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
This commit is contained in:
2026-07-20 12:23:17 +02:00
parent b39fd63396
commit 94aaa4cde8
11 changed files with 1140 additions and 1093 deletions
Generated
+3 -2
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@@ -100,9 +100,7 @@ dependencies = [
name = "aura-analysis" name = "aura-analysis"
version = "0.1.0" version = "0.1.0"
dependencies = [ dependencies = [
"aura-core",
"serde", "serde",
"serde_json",
] ]
[[package]] [[package]]
@@ -110,6 +108,8 @@ name = "aura-backtest"
version = "0.1.0" version = "0.1.0"
dependencies = [ dependencies = [
"aura-core", "aura-core",
"serde",
"serde_json",
] ]
[[package]] [[package]]
@@ -133,6 +133,7 @@ name = "aura-campaign"
version = "0.1.0" version = "0.1.0"
dependencies = [ dependencies = [
"aura-analysis", "aura-analysis",
"aura-backtest",
"aura-core", "aura-core",
"aura-engine", "aura-engine",
"aura-registry", "aura-registry",
+4 -11
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@@ -6,15 +6,8 @@ license.workspace = true
publish.workspace = true publish.workspace = true
[dependencies] [dependencies]
aura-core = { path = "../aura-core" } # serde gives the selection-provenance types (`FamilySelection`/`SelectionMode`,
# serde is admitted under the amended C16 per-case dependency policy (INDEX.md): # embedded by the engine's `RunManifest.selection`) their typed
# it gives the run-report types a typed (de)serialization path for the run # (de)serialization path for the run registry (C18). Deterministic output
# registry (cycle 0029). serde's output is deterministic (C1-safe). # (C1-safe). The backtest metric types moved to aura-backtest (#291).
serde = { workspace = true } serde = { workspace = true }
[dev-dependencies]
# serde_json is used only by this crate's round-trip tests (the production types
# derive serde, but JSON rendering lives in aura-engine's RunReport::to_json).
# Test-only -> dev-dependencies, so it never enters the frozen artifact's library
# link (C16 frozen-artifact scrutiny).
serde_json = { workspace = true }
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@@ -7,3 +7,13 @@ publish.workspace = true
[dependencies] [dependencies]
aura-core = { path = "../aura-core" } aura-core = { path = "../aura-core" }
# serde gives the backtest metric types (`RunMetrics`/`RMetrics`/`PositionEvent`)
# their typed (de)serialization path for the run registry (C18; moved with the
# types from aura-analysis, #291). Deterministic output (C1-safe).
serde = { workspace = true }
[dev-dependencies]
# serde_json is used only by the moved metric round-trip tests (JSON rendering
# for production lives in aura-engine's RunReport::to_json). Test-only, so it
# never enters the frozen artifact's library link (C16).
serde_json = { workspace = true }
+10 -3
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@@ -1,10 +1,17 @@
//! `aura-backtest` — the backtest-execution node layer (C28): simulated execution //! `aura-backtest` — the backtest layer (C28): simulated execution without
//! without money (the `SimBroker` pip yardstick, position management), measured in //! money (the `SimBroker` pip yardstick, position management), measured in R,
//! R. Depends only on `aura-core`. //! plus the backtest metric reductions over the recorded streams
//! (`metrics`, moved from `aura-analysis` by #291). Depends only on
//! `aura-core` (+ serde for the metric types' C18 wire shapes).
mod metrics;
mod position_management; mod position_management;
mod sim_broker; mod sim_broker;
pub use metrics::{
derive_position_events, r_metrics_from_rs, summarize_r, PositionAction,
PositionEvent, RMetrics, RunMetrics,
};
pub use position_management::{ pub use position_management::{
ExitReason, FIELD_NAMES as PM_FIELD_NAMES, PositionManagement, ExitReason, FIELD_NAMES as PM_FIELD_NAMES, PositionManagement,
RECORD_KINDS as PM_RECORD_KINDS, WIDTH as PM_WIDTH, RECORD_KINDS as PM_RECORD_KINDS, WIDTH as PM_WIDTH,
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@@ -28,3 +28,9 @@ serde_json = { workspace = true }
# work-stealing pool the engine's run_indexed already uses — parallelism across # work-stealing pool the engine's run_indexed already uses — parallelism across
# sims, never within one. Direct versioned dep, mirroring aura-engine. # sims, never within one. Direct versioned dep, mirroring aura-engine.
rayon = "1" rayon = "1"
[dev-dependencies]
# aura-backtest supplies RunMetrics/summarize_r for the metric-vocabulary drift
# guard's direct-source import (tests/metric_vocabulary_e2e.rs). Production
# code reaches these types via the aura-engine re-export instead.
aura-backtest = { path = "../aura-backtest" }
@@ -1,15 +1,17 @@
//! Cross-crate guard for #190: pins `aura_research::metric_vocabulary()` (the //! Cross-crate guard for #190: pins `aura_research::metric_vocabulary()` (the
//! hand-written 17-name declared metric roster) against the ACTUAL scalar //! hand-written 17-name declared metric roster) against the ACTUAL scalar
//! fields the three metric-bearing `aura-analysis` types serialize — not a //! fields the three metric-bearing types serialize — `RunMetrics`/`RMetrics`
//! second hand-list that could independently drift. `aura-campaign` is the //! from `aura-backtest` (via `summarize_r`), `FamilySelection` from
//! one crate that already depends on both `aura-analysis` (the types) and //! `aura-analysis` — not a second hand-list that could independently drift.
//! `aura-research` (the vocabulary), so it is the only place this pin can be //! `aura-campaign` is the one crate that already depends on the type sources
//! written today (`aura-research` deliberately has no `aura-analysis` dep — //! and `aura-research` (the vocabulary), so this pin lives here
//! (`aura-research` deliberately has no dep on either type crate —
//! `metric_vocabulary`'s own doc comment names this as an accepted residual). //! `metric_vocabulary`'s own doc comment names this as an accepted residual).
use std::collections::BTreeSet; use std::collections::BTreeSet;
use aura_analysis::{summarize_r, FamilySelection, RunMetrics, SelectionMode}; use aura_analysis::{FamilySelection, SelectionMode};
use aura_backtest::{summarize_r, RunMetrics};
/// The names of every field of a serialized sample whose JSON value is a /// The names of every field of a serialized sample whose JSON value is a
/// `Number` — i.e. a scalar metric readout, not a string/enum tag, a nested /// `Number` — i.e. a scalar metric readout, not a string/enum tag, a nested
+9 -5
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@@ -7,11 +7,16 @@ publish.workspace = true
[dependencies] [dependencies]
aura-core = { path = "../aura-core" } aura-core = { path = "../aura-core" }
# aura-analysis holds the pure trading-domain reductions (R-metrics, the # aura-analysis holds the domain-free post-run statistics and the
# position-event table, the multiple-comparison hurdle math) lifted out of # selection-provenance types the engine's `RunManifest.selection` embeds
# `report` (issue #136). The engine re-exports them via `report::` so callers # (#136, reduced to the domain-free half by #291). Re-exported via `report::`
# resolve the moved types through aura-engine unchanged (C18 byte-identity). # so callers resolve the types through aura-engine unchanged (C18).
aura-analysis = { path = "../aura-analysis" } aura-analysis = { path = "../aura-analysis" }
# aura-backtest holds the backtest metric reductions re-exported through
# `report::` (#291). TRANSIENT widening of the known C28 layer violation: the
# phase-2 edge cut (#147) removes this production edge again on the same
# branch.
aura-backtest = { path = "../aura-backtest" }
# serde is admitted under the amended C16 per-case dependency policy (INDEX.md): # serde is admitted under the amended C16 per-case dependency policy (INDEX.md):
# it gives the run-report types a typed (de)serialization path for the run # it gives the run-report types a typed (de)serialization path for the run
# registry (cycle 0029). serde's output is deterministic (C1-safe). # registry (cycle 0029). serde's output is deterministic (C1-safe).
@@ -38,7 +43,6 @@ rayon = "1"
aura-std = { path = "../aura-std" } aura-std = { path = "../aura-std" }
aura-market = { path = "../aura-market" } aura-market = { path = "../aura-market" }
aura-strategy = { path = "../aura-strategy" } aura-strategy = { path = "../aura-strategy" }
aura-backtest = { path = "../aura-backtest" }
aura-vocabulary = { path = "../aura-vocabulary" } aura-vocabulary = { path = "../aura-vocabulary" }
# chrono / chrono-tz build the Berlin-local-wall-clock epoch-ns timestamps the # chrono / chrono-tz build the Berlin-local-wall-clock epoch-ns timestamps the
# GER40 session-breakout E2E fixture (tests/ger40_breakout.rs) feeds the engine, # GER40 session-breakout E2E fixture (tests/ger40_breakout.rs) feeds the engine,
+11 -9
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@@ -11,15 +11,17 @@
use aura_core::{Scalar, ScalarKind, SeriesFold, Timestamp}; use aura_core::{Scalar, ScalarKind, SeriesFold, Timestamp};
use std::collections::HashMap; use std::collections::HashMap;
// The pure trading-domain reductions (R-metrics, the position-event table, the // The backtest reductions (R-metrics, the position-event table) live in
// multiple-comparison hurdle math) live in `aura-analysis` (issue #136); they are // `aura-backtest::metrics`, the domain-free hurdle math + selection provenance
// re-imported here so `report::`'s namespace — and therefore `aura-engine`'s // in `aura-analysis` (issues #136, #291); both are re-imported here so
// `lib.rs` re-export and every `crate::report::X` reference — resolves unchanged // `report::`'s namespace — and therefore `aura-engine`'s `lib.rs` re-export and
// (C18 byte-identity). `summarize` (below) bridges trace columns into these types // every `crate::report::X` reference — resolves unchanged (C18 byte-identity).
// at the engine boundary, so it stays here. // `summarize` (below) bridges trace columns into these types at the engine
pub use aura_analysis::{ // boundary, so it stays here.
derive_position_events, expected_max_of_normals, inv_norm_cdf, r_metrics_from_rs, summarize_r, pub use aura_analysis::{expected_max_of_normals, inv_norm_cdf, FamilySelection, SelectionMode};
FamilySelection, PositionAction, PositionEvent, RMetrics, RunMetrics, SelectionMode, pub use aura_backtest::{
derive_position_events, r_metrics_from_rs, summarize_r, PositionAction,
PositionEvent, RMetrics, RunMetrics,
}; };
/// The reproducible run descriptor (C18). **Caller-supplied**: the engine /// The reproducible run descriptor (C18). **Caller-supplied**: the engine
+18 -12
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@@ -2667,14 +2667,16 @@ shell", #286).** This contract states the *target*. At HEAD the crates cut by
mechanical role (vocabulary / reductions / documents / orchestration / CLI), not mechanical role (vocabulary / reductions / documents / orchestration / CLI), not
cleanly by layer, so the layering is realized only partially: cleanly by layer, so the layering is realized only partially:
- The dependency *direction* already nearly obeys the rule. The one hard - The dependency *direction* already nearly obeys the rule. The one hard
production violation is `aura-engine → aura-analysis`: `report.rs:20` production violation is the engine's re-export of the backtest metrics —
re-exports the R-metrics, the position-event table, the hurdle math, and the since the #291 split, `aura-engine → aura-backtest`: `report.rs` re-exports
selection-provenance types (`RMetrics`/`RunMetrics`/`summarize_r`/ the R-metrics and the position-event table (`RMetrics`/`RunMetrics`/
`r_metrics_from_rs`, `PositionEvent`/`PositionAction`/`derive_position_events`, `summarize_r`/`r_metrics_from_rs`, `PositionEvent`/`PositionAction`/
`inv_norm_cdf`/`expected_max_of_normals`, `FamilySelection`/`SelectionMode`), `derive_position_events`), and the generic-statistics kernel in `mc.rs`
and the generic-statistics kernel in `mc.rs` carries R/bias-typed fields carries R/bias-typed fields (`McAggregate.bias_sign_flips`, `RBootstrap.e_r`)
(`McAggregate.bias_sign_flips`, `RBootstrap.e_r`) inside otherwise domain-free inside otherwise domain-free structs. The `aura-engine → aura-analysis` edge
structs. is no longer a violation: post-#291 that crate holds only domain-free
statistics + selection provenance (`FamilySelection` for
`RunManifest.selection`), foundation-grade under this contract.
- **That violation is the exact surface of the deliberately-deferred #147.** - **That violation is the exact surface of the deliberately-deferred #147.**
Cutting it cleanly needs the metric genericity (`RunReport<M>` plus abstracting Cutting it cleanly needs the metric genericity (`RunReport<M>` plus abstracting
the registry deflation vocabulary) that #136 ratified *deferring* (user-ratified the registry deflation vocabulary) that #136 ratified *deferring* (user-ratified
@@ -2689,9 +2691,11 @@ cleanly by layer, so the layering is realized only partially:
`aura-market` (`session`, `resample`), `aura-strategy` (`bias`/`stop_rule`/ `aura-market` (`session`, `resample`), `aura-strategy` (`bias`/`stop_rule`/
`sizer` + the cost nodes) and `aura-backtest` (`sim_broker`, `sizer` + the cost nodes) and `aura-backtest` (`sim_broker`,
`position_management`) carry the outer rungs, each depending only on `aura-core`; `position_management`) carry the outer rungs, each depending only on `aura-core`;
the closed node roster moved to `aura-vocabulary`. The remaining in-crate the closed node roster moved to `aura-vocabulary`. The `aura-analysis`
interweave is `aura-analysis`, which still holds backtest reductions and generic interweave is resolved (phase 5, #291): the backtest reductions live in
hurdle math together (phase 5). No crate exists yet for *measurement* (its run `aura-backtest::metrics` beside their `position_management` producer, and
`aura-analysis` is reduced to domain-free statistics + selection provenance
(`[dependencies]` = serde only). No crate exists yet for *measurement* (its run
verb is the additive shape dispatch, #286) or *execution* (unbuilt — the C10/C13 verb is the additive shape dispatch, #286) or *execution* (unbuilt — the C10/C13
edge only). Under this model the `aura-registry → aura-research` edge is edge only). Under this model the `aura-registry → aura-research` edge is
column-internal and legal. column-internal and legal.
@@ -2703,7 +2707,9 @@ cleanly by layer, so the layering is realized only partially:
retention); (4) split the `aura-std` roster along engine / market / strategy / retention); (4) split the `aura-std` roster along engine / market / strategy /
backtest — **done** (#288: four `aura-core`-only node crates, the closed roster backtest — **done** (#288: four `aura-core`-only node crates, the closed roster
moved to `aura-vocabulary`, the ladder direction enforced by a structural test); moved to `aura-vocabulary`, the ladder direction enforced by a structural test);
(5) split `aura-analysis` into generic statistics and backtest metrics; (6) (5) split `aura-analysis` into generic statistics and backtest metrics
**done** (#291: metrics moved to `aura-backtest::metrics`, `aura-analysis`
reduced to the domain-free half, engine re-export surface name-unchanged); (6)
generify the column's metric interface (demand-driven — this is #147). Crate generify the column's metric interface (demand-driven — this is #147). Crate
names now realized (`aura-market`/`aura-strategy`/`aura-backtest`/ names now realized (`aura-market`/`aura-strategy`/`aura-backtest`/
`aura-vocabulary`); full evidence on #288, #286 and the milestone. `aura-vocabulary`); full evidence on #288, #286 and the milestone.