refactor: split aura-analysis into statistics and backtest metrics
C28 phase 5 (Stratification): the backtest reductions - RunMetrics, RMetrics, summarize_r, r_metrics_from_rs, and the position-event table - move verbatim into aura-backtest::metrics, beside the position_management producer whose record layout they read (the r_col/cost_col lockstep contract is now intra-crate; its stale "aura-std" comment corrected). aura-analysis is reduced to the domain-free half: the multiple-comparison hurdle math (inv_norm_cdf, expected_max_of_normals) and the selection-provenance types (FamilySelection/SelectionMode - kept beside the statistics so RunManifest.selection embeds a foundation-grade type), [dependencies] = serde only. The engine re-export surface is name-unchanged (report.rs re-imports from both crates), so no indirect consumer needed a source edit; aura-backtest moves from aura-engine's dev-dependencies into [dependencies] as a commented TRANSIENT widening of the C28 violation, removed by the phase-2 edge cut on this branch. The campaign drift guard imports its pinned types from their new source crates. Behaviour-preserving: 1448/0 tests, clippy -D warnings clean, serde shapes byte-identical (C18), moved code traceable via git copy detection. closes #291
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@@ -100,9 +100,7 @@ dependencies = [
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name = "aura-analysis"
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version = "0.1.0"
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dependencies = [
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"aura-core",
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"serde",
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"serde_json",
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]
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[[package]]
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@@ -110,6 +108,8 @@ name = "aura-backtest"
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version = "0.1.0"
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dependencies = [
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"aura-core",
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"serde",
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"serde_json",
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]
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[[package]]
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@@ -133,6 +133,7 @@ name = "aura-campaign"
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version = "0.1.0"
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dependencies = [
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"aura-analysis",
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"aura-backtest",
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"aura-core",
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"aura-engine",
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"aura-registry",
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@@ -6,15 +6,8 @@ license.workspace = true
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publish.workspace = true
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[dependencies]
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aura-core = { path = "../aura-core" }
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# serde is admitted under the amended C16 per-case dependency policy (INDEX.md):
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# it gives the run-report types a typed (de)serialization path for the run
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# registry (cycle 0029). serde's output is deterministic (C1-safe).
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# serde gives the selection-provenance types (`FamilySelection`/`SelectionMode`,
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# embedded by the engine's `RunManifest.selection`) their typed
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# (de)serialization path for the run registry (C18). Deterministic output
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# (C1-safe). The backtest metric types moved to aura-backtest (#291).
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serde = { workspace = true }
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[dev-dependencies]
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# serde_json is used only by this crate's round-trip tests (the production types
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# derive serde, but JSON rendering lives in aura-engine's RunReport::to_json).
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# Test-only -> dev-dependencies, so it never enters the frozen artifact's library
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# link (C16 frozen-artifact scrutiny).
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serde_json = { workspace = true }
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@@ -7,3 +7,13 @@ publish.workspace = true
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[dependencies]
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aura-core = { path = "../aura-core" }
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# serde gives the backtest metric types (`RunMetrics`/`RMetrics`/`PositionEvent`)
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# their typed (de)serialization path for the run registry (C18; moved with the
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# types from aura-analysis, #291). Deterministic output (C1-safe).
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serde = { workspace = true }
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[dev-dependencies]
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# serde_json is used only by the moved metric round-trip tests (JSON rendering
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# for production lives in aura-engine's RunReport::to_json). Test-only, so it
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# never enters the frozen artifact's library link (C16).
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serde_json = { workspace = true }
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@@ -1,10 +1,17 @@
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//! `aura-backtest` — the backtest-execution node layer (C28): simulated execution
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//! without money (the `SimBroker` pip yardstick, position management), measured in
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//! R. Depends only on `aura-core`.
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//! `aura-backtest` — the backtest layer (C28): simulated execution without
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//! money (the `SimBroker` pip yardstick, position management), measured in R,
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//! plus the backtest metric reductions over the recorded streams
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//! (`metrics`, moved from `aura-analysis` by #291). Depends only on
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//! `aura-core` (+ serde for the metric types' C18 wire shapes).
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mod metrics;
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mod position_management;
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mod sim_broker;
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pub use metrics::{
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derive_position_events, r_metrics_from_rs, summarize_r, PositionAction,
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PositionEvent, RMetrics, RunMetrics,
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};
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pub use position_management::{
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ExitReason, FIELD_NAMES as PM_FIELD_NAMES, PositionManagement,
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RECORD_KINDS as PM_RECORD_KINDS, WIDTH as PM_WIDTH,
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@@ -28,3 +28,9 @@ serde_json = { workspace = true }
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# work-stealing pool the engine's run_indexed already uses — parallelism across
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# sims, never within one. Direct versioned dep, mirroring aura-engine.
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rayon = "1"
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[dev-dependencies]
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# aura-backtest supplies RunMetrics/summarize_r for the metric-vocabulary drift
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# guard's direct-source import (tests/metric_vocabulary_e2e.rs). Production
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# code reaches these types via the aura-engine re-export instead.
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aura-backtest = { path = "../aura-backtest" }
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@@ -1,15 +1,17 @@
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//! Cross-crate guard for #190: pins `aura_research::metric_vocabulary()` (the
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//! hand-written 17-name declared metric roster) against the ACTUAL scalar
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//! fields the three metric-bearing `aura-analysis` types serialize — not a
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//! second hand-list that could independently drift. `aura-campaign` is the
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//! one crate that already depends on both `aura-analysis` (the types) and
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//! `aura-research` (the vocabulary), so it is the only place this pin can be
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//! written today (`aura-research` deliberately has no `aura-analysis` dep —
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//! fields the three metric-bearing types serialize — `RunMetrics`/`RMetrics`
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//! from `aura-backtest` (via `summarize_r`), `FamilySelection` from
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//! `aura-analysis` — not a second hand-list that could independently drift.
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//! `aura-campaign` is the one crate that already depends on the type sources
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//! and `aura-research` (the vocabulary), so this pin lives here
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//! (`aura-research` deliberately has no dep on either type crate —
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//! `metric_vocabulary`'s own doc comment names this as an accepted residual).
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use std::collections::BTreeSet;
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use aura_analysis::{summarize_r, FamilySelection, RunMetrics, SelectionMode};
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use aura_analysis::{FamilySelection, SelectionMode};
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use aura_backtest::{summarize_r, RunMetrics};
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/// The names of every field of a serialized sample whose JSON value is a
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/// `Number` — i.e. a scalar metric readout, not a string/enum tag, a nested
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@@ -7,11 +7,16 @@ publish.workspace = true
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[dependencies]
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aura-core = { path = "../aura-core" }
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# aura-analysis holds the pure trading-domain reductions (R-metrics, the
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# position-event table, the multiple-comparison hurdle math) lifted out of
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# `report` (issue #136). The engine re-exports them via `report::` so callers
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# resolve the moved types through aura-engine unchanged (C18 byte-identity).
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# aura-analysis holds the domain-free post-run statistics and the
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# selection-provenance types the engine's `RunManifest.selection` embeds
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# (#136, reduced to the domain-free half by #291). Re-exported via `report::`
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# so callers resolve the types through aura-engine unchanged (C18).
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aura-analysis = { path = "../aura-analysis" }
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# aura-backtest holds the backtest metric reductions re-exported through
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# `report::` (#291). TRANSIENT widening of the known C28 layer violation: the
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# phase-2 edge cut (#147) removes this production edge again on the same
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# branch.
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aura-backtest = { path = "../aura-backtest" }
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# serde is admitted under the amended C16 per-case dependency policy (INDEX.md):
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# it gives the run-report types a typed (de)serialization path for the run
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# registry (cycle 0029). serde's output is deterministic (C1-safe).
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@@ -38,7 +43,6 @@ rayon = "1"
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aura-std = { path = "../aura-std" }
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aura-market = { path = "../aura-market" }
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aura-strategy = { path = "../aura-strategy" }
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aura-backtest = { path = "../aura-backtest" }
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aura-vocabulary = { path = "../aura-vocabulary" }
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# chrono / chrono-tz build the Berlin-local-wall-clock epoch-ns timestamps the
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# GER40 session-breakout E2E fixture (tests/ger40_breakout.rs) feeds the engine,
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@@ -11,15 +11,17 @@
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use aura_core::{Scalar, ScalarKind, SeriesFold, Timestamp};
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use std::collections::HashMap;
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// The pure trading-domain reductions (R-metrics, the position-event table, the
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// multiple-comparison hurdle math) live in `aura-analysis` (issue #136); they are
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// re-imported here so `report::`'s namespace — and therefore `aura-engine`'s
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// `lib.rs` re-export and every `crate::report::X` reference — resolves unchanged
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// (C18 byte-identity). `summarize` (below) bridges trace columns into these types
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// at the engine boundary, so it stays here.
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pub use aura_analysis::{
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derive_position_events, expected_max_of_normals, inv_norm_cdf, r_metrics_from_rs, summarize_r,
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FamilySelection, PositionAction, PositionEvent, RMetrics, RunMetrics, SelectionMode,
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// The backtest reductions (R-metrics, the position-event table) live in
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// `aura-backtest::metrics`, the domain-free hurdle math + selection provenance
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// in `aura-analysis` (issues #136, #291); both are re-imported here so
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// `report::`'s namespace — and therefore `aura-engine`'s `lib.rs` re-export and
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// every `crate::report::X` reference — resolves unchanged (C18 byte-identity).
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// `summarize` (below) bridges trace columns into these types at the engine
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// boundary, so it stays here.
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pub use aura_analysis::{expected_max_of_normals, inv_norm_cdf, FamilySelection, SelectionMode};
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pub use aura_backtest::{
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derive_position_events, r_metrics_from_rs, summarize_r, PositionAction,
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PositionEvent, RMetrics, RunMetrics,
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};
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/// The reproducible run descriptor (C18). **Caller-supplied**: the engine
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+18
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@@ -2667,14 +2667,16 @@ shell", #286).** This contract states the *target*. At HEAD the crates cut by
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mechanical role (vocabulary / reductions / documents / orchestration / CLI), not
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cleanly by layer, so the layering is realized only partially:
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- The dependency *direction* already nearly obeys the rule. The one hard
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production violation is `aura-engine → aura-analysis`: `report.rs:20`
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re-exports the R-metrics, the position-event table, the hurdle math, and the
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selection-provenance types (`RMetrics`/`RunMetrics`/`summarize_r`/
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`r_metrics_from_rs`, `PositionEvent`/`PositionAction`/`derive_position_events`,
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`inv_norm_cdf`/`expected_max_of_normals`, `FamilySelection`/`SelectionMode`),
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and the generic-statistics kernel in `mc.rs` carries R/bias-typed fields
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(`McAggregate.bias_sign_flips`, `RBootstrap.e_r`) inside otherwise domain-free
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structs.
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production violation is the engine's re-export of the backtest metrics —
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since the #291 split, `aura-engine → aura-backtest`: `report.rs` re-exports
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the R-metrics and the position-event table (`RMetrics`/`RunMetrics`/
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`summarize_r`/`r_metrics_from_rs`, `PositionEvent`/`PositionAction`/
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`derive_position_events`), and the generic-statistics kernel in `mc.rs`
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carries R/bias-typed fields (`McAggregate.bias_sign_flips`, `RBootstrap.e_r`)
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inside otherwise domain-free structs. The `aura-engine → aura-analysis` edge
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is no longer a violation: post-#291 that crate holds only domain-free
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statistics + selection provenance (`FamilySelection` for
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`RunManifest.selection`), foundation-grade under this contract.
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- **That violation is the exact surface of the deliberately-deferred #147.**
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Cutting it cleanly needs the metric genericity (`RunReport<M>` plus abstracting
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the registry deflation vocabulary) that #136 ratified *deferring* (user-ratified
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@@ -2689,9 +2691,11 @@ cleanly by layer, so the layering is realized only partially:
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`aura-market` (`session`, `resample`), `aura-strategy` (`bias`/`stop_rule`/
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`sizer` + the cost nodes) and `aura-backtest` (`sim_broker`,
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`position_management`) carry the outer rungs, each depending only on `aura-core`;
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the closed node roster moved to `aura-vocabulary`. The remaining in-crate
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interweave is `aura-analysis`, which still holds backtest reductions and generic
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hurdle math together (phase 5). No crate exists yet for *measurement* (its run
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the closed node roster moved to `aura-vocabulary`. The `aura-analysis`
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interweave is resolved (phase 5, #291): the backtest reductions live in
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`aura-backtest::metrics` beside their `position_management` producer, and
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`aura-analysis` is reduced to domain-free statistics + selection provenance
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(`[dependencies]` = serde only). No crate exists yet for *measurement* (its run
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verb is the additive shape dispatch, #286) or *execution* (unbuilt — the C10/C13
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edge only). Under this model the `aura-registry → aura-research` edge is
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column-internal and legal.
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@@ -2703,7 +2707,9 @@ cleanly by layer, so the layering is realized only partially:
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retention); (4) split the `aura-std` roster along engine / market / strategy /
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backtest — **done** (#288: four `aura-core`-only node crates, the closed roster
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moved to `aura-vocabulary`, the ladder direction enforced by a structural test);
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(5) split `aura-analysis` into generic statistics and backtest metrics; (6)
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(5) split `aura-analysis` into generic statistics and backtest metrics —
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**done** (#291: metrics moved to `aura-backtest::metrics`, `aura-analysis`
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reduced to the domain-free half, engine re-export surface name-unchanged); (6)
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generify the column's metric interface (demand-driven — this is #147). Crate
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names now realized (`aura-market`/`aura-strategy`/`aura-backtest`/
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`aura-vocabulary`); full evidence on #288, #286 and the milestone.
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