|
||||
// bars in it. The rustdoc says "None if the symbol has no data in
|
||||
// [from_ms, to_ms]". A narrow single-day window inside 2006-08 (whose
|
||||
// file IS loaded) but containing zero bars returns Some(EMPTY columns),
|
||||
// NOT None — data-server's `None` is FILE-level (no file overlaps the
|
||||
// window, skipped without I/O), while a loaded file that yields no bar
|
||||
// in the exact sub-window transposes to Some(empty). Recorded as a
|
||||
// spec_gap: the Some(empty) vs None boundary is not crisp on the public
|
||||
// surface. We assert the OBSERVED reading.
|
||||
let one_day_from = FROM_MS; // 2006-08-01T00:00Z
|
||||
let one_day_to = FROM_MS + 86_400_000; // +1 day
|
||||
let narrow = load_m1_window(&server, SYMBOL, one_day_from, one_day_to);
|
||||
match &narrow {
|
||||
Some(c) if c.close.is_empty() => {
|
||||
println!("grey-zone: in-coverage empty sub-window -> Some(EMPTY), not None");
|
||||
}
|
||||
Some(c) => println!("grey-zone: in-coverage sub-window -> Some({} bars)", c.close.len()),
|
||||
None => println!("grey-zone: in-coverage empty sub-window -> None"),
|
||||
}
|
||||
// Observed on this archive: Some(empty). Asserting the observed reading so
|
||||
// the fixture is a faithful record (a future tightening would flip this).
|
||||
assert!(
|
||||
matches!(&narrow, Some(c) if c.close.is_empty()),
|
||||
"in-coverage empty sub-window returns Some(empty), not None (observed reading)"
|
||||
);
|
||||
|
||||
println!("c0011_3 OK: load_m1_window drove a deterministic end-to-end run over real bars; None paths hold");
|
||||
}
|
||||
|
||||
/// SMA-cross -> Exposure -> SimBroker -> Recorder; returns (total_pips,
|
||||
/// max_drawdown, exposure_sign_flips) as the summarized metrics tuple.
|
||||
fn run_signal_quality(price_stream: &[(Timestamp, Scalar)]) -> (f64, f64, u64) {
|
||||
let (eq_tx, eq_rx) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
let (exp_tx, exp_rx) = mpsc::channel::<(Timestamp, Vec<Scalar>)>();
|
||||
|
||||
let mut h = Harness::bootstrap(
|
||||
vec![
|
||||
Box::new(Sma::new(10)),
|
||||
Box::new(Sma::new(30)),
|
||||
Box::new(Sub::new()),
|
||||
Box::new(Exposure::new(1.0)),
|
||||
Box::new(SimBroker::new(0.0001)), // AAPL.US pip_size; reference metadata
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, eq_tx)),
|
||||
Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, exp_tx)),
|
||||
],
|
||||
vec![SourceSpec {
|
||||
kind: ScalarKind::F64,
|
||||
targets: vec![
|
||||
Target { node: 0, slot: 0 },
|
||||
Target { node: 1, slot: 0 },
|
||||
Target { node: 4, slot: 1 },
|
||||
],
|
||||
}],
|
||||
vec![
|
||||
Edge { from: 0, to: 2, slot: 0, from_field: 0 },
|
||||
Edge { from: 1, to: 2, slot: 1, from_field: 0 },
|
||||
Edge { from: 2, to: 3, slot: 0, from_field: 0 },
|
||||
Edge { from: 3, to: 4, slot: 0, from_field: 0 },
|
||||
Edge { from: 3, to: 6, slot: 0, from_field: 0 },
|
||||
Edge { from: 4, to: 5, slot: 0, from_field: 0 },
|
||||
],
|
||||
)
|
||||
.expect("valid real-bars signal-quality DAG");
|
||||
|
||||
h.run(vec![price_stream.to_vec()]);
|
||||
let equity = f64_field(&eq_rx.try_iter().collect::<Vec<_>>(), 0);
|
||||
let exposure = f64_field(&exp_rx.try_iter().collect::<Vec<_>>(), 0);
|
||||
let m = summarize(&equity, &exposure);
|
||||
(m.total_pips, m.max_drawdown, m.exposure_sign_flips)
|
||||
}
|
||||
Reference in New Issue
Block a user