dfc01bf837ceb088aba236ec4c75d291caa68a83
213 Commits
| Author | SHA1 | Message | Date | |
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 Brummel
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f5e00a9c72 |
feat(0085): per-cycle-held accrual — CarryCost + ChargeMode (approach B)
Cycle 5 of milestone #148 (cost-model graph in R): the per-cycle-held accrual mechanism — C10's "per-cycle-held factors accrue over the hold". A carry/funding cost is charged for every cycle a position is held, so the net_r_equity equity curve bleeds continuously over the hold (approach B, "ja, mach B") rather than stepping at close. Mechanism (logged on #148): ChargeMode { AtClose, PerHeldCycle } is a property of the cost factor, read by the one shared CostRunner (no second runner type). The AtClose arm is the pre-cycle-5 eval tokens VERBATIM (IEEE-754 byte-identity). The PerHeldCycle arm accrues `per` into `acc` each held cycle, dumps the accrued total into `cum` at close (resetting acc), and marks the open position via a growing open_cost_in_r. The bleed lives in open_cost_in_r, which the net_r_equity tap already subtracts — so summarize_r and the CLI net_eq wiring are UNCHANGED, and the cycle-0083/0084 net_expectancy_r goldens (-614.3134020253314 flat, -615.0304388396047 composed) + the C18 no-cost golden stay byte-identical. CarryCost is a ConstantCost twin differing only in charge_mode() -> PerHeldCycle (a labelled stress parameter, the flat base of the accrual family). Wired through the existing cost_graph/CostSum aggregation; a per-trade ConstantCost and a per-held-cycle CarryCost compose in one run (the costs sum per-field — the composed golden is exactly the sum of the two single-cost charges). New run-path --carry-per-cycle flag (sweep/walkforward/mc pass None, as the existing cost flags do). Tests: 2 RED-first unit B-proofs (open_cost grows over the hold, dumps the total at close, acc resets between trades — the discriminator a scalar net_expectancy_r cannot see); the CarryCost twin's 5 unit tests; 2 captured net_expectancy_r goldens (-768.2095026600887 carry, -1383.7939051991182 composed); a net_r_equity-bleeds-over- the-hold integration test (the terminal open hold's r_equity-net_r_equity gap strictly grows); plus negative-rate-refused-exit-2, monotone-in-rate, and zero-rate-exactly-free guards. Verified: cargo test --workspace (0 failures), cargo build --workspace, cargo clippy --workspace --all-targets -- -D warnings clean. summarize_r / aura-analysis untouched. Deferred to later #148 cycles (logged there): notional-based carry, the calendar-aware overnight swap, sweep-path cost. refs #148 |
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Brummel
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face1879a6 |
audit(0084): cycle close — drift-clean (code); C10 cycle-0084 note + doc fixes
Cycle 4 of milestone #148 (cost-graph composite-builder). Architect drift review over fc52b4f..d5c44dd: drift_found, every item dispositioned. What holds (architect, evidence-of-review): C16/C9 — cost_graph lives in aura-composites, the factors in aura-std, aura-engine stays domain-free; the composite is ordinary downstream nodes. C11 behaviour-preservation is structural, not just asserted — the composite inlines to the same flat fan-in as the deleted CLI block (identical node set/order, cost[k].field slot map, geometry fan, net_eq terms/signs, cost_rec cols), so the cycle-0083 net_expectancy_r goldens stay byte-identical. C23 — role/port names non-load-bearing; 4 fixtures pin the role-set + output triple. Resolved this commit: - [high] ledger C10: the cycle-0083 note's "Still deferred (decision E)" is removed (E shipped this cycle) and a cycle-0084 realization note added. - [medium] cost_graph .leak() provenance (aura-composites/src/lib.rs): the "risk_executor precedent" was imprecise — that .leak() lives in risk_executor's TEST (one-shot, leak-safe), not its production builder. Doc corrected: the leak is fine for one-shot run-path construction but must be interned (the COL_PORTS production pattern) before cost reaches the sweep path. - [low] cli_run.rs golden docstring cited the deleted `slot * COST_WIDTH + f` CLI wiring; updated to the cost_graph composite's per-node cost[k].<port> wiring. Deferred (tracked, not pending) -> #152: - [medium] the cost[k].<port> index-namespacing restated across CostSum / cost_graph / the CLI (a build-validated lockstep — a divergent name fails loudly at g.build(), NOT the silent positional kind 0083 collapsed), AND the per-build .leak() that becomes an allocation regression on the per-member sweep path. Both are harmless on the current run-only cost path; the proper fix is one sweep-safe single-source cost-port-name contract (interned), best built with the deferred sweep-cost cycle. Regression gate: cargo test --workspace (0 failures), clippy --workspace --all-targets -- -D warnings clean, cargo doc clean — the architect is the primary gate (no dedicated regression script). Ephemera (spec 0084 + plan 0084) git rm'd. Milestone "Cost-model graph (in R)" remains OPEN. refs #148 |
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Brummel
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d5c44dd1ea |
feat(0084): cost-graph composite-builder
Cycle 4 of milestone #148 (Cost-model graph in R), decision E. New `cost_graph(Vec<PrimitiveBuilder>) -> Composite` in aura-composites: it fans the 4 PM-geometry inputs to N cost nodes, surfaces each node's extra inputs (discovered via schema introspection past GEOMETRY_WIDTH) as `cost[k].<port>` roles, sums them through CostSum, and exposes the 3-field aggregate. Replaces the CLI's manual slot-indexed cost-wiring + the hardcoded MAX_RUN_COST_NODES=2 cap with one principled composite of arbitrary arity. GEOMETRY_WIDTH re-exported from aura-std (first cross-crate consumer). Runtime port names .leak()'d (the risk_executor precedent), a bounded one-time cost at blueprint construction. Behaviour-preserving at the value level: the composite inlines at bootstrap (C11) to the same flat fan-in, so the two cycle-3 net_expectancy_r goldens (-614.3134020253314 flat, -615.0304388396047 composed), the C18 no-cost golden, and the full suite stay green verbatim. Honours C9 (a composite of cost nodes is ordinary downstream nodes), C16 (wiring lives in aura-composites, not aura-engine), C23 (label drift under cost_graph nesting is permitted; no with-cost graph label/shape golden exists). Four aura-composites unit tests pin the exposed contract: the two planned (n=2 heterogeneous role set; n=1 no-extra shape) plus two the implementer added that strengthen the headline — arbitrary-arity per-node namespacing (n=3, two VolSlippageCost -> distinct cost[1]/cost[2].volatility, the property that retires the 2-node cap) and geometry fan-once (n=2 extra-free -> only the 4 geometry roles). Accepted nit (held, non-gating): the CLI reconstructs the `cost[k].volatility` role name to feed the vol node's extra input — a string coupling to the composite's public role-naming convention. Kept: role-based composite wiring addresses roles by name (as the CLI already does for "closed"/"bias"/"price"); the convention is tested + build-validated; a decoupling accessor would widen this cycle's scope. Verified: cargo test --workspace (0 failures), clippy --workspace --all-targets -D warnings clean, cargo doc -p aura-composites clean. refs #148 |
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Brummel
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fc52b4fced |
audit(0083): cycle close — drift-clean (code); C10 cycle-0083 note + lib.rs doc
Architect drift review over 6c7f5dd..HEAD. No regression scripts in this project → the architect is the sole gate; verdict: shipped code byte-clean. What holds (verified against the diff): - C9 — a CostRunner<F> is a plain downstream Node; the two cost nodes are thin factors wired through the same cost_node_builder. No runtime sub-object. - C18 / byte-identity — the numerator/latched token form is preserved verbatim; the two new CLI goldens pin exact net_expectancy_r and pass; the no-cost golden is untouched. - C10 co-temporality + C23 + invariant-4 — the gate-on-PM-geometry-only rule (cold factor input → 0 cost, row still emits) is now centralized once in the runner; name() dropped cleanly (label() remains the non-load-bearing symbol); the 3-field triple is a single source (COST_FIELD_NAMES) read by both producers + CostSum + the CLI — the cycle-0082 by-convention lockstep is structurally gone. Resolution: - [fix] docs/design/INDEX.md C10 — added the cycle-0083 realization note (each prior cost cycle got one; the deferred general CostNode trait is now shipped and the lockstep eliminated). Ledger deferred-work tracking re-synced. - [fix] crates/aura-std/src/lib.rs:5 — module doc now names the CostNode/CostRunner authoring surface. - [carry-on, low debt] vol_slippage_cost.rs still declares its extra-input port twice (the cost_node_builder arg and the trait extra_inputs()); a clean unifier needs design thought (builder() is static, no factor instance) and is not worth forcing at cycle close. Documented here; agreement rests on the helper + a test + the harness debug-assert. Cycle 0083 ephemera removed (docs/specs/0083 + docs/plans/0083). Verified: cargo build/test --workspace clean (0 failures), clippy -D warnings clean, cargo doc -p aura-std clean (CostNode/CostRunner intra-doc links resolve). refs #148 |
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Brummel
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6b53c239dd |
feat(0083): CostNode trait + shared cost-record contract
Lift the duplicated cost-node skeleton — shared verbatim by ConstantCost and VolSlippageCost and locked by convention against CostSum — into one abstraction: - A new aura-std/src/cost.rs owns the cost-record contract (COST_WIDTH, COST_FIELD_NAMES, GEOMETRY_WIDTH), the CostNode factor trait (one hook: cost_numerator, in price units), the generic CostRunner<F> adapter that holds the shared state (cum, out) and the co-temporality skeleton (geometry gating, numerator/latched R-normalization, closed/open charge, 3-field emit), and a cost_node_builder schema assembler. - ConstantCost and VolSlippageCost become thin CostNode factors; their new() returns CostRunner<Self>, so every existing call site and unit test binds transparently and stays green verbatim. - CostSum and main.rs drop their local triple consts for the shared COST_FIELD_NAMES — the cycle-2 audit-flagged by-convention 3-field lockstep is now a structural single-source contract (the four copies of the triple collapse to one). main.rs also reads COST_WIDTH in place of the literal slot stride. Behaviour-preserving: the builders emit unchanged schemas (same port names), so the wiring, the net_r_equity seam, and summarize_r are untouched; the numerator/latched token form is preserved verbatim (IEEE-754 byte-identity). The existing suite is the regression net — all green: the per-node unit tests pass verbatim (0.5/1.5, 0.375/1.375), the composition E2E exact, the C18 no-cost golden byte-identical. Two new CLI characterization goldens pin the exact net_expectancy_r of the flat and composed cost paths (the prior tests only asserted net < gross, which a numerator drift would pass silently). New cost.rs runner/contract tests + the HalfSpreadCost author doctest cover the new surface. Deviation from the plan: CostNode::name() was dropped (the plan over-specified it) — it is dead surface, nothing consumes it (CostRunner forwards label(); cost_node_builder takes the name as an explicit arg). Removed from the trait, both impls, the doctest, and the test stubs; build + suite + clippy green. Verified: cargo build --workspace --all-targets clean; cargo test --workspace 0 failures; cargo clippy --workspace --all-targets -- -D warnings clean; doctest green. refs #148 |
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Brummel
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6c7f5dd147 |
audit(0082): cycle close — drift-clean; C10 cycle-0082 note + cost-flag validation symmetry
Cycle 0082 (cost-graph composition, cycle 2) closes drift-clean against C10. The
architect review confirms the cycle is fundamentally sound:
What holds: VolSlippageCost + CostSum are ordinary aura-std downstream nodes
(C9/C8), cost stays out of aura-engine; the vol proxy is a trailing realized range
(C2, no look-ahead); feed-forward, no equity feedback (C1); the co-temporality
contract (gate cost nodes on PM geometry only, 0-cost on a cold state input) is
consistent with C1/C2/C9 and the cycle-1 positional join, and charging 0 during
warm-up is honest (no estimate yet, not a fabricated guess). The no-cost C18 golden
is byte-identical.
Drift resolved at close:
- [medium -> fixed] docs/design/INDEX.md (C10): added the cycle-0082 realization
note. The load-bearing co-temporality contract (generalizes to all future cost
factors) lived only in code comments + spec 0082; the ledger is now its durable
home once the spec is removed.
- [low -> fixed] crates/aura-cli/src/main.rs: --cost-per-trade now rejects negatives
at parse, symmetric with --slip-vol-mult (it previously deferred to the node
assert's panic). Run-path tests + the no-cost golden stay green.
Carry-on (documented deferrals, not this cycle's debt to fix):
- The 3-field cost triple {cost_in_r, cum_cost_in_r, open_cost_in_r} is restated
by-convention across ConstantCost, VolSlippageCost, and CostSum (compiler-unlinked
lockstep) — to be unified by the general CostNode trait, now justified by two
concrete nodes (#148).
- SLIP_VOL_LENGTH=5 is sized to warm within the synthetic smoke fixture; documented
in the const doc (on real M1 data any reasonable window warms).
- A future per-cycle-held accrual (carry/funding) accrues over holding duration,
which will force a summarize_r fold change and stress the positional seam — flagged
for that deferred cycle.
Regression gate green and unchanged: full workspace suite 0-fail, clippy --workspace
--all-targets -D warnings clean. No baseline moved -> no ratify.
Spec + plan ephemera removed (git rm docs/specs/0082, docs/plans/0082).
refs #148
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Brummel
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7f3756a395 |
feat(0082): cost-graph composition — VolSlippageCost + CostSum net-R aggregate
Cycle 2 of the "Cost-model graph (in R)" milestone (#148): the milestone's real architectural claim — the cost graph composes. Two cost nodes now sum into one net-R curve while summarize_r and the net_r_equity tap stay structurally unchanged. - VolSlippageCost (aura-std): a second, STATE-DEPENDENT cost node; per-trade charge = slip_vol_mult * volatility / |entry-stop|, in R. The vol is an independent short-horizon realized range (SLIP_VOL_LENGTH=5, distinct from the stop's EWMA-3) — scaling slippage by the stop's own vol would collapse cost-in-R to a constant (indistinguishable from ConstantCost). - CostSum (aura-std): the cost-graph OUTPUT node — sums N cost nodes' 3-field cost-in-R records per-field into one aggregate. summarize_r and net_r_equity read the aggregate (one home for cost; n=1 is the identity, so the cost path is uniform). A future CostNode trait (deferred) will unify the cost-triple the two producer nodes currently restate by-convention. - Run path: --cost-per-trade and --slip-vol-mult combine, their costs summing into the net-R curve; a hoisted vol proxy (RollingMax-RollingMin) keeps the single feed. Run-path-scoped; sweep/walkforward/mc pass None. Co-temporality contract (the load-bearing design decision; corrected from the signed spec after the implement-loop correctly BLOCKED Task 3 on it). summarize_r positional-joins cost[i] <-> record[i], so the cost stream must be co-temporal 1:1 with the PM record. A cost node is therefore gated ONLY by the PM geometry (closed/open/entry/stop); a not-yet-warm state input (the vol proxy warms later than PM) contributes 0 cost that cycle rather than withholding and desyncing the stream. This makes co-temporality structural + warmup-independent, preserves the C18 golden, and generalizes to any future cost factor. The rejected alternative (a key-join in summarize_r) would have moved the golden and pushed cost-graph logic into the post-run fold. Recorded on #148. Tests: VolSlippageCost + CostSum unit sets (incl. the co-temporal-zero-during- warmup case); the CLI composition run (both flags -> net_both < net_flat, net_r_equity persisted); node-level EXACT additive composition (net_both == net_flat + net_vol - gross over the real nodes), the aggregate net_r_equity == post-run net total, and CostSum(1) identity. Full workspace suite green; clippy -D warnings clean; the no-cost C18 golden byte-identical (the regression floor). Deferred (later cycles of this milestone): the general CostNode trait + cost-graph composite-builder (now justified by two concrete nodes), the conviction-weighting R-aggregation axis, and cost on the reduce-mode sweep path. Spec + plan amended to the corrected contract; both are cycle ephemera (git rm at cycle close). refs #148 |
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Brummel
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e82725f2d7 |
audit(0081): cycle close — drift-clean (code); ledger C10 realization note + stale-broker doc sync (refs #148)
Cycle 0081 (cost-model graph, cycle 1) closes drift-clean against C10: the architect review confirmed ConstantCost + the net-R seam realize the contract at its floor (C9 cost node; net_r_equity a C8/C18 sink; R-pure; one home for cost, subsuming the retired scalar round_trip_cost; pure feed-forward C1), and the no-cost baseline is byte-identical (C18 golden held). Regression gate green and unchanged: full workspace suite 0-fail, clippy --workspace --all-targets -D warnings clean. No baseline moved -> no ratify. Ledger sync (docs/design/INDEX.md): added the C10 cycle-0081 realization note (ConstantCost node + net_r_equity seam shipped; scalar round_trip_cost retired; run-path-scoped; later-cycle deferrals named). Drift swept (cycle-adjacent + cheap one-liners): - crates/aura-analysis/src/lib.rs net_expectancy_r doc: the removed in-fold mechanic (mean(R - round_trip_cost/latched_dist)) -> the cost-stream fold. - crates/aura-std/src/lib.rs module doc: "realistic broker profiles" (retired by #116) -> the legacy SimBroker pip yardstick + cost-model nodes. Backlogged (pre-existing, broader, predates this cycle): the docs/project-layout.md backtest worked example is stale on #117 (exposure->bias) and #116 (realistic broker); a proper rewrite is filed as #151, not folded here. Architect-accepted: the #[allow(dead_code)] on r_col::ENTRY_PRICE/STOP_PRICE (their production reader legitimately removed when summarize_r stopped recovering latched_dist; still the layout contract + exercised by test fixtures). Spec + plan ephemera removed (git rm docs/specs/0081, docs/plans/0081). refs #148 |
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Brummel
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3fe4684190 |
feat(0081): cost-model graph cycle 1 — ConstantCost node + net-R seam
Lands the first cycle of the "Cost-model graph (in R)" milestone: cost is
now a composable in-graph node, not a post-run scalar (C10).
- ConstantCost (aura-std): a flat round-trip cost per trade, emitted in R
as a 3-field record {cost_in_r, cum_cost_in_r, open_cost_in_r} isomorphic
to PositionManagement's R-triple. R-pure: cost_in_r = cost_per_trade /
|entry-stop|; notional cancels, no equity held.
- summarize_r folds the cost stream into net_expectancy_r, replacing its
scalar round_trip_cost (one home for cost, no double-count). Positional
co-temporal join; an empty stream is the gross-R baseline.
- net_r_equity tap (stage1_r_graph): LinComb(4) over [cum_realized_r,
unrealized_r, -cum_cost_in_r, -open_cost_in_r] -> Recorder, a sibling of
r_equity; --cost-per-trade on the run path wires the node + tap + fold.
- A no-cost run is byte-identical: no net_r_equity tap, net == gross, the
C18 golden unchanged.
Tests: exact-subsumption (the node-stream net == mean(r_i - cost_i) over
ALL trades incl. the window-end open one), the in-graph net_r_equity tap +
net < gross E2E, the no-cost golden held. Full suite green; clippy clean.
Implement-time decisions ratified (recorded on #148): the cost stream is
recorded 3-wide (the node's full output; summarize_r reads col 0/2, col 1
feeds the in-graph net curve) — resolving a 2-wide/3-wide inconsistency in
the plan's Step 3; Trade drops its `latched` field (cost now arrives in R),
so r_col ENTRY_PRICE/STOP_PRICE become #[allow(dead_code)] layout contract.
Scoped to the run path (non-reduce); sweep/walkforward/mc pass None — cost
on the reduce-mode sweep path and OOS-pooling cost are a deferred follow-up.
Known pre-existing concern (not this cycle): aura-std lib.rs module doc
still names "realistic broker profiles", retired by the C10 rework.
refs #148
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Brummel
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04c581a441 |
refactor(0080): relocate FamilySelection/SelectionMode to aura-analysis (refs #136)
The last trading-domain types still defined in aura-engine's report module — the selection-provenance types FamilySelection and SelectionMode — move to aura-analysis, finishing the #136 goal of getting the trading types out of the engine. aura-analysis is the only non-cyclic home that removes them from the engine: RunManifest.selection: Option<FamilySelection> needs the type and the engine already depends on aura-analysis; aura-registry and aura-cli reach them unchanged via aura-engine's re-export (report.rs pub-re-exports them, lib.rs untouched). Their tests stay in report.rs (one round-trips through RunManifest, which stays in the engine) and reach the types via the re-export. Behaviour-preserving (C1): full suite 665/0 unchanged incl. the C18 goldens, clippy clean, only report.rs and aura-analysis/src/lib.rs change. Staying in the engine (trace-coupled, deferred to the World/C21 layer, not #136): RunManifest, RunReport, summarize. The aura-registry Metric/metric_cmp vocabulary stays in the registry by design — the registry is the trading selection layer, not the domain-free engine (the deflation statistics branch on metric identity, irreducibly domain). See the #136 thread for the rationale. |
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Brummel
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a8f67c7c80 |
audit(0079): cycle close — drift-clean; ledger crate-topology sync + serde_json dev-dep tightening (refs #136)
Architect drift review (3e8fd73..HEAD): the extraction is faithful and behaviour-preserving — every moved symbol's definition left report.rs, 35 unit tests relocated with their subject, aura-engine/src/lib.rs byte-unchanged, the four downstream crates byte-unchanged. No code defect. Regression gate green: cargo build/test --workspace = 665 passed / 0 failed (incl. the C18 cli_run goldens and the registry legacy-line loads); clippy --workspace --all-targets -D warnings clean. Ledger sync (docs/design/INDEX.md) — pre-existing crate-topology drift the extraction made visible: - C10 notes (cycles 0063/0068) placed PositionAction / PositionEvent / derive_position_events "in aura-engine beside RunMetrics / summarize_r"; cycle 0079 moved all of them to aura-analysis — corrected, with a forward pointer to the new C16 note. - C10 cycle-0065 note claimed "RiskExecutor ships as a public aura-engine composite-builder" and "Composites live in aura-engine ... aura-engine -> aura-std a normal dependency"; both stale — composites live in aura-composites and aura-std is now an aura-engine [dev-dependencies] only. Corrected. - Added a C16 realization note recording the aura-analysis extraction as an architecture fact: the engine<->domain seam, the current five non-node workspace crates, and the deferred #136 generic-over-M tail. serde_json moved from [dependencies] to [dev-dependencies] in aura-analysis (architect debt item): the production types derive serde, but JSON rendering lives in aura-engine's RunReport::to_json, so serde_json is test-only here and must not enter the frozen artifact's library link (C16 frozen-artifact scrutiny). Build + the 35 crate tests stay green after the move. No baseline moved (the suite is the regression gate; it stayed green), so no ratify statement. No spec/plan ephemera to drop (compiler-driven / agent-driven cycle — no docs/specs or docs/plans files were created). |
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Brummel
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94c88eb7e1 |
refactor(0079): extract the trading-analysis leaf into aura-analysis (refs #136)
aura-engine is documented (C16) and named as the reusable, domain-agnostic reactive SoA substrate, yet `report.rs` concentrated the trading-domain analysis layer inside it. This cycle relocates the pure-domain leaf into a new `aura-analysis` crate (deps: aura-core + serde only), erecting the engine/domain seam before the Stage-2 broker milestone deposits more currency/position-event code into the same module. Behaviour-preserving (C1): the full workspace suite stays green unchanged (665 passed), including the C18 on-disk byte-identity goldens (cli_run, the registry legacy-line loads). Moved to aura-analysis (bodies verbatim — no float expression re-associated): RunMetrics, RMetrics (+ its hand-written PartialEq), the private r_col column indices + SQN_CAP, summarize_r, r_metrics_from_rs, derive_position_events, PositionAction (+ From/TryFrom<i64>), PositionEvent, and the deflation stats helpers inv_norm_cdf / expected_max_of_normals. Their unit tests and private helpers (r_row / r_row_full / pm_row) relocate with them — tests live with their subject (the r_col helpers reach the private module directly, which a re-export cannot bridge). Stays in aura-engine for this cycle: the generic trace plumbing (ColumnarTrace, join_on_ts, JoinedRow, f64_field), RunManifest, RunReport, and summarize (it bridges recorded trace columns into RunMetrics, so it is trace-coupled). The mis-placed orchestration types FamilySelection / SelectionMode also stay (their relocation is entangled with the registry-vocabulary fork, deferred). report.rs pub-re-exports the moved symbols, so aura-engine's lib.rs re-export block and every `crate::report::X` / `aura_engine::X` consumer (aura-registry, aura-cli, aura-composites, aura-ingest) compile byte-unchanged; only the new crate, the workspace member list, aura-engine's Cargo.toml dep, and report.rs itself change. Deferred to later cycles (genuine design forks, route through specify when reached): making RunReport generic over a metric type M and re-bounding sweep/mc/walkforward; relocating the aura-registry Metric / metric_cmp / rank vocabulary; relocating FamilySelection / SelectionMode. Fork decisions logged on #136. |
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3e8fd73f68 |
tidy: clear the milestone fieldtest findings (refusal reasons, --help, ledger + glossary)
Resolves the four non-bug findings from the inferential-validation milestone
fieldtest (the bug — the broken-pipe panic — is fixed in
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1088320571 |
fix: terminate cleanly on a broken stdout pipe across all family-emitting commands
GREEN for the broken-pipe RED test (
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c750b9fbc3 |
test: RED — family-emitting CLI commands must survive an early-closing stdout reader
Captures the pre-existing broken-pipe panic surfaced by the milestone fieldtest ([bug] finding): every multi-line subcommand (sweep / mc / walkforward / runs family / generalize) panics "failed printing to stdout: Broken pipe (os error 32)" and exits 101 when the stdout reader closes early (| head, | less, a closed UI pane), instead of terminating cleanly. Root cause: Rust's runtime resets SIGPIPE to SIG_IGN at startup, so a write to a closed pipe returns EPIPE and println! panics rather than the process dying quietly. crates/aura-cli/tests/cli_broken_pipe.rs spawns `aura sweep`, closes the stdout read end mid-stream, and asserts no panic in stderr + exit != 101. Verified RED (reproduces 6/6). The GREEN fix follows in the next commit. refs #146 |
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0a06afed29 |
feat(0078): cross-instrument generalization as a validation step
Last piece of the Inferential-validation milestone (#146): a new `aura generalize` subcommand grades how consistently a single candidate holds across a set of instruments — the across-instrument axis of the same anti-false-discovery concern as trials-deflation (#144, within one family) and plateau-over-peak (#145, within one instrument's surface). Aggregator/validator, not a third selector (user-ratified): it runs a brought candidate (a single-cell stage1-r grid — --fast/--slow/--stop- length/--stop-k pinned to single values) across an instrument list (--real SYM1,SYM2,...), collects per-instrument R-metrics, and reduces them to a worst-case floor (min over instruments) + a sign-agreement count + the per-instrument breakdown. R-only (C10 — R is the only account/instrument-agnostic unit); the worst-case min is the cross- instrument sibling of PlateauMode::Worst and satisfies the non- domination constraint by construction (a strong instrument cannot lift a min). Rejected: a cross-instrument t-stat mean/std*sqrt(M), which reintroduces the pooled mean the milestone warns against. - RunManifest gains a first-class `instrument` lineage field (serde- widened, C14/C18 — legacy lines load as None, existing manifest bytes unchanged); the compat read-mirror threads it in lockstep. - FamilyKind::CrossInstrument (C12 comparison axis); the M per-instrument runs persist as a CrossInstrument family, each member self-identifying via its stamped instrument. The aggregate is recomputable from the members (McAggregate precedent), printed live. - The generalization reduction lives registry-side beside optimize_ deflated/optimize_plateau (C9), reusing resolve_metric/metric_value/ is_r_metric; check_r_metric is the data-free pre-check the CLI runs before evaluating any instrument. - Additive: existing sweep/walkforward/mc/standalone paths stay byte- identical (C23 — instrument omitted when None via skip_serializing_if). Verified by the orchestrator: cargo test --workspace green (0 failed — the new generalization_*, check_r_metric, parse_generalize_*, and the gated cross-instrument E2E all pass; the E2E ran the real GER40/USDJPY path on this host, exit 0); cargo clippy --workspace --all-targets -D warnings clean. closes #146 |
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d50a4828ad |
audit(0077): cycle close — drift addressed; legacy-load fixture + ledger sync; drop ephemera
Architect drift review over 9c6b9c7..cb32658 returned drift_found (3 items); all resolved here. What holds (architect): C23 default-argmax byte-identical, C9 separation (selector in aura-registry, walk_forward selection-agnostic), C1/C2 (plateau pure/deterministic/in-sample), one higher_is_better direction source. Resolutions: - [medium] Backfilled the pre-0077 FamilySelection legacy-load fixture (report.rs family_selection_loads_a_pre_0077_legacy_line). The feat commit and the struct doc-comment claimed "a legacy line still loads (C14/C18)" as landed, but no test pinned the field-level mapping: bare deflation scalars -> Some(...), absent plateau keys -> None. families.jsonl/runs.jsonl are append-only, so a winner stamped pre-0077 must read back; now pinned. - [low] Synced the ledger's inferential-validation open thread (docs/design/INDEX.md): #145 plateau-over-peak landed (cycle 0077), selection is now a pluggable objective (bare argmax -> trials-deflated -> plateau) on the manifest carrier; only #146 (cross-instrument generalization) remains of the milestone's three pieces. - [medium-high] Removed the cycle ephemera (git rm docs/specs/0077-*, docs/plans/0077-*) per the cycle-close convention. Regression: full workspace suite green and clippy --all-targets -D warnings clean (verified at feat-review time). No baseline scripts configured; the test + clippy gates are the regression gate. Cycle 0077 tidy (clean) — drift-clean, not a milestone close (the milestone fieldtest is a separate deliberate gate). |
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cb32658fd1 |
feat(0077): prefer a robust parameter plateau over the in-sample peak
Add an opt-in plateau selection objective for walk-forward, recorded on the same RunManifest.selection carrier #144 introduced. Default argmax is byte-identical (C23); plateau is reached only via a new --select flag. What landed: - FamilySelection / SelectionMode reshape (report.rs): the selection RULE (mode) and its ANNOTATION are orthogonal — deflation fields become Option (present iff Argmax), plus PlateauMean/PlateauWorst variants and neighbourhood_score/n_neighbours (present iff Plateau*). Legacy lines still load: the deflation scalars deserialize from bare values via serde default (C14/C18). compat.rs embeds FamilySelection by value — reshape flows through untouched. - GridSpace::axis_lens() + SweepBinder::sweep_with_lattice (engine): the grid radixes in param_space()/odometer order. sweep() delegates to sweep_with_lattice with the lattice dropped, so every existing .sweep() caller is byte-unchanged. - optimize_plateau + PlateauMode + closed_neighbourhood (aura-registry, C9): each member scores as the mean/worst of its closed mixed-radix grid neighbourhood's metric_value; the winner is the smoothed argmax by the metric's direction (earliest-odometer tie, as optimize). Pure, no RNG (C1); in-sample only (C2). A higher_is_better helper now sources the per-metric direction once, shared by metric_cmp and optimize_plateau. - CLI --select <argmax|plateau:mean|plateau:worst> (default argmax; unknown token exits 2). walkforward_family dispatches via a select_winner helper; sweep_over/stage1_r_sweep_over carry the lattice as Option<Vec<usize>>. runs-family display gains a plateau(<mode>)=<score> over <n> cells line. RandomSpace-refuse: walkforward has no --random producer, so the plateau-without-lattice guard is structural — select_winner returns the refuse on a None lattice (the caller prints the message and exits 2), unit-tested at the helper, not via a --random E2E (decided + recorded on #145 comment 1974, with the lattice-seam fork). Tests: plateau-picks-plateau-not-spike, mean-vs-worst, lower-is-better direction-flip, closed-neighbourhood golden, single-member degeneracy, C1 determinism; CLI select-parse, select_winner refuse; E2E argmax-byte-identical (C23), plateau:mean and plateau:worst provenance. Full workspace suite green; clippy --all-targets -D warnings clean. closes #145 |
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ecc9541a56 |
0076.tidy: backfill spec-promised deflation tests + guard the dispersion-floor sign
Audit (architect, cycle 0076) found three tests the spec's testing strategy promised but the implement-loop did not land, plus an unguarded sign assumption: - optimize_deflated_centres_the_null_so_a_uniform_edge_is_not_called_overfit: the load-bearing protection for the mean-subtraction. A family where every member shares the same +R edge reads as NOT overfit only because the null is centred; an uncentred null would give ≈0.5. Removing the centring now flips a test (it previously passed every test — the architect's headline finding). - optimize_deflated_all_noise_family_has_high_overfit_probability: the high-p companion to the existing clear-edge low-p test. - optimize_deflated_provenance_reflects_only_the_passed_family: C2 at the registry boundary (n_trials == family size, raw == the family's own argmax), pinning that the record encodes only in-sample information. - A debug_assert in the dispersion-floor arm: it subtracts inflation, valid only for higher-is-better metrics; lower-is-better (max_drawdown/bias_sign_flips) would deflate wrong-signed. Unreached from the two shipped call sites, but optimize_deflated is public — guard the assumption rather than leave it implicit. cargo test -p aura-registry (33) + clippy green. refs #144 |
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a2959050a4 |
feat(0076): deflate the sweep winner's metric for the number of trials
Adds optimize_deflated beside optimize in aura-registry: the in-sample walk-forward selection now records, on each OOS winner's manifest, how much the winner's metric is inflated by the size of the search it won — a deflated score and (R arm) an overfit probability — without changing which member wins (additive, C23; a regression test pins optimize_deflated's winner == optimize's). - R arm (sqn_normalized/expectancy_r/...): a centred moving-block reality-check. Each member's per-trade R series is mean-subtracted to impose the no-edge null, resampled via the r_bootstrap kernel (extracted to a shared resample_block, byte-identical), and the best-of-K null-max gives overfit_probability = (count(null >= raw)+1)/(n+1) and deflated_score = raw - p95(null). Deterministic given the seed (C1). - total_pips arm: a closed-form expected-max-of-K dispersion floor (inv_norm_cdf + expected_max_of_normals), no probability. The record (FamilySelection on RunManifest) rides the proven serde(default, skip_serializing_if) widening + a compat.rs mirror, so legacy runs.jsonl/families.jsonl lines load unchanged and unstamped sweep/mc/standalone manifests stay byte-identical (C14/C18). The SelectionMode enum reserves a Plateau slot for #145. CLI: walk-forward stamps both arms; runs family <id> rank surfaces a human-readable deflated/overfit line. Quality review (re-dispatched after the implement-loop's quality gate exhausted) caught a real defect: on the R arm with positive resamples but no member carrying trade_rs (a family loaded from disk — trade_rs is serde-skipped), the null was all-NEG_INFINITY, turning deflated_score into +inf. Fixed by collapsing "no usable null" (zero resamples OR no trade_rs) into one degenerate floor (deflated == raw, overfit == 1.0); pinned by optimize_deflated_no_trade_rs_floors_instead_of_infinity. Verified: cargo test --workspace and cargo clippy --workspace --all-targets -D warnings both green. Frictionless Stage-1 R; n_eff advisory and reload-time recompute deferred (spec 0076 Out of scope). closes #144 |
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c192dfd344 |
audit(0075): cycle close — drift-clean; doc-link + trade_rs tripwire tidy; drop ephemera
Architect drift review (c99e7b8..2e77ab1) against the design ledger +
CLAUDE.md invariants: drift-clean, debt only — no contract or spec
violation. Verified intact: C18 wire shape (trade_rs is #[serde(skip)] +
excluded from the hand-written PartialEq; runs.jsonl/families.jsonl bytes
and digests unmoved; mc_r_bootstrap is a printed line, never a record),
C1 determinism (seeded r_bootstrap + disjoint walkforward windows, both
pinned by byte-identical-rerun e2e tests), C7 frictionless Stage-1
(round_trip_cost stays 0.0), C8/C12 streaming reduction (IS sweep folds
O(trades)/member, OOS run non-reduce). The verbatim summarize_r /
r_metrics_from_rs float duplication is guarded by the cross-reducer
equality test — sound.
Tidy applied this close:
- doc-link drift: the new E[R] notation in r_bootstrap / RBootstrap /
run_mc_r_bootstrap doc-comments was parsed by rustdoc as an intra-doc
link `[R]` (4 warnings). Wrapped in backticks; doc build now clean.
- coverage micro-gap [low, architect]: added a tripwire asserting a
populated trade_rs is absent from the serialized JSON (the serde(skip)
C18-preservation property had no direct test — only Vec::new() was
serialized before).
Carry-on (benign debt, not fixed): the mc usage literal carries a `usage:`
prefix the sibling sweep/walkforward usages omit — required because the
new `["mc", rest @ ..]` arm now handles the `--real` rejection and the
preserved golden asserts stderr.contains("usage"); churning the golden to
drop the prefix is not worth it.
Removed the cycle's ephemeral spec + plans (docs/specs/0075,
docs/plans/0075, docs/plans/0076) per the lifecycle rule.
Verified: cargo test --workspace 610 passed / 0 failed, clippy -D warnings
clean, cargo doc --no-deps clean.
closes #139
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2e77ab1dda |
feat(0075): Monte-Carlo R-bootstrap for OOS validation (iter 2)
Add `aura mc --strategy stage1-r [--real <SYM>]`: run the stage1-r
walk-forward, pool its OOS per-trade R series, and report a moving-block
bootstrap E[R] distribution / CI (one `mc_r_bootstrap` line with an `e_r`
quantile block + P(E[R]<=0)). Completes spec 0075's Monte-Carlo half on top
of iter 1's walk-forward R-reporting.
Engine: `r_bootstrap(rs, n_resamples, block_len, seed) -> RBootstrap` — a
deterministic moving-block bootstrap (non-circular, final block truncated;
block_len=1 = i.i.d. trade-shuffle; clamped to [1,n]; empty -> all-zero),
reusing the existing MetricStats/quantile and SplitMix64.
CLI: parse_mc_args/McArgs split — bare/`--name`/`--trace` route to the
unchanged synthetic seed-resweep `run_mc` (byte-for-byte preserved); the R
path accepts ONLY `--strategy stage1-r`, so a bare `--real` stays a usage
error (mc_rejects_real_flag_with_usage_exit_2 preserved, doc-comment
refreshed). run_mc_r_bootstrap reuses walkforward_family + RMetrics.trade_rs.
Corrective fixes over the plan snippets, both verified: the mc usage string
carries a `usage:` token (the new `["mc", rest @ ..]` arm now handles the
`--real` rejection, and the preserved golden asserts `stderr.contains
("usage")`); `#[allow(clippy::large_enum_variant)]` on McArgs keeps the
unboxed Stage1RGrid field layout.
Scope: single `--real <SYM>` per invocation; cross-symbol pooling is a
deferred follow-on (needs a multi-symbol grammar). Verified: cargo build
clean, full `cargo test --workspace` green (609 passed), clippy -D warnings
clean; bare `aura mc`, SMA walkforward, stage1-r single-run, and C18
round-trip goldens all preserved.
refs #139
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f286bb85f7 |
feat(0075): walk-forward strategy-selectable + R-reporting (iter 1)
Make `aura walkforward --strategy stage1-r [--real <SYM>]` roll IS->OOS windows, sweep the stage1-r grid in-sample, pick the winner by an R metric (sqn_normalized), run it out-of-sample, and report per-window + pooled OOS R-metrics. The bare SMA walkforward path is byte-identical (its dispatch arm is verbatim today's body; the pooled `oos_r` block is emitted only when a window carries an `r` block). Engine: - RMetrics gains an in-memory `trade_rs: Vec<f64>` (realised R per closed trade), excluded from serde (`#[serde(skip)]`) and from a hand-written PartialEq, so the C18 wire shape and every existing equality assertion / round-trip stay unchanged. summarize_r now retains the per-trade R vector it used to drop. - New `r_metrics_from_rs(&[f64])` reduces a flat (pooled across-window) R series to RMetrics. Its R-distribution arithmetic is copied verbatim from summarize_r (the byte-pinned floats must not be algebraically refactored); the two copies are guarded in lockstep by a cross-reducer equality test. net_expectancy_r = expectancy_r (exact at the Stage-1 cost=0 invariant); conviction_terciles_r = [0,0,0] (per-trade conviction is not pooled). CLI: - walkforward gains --strategy + the four stage1-r grid flags (reusing parse_csv_list / Stage1RGrid); walkforward_family is strategy-dispatched. - Windowed stage1-r helpers: stage1_r_sweep_over (reduce-mode folded IS sweep, O(trades)/member) and run_oos_r (non-reduce OOS run, for the stitched pip-equity curve), plus stage1_r_space. Frictionless Stage-1 R (costs are Stage-2). Verified: cargo build clean, full `cargo test --workspace` green (SMA walkforward, synthetic mc, stage1_r_single_run_output_golden, and the C18 round-trips all preserved), clippy -D warnings clean. Monte-Carlo R-bootstrap is iter 2. refs #139 |
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7e4b91ab5f |
feat(0074): source real-path pip from the geometry sidecar; drop the authored floor
The data-server now ships per-symbol geometry sidecars, so aura no longer hard-codes instrument geometry. A consumption grep showed production reads exactly one `InstrumentSpec` field — `pip_size` — at the real-data path; the other eight (incl. `instrument_id`) were constructed but never read. - aura-cli resolves the real-path pip from the recorded sidecar (`instrument_geometry` -> `InstrumentGeometry.pip_size`), refusing (exit 2) on absent geometry. The authored table no longer gates: any symbol with a sidecar + bars now runs (new test: USDJPY, never vetted, resolves its JPY pip 0.01 from the sidecar). - Removed the redundant authored floor: `InstrumentSpec`, `instrument_spec`, `VETTED_SYMBOLS`, and the table-only tests. The `InstrumentGeometry` seam (the surviving pip source) and its nameability guard are kept. - `instrument_id` (the "find out"): no production consumer. The position-event table's `instrument_id` is a decoupled caller parameter; the engine never imports an instrument spec. Dropped with the struct. - The example `pip_size_of` is re-sourced to the sidecar; the pure-structural blueprint tests use a literal pip to stay archive-independent. Speculative deploy-grade fields and the #124 override/floor tiers are deferred to the Stage-2 broker that will consume them, read from the sidecar geometry then. Ledger (C8/C15/#22/#106) updated; #124 collapses to "recorded sidecar geometry -> refuse" in the meantime. Verified: cargo test --workspace (all green), clippy -D warnings clean, cargo doc clean, with the local archive present so the sidecar paths run. refs #124 |
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dda20abc28 |
audit(0073): cycle close — lift tier-2 geometry to ledger, finish VETTED_SYMBOLS, drop ephemera
Cycle-close audit: drift-clean on all load-bearing invariants (C7/C8/C15 hold; geometry stays non-scalar metadata, the Source seam still carries only (Timestamp, Scalar); scope boundary held — no resolver, quote_currency still &'static str, both #124's). Tidy: completed the VETTED_SYMBOLS consolidation the feat commit over-claimed — migrated the two remaining inline vetted-symbol arrays in the crate-internal unit tests (instrument_spec_pip_value_matches_contract_times_pip, instrument_spec_ids_are_distinct) to the const, so #140 now extends one list. Ledger: lifted this cycle's durable rationale into the C15 realization note (docs/design/INDEX.md) — the floor now carries tick_size/digits, and the recorded-metadata tier-2 source (instrument_geometry over symbol_meta -> neutral InstrumentGeometry, cross-checked against the authored floor) now exists at the ingestion edge; the tier-composing resolver remains #124. Drop the ephemeral cycle spec + plan (docs/specs, docs/plans) per the lifecycle convention; durable rationale now in the ledger + the #143 thread. refs #143 |
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5b7cd5eb2d |
feat(0073): consume DataServer geometry — cross-check vetted floor + tick_size/digits
Make data-server's neutral InstrumentGeometry a first-class, broker-agnostic input at the aura-ingest edge: re-export InstrumentGeometry + a thin instrument_geometry(server, symbol) accessor over symbol_meta (the recorded dataset-metadata tier 2 of #124's hierarchy; the tier-composing resolver stays #124). Add the two deferred deploy-grade InstrumentSpec fields tick_size + digits (additive, struct stays Copy; C15), authored for the 5 vetted symbols from the verified sidecars. A new real-data cross-check asserts the authored floor agrees with provider geometry (pip_size, contract_size==lot_size, the C10 pip_value invariant, tick_size, digits, quote_currency), iterating the vetted set so #140's additions are covered for free; skip-if-archive-absent. Scope (derived, recorded on #143): no runtime resolver and no quote_currency type change — both remain #124's. 'quote_currency beyond FX' is satisfied at the geometry tier (InstrumentGeometry.quote: String), not by widening the &'static str floor. Beyond the plan (implementer additions, reviewed and accepted): hoisted the vetted-symbol list to one pub const VETTED_SYMBOLS, collapsing the three drift-prone copies plan-recon flagged (#140 now extends one constant); a tick_size == 10^(-digits) consistency guard (verified to hold across all 30 provider sidecars, so it will not false-trip on #140); a re-export-nameable seam test guarding the InstrumentGeometry re-export from silent removal. Verification: cargo test --workspace all green; cargo clippy --workspace --all-targets -D warnings clean. The cross-check ran against the live Pepperstone archive (not skipped) — all 5 vetted sidecars match the authored table. refs #143 |
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216cc8c417 |
feat(0072): stage1 mean-reversion candidate — EWMA Bollinger fade (#137)
Third price-only Stage-1 R strategy: aura sweep --strategy stage1-meanrev fades deviation from a rolling mean (price above mean+k*sigma -> short, below -> long, latched +-1), feeding the unchanged bias -> RiskExecutor (vol-stop = R) -> flat-1R seam. sigma = Sqrt(Ema((price-Ema(price))^2)) reuses the vol_stop deviation- squared-then-smoothed shape, so the band is built from existing aura-std nodes (Ema/Sub/Mul/Sqrt/LinComb/Add/Gt/Latch) -> ZERO new nodes. No Delay: the current bar legitimately belongs to its own band (causal, C2). Swept knobs: --window (one Ema length ganged across mean+variance) and --band-k; downstream vol-stop R knobs unchanged. An in-file test reads the SHIPPED graph's exposure tap to pin the fade polarity (short above the band, long below) — a latch-set/reset copy-paste from breakout would invert the signal yet leave the fold-vs-raw and window-grid CLI tests green. All 588 workspace tests pass (existing R/sma/momentum/breakout goldens byte-identical); clippy clean. refs #137 |
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f0949578a3 |
test(0072): mean-reversion signal-composition e2e (characterization pin)
Hand-wired EWMA Bollinger-band fade subgraph (price -> Ema mean + dev -> Mul square -> Ema var -> Sqrt sigma -> LinComb k-band -> Add/Sub bands -> Gt/Gt -> Latch/Latch -> Sub bias). Pins the fade direction (above mean+k*sigma -> short, below -> long), the latch hold, and flat-series -> no fade. Green on arrival (composes only existing aura-std nodes; no new node), so it is a characterization pin rather than a RED->GREEN unit. refs #137 |
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d845c509d3 |
feat(0071): stage1 breakout candidate — Donchian channel signal (#137)
A second Stage-1 R strategy candidate for the edge-research milestone, a structurally
different trend mechanic than the refuted SMA-momentum: a Donchian channel breakout.
Swaps only the signal leg of the stage1-r graph —
close -> Delay(1) -> {RollingMax,RollingMin}(N) -> {Gt,Gt} -> {Latch,Latch} ->
Sub = bias in {-1,0,+1} — keeping the vol-stop R definition unchanged, so it screens
under the identical R yardstick (clean A/B vs momentum).
- aura-std: new RollingMax / RollingMin nodes (sliding-window extremum via a monotonic
deque, O(1) amortized; mirror the Sma/Delay ring-buffer shape, warm-up skip-emit,
C7/C8). The +/-1 direction latch composes from two existing Latch nodes + Sub (no new
latch type).
- aura-cli: stage1_breakout_graph + a manual-grid stage1_breakout_sweep_family
(fully-bound graph per point, sidestepping parameter-ganging since one channel length
drives both rolling nodes); --strategy stage1-breakout + --channel grid flag; usage
strings updated.
- Causality (C2): one Delay(1) on close feeds both rolling nodes, so each channel covers
close[t-N..t-1] — the current bar is excluded. Pinned by a contrastive e2e test (a
strictly rising series up-breaks every warmed bar; a window including the current bar
never could) plus a +/-1-latch-hold test.
All existing goldens byte-identical (stage1-r/sma/momentum untouched); folded-no-trace
== raw-trace metrics; workspace tests + clippy green.
refs #137
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eb8653488f |
feat(0070): wire folding sink reductions into the stage1-r sweep (closes #138)
Completes the M3 fix for BLOCKER #138. The no-trace stage1-r sweep now folds its reductions online: `stage1_r_graph(reduce=true)` wires `SeriesReducer` (equity, exposure -> one summary row each) and `GatedRecorder` (gated on `closed_this_cycle` -> only the trade rows + the final row), and the folded consumer rebuilds `RunMetrics` from those compact outputs. Per-member memory drops from O(cycles) (~2 GiB over ~5.5M one-minute bars) to O(trades), so full-history multi-member sweeps no longer exhaust RAM+swap. The `r_equity` tap is omitted when reducing (it is consumed only by the `--trace` persistence path). `reduce = trace.is_none()`: the `--trace` path and the single `run_stage1_r` keep the raw recorders + `summarize`/`summarize_r` over full rows — the byte-for-byte reference. A new CLI-seam test (`sweep_strategy_stage1_r_folded_no_trace_metrics_equal_raw_trace_metrics`) proves the folded no-trace sweep reports byte-identical per-member metrics to the raw `--trace` path. Verified: cargo test --workspace green (42 suites); cargo clippy --workspace --all-targets -- -D warnings clean; stage1-r goldens byte-identical. closes #138 |
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cfe7bad0ff |
feat(0070): streaming sink reductions — finalize hook + folding sinks (#138)
M3 machinery for BLOCKER #138: sink reductions can now fold online instead of buffering every per-cycle row to an unbounded channel. - aura-core: additive `Node::finalize` end-of-stream hook (default no-op) + `SeriesFold` online accumulator (last / max_drawdown / sign_flips). - aura-engine: `Harness::run` calls `finalize` once per node in topo order after the source loop; `summarize` refactored to drive `SeriesFold` (byte-identical), the now-dead `sign0` removed. - aura-std: `GatedRecorder` (emits only gated rows + the final row on finalize) and `SeriesReducer` (folds one f64 series, emits one summary row on finalize), both emitting the `Recorder` channel type — no aura-engine dependency. - Integration tests: folded reductions are byte-for-byte equal to the raw-recorder path; the R-reduction's peak memory is O(trades), independent of cycle count. Ratified two off-plan fixes the implementer made in the tests (both plan defects, not code defects): the GatedRecorder correctly flushes the final non-gated row on finalize, so the retained count is K_TRADES + 1; and the heterogeneous PM record needs kind-correct zero scalars (a blanket f64 zero is rejected by the kind-typed AnyColumn::push). Wiring these reducers into the stage1-r sweep (the actual O(cycles)->O(trades) win) follows next. refs #138 |
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54a5d68f51 |
feat(stage1-r-sweep): grid signal+stop timescales via CSV flags
Enabling change for the strategy-research run: `aura sweep --strategy
stage1-r` gains four optional comma-separated grid flags `--fast`,
`--slow`, `--stop-length`, `--stop-k` that become the sweep's grid axes
over the four stage1_r_graph knobs (sma fast/slow length, vol-stop
length, vol-stop k). The family is their cartesian product. This lets a
slow time-series-momentum edge be screened across timeframes — Phase 0
showed fast (2/4-bar) signals are chop-dominated noise on M1, so any
momentum edge lives at slower timescales, and the stop timescale must be
tunable alongside the signal.
Mechanism:
- aura-composites: factor vol_stop and risk_executor into a single
shared topology body each (vol_stop_inner / risk_executor_inner), with
the vol-stop knobs either BOUND (the original constant-bind form,
byte-identical) or left OPEN and named `stop_length` / `stop_k` so
their slots surface in param_space as sweepable axes. New
risk_executor_vol_open(risk_budget) is the gridding sibling of
risk_executor(StopRule::Vol{..}, ..). One body, two arms → topology
cannot drift; a member at any (length, k) matches the bound form
byte-for-byte.
- aura-cli: parse_csv_list (generic FromStr, rejects non-numeric/empty),
pure unit-testable parse_sweep_args, all four knobs gridded via
.axis(); absent flags fall back to today's exact defaults (fast {2,3},
slow {6,12}, stop_length {3}, stop_k {2.0}).
Default behaviour byte-identical: all existing goldens/sweep tests stay
green (541 passed, 0 failed; clippy -D warnings clean). Frictionless
Stage-1 R unchanged.
refs #137
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e94b79eb98 |
test(stage1-r-sweep): RED — grid all four knobs from CSV flags
Executable-spec for the strategy-research enabling change: expose the
stage1-r sweep's hardcoded timescales as CLI grids so a slow
time-series-momentum edge can be screened across timeframes.
- sweep_strategy_stage1_r_grids_all_four_knobs_from_csv_flags (RED):
`aura sweep --strategy stage1-r --fast 240 --slow 960
--stop-length 240 --stop-k 2.0` must yield a 1-member family whose
member params are fast=240, slow=960, stop_length=240, stop_k=2.0.
Fails today: the four flags are rejected (exit 2), gridding absent.
- sweep_strategy_stage1_r_no_flags_keeps_the_default_grid (guard,
green today): a no-flags sweep still yields the {2,3}×{6,12} 4-member
family with the stop pinned at 3 / 2.0, so existing goldens stay
byte-green once the feature lands.
GREEN side follows via implement mini-mode.
refs #137
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Brummel
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7aaa3e5d5c |
feat(0068): position-event derive — book first-difference table (#115)
Add `derive_position_events(record, instrument_id) -> Vec<PositionEvent>` to aura-engine (report.rs), the broker-independent Stage-2 audit layer of C10: the first difference of the executed book derived from a PositionManagement dense record. A pure post-run reduction, sibling of summarize_r — same positional, type-erased Scalar read of the 14-column record, no in-graph node (the hot path stays domain-free, C14). A reversal emits Close then the opposite open at one event_ts (close first); a window-end open position emits its open with no synthetic Close (the table records actual executed events — unlike summarize_r, which force-closes for the R metric). instrument_id is a caller-supplied scalar (aura-engine depends only on aura-core; it cannot import InstrumentSpec). Two r_col indices added (DIRECTION=4, SIZE=10), the lockstep guard in stage1_r_e2e.rs extended to name-pin `direction`, and an agreement E2E folds both summarize_r and derive_position_events over one recorded ledger (one Close per closed round-trip; every open closed-or-open-at-end; referential integrity). Scope: the derive only. Fixed-fractional / currency / equity-feedback sizing is #116 (it owns the equity->Sizer z^-1 register per C10) — deferring it here avoids a circular dependency. Supersedes the rolled-back 0064 exposure-integral derive (abandoned per #117): this derives from the executed book, never exposure deltas. Verified by the orchestrator: cargo build + clippy --all-targets -D warnings clean; full workspace suite 0 failed; aura-engine lib 214 pass (incl. the 6 derive_* unit tests); stage1_r_e2e 11 pass (incl. the new E2E + extended guard). Fork decisions recorded on #115. closes #115 |
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89d967a940 |
feat(0067): SQN100 metric + stage1-r sweep --trace
Two additive follow-ups to the cycle-0065/0066 R-sweep surface. Part A (#130) — n-normalized SQN (SQN100): RMetrics gains sqn_normalized = (mean_R/stdev_R)·√(min(n,100)), a turnover-robust ranking objective comparable across sweep members with different trade counts. The raw sqn is kept byte-identical (computed sqrt(n)*mean/sd, NOT via a factored shared ratio, so the existing metric does not drift even by 1 ULP). The field carries #[serde(default)] for C18 back-compat (a pre-0067 r: block deserialises with sqn_normalized = 0.0). The registry learns Metric::SqnNormalized (opt-in; the default ranker and raw sqn are unchanged), so `runs family rank sqn_normalized` works. The 0066 single-run golden is re-baselined (the r: block gains the field; for n=3 ≤ 100 the cap is inactive so sqn_normalized == sqn). Part B (#135) — wire --trace for the stage1-r sweep: stage1_r_sweep_family now honours --trace, persisting each member's equity/exposure/r_equity under runs/traces/<n>/<member_key>/ via the existing persist_traces_r (mirroring momentum_sweep_family); the interim run_sweep refusal guard is dropped. --trace is now symmetric across all three sweep strategies and a swept member is chartable (chart <n>/<member> --tap r_equity). Tests: SQN100 cap / below-cap / empty + serde back-compat (engine); rank-by sqn_normalized + unknown-metric message (registry); an E2E guard that both SQN values fold from recorded records and agree below the cap (the cross-crate column seam); inverted stage1-r --trace persistence + a CLI rank-by- sqn_normalized integration. Full workspace suite green (527 passed, 0 failed); clippy --all-targets -D warnings clean. Derived fork decisions logged on #130 and #135 (cap = fixed const 100; opt-in metric, default ranker unchanged; serde(default); Part B mirrors momentum_sweep_family + reuses persist_traces_r). closes #130 closes #135 |
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Brummel
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499121e5c8 |
fix(stage1-r): record fixed R-defining params in swept member manifests
Cycle-0066 close audit found a C18/C10 gap: a stage1-r sweep member's manifest recorded only the floated knobs (fast.length, slow.length) via zip_params, omitting the fixed R-defining params (stop_length, stop_k, bias_scale) that the single run records. A family member must be reproducible from its own manifest (C18), and the constant stop -- which defines 1R -- must be visible so cross-member SQN comparability (C10) is auditable from the family record, not just the swept fast/slow knobs. The sweep run_one now appends the three fixed params, matching the single run; the integration test pins their presence per member. Verified: full workspace suite 521 passed / 0 failed; clippy -D warnings clean. refs #133 |
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Brummel
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b8ed6f4858 |
feat(stage1-r): R sweep families + rank-by-SQN
Realizes #133 (cycle 0066): SQN becomes the single-number objective for ranking a Stage-1 sweep family by R signal quality. aura-registry — metric_cmp learns three higher-is-better R metrics (sqn, expectancy_r, net_expectancy_r) that reach into RunReport.metrics.r; a member with r:None sorts to the worst position (treated as -inf via total_cmp), so a pip-only family ranked by an R metric degrades to ordinal order without error. The UnknownMetric "known:" list is extended. No persistence change — the family store already carries the r block. aura-cli — `aura sweep --strategy stage1-r` sweeps the stage1-r harness over a fast×slow SIGNAL grid (4 members), each folding the dense R-record via summarize_r so its RunReport carries r:Some(..). The grid varies only the signal: the stop and sizing are held fixed because risk_budget is R-invariant (#128) and bias.scale is sign-only under flat-1R (both degenerate axes for the ranked metric), and because the stop defines the R unit — varying it would break cross-member SQN comparability (the motivation for the deferred SQN100, #130). The stage1-r topology is extracted into a shared stage1_r_graph(.., fast_len, slow_len) helper: the single run binds Some(2)/Some(4) (output byte-unchanged), only the sweep floats the knobs. Per-member --trace tracing is deferred (a follow-up): rather than accept the flag and silently write nothing (a quality-review catch), `aura sweep --strategy stage1-r --trace` is refused explicitly (exit 2); --name records the rankable family. Verification — a golden characterization test (stage1_r_single_run_output_golden, added against HEAD before the refactor) verifies the helper extraction is byte-preserving; full workspace suite 521 passed / 0 failed; clippy --all-targets -D warnings clean. The grounding-check that signed the spec first BLOCKed a false "already byte-pinned" claim, which is why the golden is added rather than assumed. All load-bearing forks (signal-only grid, None-sorts-worst, --trace refusal, helper extraction, golden shape) are recorded on the #133 decision log. closes #133 refs #117 #130 |
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Brummel
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3d3baaeb24 |
refactor(stage1-r): dedicated broker label + intern col-port names (no per-build leak)
Two cosmetic smells the cycle-0065 close audit flagged (#132), neither a correctness issue: 1. Broker label. run_stage1_r reused sim_optimal_manifest, recording broker: "sim-optimal(pip_size=...)" for a harness that also runs a RiskExecutor branch. It now overrides the label to "sim-optimal+risk-executor(pip_size=...)" so the dual-tap harness reads honestly. A new assertion in run_stage1_r_synthetic_folds_an_r_block pins it. 2. col[i] leak. stage1_r_blueprint did format!("col[{i}]").leak() per PositionManagement field (14 strings) to satisfy the &'static str port-name API -- harmless for a CLI one-shot, but a leak-per-build smell once the harness is reused in a sweep / Monte-Carlo loop (the #133 direction). Replaced with a process-wide LazyLock<Vec<String>> (COL_PORTS), interned once: any number of builds now reuse the same 14 strings. (#132 deferred this to #133, but the intern is robust to any reuse pattern, so it lands here cleanly.) Behaviour-preserving (the port names and the recorded R-record are unchanged); the broker label is the only observable change, and it is pinned. Verified: clippy --all-targets -D warnings clean; full suite 514 passed / 0 failed; live `aura run --harness stage1-r` reports "broker":"sim-optimal+risk-executor(pip_size=0.0001)". closes #132 |
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Brummel
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68605b7d88 |
refactor(stage1-r): rename the strategy-output param namespace exposure -> bias
Complete the deferred rename tail from cycle 0065's #126 (which renamed only the typed metric, keeping the param namespace uniformly "exposure" so the single-run rename would not smuggle in a ~30-site sweep-pinned change). Now renamed together as one consistent unit, all driven by the Bias node's instance name: - Bias::builder().named("exposure") -> .named("bias") (the harness builders + the engine fixtures in test_fixtures.rs / blueprint.rs); - the derived knob path exposure.scale -> bias.scale (Composite::param_space derives the knob from the node name) -- the sweep .axis/.range bindings and .with() points (blueprint.rs, main.rs), the walkforward ParamSpecs (walkforward.rs), the member_key dir names, and the JSON byte-pins in cli_run.rs / report.rs / main.rs tests; - the exposure_scale manifest param label -> bias_scale (the single-run manifest builders + the streaming_seam / real_bars fixtures). The rename is surgical: the three targets (named("exposure"), exposure.scale, exposure_scale) are syntactically distinct from the deliberately-kept "exposure" forms, which are untouched -- SimBroker's pre-reframe exposure input slot + prev_exposure + the exposure-integral; the LongOnly / gate / latch ports named "exposure"; and the on-disk "exposure" tap label (the recorded bias series that feeds `chart --tap exposure`, decoupled from the node name via ColumnarTrace::from_rows("exposure", ...)). No on-disk back-compat break: the knob path is a runtime param address, and recorded params in old runs.jsonl / families.jsonl are inert data strings (a pre-existing recorded "exposure.scale" still loads, it is just data). INDEX.md cycle-0065 realization note amended: the param namespace is recorded as the now-completed tail; the SimBroker slot + the on-disk tap label remain the deliberate permanent keeps (#117), and exposure_sign_flips stays a serde alias. Verified: cargo build --workspace --all-targets clean; clippy --all-targets -D warnings clean; full suite 514 passed / 0 failed (source + byte-pins renamed together); live `aura run` emits "bias_scale", `aura sweep` emits "bias.scale". closes #134 refs #126 #117 |
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Brummel
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5c6de45b6e |
fix(cli): list valid taps on bad --tap, make --help uniform across subcommands
Two CLI-UX defects the Stage-1 R fieldtest surfaced (#131): 1. Tap discovery. `aura chart <name> --tap <bad>` rejected an unknown tap but the error omitted the valid names. filter_to_tap now enumerates the run's available taps in the message ("... (available: equity, exposure)"), so the user can correct a typo instead of guessing -- refuse, but help. 2. Uniform --help. `aura chart --help` errored with "unexpected chart argument '--help'" (exit 2) and `aura run --help` leaked usage to stderr via the error path, while bare `aura --help` printed to stdout (exit 0). main() now intercepts `--help`/`-h` anywhere in the invocation, prints usage to stdout, and exits 0 -- uniform for every subcommand. The now-dead bare-flag match arm is removed (the early intercept covers it). RED-first: the existing chart_tap_nonexistent test gains an available-taps assertion (was: message had no names), and a new per_subcommand_help test pins `aura <sub> --help` -> stdout usage + exit 0 for run/chart/sweep/walkforward/ mc/graph/runs (was: chart --help exited 2). Unknown-subcommand stays exit 2. Verified: clippy --all-targets -D warnings clean; full suite 514 passed / 0 failed (one new test); live `aura chart --help` prints usage to stdout, exit 0. closes #131 |
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Brummel
|
0288878ad2 |
refactor(cli): remove the redundant --macd flag, superseded by --harness macd
The --macd flag was a back-compat alias for --harness macd, added in cycle 0065 iter-3 while the uniform `--harness <name>` selector was introduced. With that selector in place the alias is pure redundancy, so drop it: --harness <name> is now the sole way to pick a built-in harness. Removed from parse_run_args: the macd_flag accumulator, its match arm, and the (harness, macd_flag) conflict resolution -- harness selection collapses to `harness.unwrap_or(HarnessKind::Sma)`. Both usage strings drop `[--macd]`; the parse_run_args doc and the parse_real_args note no longer cite the flag. The MACD harness itself is untouched: run_macd, the macd() composite, and `--harness macd` all stay. Tests updated -- the alias test becomes a positive `--harness macd -> Macd` test plus an assertion that `--macd` is now rejected as an unknown token; the "repeated --macd" edge is dropped (the flag is gone, and repeated-flag strictness is still covered by --harness/--trace). INDEX.md: the two realization notes that documented `--macd` as a live run form updated (`aura run [--real ...]`; `run --harness macd`). The historical graph-viewer retirement note and the frozen fieldtest capture are left as the record of their time. Verified: clippy --all-targets -D warnings clean; full suite 513 passed / 0 failed (assertions rewritten in place, no test count change); live smoke -- `aura run --harness macd` emits a RunReport, `aura run --macd` exits with the updated usage. |
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Brummel
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1a6eafa056 |
refactor(composites): extract Stage-1 composite-builders into their own crate
Dissolve the aura-engine -> aura-std dependency by moving the vol_stop /
risk_executor composite-builders out of aura-engine into a new aura-composites
crate. This restores the engine's domain-free layering, which the
composites-in-engine placement (cycle 0065) had inverted.
Why: the engine routes type-erased Scalar records and never names a concrete
node -- summarize_r reads the PositionManagement record positionally, by column
index, without linking aura-std (which is exactly why aura-std was a dev-only
dependency before 0065). Parking the node-naming composite-builders inside
aura-engine forced the engine's production code to reference the node library
for the first time (aura-engine -> aura-std), an upside-down layering: the
engine is the foundation the node library builds upon, not the reverse.
The clean home is a dedicated crate that depends on BOTH the engine's
GraphBuilder and the std nodes, leaving each lower crate untouched:
aura-composites -> { aura-engine, aura-std } -> aura-core (acyclic)
aura-engine -> aura-core only (domain-free again)
aura-std -> aura-core only (lean node library)
aura-std reverts to a [dev-dependency] of aura-engine (the engine's own E2E
tests -- stage1_r_e2e, random_sweep_e2e, ger40_breakout -- still drive real
std nodes through a bootstrapped Harness; that test-only edge creates no cycle).
Moved with history (git mv):
- crates/aura-engine/src/composites.rs -> crates/aura-composites/src/lib.rs
- crates/aura-engine/tests/risk_executor.rs -> crates/aura-composites/tests/
- crates/aura-engine/tests/vol_stop_composite.rs -> crates/aura-composites/tests/
Consumers rewired: aura-cli imports risk_executor / StopRule from aura_composites;
the moved tests import the builders from the crate under test. The intra-doc link
to RollMode and the module rationale doc are updated for the new home.
Behaviour-preserving: workspace build clean; clippy --all-targets -D warnings
clean; full suite 513 passed / 0 failed, identical to baseline (the two moved
test files run unchanged under aura-composites); cargo doc --no-deps clean (no
broken intra-doc links).
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Brummel
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c6c1d3bb10 |
feat(stage1-r): rename the exposure_sign_flips metric to bias_sign_flips (#126)
Complete the typed-field half of the exposure->bias rename - the one the cycle-0065
close audit flagged as aging worst (a serde-stable on-disk key).
- RunMetrics.exposure_sign_flips -> bias_sign_flips with
#[serde(alias = "exposure_sign_flips")], so legacy runs.jsonl still deserialises
(pinned by the legacy-read tests, which keep the old key); new output serialises
bias_sign_flips (the byte-pin tests updated to the new key).
- The registry rank metric: Metric::ExposureSignFlips -> BiasSignFlips, the rank
string accepts BOTH "bias_sign_flips" and "exposure_sign_flips" (CLI back-compat),
the error/listing updated; the rank tests exercise both names.
- The MC aggregate field renamed too (McAggregate is hand-rendered to JSON, not
serde-derived - no alias needed).
Scope held to the typed metric. The strategy-output PARAM NAMESPACE - the
.named("exposure") Bias instance, its exposure.scale knob path (Composite::param_space
derives the knob from the node name), and the exposure_scale manifest label - is a
coherent ~30-site, sweep-pinned surface (the implement loop correctly flagged renaming
the knob as an unscoped expansion touching walkforward + the cli_run byte-pins). Kept
uniformly as "exposure" and deferred to a follow-on so the cluster renames as one
consistent unit. SimBroker's pre-reframe exposure concept and the on-disk "exposure"
tap label stay by the #117 fork decision.
cargo test --workspace green; clippy --workspace --all-targets -D warnings clean; a
live `aura run --harness stage1-r` emits "bias_sign_flips".
closes #126
refs #117
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Brummel
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4e6b1d9b53 |
audit(stage1-r): cycle-0065 close — ledger records the Stage-1 R signal-quality layer
Architect drift review of cycle 0065 (Stage-1 R: the exposure->bias rename, the
stop-rule + vol_stop, PositionManagement's dense R-record, the Sizer, summarize_r,
the public RiskExecutor, and the CLI surface): code is drift-clean - C10 fidelity
holds (bias->stop->Sizer->PositionManagement, flat-1R feed-forward, R stop-defined
and size-invariant, guarded by the cross-crate layout lockstep test), C9/C23
acyclic, the --harness selector is a compile-time match (no runtime registry/DSL,
C17). The milestone fieldtest is green after the tiny-pip tolerance fix (
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Brummel
|
2ee0d74a8c |
fix(stage1-r): scale-robust tolerance for the R-record redundancy guard
The PositionManagement redundancy `debug_assert` (position_management.rs:229) re-derives realized_r from the dense-record columns as dir*(exit-entry)/|entry-stop| and compared it to the stored value with an ABSOLUTE < 1e-9 tolerance. At tiny-pip price scale (EURUSD/GBPUSD entry ~1.1, vol-stop distance ~1e-6) the denominator reconstruction `entry - stop` is a catastrophic-cancellation subtraction that loses ~6 significant digits; with a deep gap-through-stop realising a large |R|, the recomputed R drifts from the (correct) stored realized_r by more than 1e-9 - so a debug build PANICS (exit 101) while a release build (assert compiled out) returns the correct R. GER40 (large pip) never trips it. Found by the Stage-1 R milestone fieldtest: `aura run --harness stage1-r --real EURUSD` crashed the headline "score real FX in R" use case on the default (debug) build, and the debug/release disagreement made the R numbers' validity unknowable from the public surface. Root cause (via debug): the stored realized_r uses the cancellation-free FROZEN latched_dist and is exact - only the guard's tolerance was wrong for small price scales. Fix: a scale-robust relative tolerance `< 1e-9 * realized.abs().max(1.0)` (floored at the historical 1e-9 for |R| <= 1, so no change for normal-scale runs). RED-first: the hermetic synthetic-tiny-pip test `tiny_pip_gap_stop_does_not_trip_the_redundancy_guard` reproduces the panic and is pinned here. Verified end-to-end: `aura run --harness stage1-r --real EURUSD` now returns the R block (exit 0) on a debug build. cargo test --workspace green; clippy --workspace --all-targets -D warnings clean. refs #117 |
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Brummel
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a6fc48daa7 |
feat(stage1-r): operate the R layer from the CLI (iter 3)
`aura run --harness stage1-r [--real <SYM>] [--trace <n>]` now runs a Stage-1 R
backtest and prints its signal-quality metrics (the R block) in the RunReport
JSON - one shell call, the research loop's primary verb, ergonomic for Claude
to drive.
What shipped:
- vol_stop + risk_executor promoted from test fixtures to public aura-engine
composite-builders, with a StopRule{Fixed,Vol} axis (C11). aura-std becomes a
normal dependency of aura-engine (the composites are the engine's convenience
layer over the standard nodes - the sibling tier of summarize_r; the graph
stays acyclic: aura-engine -> aura-std -> aura-core). Both fixtures call the
public fns; a Vol-backed RED test pins the new match arm.
- stage1_r_blueprint fans one bias into BOTH a SimBroker (pip) and the
RiskExecutor (R), so one report carries both yardsticks honestly. run_stage1_r
folds summarize (pip) + summarize_r (R, round_trip_cost 0.0 - Stage-1 is
frictionless signal quality) and sets RunMetrics.r = Some(..). An r_equity tap
(cum_realized_r + unrealized_r via LinComb) persists through a separate 3-tap
persist_traces_r and renders via the existing `aura chart --tap r_equity`.
- `aura run --harness <sma|macd|stage1-r>`: a parse_run_args tokenizer replaces
the five `run` literal-slice arms so --harness/--real/--from/--to/--trace
compose in any order; --macd kept as a back-compat alias; --harness sma the
default. A compile-time match over Rust-authored built-ins - not a runtime node
registry, not a DSL (C9/C17): the CLI runs an authored harness, it does not
wire one.
Back-compat: --harness sma/macd leave RunMetrics.r = None, so skip_serializing_if
keeps pip-only and legacy runs.jsonl JSON byte-unchanged; the plain-run tap list
stays ["equity","exposure"].
Refactor beyond the plan (verified behavior-equivalent): the old standalone
parse_real_args was orphaned by the new tokenizer, so it and its now-redundant
unit test were removed and run's --real parsing inlined into parse_run_args. The
--real strictness (empty-symbol, non-i64 ms, repeated-flag, window-requires-real
-> exit 2) is preserved and now pinned by
parse_run_args_rejects_malformed_real_and_repeated_flags (added to restore the
deleted coverage). All five run_real integration tests stay green.
Verification: cargo build/test --workspace green (every crate, 0 failed); clippy
--workspace --all-targets -D warnings clean. The full diff was adversarially
reviewed (run-arg refactor equivalence against the removed function, harness
wiring, C1/C2/C9/C17, the serde back-compat pin) - verdict SOUND; the one flagged
coverage gap is closed here.
Follow-on (noted, not done): the stage1-r manifest reuses the
"sim-optimal(pip_size=...)" broker label; a dedicated "risk-executor" label would
read more honestly for a dual-tap harness that runs a RiskExecutor branch.
closes #129
refs #117 #128
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Brummel
|
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
|
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
|
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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831092841e |
feat(aura-std): add Mul + Sqrt primitives
The two genuinely-missing arithmetic primitives (Mul = two-stream f64 product, Sqrt = one-input f64 root, negatives clamped to 0). They are the building blocks for the volatility stop as a composition (rolling EWMA stddev), replacing the fused VolStop node. Also corrects plan 0066 Task 3 (the VolStop removal must migrate its stage1_r_e2e.rs caller — a false premise the implementer caught). refs #117 #119 |