08d09df97df20ab1121154fa0c836d32acbdee9e
8 Commits
| Author | SHA1 | Message | Date | |
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 Brummel
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92591e5dc0 |
refactor(stage1-r): name the conviction column conviction_at_entry
Rename the dense PositionManagement record's column 9 from `bias_at_entry_abs` to `conviction_at_entry` (FIELD_NAMES, the `r_col`/test index constants, the cross-crate layout guard, and the doc comments). Why: the column holds |bias| at entry, which C10 defines AS conviction (bias = direction + conviction magnitude; ledger INDEX.md ~458). The record already names the other half of that decomposition by its domain concept (`direction` = sign, not `bias_sign`), so naming the magnitude half mechanically (`bias_at_entry_abs`) was an inconsistency; `conviction_at_entry` speaks the ledger's ubiquitous language and parallels `direction`, while `_at_entry` preserves the frozen-snapshot precision. Considered and rejected: collapsing `(direction, bias_at_entry_abs)` into one signed `bias_at_entry` and dropping `direction` as redundant — it is not redundant. On a reversal row col 4 (`direction`) tracks the reopened leg while col 9 tracks the closed trade's entry conviction, so the two describe different trades and cannot be losslessly merged; they are also distinct semantic axes (current-position direction vs per-trade entry conviction). Scope: domain name at the data boundary, mechanical name internally — the internal `bias.abs()` variables (`Open.bias_abs`, the fold's `Trade.bias_abs`) keep their computation-faithful names, exactly the raw-internal / domain-external split the record uses elsewhere. Behaviour-preserving: cargo build --workspace clean; cargo test --workspace 500 passed, 0 failed (unchanged); clippy --all-targets -D warnings clean. The layout guard (`r_col_indices_match_producer_field_layout`) confirms the renamed string. refs #117 |
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Brummel
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b4e84335c4 |
feat(stage1-r): Sizer + RiskExecutor + R-metric enrichment (iter 2)
Iteration 2 of cycle 0065 (Stage-1 R signal quality) — the node + metric layer. Builds on iter-1's PositionManagement dense R-record + core summarize_r. What ships: - PositionManagement gains a 4th `size` input (slot 3 -> col 10), fed by the Sizer. R is computed size-INVARIANTLY (pure stop-distance ratio), so size never touches realized_r — pinned by a RED test (scaling size leaves every realized_r unchanged) at the node and again end-to-end through the executor. - Sizer (aura-std): `size = risk_budget / stop_distance` — flat-1R (risk_budget 1.0 => one risk unit per trade, size inversely proportional to the stop, not a constant). Reads bias (firing/presence) + stop_distance; the Stage-2 fixed-fractional sizer slots in unchanged (swap risk_budget for risk_fraction*equity, same node shape). - summarize_r enrichment: SQN (sqrt(n)*mean_R/sample-stdev_R; n<2 or zero-variance -> 0), conviction_terciles_r (E[R] by |bias_at_entry| tercile), net_expectancy_r (gross minus one round-trip cost per trade, charged in R via the latched_dist recovered from the entry_price/stop_price columns). summarize_r gains a `round_trip_cost` param (price units). The net-of-cost recovery is tested through the real producer->consumer seam, not just hand-built rows. - RunMetrics.r: Option<RMetrics> with #[serde(default, skip_serializing_if = "Option::is_none")] — legacy runs.jsonl (no `r` key) deserialise to None and a pip-only run's on-disk shape stays byte-unchanged (C14/C18 back-compat). Every RunMetrics literal threaded (report.rs, aura-registry, aura-engine/mc). - RiskExecutor (aura-engine integration-test fixture, sibling of vol_stop_composite): FixedStop -> Sizer -> PositionManagement behind open bias+price input roles, price fanned to both the stop and PM, the Sizer's size into PM. Bias is produced in-graph from the single price source (a second bias *source* would k-way-merge into separate cycles and mark stale prices). The Veto is a DOCUMENTED SEAM, not a runtime node (a pass-through identity is what C19/C23 DCE deletes). Tests: the composite bootstraps + runs + folds to the documented hand value; R invariant under risk_budget while the size column scales; a live-folded RMetrics survives the RunMetrics serde round-trip. The dense-record size column (10) is brought under the cross-crate layout guard (stage1_r_e2e r_col_indices_match_producer_field_layout) so the executor fixture's size-invariance read is drift-protected like the others. Scope: the CLI/recording surface (#129) is sub-split into a separate iteration 3 and is NOT in this commit. Verified: cargo build --workspace clean; cargo test --workspace 500 passed, 0 failed; cargo clippy --workspace --all-targets -D warnings clean. refs #117 #127 #128 #129 |
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Brummel
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0998f9aabf |
refactor(stage1-r): the vol stop is a composition, not a fused node
Applies the principle the user named: a node is a primitive only if it is NOT DAG-expressible from other primitives; a function that needs a missing primitive gets the primitive added, not fused away. - Remove the fused VolStop node (it was pure feed-forward arithmetic). - The volatility stop is now a composition of primitives, vol_stop(length, k): k * Sqrt(Ema(Mul(d,d), length)), d = Sub(price, Delay(price,1)) -- a rolling EWMA standard deviation. Built with GraphBuilder; proven end-to-end (bootstraps + runs + emits k*sigma) in tests/vol_stop_composite.rs. - Migrate the one VolStop caller (stage1_r_e2e.rs) off it: the R-is-stop-defined test now contrasts a tight vs a wide FixedStop (two constant distances still fold to different R, the property under test). Uses the Mul + Sqrt primitives added in the prior commit. FixedStop stays the only stop-rule primitive (a triggered constant). Full suite + clippy green. refs #117 #119 |
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Brummel
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2c43296c2c |
feat(stage1-r): bias rename + stop-rule + position-management + summarize_r (iter 1)
Iteration 1 of the Stage-1 "R-based signal quality" cycle (spec 0065): a strategy's signal quality, measured in R on its unsized bias stream, feed-forward. New discrete-trade machinery, NOT a SimBroker extension. What lands: - exposure -> bias (refs #126): the Exposure node/type/file/output-field renamed to Bias (computation unchanged: clamp(signal/scale,-1,+1); the SEMANTICS change — the output is the unsized strategy bias, sizing leaves the strategy). Scoped to the semantic core; behaviour-preserving cosmetics are deferred (see below). - stop-rule nodes (refs #119): VolStop = k*EMA(|price - prev_price|) (one fused node; the volatility that defines 1R, close-to-close — true-range ATR deferred, needs OHLC) + FixedStop (constant, the test fixture / fixed-vs-vol structural-axis sibling). - PositionManagement (refs #127): the stateful heart. Latches the entry-cycle stop distance as the FROZEN R-denominator (never re-read), marks/exits no-look-ahead like SimBroker (a position earns from the next cycle; an exit realises against the cycle's close), and emits ONE dense per-cycle R-record (C8). Stop-outs are NOT capped at -1R (a gap through the stop realises R < -1 — the honest loss tail); R is computed size-invariantly (size = (exit-entry)*dir / latched_dist cancels). The trade ledger is the rows where closed_this_cycle; the R-equity is cum_realized + unrealized; a position open at window end is the last row (open=true) — explicit, never silent MtM. - summarize_r + RMetrics (refs #129): the post-run fold (NOT an in-graph node — recorders drain post-run). E[R], win-rate, profit-factor, avg win/loss R, by-trade max R-drawdown, n_open_at_end (window-end force-close). SQN / conviction terciles / net-of-cost / RunMetrics.r are iteration 2. Design adversarially hardened before implementation (12-juror refute panel; decisions on #117). Ratified implementer deviations from the plan snippet, verified by hand: - col-4 `direction` tracks the OPEN position at cycle end (window-end synthesis; names the reopened leg on a reversal), falling back to the closed trade's dir only when flat. summarize_r does not read col 4; the R-metrics are unaffected. - .named("exposure") kept on the 4 previously-unnamed Bias nodes so the auto-derived param-path stays exposure.scale (no manifest/dir-name drift) — the unnamed nodes would otherwise flip to bias.scale. - intra-doc links [`Exposure`] -> [`Bias`] in sim_broker/latch + the sample-model test pin (cosmetic, behaviour-neutral; broken intra-doc links fail cargo doc). - the E2E drives a full bootstrapped Harness (stronger than the plan's direct-node drive — exercises the real cross-crate producer->consumer seam). Deferred (behaviour-preserving, separate cosmetic pass — NOT this iteration): RunMetrics.exposure_sign_flips / Metric::ExposureSignFlips, SimBroker/LongOnly "exposure" input ports, the "exposure" tap/trace names, and the .named("exposure") instance labels. Iteration 2: the Sizer seam, the RiskExecutor composite (+ the Veto documented-seam), summarize_r enrichment, RunMetrics.r, and the CLI/recording surface. Verification (orchestrator-run, not agent-claimed): - cargo build --workspace: clean. - cargo test --workspace: all green, 0 failed (incl. the new bias/stop_rule/ position_management unit tests, the summarize_r arithmetic tests, and the stage1_r_e2e capstone + layout guard). - cargo clippy --workspace --all-targets -- -D warnings: clean (exit 0). - Keystone RED tests pass: no_lookahead_bias_exit_realises_the_held_move, stop_out_is_not_capped_at_minus_one_r, no_gap_stop_is_exactly_minus_one_r, reversal_closes_one_leg_and_reopens, open_at_window_end_is_carried_on_the_last_row. refs #117 #119 #126 #127 #129 |
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Brummel
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b91c89f964 |
feat(broker-foundation): InstrumentSpec deploy metadata + PositionEvent schema
The realistic-broker milestone's (C10 A-side) two foundation value types — no broker, no derivation yet, fully tested. #113 — InstrumentSpec gains six deploy-grade fields (instrument_id, contract_size, pip_value_per_lot, min_lot, lot_step, quote_currency) and the vetted table is populated for GER40/FRA40/EURUSD/GBPUSD/USDCAD. The struct stays Copy (quote_currency is &'static str); the _ => None refuse-don't-guess arm is the permanent floor. This is the milestone's permanent authored floor (recorded-metadata tier is forward work, #124). #114 — PositionAction { Buy, Sell, Close } (closed enum, serde-encoded as a bare i64 0/1/2 via From/TryFrom) + PositionEvent in aura-engine beside RunMetrics, faithful to the C10 column spec: event_ts, action, position_id, instrument_id, unsigned volume; no open_ts; direction is the action (no signed-volume trick). Re-exported from the crate root. Derived fork decisions (recorded on #113): quote_currency &'static str; action as ordinal i64; stable instrument_id + overridable vetted values. Verified by the orchestrator: cargo test --workspace = 458 passed / 0 failed; clippy --all-targets -D warnings clean. An adversarial 4-lens review (ledger faithfulness, downstream soundness, serde/wire robustness, test honesty) returned 3 SOUND + 1 CONCERN: quote_currency &'static str cannot hold a runtime-sourced currency at the #124 resolver — not a blocker (#115/#116 read only the authored floor), logged on #124 as a deliberate deferred design choice. The implementer's deviation from the plan snippet (vec![..] -> [..]) avoids clippy::useless_vec; semantics identical. Two tester-authored consumer-boundary E2E tests added beyond the inline units: instrument_spec_deploy_metadata.rs (public resolution seam) and position_event_table.rs (persisted bare-int wire shape + reversal table). closes #113 #114 |
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Brummel
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d858caf67b |
chore: scrub dangling references to deleted specs/plans from sources
docs/specs and docs/plans were retired (prior commit); the source/test
comments that cited them ("spec 0050 §4.1", "spec §Testing N", "per spec",
"the spec's ...") now point at nothing. Strip every such pointer while
preserving the technical substance, the design-ledger contract refs
(C1/C11/C20/C34/C12.1/...), and the Gitea issue refs (#41).
Comment/doc edits only across 20 files — no logic change; full workspace
suite green, clippy clean.
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Brummel
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4187f3bbc1 |
test(aura-engine): GER40 session-breakout e2e — the milestone capstone
Hand-wires all seven new aura-std nodes (Resample, Delay, Gt, Session, EqConst x2, And, Latch) + SimBroker into a raw-index FlatGraph over one synthetic Frankfurt session, pinning the whole vocabulary composed end-to-end: - held = [0,0,1,1,0] over the 5 bar emissions: flat, latched bar3-close (the strict breakout landing on session bar 3) through bar4, exit at bar5-close; - equity = [0,0,0,3,8] pips (SimBroker lagged-exposure integration, pip=1.0); - a no-entry control (bar3 close == bar2 high) pins the strict-> semantic; - two disjoint runs byte-identical (C1). Both spec traps exercised (bar6 rollover closes bar5; bars 1-2 warm Delay[1]). Phase-1 C9 deliverable; build-step 8 (capstone) of milestone 'Strategy node vocabulary I'. closes #91 |
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Brummel
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e17d78f24f |
feat(aura-engine): random param-sweep — RandomSpace + a Space trait + typed ParamRange
Ship the random half of the C12.1 param-sweep axis (grid landed in 0028).
A new `Space` trait (`points`/`param_specs`) generalizes `sweep`/`sweep_with_threads`
from `&GridSpace` to `&S: Space`; `GridSpace`'s trait impl forwards to its existing
inherent methods, so the grid path is behaviour-preserving (C1, every pre-existing
grid sweep test stays green). `RandomSpace` is the second `Space` producer: N seeded
uniform points over per-slot typed `ParamRange { lo, hi }` ranges (I64 inclusive
[lo,hi], F64 half-open [lo,hi)), validated in `new` against the param-space — a
non-numeric slot, a range-kind mismatch, and an empty range are the three new typed
`SweepError` variants, all caught before any run. Sampling reuses the existing
bit-stable `SplitMix64` (promoted to `pub(crate)`) as a code-path-disjoint instance
from the data-edge seed RNG — the #52/#71 World-II source-seam firewall: they share
only the `u64` type, never a path. The sweep-layer signature stays param-only
(`Fn(&[Cell]) -> RunReport`); no `Source`/stream type enters it.
Deviation from the spec's verbatim sampler, accepted as a correctness hardening:
the I64 draw guards the full-width span ([i64::MIN, i64::MAX] computes a span of
2^64 that wraps a u64 to 0) and uses `lo.wrapping_add(draw as i64)` instead of a
plain `+`. This avoids both the `% 0` divide-by-zero at the full domain and the
signed-overflow panic the literal form hits on wide ranges in debug builds, while
preserving uniform-over-[lo,hi] draws and determinism (an extra RED test,
random_points_full_range_i64_does_not_panic, pins it). Modulo bias for spans not
dividing 2^64 remains the spec's documented, accepted simplification (param search
needs no cryptographic uniformity).
Includes a public-API E2E suite (tests/random_sweep_e2e.rs) exercising the feature
exactly as a downstream researcher would — reproducibility at the report boundary,
seed-sensitivity, in-range draws, the typed NonNumericRange gate, a well-formed
empty (count==0) family, and Grid/Random interchangeability through `Space`.
Verified: cargo test --workspace green (incl. 17 new engine tests + 6 E2E);
cargo clippy --workspace --all-targets -- -D warnings clean.
closes #52
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