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
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
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.
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
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
Brummel