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audit(0085): cycle close — drift-clean; C10 cycle-0085 realization note

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Cycle 5 of milestone #148 (per-cycle-held accrual + CarryCost). Architect drift
review over 39f9387..f5e00a9: status clean, no code drift.

What holds (architect, evidence-of-review):
- C11 byte-identity: the AtClose eval arm is the pre-cycle-5 tokens verbatim
  (if closed { per } / if open { per }, the per + cum lines unchanged), so the
  cycle-0083/0084 net_expectancy_r goldens (-614.3134020253314, -615.0304388396047)
  stay byte-identical and the AtClose unit regressions are untouched.
- Accrual sound, no double-count: aura-analysis (summarize_r) is genuinely unchanged.
  During a hold the carry lives only in open_cost_in_r (cum=0); at close it moves to
  cum while open_cost->0 (open/closed mutually exclusive per cycle), so net_r_equity
  subtracts cum+open singly. summarize_r reads the close-row dumped total + the
  window-end accrued-so-far — one charge per trade, acc reset proven. The 3-field
  cost record's semantics generalize cleanly to accrual.
- C9/C16/C23: the diff touches only aura-std + aura-cli; aura-engine stays
  domain-free. CarryCost is a CostNode factor, CostRunner a plain Node, composed via
  cost_graph/CostSum. label() carries its param. All three run_stage1_r call sites
  threaded; the negative-rate guard is symmetric with the sibling cost flags.

Resolved this commit (the cycle-close ledger sync):
- C10 realization note (cycle 0085) added under docs/design/INDEX.md — C10's
  "per-cycle-held factors accrue over the hold" clause is now first realized (the
  prior 0084 note covered the cost-graph composite-builder).

Regression gate: cargo test --workspace (0 failures), cargo build --workspace, cargo
clippy --workspace --all-targets -- -D warnings clean — the architect is the primary
gate (no dedicated regression script). Ephemera (spec 0085 + plan 0085) git rm'd.

Milestone "Cost-model graph (in R)" remains OPEN.

refs #148
This commit is contained in:
Brummel
2026-06-29 01:06:50 +02:00
parent f5e00a9c72
commit 84ec2ab5d1
3 changed files with 32 additions and 1056 deletions
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docs/design/INDEX.md
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@@ -798,6 +798,38 @@ non-load-bearing). **Carried debt (#152, for the deferred sweep-cost cycle):** t
construction, but to be interned (the `COL_PORTS` production pattern, not the test-only
`.leak()`) before cost reaches the per-member sweep path. Decision log: #148.
**Realization (cycle 0085 — per-cycle-held accrual, cycle 5, #148).** C10's
"per-trade factors deduct at close; **per-cycle-held factors accrue over the hold**"
clause is first realized. A cost factor now declares *when* it charges via
`ChargeMode { AtClose, PerHeldCycle }` (a defaulted `CostNode::charge_mode()`, default
`AtClose`), read by the **one shared `CostRunner`** — not a second runner type (a
commission is intrinsically at-close, a carry intrinsically per-held-cycle; the timing
belongs to the factor, preserving the cycle-0083 "skeleton written once" win). The
`PerHeldCycle` arm accrues `per` into a per-position `acc` every held cycle, dumps the
accrued total into `cum` at close (resetting `acc`), and marks the open position via a
**growing `open_cost_in_r`**. The first accrual node, **`CarryCost`** (`aura-std`,
a `ConstantCost` twin differing only in `charge_mode()`), is a labelled stress
parameter — the flat base of the accrual family; a run-path `--carry-per-cycle` flag
pushes it into the existing `cost_graph`/`CostSum` aggregation (no new wiring; a
per-trade and a per-held-cycle node compose, the costs summing per-field). **Approach B
(honest bleed), achieved without a `summarize_r` fold change:** the headline
`net_r_equity` curve bleeds continuously over the hold because the bleed lives in
`open_cost_in_r`, which the `net_r_equity` tap already subtracts — so `summarize_r` and
the CLI `net_eq` wiring are **untouched**, and the cycle-0083/0084 `net_expectancy_r`
goldens stay byte-identical (the `AtClose` arm is the pre-cycle-5 eval tokens verbatim).
The 3-field cost record's semantics generalize cleanly: `cost_in_r` = cost realized this
cycle (into `cum`); `open_cost_in_r` = the open position's cost marked-to-market
as-of-now (would-be-close for `AtClose`, accrued-so-far for `PerHeldCycle`) — singly
counted, no `cum`/`open` double-count (the two are mutually exclusive per cycle). Honours
C9 (a `CostRunner<CarryCost>` is an ordinary downstream `Node`), C11 (byte-identity), C16
(factor in `aura-std`, `aura-engine` domain-free), C23 (`label()` carries the rate). The
B-vs-A discriminator (a growing intra-hold `open_cost_in_r`, invisible to the scalar
`net_expectancy_r`) is pinned by unit B-proofs + a `net_r_equity`-bleeds-over-the-hold
integration test. **Deferred (each its own #148 cycle):** a notional-based carry
(`price × rate`, reads the price tap), the calendar-aware **overnight swap** proper
(rollover-boundary timing, 3× Wednesday, long/short asymmetry — deploy-edge realism), and
sweep-path cost. Decision log: #148.
**Reframe (2026-06-23, #117 — exposure → bias, R as the signal-quality unit).**
[HISTORY — its R spine survives into the 2026-06-28 contract; its Stage-2 currency /
realistic-broker / register / flat-1R-vs-compounding portions are SUPERSEDED by that
docs/plans/0085-per-cycle-accrual-carry-cost.md
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@@ -1,744 +0,0 @@
# Per-cycle-held accrual + CarryCost — Implementation Plan
> **Parent spec:** `docs/specs/0085-per-cycle-accrual-carry-cost.md`
>
> **For agentic workers:** REQUIRED SUB-SKILL: use the `implement` skill to run
> this plan. Steps use `- [ ]` checkboxes for tracking.
**Goal:** Add a per-cycle-held accrual charge mode to the cost-node skeleton plus a
constant `CarryCost` node and a `--carry-per-cycle` CLI flag, so a carry/funding cost
bleeds the `net_r_equity` curve over the hold — while `summarize_r` and the CLI
`net_eq` wiring stay untouched and every cycle-0083/0084 golden stays byte-identical.
**Architecture:** `ChargeMode` becomes a property of the cost factor read by the one
shared `CostRunner` (Task 1); the `AtClose` arm keeps the current eval tokens verbatim
(byte-identity), the new `PerHeldCycle` arm accrues into `acc`, dumps the total into
`cum` at close, and marks the open position (grows each held cycle) so the curve bleeds.
`CarryCost` is a `ConstantCost` twin differing only in `charge_mode()` (Task 2). The CLI
flag threads through the existing `cost_graph`/`CostSum`/`net_eq` wiring with no change to
that wiring (Task 3). Tests pin the B-proof (open_cost grows, dumps at close) at the unit
level and the bleed end-to-end (Task 4).
**Tech Stack:** `crates/aura-std/src/cost.rs` (ChargeMode + runner branch),
`crates/aura-std/src/carry_cost.rs` (new node), `crates/aura-std/src/lib.rs` (module +
re-exports), `crates/aura-cli/src/main.rs` (flag wiring), `crates/aura-cli/tests/cli_run.rs`
(goldens + bleed test). `summarize_r` and `crates/aura-analysis` are UNCHANGED.
---
**Files this plan creates or modifies:**
- Modify: `crates/aura-std/src/cost.rs` — `ChargeMode` enum, `CostNode::charge_mode()`
default, `CostRunner::acc` + the `eval` match branch; new `#[cfg(test)]` PerHeldCycle
stub + 2 B-proof tests.
- Create: `crates/aura-std/src/carry_cost.rs` — `CarryCost` node (ConstantCost twin,
`charge_mode() -> PerHeldCycle`) + its `#[cfg(test)]` tests.
- Modify: `crates/aura-std/src/lib.rs:22-24,51-53` — `mod carry_cost;`, `pub use
carry_cost::CarryCost;`, add `ChargeMode` to the `pub use cost::{…}` re-export.
- Modify: `crates/aura-cli/src/main.rs` — `CarryCost` import (32), `CostConfig`
field (2577), the `CarryCost` push (~2743), the arg parser + `RunArgs` +
`run_stage1_r` signature + its 2 call sites (3218, 4446) + usage strings.
- Test: `crates/aura-cli/tests/cli_run.rs` — two `--carry-per-cycle` net_expectancy_r
goldens (capture-then-pin) + the `net_r_equity`-bleeds-over-the-hold test.
---
## Task 1: ChargeMode + PerHeldCycle accrual branch (cost.rs)
**Files:**
- Modify: `crates/aura-std/src/cost.rs:78-91` (trait), `:96-106` (runner struct + new),
`:124-134` (eval charge body), `:162+` (test mod)
The `CostNode` trait gains a defaulted `charge_mode()`; `CostRunner` gains `acc` state
and one `eval` branch. The AtClose arm is the current code verbatim (byte-identity); the
PerHeldCycle arm is new. RED-first: the scaffolding (enum + defaulted method) is added so
the new tests COMPILE, then the tests fail by assertion against the still-AtClose eval,
then the branch makes them pass.
- [ ] **Step 1: Add the `ChargeMode` enum + the defaulted `charge_mode()` (scaffolding, inert)**
Insert the enum just above the `pub trait CostNode` line (cost.rs:78):
```rust
/// When a cost factor charges its cost. `AtClose` — once per closed trade (commission,
/// flat cost, slippage): the per-trade default, charged on the close cycle. `PerHeldCycle`
/// — every cycle the position is held (carry, funding): the cost accrues over the hold.
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum ChargeMode {
AtClose,
PerHeldCycle,
}
```
Add the defaulted method inside the `CostNode` trait, after `extra_inputs` (cost.rs:83-85),
before `cost_numerator` (cost.rs:90):
```rust
/// When this factor charges. Default `AtClose` (the per-trade cost shape); a
/// per-held-cycle (accrual) factor overrides this to `PerHeldCycle`.
fn charge_mode(&self) -> ChargeMode {
ChargeMode::AtClose
}
```
- [ ] **Step 2: Add the PerHeldCycle test stub + the two RED B-proof tests**
In the `#[cfg(test)] mod tests` (cost.rs:162), add a stub mirroring `StubCost` (cost.rs:169-177)
but overriding `charge_mode`:
```rust
/// A test-only factor charging per held cycle (accrual), constant numerator.
struct StubPerHeld(f64);
impl CostNode for StubPerHeld {
fn label(&self) -> String {
format!("StubPerHeld({})", self.0)
}
fn charge_mode(&self) -> ChargeMode {
ChargeMode::PerHeldCycle
}
fn cost_numerator(&mut self, _ctx: &Ctx<'_>) -> f64 {
self.0
}
}
```
Add the two tests (use the existing `geom_cols()` helper at cost.rs:195):
```rust
#[test]
fn per_held_cycle_accrues_open_cost_and_dumps_at_close() {
// per = 2/4 = 0.5 each cycle. A hold of open, open, close.
let mut r = CostRunner::new(StubPerHeld(2.0));
// Cycle 1: held open -> accrue 0.5 into open_cost; nothing into cum yet.
let mut a = geom_cols();
a[0].push(Scalar::bool(false)).unwrap(); // not closed
a[1].push(Scalar::bool(true)).unwrap(); // open
a[2].push(Scalar::f64(100.0)).unwrap();
a[3].push(Scalar::f64(96.0)).unwrap(); // latched 4 -> per 0.5
assert_eq!(
r.eval(Ctx::new(&a, Timestamp(0))),
Some([Cell::from_f64(0.0), Cell::from_f64(0.0), Cell::from_f64(0.5)].as_slice())
);
// Cycle 2: still held open -> open_cost GROWS to 1.0 (the accrual bleed), cum still 0.
let mut b = geom_cols();
b[0].push(Scalar::bool(false)).unwrap();
b[1].push(Scalar::bool(true)).unwrap();
b[2].push(Scalar::f64(100.0)).unwrap();
b[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
r.eval(Ctx::new(&b, Timestamp(1))),
Some([Cell::from_f64(0.0), Cell::from_f64(0.0), Cell::from_f64(1.0)].as_slice())
);
// Cycle 3: close -> accrue the closing cycle, DUMP the total 1.5 into cost_in_r,
// cum steps to 1.5, open_cost back to 0.
let mut c = geom_cols();
c[0].push(Scalar::bool(true)).unwrap(); // closed
c[1].push(Scalar::bool(false)).unwrap(); // not open
c[2].push(Scalar::f64(100.0)).unwrap();
c[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
r.eval(Ctx::new(&c, Timestamp(2))),
Some([Cell::from_f64(1.5), Cell::from_f64(1.5), Cell::from_f64(0.0)].as_slice())
);
}
#[test]
fn per_held_cycle_resets_accrual_between_trades() {
// Two trades (open, close each). acc must reset at the first close so the
// second trade's dumped total is its OWN accrual, not cumulative.
let mut r = CostRunner::new(StubPerHeld(2.0)); // per 0.5
let mut o1 = geom_cols();
o1[0].push(Scalar::bool(false)).unwrap();
o1[1].push(Scalar::bool(true)).unwrap();
o1[2].push(Scalar::f64(100.0)).unwrap();
o1[3].push(Scalar::f64(96.0)).unwrap();
let _ = r.eval(Ctx::new(&o1, Timestamp(0))); // open_cost 0.5
let mut c1 = geom_cols();
c1[0].push(Scalar::bool(true)).unwrap();
c1[1].push(Scalar::bool(false)).unwrap();
c1[2].push(Scalar::f64(100.0)).unwrap();
c1[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
r.eval(Ctx::new(&c1, Timestamp(1))),
Some([Cell::from_f64(1.0), Cell::from_f64(1.0), Cell::from_f64(0.0)].as_slice())
); // trade 1 total 1.0, cum 1.0, acc reset
let mut o2 = geom_cols();
o2[0].push(Scalar::bool(false)).unwrap();
o2[1].push(Scalar::bool(true)).unwrap();
o2[2].push(Scalar::f64(100.0)).unwrap();
o2[3].push(Scalar::f64(96.0)).unwrap();
let _ = r.eval(Ctx::new(&o2, Timestamp(2))); // fresh open_cost 0.5
let mut c2 = geom_cols();
c2[0].push(Scalar::bool(true)).unwrap();
c2[1].push(Scalar::bool(false)).unwrap();
c2[2].push(Scalar::f64(100.0)).unwrap();
c2[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
r.eval(Ctx::new(&c2, Timestamp(3))),
Some([Cell::from_f64(1.0), Cell::from_f64(2.0), Cell::from_f64(0.0)].as_slice())
); // trade 2's OWN total 1.0 (acc reset proved), cum running 2.0
}
```
- [ ] **Step 3: Run the new tests to verify they FAIL (RED)**
Run: `cargo test -p aura-std per_held_cycle`
Expected: FAIL — both `per_held_cycle_accrues_open_cost_and_dumps_at_close` and
`per_held_cycle_resets_accrual_between_trades` fail by assertion (the eval still runs the
unconditional AtClose path, so cycle 2's `open_cost_in_r` is `0.5` not `1.0`, and the close
dumps `0.5` not the accrued total). `left == right` mismatch on the cells.
- [ ] **Step 4: Add `CostRunner::acc` + the `eval` match branch**
Add the `acc` field to the `CostRunner<F>` struct (cost.rs:96-100), after `cum`:
```rust
pub struct CostRunner<F: CostNode> {
factor: F,
cum: f64,
acc: f64,
out: [Cell; COST_WIDTH],
}
```
Init it in `CostRunner::new` (cost.rs:104):
```rust
pub fn new(factor: F) -> Self {
Self { factor, cum: 0.0, acc: 0.0, out: [Cell::from_f64(0.0); COST_WIDTH] }
}
```
In `eval`, replace the two lines (cost.rs:132-133)
```rust
let cost_in_r = if closed { per } else { 0.0 };
let open_cost_in_r = if open { per } else { 0.0 };
```
with the match (keep cost.rs:131 `let per = …` above it and cost.rs:134
`self.cum += cost_in_r;` below it unchanged):
```rust
let (cost_in_r, open_cost_in_r) = match self.factor.charge_mode() {
// At-close (per-trade): charged once on the close cycle. VERBATIM the
// pre-cycle-5 tokens — IEEE-754 byte-identity with the existing goldens.
ChargeMode::AtClose => {
let cost_in_r = if closed { per } else { 0.0 };
let open_cost_in_r = if open { per } else { 0.0 };
(cost_in_r, open_cost_in_r)
}
// Per-held-cycle (accrual): the carry accrues every cycle the position is
// held; the accrued total realizes into `cum` at close, and marks the open
// position (grows each held cycle) so the net_r_equity curve bleeds over
// the hold rather than stepping at close.
ChargeMode::PerHeldCycle => {
if open || closed {
self.acc += per;
}
let cost_in_r = if closed { self.acc } else { 0.0 };
let open_cost_in_r = if open { self.acc } else { 0.0 };
if closed {
self.acc = 0.0;
}
(cost_in_r, open_cost_in_r)
}
};
```
- [ ] **Step 5: Run all aura-std tests to verify GREEN (new + verbatim AtClose regression)**
Run: `cargo test -p aura-std`
(Unfiltered on purpose: the AtClose regression tests `charges_numerator_over_latched_on_close`
and `cum_accumulates` carry no "cost" substring, so a `cost` name-filter would silently skip
them — run the whole crate so "nothing ran" cannot masquerade as green.)
Expected: PASS — the two new `per_held_cycle_*` tests pass, AND the existing AtClose
tests stay verbatim-green: `charges_numerator_over_latched_on_close`,
`open_emits_would_be_cost_not_in_cum`, `zero_latched_no_cost`, `cum_accumulates`,
`extra_input_cold_contributes_zero_but_row_emits`, `extra_input_warm_scales_numerator`,
`producer_and_aggregator_share_the_triple`, etc.
---
## Task 2: CarryCost node (carry_cost.rs + lib.rs registration)
**Files:**
- Create: `crates/aura-std/src/carry_cost.rs`
- Modify: `crates/aura-std/src/lib.rs:22-24` (mod), `:51-53` (re-exports)
A `ConstantCost` twin differing only in `charge_mode() -> PerHeldCycle`. RED-first: the
file is created WITHOUT the `charge_mode` override (so it defaults AtClose), the tests are
written, they fail by assertion, then the override makes them pass. Depends on Task 1
(`ChargeMode` + the PerHeldCycle branch must exist).
- [ ] **Step 1: Register the module + re-exports in lib.rs**
In `crates/aura-std/src/lib.rs` add `mod carry_cost;` at the alphabetical slot between
`mod bias;` (line 22) and `mod constant_cost;` (line 23):
```rust
mod bias;
mod carry_cost;
mod constant_cost;
mod cost;
```
Add the re-export between `pub use bias::Bias;` (line 51) and
`pub use constant_cost::ConstantCost;` (line 52), and add `ChargeMode` to the existing
`pub use cost::{…}` line (53):
```rust
pub use bias::Bias;
pub use carry_cost::CarryCost;
pub use constant_cost::ConstantCost;
pub use cost::{
cost_node_builder, ChargeMode, CostNode, CostRunner, COST_FIELD_NAMES, COST_WIDTH,
GEOMETRY_WIDTH,
};
```
(`ChargeMode` is re-exported for parity with the line-53 convention of surfacing every
public cost symbol — it is part of the public `CostNode::charge_mode` return type, so a
downstream crate authoring a per-held-cycle node can name it; the CLI does not need it.)
- [ ] **Step 2: Create `carry_cost.rs` as the twin WITHOUT the charge_mode override (RED scaffolding)**
```rust
//! `CarryCost` — a flat per-held-cycle carry/financing cost, in R. The simplest
//! ACCRUAL cost node (C10): a cost incurred for every cycle a position is held,
//! accruing over the hold rather than charged once at close. A labelled stress
//! parameter (a constant price-unit carry); the notional-based and calendar-aware
//! (overnight-swap) variants are later #148 cycles. A `ConstantCost` twin differing
//! only in `charge_mode() -> PerHeldCycle`; the shared `CostRunner` accrues, dumps at
//! close, and marks the open position so the net_r_equity curve bleeds over the hold.
use aura_core::{Ctx, ParamSpec, PrimitiveBuilder, ScalarKind};
use crate::cost::{cost_node_builder, CostNode, CostRunner};
/// A flat per-held-cycle carry in price units (`carry_per_cycle`), emitted in R via the
/// shared [`CostRunner`] in its per-held-cycle (accrual) charge mode.
pub struct CarryCost {
carry_per_cycle: f64,
}
impl CarryCost {
/// A flat per-held-cycle carry node: the factor wrapped in the shared [`CostRunner`].
pub fn new(carry_per_cycle: f64) -> CostRunner<CarryCost> {
assert!(carry_per_cycle >= 0.0, "CarryCost carry_per_cycle must be >= 0");
CostRunner::new(CarryCost { carry_per_cycle })
}
/// The param-generic recipe: one `carry_per_cycle` F64 knob, no extra inputs.
pub fn builder() -> PrimitiveBuilder {
cost_node_builder(
"CarryCost",
Vec::new(),
vec![ParamSpec { name: "carry_per_cycle".into(), kind: ScalarKind::F64 }],
|p| Box::new(CarryCost::new(p[0].f64())),
)
}
}
impl CostNode for CarryCost {
fn label(&self) -> String {
format!("CarryCost({})", self.carry_per_cycle)
}
fn cost_numerator(&mut self, _ctx: &Ctx<'_>) -> f64 {
self.carry_per_cycle
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::cost::ChargeMode;
use aura_core::{AnyColumn, Cell, Node, Scalar, Timestamp};
fn cols() -> Vec<AnyColumn> {
vec![
AnyColumn::with_capacity(ScalarKind::Bool, 1), // closed
AnyColumn::with_capacity(ScalarKind::Bool, 1), // open
AnyColumn::with_capacity(ScalarKind::F64, 1), // entry
AnyColumn::with_capacity(ScalarKind::F64, 1), // stop
]
}
#[test]
fn charge_mode_is_per_held_cycle() {
assert_eq!(CarryCost { carry_per_cycle: 1.0 }.charge_mode(), ChargeMode::PerHeldCycle);
}
#[test]
fn accrues_each_held_cycle_then_dumps_at_close() {
// per = 1/4 = 0.25. open, open, close -> open_cost 0.25, 0.5, then dump 0.75.
let mut c = CarryCost::new(1.0);
let mut a = cols();
a[0].push(Scalar::bool(false)).unwrap();
a[1].push(Scalar::bool(true)).unwrap();
a[2].push(Scalar::f64(100.0)).unwrap();
a[3].push(Scalar::f64(96.0)).unwrap(); // latched 4
assert_eq!(
c.eval(Ctx::new(&a, Timestamp(0))),
Some([Cell::from_f64(0.0), Cell::from_f64(0.0), Cell::from_f64(0.25)].as_slice())
);
let mut b = cols();
b[0].push(Scalar::bool(false)).unwrap();
b[1].push(Scalar::bool(true)).unwrap();
b[2].push(Scalar::f64(100.0)).unwrap();
b[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
c.eval(Ctx::new(&b, Timestamp(1))),
Some([Cell::from_f64(0.0), Cell::from_f64(0.0), Cell::from_f64(0.5)].as_slice())
);
let mut d = cols();
d[0].push(Scalar::bool(true)).unwrap();
d[1].push(Scalar::bool(false)).unwrap();
d[2].push(Scalar::f64(100.0)).unwrap();
d[3].push(Scalar::f64(96.0)).unwrap();
assert_eq!(
c.eval(Ctx::new(&d, Timestamp(2))),
Some([Cell::from_f64(0.75), Cell::from_f64(0.75), Cell::from_f64(0.0)].as_slice())
);
}
#[test]
fn label_carries_the_carry() {
assert_eq!(CarryCost::new(0.5).label(), "CarryCost(0.5)");
}
#[test]
fn builder_exposes_one_param_no_extra() {
let schema = CarryCost::builder().schema();
assert_eq!(schema.params.len(), 1);
assert_eq!(schema.params[0].name, "carry_per_cycle");
// geometry-only inputs (4), no extras.
assert_eq!(schema.inputs.len(), crate::cost::GEOMETRY_WIDTH);
}
#[test]
#[should_panic(expected = "carry_per_cycle must be >= 0")]
fn new_panics_on_negative_carry() {
let _ = CarryCost::new(-1.0);
}
}
```
- [ ] **Step 3: Run carry_cost tests to verify they FAIL (RED)**
Run: `cargo test -p aura-std --lib carry_cost`
Expected: FAIL — `charge_mode_is_per_held_cycle` fails (`AtClose != PerHeldCycle`) and
`accrues_each_held_cycle_then_dumps_at_close` fails by assertion (defaulting AtClose, the
second open cycle's `open_cost_in_r` is `0.25` not `0.5`, and the close charges `0.25`
not the dumped `0.75`). The other three (`label_carries_the_carry`,
`builder_exposes_one_param_no_extra`, `new_panics_on_negative_carry`) already pass.
- [ ] **Step 4: Add the `charge_mode` override**
Add the override + the `ChargeMode` import in `carry_cost.rs`. Change the import line to
```rust
use crate::cost::{cost_node_builder, ChargeMode, CostNode, CostRunner};
```
and add the method inside `impl CostNode for CarryCost`, after `label`:
```rust
fn charge_mode(&self) -> ChargeMode {
ChargeMode::PerHeldCycle
}
```
- [ ] **Step 5: Run carry_cost tests to verify GREEN**
Run: `cargo test -p aura-std --lib carry_cost`
Expected: PASS — all five `carry_cost` tests pass.
---
## Task 3: CLI `--carry-per-cycle` flag wiring (main.rs)
**Files:**
- Modify: `crates/aura-cli/src/main.rs:32` (import), `:2576-2579` (CostConfig),
`:2732-2746` (CarryCost push), `:3005-3010` (run_stage1_r sig), `:3023-3024` (carrier
guard + construction), `:3117-3123` (RunArgs), `:3132` (usage), `:3140-3141`
(accumulators), `:3178-3208` (parser + RunArgs construction), `:3218` (dispatch call),
`:3229` (USAGE), `:4446` (in-crate unit-test call site)
Behaviour-preserving when the flag is unset (the goldens stay green); adds the carry node
when set. ALL `run_stage1_r` call sites are threaded in this task (the signature change +
both callers), so the build gate is satisfiable. No new test here — its correctness is
build-clean + the existing goldens byte-identical + the in-crate unit test green; the new
behaviour is exercised by Task 4.
- [ ] **Step 1: Thread the flag through every site**
`crates/aura-cli/src/main.rs:32` — add `CarryCost` to the `aura_std` import (it lists
`ConstantCost` on line 32):
```rust
Add, Bias, CarryCost, ConstantCost, Delay, Ema, GatedRecorder, Gt, Latch, LongOnly, Mul,
```
(keep the rest of the multi-line `use aura_std::{ … }` block as-is; only insert
`CarryCost` in alphabetical position before `ConstantCost`.)
`:2576-2579` — add the field to `CostConfig`:
```rust
struct CostConfig {
const_cost: Option<f64>, // --cost-per-trade
slip_vol_mult: Option<f64>, // --slip-vol-mult
carry_per_cycle: Option<f64>, // --carry-per-cycle
}
```
`:2743-2746` — in the cost block, push a `CarryCost` after the `VolSlippageCost` push and
before `let cg = g.add(cost_graph(cost_nodes));` (no `vol_slot` bookkeeping — CarryCost has
no extra inputs):
```rust
if let Some(cpc) = cfg.carry_per_cycle {
cost_nodes.push(CarryCost::builder().bind("carry_per_cycle", Scalar::f64(cpc)));
}
// A single cost_graph composite fans the shared PM-geometry into the active
```
`:3005-3010` — add the param to `run_stage1_r`'s signature (after `slip_vol_mult`):
```rust
const_cost: Option<f64>,
slip_vol_mult: Option<f64>,
carry_per_cycle: Option<f64>,
```
`:3023-3024` — extend the carrier guard and the `CostConfig` construction:
```rust
let cost_bundle = if const_cost.is_some() || slip_vol_mult.is_some() || carry_per_cycle.is_some() {
Some((CostConfig { const_cost, slip_vol_mult, carry_per_cycle }, tx_net, tx_cost))
```
`:3117-3123` — add the field to `RunArgs`:
```rust
cost: Option<f64>,
slip_vol_mult: Option<f64>,
carry_per_cycle: Option<f64>,
```
`:3132` — add `[--carry-per-cycle <f64>]` to the `parse_run_args` usage string (append
after `[--slip-vol-mult <f64>]`).
`:3140-3141` — add the accumulator next to the existing two:
```rust
let mut carry_per_cycle: Option<f64> = None;
```
`:3195` — add a parser arm verbatim-mirroring the `--slip-vol-mult` arm (main.rs:3187-3194,
the `tail`/`t` split-first cursor + `usage` closure + `< 0.0` reject), inserted after that
arm (before the `_ => return Err(usage()),` catch-all at 3196):
```rust
"--carry-per-cycle" if carry_per_cycle.is_none() => {
let (value, t) = t.split_first().ok_or_else(usage)?;
let v: f64 = value.parse().map_err(|_| usage())?;
if v < 0.0 {
return Err(usage());
}
carry_per_cycle = Some(v);
tail = t;
}
```
`:3208` — add the field to the `RunArgs` construction:
```rust
Ok(RunArgs { harness, data, trace, cost, slip_vol_mult, carry_per_cycle })
```
`:3218` — pass the new arg in the dispatch call:
```rust
(HarnessKind::Stage1R, data) => run_stage1_r(data, trace, args.cost, args.slip_vol_mult, args.carry_per_cycle),
```
`:3229` — add `[--carry-per-cycle <f64>]` to the top-level `USAGE` const's `run` form
(after `[--slip-vol-mult <f64>]`).
`:4446` — the in-crate unit test `run_stage1_r_synthetic_folds_an_r_block` call gains the
5th `None`:
```rust
run_stage1_r(RunData::Synthetic, None, None, None, None)
```
(verify the exact current arg count at main.rs:4446 — it is `run_stage1_r(RunData::Synthetic,
None, None, None)`, four args; add one more `None`.)
- [ ] **Step 2: Build the CLI crate clean**
Run: `cargo build -p aura-cli`
Expected: `Finished` — 0 errors. (If `run_stage1_r` has any other call site the build will
name it; thread the new `None`/arg there too — all callers live in this task.)
- [ ] **Step 3: Run the existing CLI goldens + the in-crate unit test (byte-identity)**
Run: `cargo test -p aura-cli --test cli_run`
Expected: PASS — every existing test green, in particular
`stage1_r_flat_cost_net_expectancy_r_golden` (-614.3134020253314),
`stage1_r_composed_cost_net_expectancy_r_golden` (-615.0304388396047), and
`stage1_r_single_run_output_golden` byte-identical.
Run: `cargo test -p aura-cli run_stage1_r_synthetic_folds_an_r_block`
(No `--lib`: this test lives in `main.rs` (a bin-target unit test), not a lib target, so a
name-only filter across all `aura-cli` targets is what resolves it.)
Expected: PASS — the threaded unit-test call site compiles and the R-block fold is unchanged.
---
## Task 4: CLI carry goldens + the net_r_equity bleed test (cli_run.rs)
**Files:**
- Test: `crates/aura-cli/tests/cli_run.rs` — append three tests near the existing cost
goldens (~after line 1729)
Two capture-then-pin net_expectancy_r goldens (the carry value is whatever the
deterministic binary emits — RUN it, read the float, pin it; do NOT invent it) and the
bleed test (the integration B-proof: `net_r_equity` falls DURING the terminal multi-cycle
hold, ts 14-18, where the position stays open and never closes). Depends on Task 3.
- [ ] **Step 1: Add the carry-only net_expectancy_r golden (capture-then-pin)**
```rust
/// Golden characterization (cycle 0085, the per-held-cycle accrual path): pins the EXACT
/// `net_expectancy_r` of `aura run --harness stage1-r --carry-per-cycle 0.5`, so the
/// CarryCost accrual (open_cost grows over the hold, dumps into cum at close) is VERIFIED
/// at the observable boundary. Deterministic over the fixed synthetic stream (C1).
#[test]
fn stage1_r_carry_cost_net_expectancy_r_golden() {
let out = Command::new(BIN)
.args(["run", "--harness", "stage1-r", "--carry-per-cycle", "0.5"])
.output()
.unwrap();
assert!(out.status.success(), "exit: {:?}; stderr: {}", out.status,
String::from_utf8_lossy(&out.stderr));
let s = String::from_utf8(out.stdout).expect("utf-8 stdout");
let v: serde_json::Value = serde_json::from_str(s.trim()).unwrap();
let net = v["metrics"]["r"]["net_expectancy_r"].as_f64().unwrap();
assert_eq!(
net, /* CAPTURE: the exact f64 this run prints */ 0.0,
"carry net_expectancy_r drifted from the golden: {s}"
);
}
```
- [ ] **Step 2: Capture and pin the carry-only golden value**
Run: `cargo test -p aura-cli --test cli_run stage1_r_carry_cost_net_expectancy_r_golden`
Expected: FAIL first (placeholder `0.0` mismatches) — the panic message prints the actual
`net_expectancy_r` (and the full report `s`). Replace the `0.0` with the EXACT printed
f64, re-run.
Expected (after pin): PASS.
- [ ] **Step 3: Add the composed cost+carry net_expectancy_r golden (capture-then-pin)**
```rust
/// Golden characterization (cycle 0085, composed at-close + accrual): pins the EXACT
/// `net_expectancy_r` of `aura run --harness stage1-r --cost-per-trade 2 --carry-per-cycle
/// 0.5` — the per-trade ConstantCost and the per-held-cycle CarryCost sum through
/// cost_graph/CostSum into one net-R curve. Deterministic (C1).
#[test]
fn stage1_r_cost_and_carry_composed_net_expectancy_r_golden() {
let out = Command::new(BIN)
.args(["run", "--harness", "stage1-r", "--cost-per-trade", "2", "--carry-per-cycle", "0.5"])
.output()
.unwrap();
assert!(out.status.success(), "exit: {:?}; stderr: {}", out.status,
String::from_utf8_lossy(&out.stderr));
let s = String::from_utf8(out.stdout).expect("utf-8 stdout");
let v: serde_json::Value = serde_json::from_str(s.trim()).unwrap();
let net = v["metrics"]["r"]["net_expectancy_r"].as_f64().unwrap();
assert_eq!(
net, /* CAPTURE: the exact f64 this run prints */ 0.0,
"composed cost+carry net_expectancy_r drifted from the golden: {s}"
);
}
```
- [ ] **Step 4: Capture and pin the composed golden value**
Run: `cargo test -p aura-cli --test cli_run stage1_r_cost_and_carry_composed_net_expectancy_r_golden`
Expected: FAIL first (placeholder), read the printed f64, pin it, re-run → PASS.
- [ ] **Step 5: Add the net_r_equity bleed test (the integration B-proof)**
The terminal position is held open over the last consecutive cycles (the synthetic
fixture's ts 14-18, never closing). Under accrual the gap `r_equity − net_r_equity`
(= `cum_cost_in_r + open_cost_in_r`) STRICTLY GROWS across that terminal hold (open_cost
accrues each cycle), whereas a non-accruing (A / would-be-constant) cost would leave it
FLAT. Read both taps' first column off disk via the existing `json_array_body` helper
(cli_run.rs:478) and assert strict growth over the last 3 recorded cycles.
```rust
/// Property (cycle 0085, the approach-B discriminator): with `--carry-per-cycle`, the
/// `net_r_equity` tap BLEEDS continuously during a multi-cycle hold — the gap to the
/// gross `r_equity` strictly grows each held cycle as the carry accrues, rather than
/// stepping only at close (approach A, which net_expectancy_r alone could not tell
/// apart). Read over the synthetic fixture's terminal open hold (the position held to the
/// end, never closing), where cum_cost_in_r is constant so the growth is the open-side
/// accrual alone.
#[test]
fn stage1_r_carry_net_r_equity_bleeds_over_the_hold() {
let dir = temp_cwd("stage1-r-carry-bleed");
let run = Command::new(BIN)
.current_dir(&dir)
.args(["run", "--harness", "stage1-r", "--carry-per-cycle", "0.5", "--trace", "bleed"])
.output()
.unwrap();
assert!(run.status.success(), "exit: {:?}; stderr: {}", run.status,
String::from_utf8_lossy(&run.stderr));
let read_col = |tap: &str| -> Vec<f64> {
let s = std::fs::read_to_string(dir.join(format!("runs/traces/bleed/{tap}.json")))
.unwrap_or_else(|e| panic!("read {tap}.json: {e}"));
json_array_body(&s, "\"columns\":[[")
.split(',')
.map(|x| x.trim().parse::<f64>().unwrap_or_else(|_| panic!("parse {tap} value {x:?}")))
.collect()
};
let r_eq = read_col("r_equity");
let net_eq = read_col("net_r_equity");
assert_eq!(r_eq.len(), net_eq.len(), "taps are co-temporal (parallel arrays)");
let n = r_eq.len();
assert!(n >= 3, "need a multi-cycle terminal hold to observe the bleed; len {n}");
// gap = r_equity − net_r_equity = cum_cost_in_r + open_cost_in_r. Over the terminal
// open hold cum is constant, so a strictly growing gap proves the open-side accrual.
let gap = |i: usize| r_eq[i] - net_eq[i];
assert!(
gap(n - 3) < gap(n - 2) && gap(n - 2) < gap(n - 1),
"net_r_equity must bleed during the terminal hold (gap strictly grows): \
gaps {}, {}, {}",
gap(n - 3), gap(n - 2), gap(n - 1)
);
assert!(gap(n - 1) > 0.0, "carry is charged: terminal gap {} > 0", gap(n - 1));
let _ = std::fs::remove_dir_all(&dir);
}
```
- [ ] **Step 6: Run the bleed test to verify GREEN**
Run: `cargo test -p aura-cli --test cli_run stage1_r_carry_net_r_equity_bleeds_over_the_hold`
Expected: PASS — the terminal-hold gaps strictly increase (the accrual bleed), proving B
was built, not A.
- [ ] **Step 7: Full workspace regression + clippy**
Run: `cargo test --workspace`
Expected: PASS — 0 failures across all crates (the new cost.rs/carry_cost.rs/cli_run.rs
tests + every existing test, including the three byte-identity goldens).
Run: `cargo clippy --workspace --all-targets -- -D warnings`
Expected: clean — no warnings (the new `acc` field is read on the PerHeldCycle branch; no
dead code).
docs/specs/0085-per-cycle-accrual-carry-cost.md
-312
View File
@@ -1,312 +0,0 @@
# Per-cycle-held accrual + CarryCost — Design Spec
**Date:** 2026-06-28
**Status:** Draft — awaiting user spec review
**Authors:** orchestrator + Claude
Cycle 5 of milestone #148 ("Cost-model graph (in R)"). Reference issue: #148
(fork decisions + the mechanism refinement logged there). Builds directly on the
cost-model graph shipped in cycles 0081–0084 (`CostNode`/`CostRunner`,
`ConstantCost`, `VolSlippageCost`, `CostSum`, the `cost_graph` composite, the
`net_r_equity` tap, and the `summarize_r` cost-stream fold).
## Goal
Ship the **per-cycle-held accrual mechanism** — the unbuilt half of C10's "per-trade
factors deduct at close; **per-cycle-held factors accrue over the hold**" — exercised
by the simplest concrete accrual node, a constant per-held-cycle carry. A carry/funding
cost is incurred for *every cycle a position is held*, not once at close; the headline
artifact, the `net_r_equity` equity curve, must **bleed continuously over the hold**
(approach B, the user's choice — "ja, mach B"), not step at close (approach A).
Scope is deliberately minimal: the charge-mode mechanism + one constant carry node + a
CLI flag + tests. Explicitly **out** (each a later #148 cycle): a notional-based carry
(`price × rate`), the calendar-aware *overnight swap* proper (rollover-boundary timing,
the 3× Wednesday rule, long/short rate asymmetry — deploy-edge realism), sweep-path cost,
and the conviction axis.
## Architecture
A cost node's charge timing becomes a property of the **factor**, read by the one shared
`CostRunner`. Today every cost node charges *at close* (a per-trade cost). A new
`ChargeMode` lets a factor declare it charges *per held cycle* instead. The shared runner
gains one branch; the at-close branch is kept byte-for-byte. This honours cycle 0083's
"write the co-temporality skeleton once" — a single runner, not a second `AccrualRunner`
type (a commission is intrinsically at-close, a carry intrinsically per-held-cycle; the
timing belongs to the factor).
The honest bleeding curve is produced **without touching `summarize_r` or the CLI
`net_eq` wiring**. The 3-field cost record's existing semantics generalize:
- `cost_in_r` — the cost **realized this cycle** (added to `cum`). AtClose: `per` at close.
PerHeldCycle: the accrued total, **dumped at close**.
- `cum_cost_in_r` — running cumulative of `cost_in_r` (realized/closed cost).
- `open_cost_in_r` — the open position's cost **marked-to-market as-of-now**. AtClose: the
would-be close cost. PerHeldCycle: the **accrued-so-far** (grows each held cycle).
The `net_r_equity` tap is `cum_realized_r + unrealized_r − cum_cost_in_r − open_cost_in_r`.
During a hold the PerHeldCycle node's `open_cost_in_r` grows each cycle, so the curve
bleeds; at close the accrued total moves into `cum_cost_in_r` and `open_cost_in_r` drops to
0 — a clean hand-off, no double-count. `summarize_r` reads the closed-trade cost from the
close row's `cost_in_r` (= the dumped accrued total) and the window-end open-trade cost
from `open_cost_in_r` (= accrued-so-far); both already correct, so the fold is unchanged.
For the AtClose model nothing about the record or the fold changes, so every cycle-0083/0084
golden stays byte-identical trivially.
The new node, `CarryCost`, is a `ConstantCost` twin: a constant price-unit numerator,
R-normalized by the latched 1R distance through the shared runner, differing only in
`charge_mode() -> PerHeldCycle`. A labelled stress parameter (C10: each factor is a
stress-parameter OR data-grounded; this is the former). It drops into the existing
`cost_graph`/`CostSum` aggregation with no new wiring — it has no extra inputs (like
`ConstantCost`), so it needs only the 4 geometry roles `cost_graph` already fans, and
`CostSum` already sums its 3 fields into the aggregate the run consumes.
## Concrete code shapes
### User-facing surface (the acceptance-criterion evidence)
A researcher asks "what if holding a position costs 0.5 price-units of carry per cycle?"
and reaches for a flag, exactly as for the existing per-trade and slippage costs:
```
# carry alone — the net-R curve bleeds each held cycle:
aura run --harness stage1-r --carry-per-cycle 0.5
# composed with the existing per-trade cost (the costs sum, per cost_graph/CostSum):
aura run --harness stage1-r --cost-per-trade 2 --carry-per-cycle 0.5
# trace the bleed (net_r_equity falls during the hold, not only at close):
aura run --harness stage1-r --carry-per-cycle 0.5 --trace carry
aura chart carry --tap net_r_equity
```
Observable effect: `net_expectancy_r` drops by each trade's total accrued carry (carry per
held cycle × cycles held), and the `net_r_equity` tap bleeds continuously over each hold
(the property that distinguishes B from A — under A the same scalar would step at close).
### `CarryCost` node (new — `crates/aura-std/src/carry_cost.rs`)
A `ConstantCost` twin; the only difference is the `charge_mode` override:
```rust
//! `CarryCost` — a flat per-held-cycle carry/financing cost, in R. The simplest
//! ACCRUAL cost node (C10): a cost incurred for every cycle a position is held,
//! accruing over the hold rather than charged once at close. A labelled stress
//! parameter (a constant price-unit carry); the notional-based and calendar-aware
//! (overnight-swap) variants are later #148 cycles.
use aura_core::{Ctx, ParamSpec, PrimitiveBuilder, ScalarKind};
use crate::cost::{cost_node_builder, ChargeMode, CostNode, CostRunner};
/// A flat per-held-cycle carry in price units, emitted in R via the shared
/// [`CostRunner`] in its per-held-cycle (accrual) charge mode.
pub struct CarryCost {
carry_per_cycle: f64,
}
impl CarryCost {
pub fn new(carry_per_cycle: f64) -> CostRunner<CarryCost> {
assert!(carry_per_cycle >= 0.0, "CarryCost carry_per_cycle must be >= 0");
CostRunner::new(CarryCost { carry_per_cycle })
}
pub fn builder() -> PrimitiveBuilder {
cost_node_builder(
"CarryCost",
Vec::new(),
vec![ParamSpec { name: "carry_per_cycle".into(), kind: ScalarKind::F64 }],
|p| Box::new(CarryCost::new(p[0].f64())),
)
}
}
impl CostNode for CarryCost {
fn label(&self) -> String {
format!("CarryCost({})", self.carry_per_cycle)
}
fn charge_mode(&self) -> ChargeMode {
ChargeMode::PerHeldCycle
}
fn cost_numerator(&mut self, _ctx: &Ctx<'_>) -> f64 {
self.carry_per_cycle
}
}
```
### `CostNode` / `CostRunner` (modified — `crates/aura-std/src/cost.rs`)
`ChargeMode` is new; `CostNode` gains a defaulted `charge_mode()`; `CostRunner` gains
`acc` state and one branch in `eval`. The **AtClose branch keeps the current tokens
verbatim** (IEEE-754 byte-identity).
before (the trait + the charge body of `eval`):
```rust
pub trait CostNode: 'static {
fn label(&self) -> String;
fn extra_inputs(&self) -> Vec<PortSpec> { Vec::new() }
fn cost_numerator(&mut self, ctx: &Ctx<'_>) -> f64;
}
// ... in eval, after computing `per`:
let cost_in_r = if closed { per } else { 0.0 };
let open_cost_in_r = if open { per } else { 0.0 };
self.cum += cost_in_r;
```
after:
```rust
/// When a cost factor charges its cost. `AtClose` — once per closed trade (commission,
/// flat cost, slippage): the per-trade default. `PerHeldCycle` — every cycle the
/// position is held (carry, funding): accrues over the hold.
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum ChargeMode {
AtClose,
PerHeldCycle,
}
pub trait CostNode: 'static {
fn label(&self) -> String;
fn extra_inputs(&self) -> Vec<PortSpec> { Vec::new() }
/// When this factor charges. Default `AtClose` (the per-trade cost shape).
fn charge_mode(&self) -> ChargeMode { ChargeMode::AtClose }
fn cost_numerator(&mut self, ctx: &Ctx<'_>) -> f64;
}
// CostRunner gains `acc: f64` (the open position's accrued carry, for PerHeldCycle),
// initialised 0.0 alongside `cum`. In eval, after computing `per`:
let (cost_in_r, open_cost_in_r) = match self.factor.charge_mode() {
ChargeMode::AtClose => {
// verbatim the pre-cycle-5 charge (byte-identity)
let cost_in_r = if closed { per } else { 0.0 };
let open_cost_in_r = if open { per } else { 0.0 };
(cost_in_r, open_cost_in_r)
}
ChargeMode::PerHeldCycle => {
// Accrue this cycle's carry while the position exists (open or closing).
if open || closed {
self.acc += per;
}
// Realize the accrued total into cum at close; mark it open-MtM while held.
let cost_in_r = if closed { self.acc } else { 0.0 };
let open_cost_in_r = if open { self.acc } else { 0.0 };
if closed {
self.acc = 0.0; // reset for the next position
}
(cost_in_r, open_cost_in_r)
}
};
self.cum += cost_in_r;
```
### `summarize_r` and the CLI `net_eq` wiring — UNCHANGED
`crates/aura-analysis/src/lib.rs::summarize_r` is **not modified**: the closed-trade
read (`cost[i].cost_in_r` at the close row) already sees the dumped accrued total, and
the window-end open-trade read (`cost[last].open_cost_in_r`) already sees the
accrued-so-far. The CLI `net_eq` `LinComb(4)` and the cost recorder in
`stage1_r_graph` (`crates/aura-cli/src/main.rs`) are **not modified** — they already
subtract both `cum_cost_in_r` and `open_cost_in_r`, which is exactly the bleed.
### CLI flag (modified — `crates/aura-cli/src/main.rs`)
`CostConfig` gains a third optional field; the arg parser gains `--carry-per-cycle`
(at most once, mirroring `--cost-per-trade`); the cost-node build pushes a `CarryCost`:
```rust
struct CostConfig {
const_cost: Option<f64>, // --cost-per-trade
slip_vol_mult: Option<f64>, // --slip-vol-mult
carry_per_cycle: Option<f64>, // --carry-per-cycle
}
// in stage1_r_graph's cost block, in the same conditional order, after the existing pushes:
if let Some(cpc) = cfg.carry_per_cycle {
cost_nodes.push(CarryCost::builder().bind("carry_per_cycle", Scalar::f64(cpc)));
}
// (no vol_slot bookkeeping — CarryCost has no extra inputs; cost_graph fans only geometry.)
```
The flag is run-path-scoped only (the sweep / walk-forward / Monte-Carlo paths pass
`None`, exactly as the existing cost flags do — sweep-path cost is a later #148 cycle).
The `cost` carrier `Option` is `Some` when *any* of the three cost flags is set; usage
strings and `RunArgs` thread the new flag alongside the existing two.
## Components
- **`ChargeMode`** (`cost.rs`, new enum) — `AtClose` (default) | `PerHeldCycle`.
- **`CostNode::charge_mode()`** (`cost.rs`, new defaulted method) — `AtClose` default keeps
every existing factor (`ConstantCost`, `VolSlippageCost`, test stubs) unchanged.
- **`CostRunner::acc`** (`cost.rs`, new state) — the open position's accrued carry; only
read/written on the `PerHeldCycle` branch, so AtClose runners are unaffected.
- **`CarryCost`** (`carry_cost.rs`, new node) — the constant per-held-cycle carry factor.
- **`CostConfig::carry_per_cycle` + `--carry-per-cycle`** (`main.rs`) — the run-path knob.
- **`summarize_r`, the `net_eq` wiring, `cost_graph`, `CostSum`** — unchanged consumers.
## Data flow
Per cycle, the executor emits its PM record; `cost_graph` fans the 4 geometry inputs
(`closed_this_cycle`, `open`, `entry_price`, `stop_price`) to each active cost node.
`CarryCost`'s runner, in `PerHeldCycle` mode, accrues `carry_per_cycle / |entry − stop|`
into `acc` whenever the position is held, exposes `acc` as `open_cost_in_r` while open,
and dumps `acc` into `cost_in_r` (and `cum`) at close. `CostSum` sums the per-field
records across all active nodes; the aggregate feeds the `net_r_equity` tap (bleeds via
the growing `open_cost_in_r`) and the cost recorder (folded by `summarize_r` into
`net_expectancy_r`). Determinism (C1), causality (C2 — the factor reads only the
current/past geometry), co-temporality (the cost stream stays 1:1 with the PM record:
the runner still emits a row every cycle the geometry is present) are all preserved.
## Error handling
- `CarryCost::new` panics on a negative `carry_per_cycle` (mirrors `ConstantCost::new`;
a stress parameter is a non-negative cost).
- Zero latched 1R distance ⇒ no valid denominator ⇒ `per = 0.0` (the shared runner's
existing guard; unchanged, applies to both modes).
- `--carry-per-cycle` given twice, or a non-f64 value, is a usage error (mirrors the
existing `--cost-per-trade` arg handling).
- Co-temporality: a held cycle with no close still emits its row (charge 0 into
`cost_in_r`, the accrued into `open_cost_in_r`) — the stream never desyncs from PM.
## Testing strategy
RED-first where test-specifiable. The load-bearing proof is that B (bleed) was built,
not A (step) — and since `net_expectancy_r` is **scalar-identical** under A and B, the
discriminator is the per-cycle shape of `open_cost_in_r` / `net_r_equity`, not the scalar.
- **`cost.rs` unit (the B-proof):** a `CostRunner` over a `PerHeldCycle` stub fed a
multi-cycle hold (open, open, close) emits a **growing** `open_cost_in_r`
(`per`, `2·per`, then 0 at close) and dumps the accrued total into `cost_in_r` at close
(`3·per`), with `cum` stepping only at close. A second case: two consecutive trades —
`acc` resets after the first close so the second trade's accrued total is its own.
- **`cost.rs` unchanged-AtClose regression:** the existing AtClose tests
(`charges_numerator_over_latched_on_close`, `open_emits_would_be_cost_not_in_cum`,
`cum_accumulates`, …) stay green verbatim (they pin the verbatim branch).
- **`carry_cost.rs` unit:** `CarryCost` charges per held cycle (not only at close),
`charge_mode() == PerHeldCycle`, `label()` carries the param, `builder()` exposes one
`carry_per_cycle` F64 param and no extra inputs, `new(-1.0)` panics.
- **`cli_run.rs` golden:** the EXACT `net_expectancy_r` of
`aura run --harness stage1-r --carry-per-cycle <c>` (pin the f64), and a composed
`--cost-per-trade 2 --carry-per-cycle <c>` golden (the costs sum).
- **`cli_run.rs` bleed test (the integration B-proof):** with `--carry-per-cycle` and
`--trace`, the `net_r_equity` tap falls **during** a multi-cycle hold (strictly below
`r_equity` by a growing amount before the trade closes), proving the bleed is
continuous, not a single close-step.
- **Byte-identity regression:** `stage1_r_flat_cost_net_expectancy_r_golden`
(-614.3134020253314), `stage1_r_composed_cost_net_expectancy_r_golden`
(-615.0304388396047), and the C18 no-cost `stage1_r_single_run_output_golden` stay
byte-identical (summarize_r + the AtClose branch are untouched). Full
`cargo test --workspace` green; `clippy --workspace --all-targets -- -D warnings` clean.
## Acceptance criteria
1. `aura run --harness stage1-r --carry-per-cycle <c>` runs; `net_expectancy_r` drops by
each trade's total accrued carry; the `net_r_equity` tap bleeds over the hold.
2. `--carry-per-cycle` composes additively with `--cost-per-trade` / `--slip-vol-mult`
(costs sum through `cost_graph`/`CostSum`).
3. The `net_r_equity` curve bleeds continuously during a hold (B), not only at close (A)
— pinned by the unit B-proof and the CLI bleed test.
4. Every cycle-0083/0084 golden is byte-identical; the full suite is green; clippy clean.
5. The mechanism is a single shared runner with one new branch (no second runner type);
`summarize_r` and the CLI `net_eq` wiring are unmodified.
6. Scope holds: no notional carry, no calendar-aware overnight swap, no sweep-path cost,
no conviction work (all deferred on #148).