feat(aura-ingest): data-server M1 ingestion at the one merge boundary

aura's first real data source (closes #7, Walking-skeleton milestone). A new
aura-ingest workspace crate transposes data-server's AoS M1Parsed records into
SoA base columns (C7), normalizes Unix-ms to canonical epoch-ns at the one
ingestion boundary (C3), and feeds the existing k-way merge a real close-price
stream so a backtest runs over real bars, deterministically (C1).

Surface:
- unix_ms_to_epoch_ns(time_ms) -> Timestamp (= ms * 1_000_000), the single C3
  unit normalization.
- M1Columns: the OHLCV bar as a bundle of base columns (open/high/low/close/
  spread: f64, volume: i64, ts: epoch-ns) — SoA, C7.
- transpose_m1(&[M1Parsed]) -> M1Columns: pure AoS->SoA (C1).
- M1Columns::close_stream() -> Vec<(Timestamp, Scalar)>: the price input the
  SMA-cross sample strategy consumes.
- load_m1_window(server, symbol, from_ms, to_ms): drains data-server's
  chronological chunks, transposes once at the boundary.

Design (per spec 0011):
- Eager materialization, not a lazy/shared Source abstraction: C12's cross-sim
  Arc<[T]> sharing has no consumer until the multi-sim orchestration cycle;
  deferred, the transpose logic carries over.
- aura-ingest is the external-dependency firewall. data-server transitively
  pulls chrono + regex + zip (+ their trees) into Cargo.lock; isolating it in
  this one crate keeps aura-core/std/engine zero-external-dependency and the
  frozen deploy artifact (C6 replays recorded streams, never re-ingests) clean.
  cargo test --workspace now needs a populated cargo cache (one Gitea fetch,
  done).
- Scope: boundary + tests only, no aura run CLI arg surface (M1 first; tick and
  the CLI wiring are follow-ups).

Tests: 6 hermetic unit tests on hand-built M1Parsed (normalization, field-wise
transpose, purity, close_stream order, empty edges) + one gated integration
test (tests/real_bars.rs) that runs the cycle-0007 sample harness over real
AAPL.US 2006-08 close bars and asserts finite metrics + two-run bit-identical
JSON (C1); it skips cleanly where /mnt/tickdata is absent. On this machine it
ran the real path. Workspace gates green: test (86), clippy -D warnings, doc
-D warnings.

Minor: transient unused-import warnings in the new lib.rs across the additive
build steps resolved once load_m1_window consumed the imports; final -D warnings
gate clean.

Cargo.lock

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Cargo.toml

@@ -13,6 +13,7 @@ members = [
     "crates/aura-std",
     "crates/aura-engine",
     "crates/aura-cli",
+    "crates/aura-ingest",
 ]
 
 [workspace.package]

crates/aura-ingest/Cargo.toml

@@ -0,0 +1,18 @@
+[package]
+name = "aura-ingest"
+edition.workspace = true
+version.workspace = true
+license.workspace = true
+publish.workspace = true
+
+[dependencies]
+aura-core = { path = "../aura-core" }
+# data-server: aura's first real data source AND its one external dependency
+# (transitively chrono + regex + zip). Isolated in this crate — the firewall
+# that keeps aura-core/std/engine zero-external-dep (spec §Architecture).
+data-server = { git = "http://192.168.178.103:3000/Brummel/data-server.git", branch = "main" }
+
+[dev-dependencies]
+# the integration test bootstraps a sample harness + folds a RunReport
+aura-engine = { path = "../aura-engine" }
+aura-std = { path = "../aura-std" }

crates/aura-ingest/src/lib.rs

@@ -0,0 +1,190 @@
+//! aura's first real data source: the C3/C7 ingestion boundary.
+//!
+//! Transposes [`data_server`]'s Array-of-Structs `M1Parsed` records into aura's
+//! Structure-of-Arrays base columns (C7) and normalizes data-server's
+//! Unix-millisecond time to aura's canonical epoch-nanosecond [`Timestamp`] at
+//! this one boundary (C3). A transposed [`M1Columns`] exposes its close column
+//! as the engine source-stream shape (`Vec<(Timestamp, Scalar)>`) the SMA-cross
+//! sample strategy consumes.
+//!
+//! This crate is the workspace's **external-dependency firewall**: it is the
+//! only crate that links `data-server` (and its transitive `chrono`/`regex`/
+//! `zip`), so `aura-core`/`aura-std`/`aura-engine` stay zero-external-dependency.
+
+use aura_core::{Scalar, Timestamp};
+use data_server::records::M1Parsed;
+use data_server::DataServer;
+use std::sync::Arc;
+
+/// Normalize data-server's Unix-millisecond time to aura's canonical epoch-ns
+/// [`Timestamp`] — the single unit normalization of C3, performed at the one
+/// ingestion boundary and nowhere else. The `i64` epoch-ns range covers all
+/// market data through year ~2262, well beyond any real file.
+pub fn unix_ms_to_epoch_ns(time_ms: i64) -> Timestamp {
+    Timestamp(time_ms * 1_000_000)
+}
+
+/// One M1 window transposed Array-of-Structs → Structure-of-Arrays (C7): the
+/// OHLCV bar as a bundle of base columns, time already normalized to epoch-ns.
+/// `volume` is the one `i64` column; the price/spread columns are `f64`. All
+/// columns share an index: `ts[i]` is the timestamp of `close[i]`, etc.
+#[derive(Clone, Debug, PartialEq)]
+pub struct M1Columns {
+    pub ts: Vec<Timestamp>,
+    pub open: Vec<f64>,
+    pub high: Vec<f64>,
+    pub low: Vec<f64>,
+    pub close: Vec<f64>,
+    pub spread: Vec<f64>,
+    pub volume: Vec<i64>,
+}
+
+impl M1Columns {
+    /// Pre-size all columns for `n` bars.
+    fn with_capacity(n: usize) -> Self {
+        Self {
+            ts: Vec::with_capacity(n),
+            open: Vec::with_capacity(n),
+            high: Vec::with_capacity(n),
+            low: Vec::with_capacity(n),
+            close: Vec::with_capacity(n),
+            spread: Vec::with_capacity(n),
+            volume: Vec::with_capacity(n),
+        }
+    }
+
+    /// The close column as an engine source stream: each normalized timestamp
+    /// zipped with its close as a [`Scalar::F64`]. Ascending in timestamp iff
+    /// the bars were (the C3 ingestion precondition `Harness::run` relies on).
+    /// This is the price input the SMA-cross sample strategy consumes; a project
+    /// that wants another field reads the public columns and zips its own.
+    pub fn close_stream(&self) -> Vec<(Timestamp, Scalar)> {
+        self.ts
+            .iter()
+            .zip(&self.close)
+            .map(|(&t, &v)| (t, Scalar::F64(v)))
+            .collect()
+    }
+}
+
+/// Transpose data-server's AoS M1 records into aura's SoA columns (C7),
+/// normalizing time at the boundary (C3). Pure: identical bars yield identical
+/// columns (C1) — it reads no clock and no external state.
+pub fn transpose_m1(bars: &[M1Parsed]) -> M1Columns {
+    let mut c = M1Columns::with_capacity(bars.len());
+    for b in bars {
+        c.ts.push(unix_ms_to_epoch_ns(b.time_ms));
+        c.open.push(b.open);
+        c.high.push(b.high);
+        c.low.push(b.low);
+        c.close.push(b.close);
+        c.spread.push(b.spread);
+        c.volume.push(b.volume);
+    }
+    c
+}
+
+/// Drain a data-server M1 window into transposed SoA columns. Reads the
+/// chronological chunk iterator to exhaustion into one AoS buffer, then
+/// transposes once at the boundary (C3 — one merge point, not per chunk).
+/// `None` if the symbol has no data in `[from_ms, to_ms]` (data-server's own
+/// `None`); the inclusive Unix-ms window bounds are data-server's contract.
+pub fn load_m1_window(
+    server: &Arc<DataServer>,
+    symbol: &str,
+    from_ms: i64,
+    to_ms: i64,
+) -> Option<M1Columns> {
+    let mut it = server.stream_m1_windowed(symbol, Some(from_ms), Some(to_ms))?;
+    let mut bars: Vec<M1Parsed> = Vec::new();
+    // M1Parsed is Copy; &Arc<[M1Parsed]> derefs to &[M1Parsed] in arg position.
+    while let Some(chunk) = it.next_chunk() {
+        bars.extend_from_slice(&chunk);
+    }
+    Some(transpose_m1(&bars))
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn unix_ms_to_epoch_ns_scales_ms_to_ns() {
+        // data-server's own epoch fixture: 2017-03-01 00:00 UTC.
+        assert_eq!(
+            unix_ms_to_epoch_ns(1_488_326_400_000),
+            Timestamp(1_488_326_400_000_000_000)
+        );
+        // epoch maps to epoch.
+        assert_eq!(unix_ms_to_epoch_ns(0), Timestamp(0));
+    }
+
+    /// A hand-built M1 bar with distinct per-field values so a transpose test
+    /// can tell the columns apart.
+    fn full_bar(time_ms: i64) -> M1Parsed {
+        M1Parsed {
+            time_ms,
+            open: 1.0,
+            high: 2.0,
+            low: 0.5,
+            close: 1.5,
+            spread: 0.1,
+            volume: 100,
+        }
+    }
+
+    #[test]
+    fn transpose_m1_maps_every_field_to_its_column() {
+        let bars = [full_bar(1_000), full_bar(2_000)];
+        let c = transpose_m1(&bars);
+        // ts normalized ms -> ns; each column equal length to the input.
+        assert_eq!(c.ts, vec![Timestamp(1_000_000_000), Timestamp(2_000_000_000)]);
+        assert_eq!(c.open, vec![1.0, 1.0]);
+        assert_eq!(c.high, vec![2.0, 2.0]);
+        assert_eq!(c.low, vec![0.5, 0.5]);
+        assert_eq!(c.close, vec![1.5, 1.5]);
+        assert_eq!(c.spread, vec![0.1, 0.1]);
+        // volume is the one i64 column.
+        assert_eq!(c.volume, vec![100_i64, 100_i64]);
+    }
+
+    #[test]
+    fn transpose_m1_is_pure() {
+        let bars = [full_bar(1_000), full_bar(2_000), full_bar(3_000)];
+        assert_eq!(transpose_m1(&bars), transpose_m1(&bars));
+    }
+
+    #[test]
+    fn transpose_m1_empty_input_yields_empty_columns() {
+        let c = transpose_m1(&[]);
+        assert!(c.ts.is_empty());
+        assert!(c.close.is_empty());
+        assert!(c.volume.is_empty());
+    }
+
+    #[test]
+    fn close_stream_zips_ts_with_close_in_order() {
+        // distinct close per bar so order is observable; ts ascending.
+        let bars = [
+            M1Parsed { time_ms: 1, open: 0.0, high: 0.0, low: 0.0, close: 10.0, spread: 0.0, volume: 0 },
+            M1Parsed { time_ms: 2, open: 0.0, high: 0.0, low: 0.0, close: 20.0, spread: 0.0, volume: 0 },
+            M1Parsed { time_ms: 3, open: 0.0, high: 0.0, low: 0.0, close: 30.0, spread: 0.0, volume: 0 },
+        ];
+        let stream = transpose_m1(&bars).close_stream();
+        assert_eq!(
+            stream,
+            vec![
+                (Timestamp(1_000_000), Scalar::F64(10.0)),
+                (Timestamp(2_000_000), Scalar::F64(20.0)),
+                (Timestamp(3_000_000), Scalar::F64(30.0)),
+            ]
+        );
+        // ascending in timestamp (the merge precondition).
+        assert!(stream.windows(2).all(|w| w[0].0 < w[1].0));
+    }
+
+    #[test]
+    fn close_stream_empty_on_empty_columns() {
+        assert!(transpose_m1(&[]).close_stream().is_empty());
+    }
+}

crates/aura-ingest/tests/real_bars.rs

@@ -0,0 +1,107 @@
+//! Gated integration test: a real data-server M1 close stream driven through
+//! the cycle-0007 signal-quality sample harness (SMA-cross → Exposure →
+//! SimBroker), folded into a `RunReport`. Skips with a note where the local
+//! Pepperstone data directory is absent, so `cargo test --workspace` stays green
+//! anywhere; it exercises the real ingestion path where data exists.
+
+use std::sync::mpsc;
+use std::sync::Arc;
+
+use aura_core::{Firing, Scalar, ScalarKind, Timestamp};
+use aura_engine::{
+    f64_field, summarize, Edge, Harness, RunManifest, RunReport, SourceSpec, Target,
+};
+use aura_ingest::load_m1_window;
+use aura_std::{Exposure, Recorder, SimBroker, Sma, Sub};
+use data_server::{DataServer, DEFAULT_DATA_PATH};
+
+/// Bootstrap the cycle-0007 two-sink signal-quality harness (mirrors
+/// `aura-engine`'s `report::tests::build_two_sink_harness`, with the shipped
+/// `aura_std::Recorder`), run it on `prices`, and fold the recorded equity +
+/// exposure into a `RunReport` whose window is the first/last real bar ts.
+fn run_sample_over(prices: Vec<(Timestamp, Scalar)>) -> RunReport {
+    let (tx_eq, rx_eq) = mpsc::channel();
+    let (tx_ex, rx_ex) = mpsc::channel();
+    let mut h = Harness::bootstrap(
+        vec![
+            Box::new(Sma::new(2)),                                            // 0
+            Box::new(Sma::new(4)),                                            // 1
+            Box::new(Sub::new()),                                             // 2
+            Box::new(Exposure::new(0.5)),                                     // 3
+            Box::new(SimBroker::new(0.0001)),                                 // 4
+            Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_eq)),  // 5 equity sink
+            Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_ex)),  // 6 exposure sink
+        ],
+        vec![SourceSpec {
+            kind: ScalarKind::F64,
+            targets: vec![
+                Target { node: 0, slot: 0 },
+                Target { node: 1, slot: 0 },
+                Target { node: 4, slot: 1 }, // price into the broker
+            ],
+        }],
+        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: 4, to: 5, slot: 0, from_field: 0 }, // equity -> sink 5
+            Edge { from: 3, to: 6, slot: 0, from_field: 0 }, // exposure -> sink 6
+        ],
+    )
+    .expect("valid signal-quality DAG");
+
+    let window = (
+        prices.first().map(|&(t, _)| t).unwrap_or(Timestamp(0)),
+        prices.last().map(|&(t, _)| t).unwrap_or(Timestamp(0)),
+    );
+    h.run(vec![prices]);
+
+    let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
+    let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
+    let equity = f64_field(&eq_rows, 0);
+    let exposure = f64_field(&ex_rows, 0);
+    let metrics = summarize(&equity, &exposure);
+
+    RunReport {
+        manifest: RunManifest {
+            commit: "real-bars-test".to_string(),
+            params: vec![
+                ("sma_fast".to_string(), 2.0),
+                ("sma_slow".to_string(), 4.0),
+                ("exposure_scale".to_string(), 0.5),
+            ],
+            window,
+            seed: 0,
+            broker: "sim-optimal(pip_size=0.0001)".to_string(),
+        },
+        metrics,
+    }
+}
+
+#[test]
+fn sample_strategy_runs_over_real_m1_bars_deterministically() {
+    let server = Arc::new(DataServer::new(DEFAULT_DATA_PATH));
+    if !server.has_symbol("AAPL.US") {
+        eprintln!("skip: no local data at {DEFAULT_DATA_PATH} (symbol AAPL.US absent)");
+        return; // hermetic elsewhere; exercises the real path where files exist
+    }
+    // 2006-08 in inclusive Unix-ms (data-server skips files outside the window).
+    let (from_ms, to_ms) = (1_154_390_400_000_i64, 1_157_068_799_999_i64);
+
+    let load = || {
+        load_m1_window(&server, "AAPL.US", from_ms, to_ms)
+            .expect("AAPL.US has data in the 2006-08 window")
+            .close_stream()
+    };
+
+    let prices = load();
+    assert!(!prices.is_empty(), "window resolved to zero bars");
+
+    let r1 = run_sample_over(prices);
+    assert!(r1.metrics.total_pips.is_finite(), "a backtest ran over real bars");
+
+    // same window -> bit-identical report (C1).
+    let r2 = run_sample_over(load());
+    assert_eq!(r1.to_json(), r2.to_json());
+}