# data-server M1 ingestion boundary — Implementation Plan > **Parent spec:** `docs/specs/0011-ingest-data-server-m1.md` > > **For agentic workers:** REQUIRED SUB-SKILL: use the `implement` skill to run > this plan. Steps use `- [ ]` checkboxes for tracking. **Goal:** Ship a new `aura-ingest` crate that transposes data-server's AoS M1 records into SoA columns, normalizes Unix-ms to epoch-ns at the one ingestion boundary, and feeds the engine a real close-price stream for a deterministic backtest. **Architecture:** A new workspace member `aura-ingest` (prod deps `aura-core` + the `data-server` git crate; dev deps `aura-engine` + `aura-std`) holds the pure C3/C7 boundary (`transpose_m1`, `unix_ms_to_epoch_ns`, `M1Columns::close_stream`) plus the thin `data-server` adapter (`load_m1_window`). The boundary is the external-dependency firewall: only this crate links `data-server` (and its transitive `chrono`/`regex`/`zip`), keeping core/std/engine zero-external-dep. **Tech Stack:** Rust 2024; `aura-core` (`Scalar`/`Timestamp`); `data-server` (`M1Parsed`/`DataServer`); `aura-engine` + `aura-std` (sample harness, in the integration test only). --- ## Files this plan creates or modifies - Create: `crates/aura-ingest/Cargo.toml` — new member manifest; deps as above. - Create: `crates/aura-ingest/src/lib.rs` — the C3/C7 boundary + hermetic unit tests. - Create: `crates/aura-ingest/tests/real_bars.rs` — gated real-bars integration test. - Modify: `Cargo.toml:11-16` — add `"crates/aura-ingest"` to `members`. Verified external `data-server` API (from its actual source; used verbatim): - `data_server::DataServer::new(impl AsRef) -> Self` - `DataServer::has_symbol(&self, &str) -> bool` - `DataServer::stream_m1_windowed(self: &Arc, symbol: &str, from_ms: Option, to_ms: Option) -> Option>` - `SymbolChunkIter::::next_chunk(&mut self) -> Option>` - `data_server::DEFAULT_DATA_PATH: &str` (crate root) - `data_server::records::M1Parsed { time_ms: i64, open: f64, high: f64, low: f64, close: f64, spread: f64, volume: i64 }` derives `Copy + Clone` (plain struct, not packed — direct field access is sound). --- ## Task 1: Crate scaffold + workspace member + `unix_ms_to_epoch_ns` Establishes the new member, proves the `data-server` git dependency resolves and the crate compiles, and lands the first boundary function with its test. **Files:** - Modify: `Cargo.toml:11-16` - Create: `crates/aura-ingest/Cargo.toml` - Create: `crates/aura-ingest/src/lib.rs` - [ ] **Step 1: Add the workspace member** In `Cargo.toml`, replace the `members` array (lines 11-16): ```toml members = [ "crates/aura-core", "crates/aura-std", "crates/aura-engine", "crates/aura-cli", "crates/aura-ingest", ] ``` - [ ] **Step 2: Write the crate manifest** Create `crates/aura-ingest/Cargo.toml`: ```toml [package] name = "aura-ingest" edition.workspace = true version.workspace = true license.workspace = true publish.workspace = true [dependencies] aura-core = { path = "../aura-core" } # data-server: aura's first real data source AND its one external dependency # (transitively chrono + regex + zip). Isolated in this crate — the firewall # that keeps aura-core/std/engine zero-external-dep (spec §Architecture). data-server = { git = "http://192.168.178.103:3000/Brummel/data-server.git", branch = "main" } [dev-dependencies] # the integration test bootstraps a sample harness + folds a RunReport aura-engine = { path = "../aura-engine" } aura-std = { path = "../aura-std" } ``` - [ ] **Step 3: Write `lib.rs` module doc + `unix_ms_to_epoch_ns` + its test** Create `crates/aura-ingest/src/lib.rs`: ```rust //! aura's first real data source: the C3/C7 ingestion boundary. //! //! Transposes [`data_server`]'s Array-of-Structs `M1Parsed` records into aura's //! Structure-of-Arrays base columns (C7) and normalizes data-server's //! Unix-millisecond time to aura's canonical epoch-nanosecond [`Timestamp`] at //! this one boundary (C3). A transposed [`M1Columns`] exposes its close column //! as the engine source-stream shape (`Vec<(Timestamp, Scalar)>`) the SMA-cross //! sample strategy consumes. //! //! This crate is the workspace's **external-dependency firewall**: it is the //! only crate that links `data-server` (and its transitive `chrono`/`regex`/ //! `zip`), so `aura-core`/`aura-std`/`aura-engine` stay zero-external-dependency. use aura_core::{Scalar, Timestamp}; use data_server::records::M1Parsed; use data_server::DataServer; use std::sync::Arc; /// Normalize data-server's Unix-millisecond time to aura's canonical epoch-ns /// [`Timestamp`] — the single unit normalization of C3, performed at the one /// ingestion boundary and nowhere else. The `i64` epoch-ns range covers all /// market data through year ~2262, well beyond any real file. pub fn unix_ms_to_epoch_ns(time_ms: i64) -> Timestamp { Timestamp(time_ms * 1_000_000) } #[cfg(test)] mod tests { use super::*; #[test] fn unix_ms_to_epoch_ns_scales_ms_to_ns() { // data-server's own epoch fixture: 2017-03-01 00:00 UTC. assert_eq!( unix_ms_to_epoch_ns(1_488_326_400_000), Timestamp(1_488_326_400_000_000_000) ); // epoch maps to epoch. assert_eq!(unix_ms_to_epoch_ns(0), Timestamp(0)); } } ``` - [ ] **Step 4: Build the crate (proves the git dep resolves) and run the test** Run: `cargo test -p aura-ingest` Expected: PASS — compiles (fetching `data-server` from Gitea on first build, then cached) and `unix_ms_to_epoch_ns_scales_ms_to_ns` is green. (If the Gitea fetch fails, that is an infra/network problem to resolve, not a code failure.) --- ## Task 2: `M1Columns` + `transpose_m1` The pure AoS→SoA transpose, the heart of the C3/C7 boundary, with hermetic tests on hand-built records. **Files:** - Modify: `crates/aura-ingest/src/lib.rs` - [ ] **Step 1: Add `M1Columns` + `with_capacity` + `transpose_m1`** In `crates/aura-ingest/src/lib.rs`, after `unix_ms_to_epoch_ns` (before the `#[cfg(test)]` module), insert: ```rust /// One M1 window transposed Array-of-Structs → Structure-of-Arrays (C7): the /// OHLCV bar as a bundle of base columns, time already normalized to epoch-ns. /// `volume` is the one `i64` column; the price/spread columns are `f64`. All /// columns share an index: `ts[i]` is the timestamp of `close[i]`, etc. #[derive(Clone, Debug, PartialEq)] pub struct M1Columns { pub ts: Vec, pub open: Vec, pub high: Vec, pub low: Vec, pub close: Vec, pub spread: Vec, pub volume: Vec, } impl M1Columns { /// Pre-size all columns for `n` bars. fn with_capacity(n: usize) -> Self { Self { ts: Vec::with_capacity(n), open: Vec::with_capacity(n), high: Vec::with_capacity(n), low: Vec::with_capacity(n), close: Vec::with_capacity(n), spread: Vec::with_capacity(n), volume: Vec::with_capacity(n), } } } /// Transpose data-server's AoS M1 records into aura's SoA columns (C7), /// normalizing time at the boundary (C3). Pure: identical bars yield identical /// columns (C1) — it reads no clock and no external state. pub fn transpose_m1(bars: &[M1Parsed]) -> M1Columns { let mut c = M1Columns::with_capacity(bars.len()); for b in bars { c.ts.push(unix_ms_to_epoch_ns(b.time_ms)); c.open.push(b.open); c.high.push(b.high); c.low.push(b.low); c.close.push(b.close); c.spread.push(b.spread); c.volume.push(b.volume); } c } ``` - [ ] **Step 2: Add the transpose tests** In the `#[cfg(test)] mod tests` block in `crates/aura-ingest/src/lib.rs`, add a record-builder helper and the transpose tests (inside the `mod tests`, after the existing test): ```rust /// A hand-built M1 bar with distinct per-field values so a transpose test /// can tell the columns apart. fn full_bar(time_ms: i64) -> M1Parsed { M1Parsed { time_ms, open: 1.0, high: 2.0, low: 0.5, close: 1.5, spread: 0.1, volume: 100, } } #[test] fn transpose_m1_maps_every_field_to_its_column() { let bars = [full_bar(1_000), full_bar(2_000)]; let c = transpose_m1(&bars); // ts normalized ms -> ns; each column equal length to the input. assert_eq!(c.ts, vec![Timestamp(1_000_000_000), Timestamp(2_000_000_000)]); assert_eq!(c.open, vec![1.0, 1.0]); assert_eq!(c.high, vec![2.0, 2.0]); assert_eq!(c.low, vec![0.5, 0.5]); assert_eq!(c.close, vec![1.5, 1.5]); assert_eq!(c.spread, vec![0.1, 0.1]); // volume is the one i64 column. assert_eq!(c.volume, vec![100_i64, 100_i64]); } #[test] fn transpose_m1_is_pure() { let bars = [full_bar(1_000), full_bar(2_000), full_bar(3_000)]; assert_eq!(transpose_m1(&bars), transpose_m1(&bars)); } #[test] fn transpose_m1_empty_input_yields_empty_columns() { let c = transpose_m1(&[]); assert!(c.ts.is_empty()); assert!(c.close.is_empty()); assert!(c.volume.is_empty()); } ``` - [ ] **Step 3: Run the tests** Run: `cargo test -p aura-ingest` Expected: PASS — `transpose_m1_maps_every_field_to_its_column`, `transpose_m1_is_pure`, `transpose_m1_empty_input_yields_empty_columns` green alongside Task 1's test. --- ## Task 3: `M1Columns::close_stream` The adapter from a transposed column to the engine's source-stream shape. **Files:** - Modify: `crates/aura-ingest/src/lib.rs` - [ ] **Step 1: Add `close_stream`** In `crates/aura-ingest/src/lib.rs`, add an `impl M1Columns` block (after the existing `impl M1Columns { fn with_capacity … }`, or extend it) with: ```rust impl M1Columns { /// The close column as an engine source stream: each normalized timestamp /// zipped with its close as a [`Scalar::F64`]. Ascending in timestamp iff /// the bars were (the C3 ingestion precondition `Harness::run` relies on). /// This is the price input the SMA-cross sample strategy consumes; a project /// that wants another field reads the public columns and zips its own. pub fn close_stream(&self) -> Vec<(Timestamp, Scalar)> { self.ts .iter() .zip(&self.close) .map(|(&t, &v)| (t, Scalar::F64(v))) .collect() } } ``` - [ ] **Step 2: Add the close_stream tests** In `#[cfg(test)] mod tests`, add: ```rust #[test] fn close_stream_zips_ts_with_close_in_order() { // distinct close per bar so order is observable; ts ascending. let bars = [ M1Parsed { time_ms: 1, open: 0.0, high: 0.0, low: 0.0, close: 10.0, spread: 0.0, volume: 0 }, M1Parsed { time_ms: 2, open: 0.0, high: 0.0, low: 0.0, close: 20.0, spread: 0.0, volume: 0 }, M1Parsed { time_ms: 3, open: 0.0, high: 0.0, low: 0.0, close: 30.0, spread: 0.0, volume: 0 }, ]; let stream = transpose_m1(&bars).close_stream(); assert_eq!( stream, vec![ (Timestamp(1_000_000), Scalar::F64(10.0)), (Timestamp(2_000_000), Scalar::F64(20.0)), (Timestamp(3_000_000), Scalar::F64(30.0)), ] ); // ascending in timestamp (the merge precondition). assert!(stream.windows(2).all(|w| w[0].0 < w[1].0)); } #[test] fn close_stream_empty_on_empty_columns() { assert!(transpose_m1(&[]).close_stream().is_empty()); } ``` - [ ] **Step 3: Run the tests** Run: `cargo test -p aura-ingest` Expected: PASS — `close_stream_zips_ts_with_close_in_order` and `close_stream_empty_on_empty_columns` green alongside the prior tests. --- ## Task 4: `load_m1_window` — the data-server adapter Drains a data-server M1 window into transposed columns. Not hermetically unit-testable (it touches files/the cache); its correctness is exercised by the Task 5 integration test. This task is impl + compile gate. **Files:** - Modify: `crates/aura-ingest/src/lib.rs` - [ ] **Step 1: Add `load_m1_window`** In `crates/aura-ingest/src/lib.rs`, after `transpose_m1` (outside the test module), insert: ```rust /// Drain a data-server M1 window into transposed SoA columns. Reads the /// chronological chunk iterator to exhaustion into one AoS buffer, then /// transposes once at the boundary (C3 — one merge point, not per chunk). /// `None` if the symbol has no data in `[from_ms, to_ms]` (data-server's own /// `None`); the inclusive Unix-ms window bounds are data-server's contract. pub fn load_m1_window( server: &Arc, symbol: &str, from_ms: i64, to_ms: i64, ) -> Option { let mut it = server.stream_m1_windowed(symbol, Some(from_ms), Some(to_ms))?; let mut bars: Vec = Vec::new(); // M1Parsed is Copy; &Arc<[M1Parsed]> derefs to &[M1Parsed] in arg position. while let Some(chunk) = it.next_chunk() { bars.extend_from_slice(&chunk); } Some(transpose_m1(&bars)) } ``` - [ ] **Step 2: Build (compiles against the real data-server API) + lint** Run: `cargo build -p aura-ingest && cargo clippy -p aura-ingest --all-targets -- -D warnings` Expected: PASS — `load_m1_window` compiles against data-server's real `stream_m1_windowed`/`next_chunk` signatures with no warnings. (A signature mismatch here surfaces as a compile error — the load-bearing external-API check.) --- ## Task 5: Gated real-bars integration test Runs the cycle-0007 sample harness over a real AAPL.US close stream, asserting a finite, deterministic `RunReport`. Skips cleanly where `/mnt/tickdata` is absent. **Files:** - Create: `crates/aura-ingest/tests/real_bars.rs` - [ ] **Step 1: Write the integration test** Create `crates/aura-ingest/tests/real_bars.rs`: ```rust //! Gated integration test: a real data-server M1 close stream driven through //! the cycle-0007 signal-quality sample harness (SMA-cross → Exposure → //! SimBroker), folded into a `RunReport`. Skips with a note where the local //! Pepperstone data directory is absent, so `cargo test --workspace` stays green //! anywhere; it exercises the real ingestion path where data exists. use std::sync::mpsc; use std::sync::Arc; use aura_core::{Firing, Scalar, ScalarKind, Timestamp}; use aura_engine::{ f64_field, summarize, Edge, Harness, RunManifest, RunReport, SourceSpec, Target, }; use aura_ingest::load_m1_window; use aura_std::{Exposure, Recorder, SimBroker, Sma, Sub}; use data_server::{DataServer, DEFAULT_DATA_PATH}; /// Bootstrap the cycle-0007 two-sink signal-quality harness (mirrors /// `aura-engine`'s `report::tests::build_two_sink_harness`, with the shipped /// `aura_std::Recorder`), run it on `prices`, and fold the recorded equity + /// exposure into a `RunReport` whose window is the first/last real bar ts. fn run_sample_over(prices: Vec<(Timestamp, Scalar)>) -> RunReport { let (tx_eq, rx_eq) = mpsc::channel(); let (tx_ex, rx_ex) = mpsc::channel(); let mut h = Harness::bootstrap( vec![ Box::new(Sma::new(2)), // 0 Box::new(Sma::new(4)), // 1 Box::new(Sub::new()), // 2 Box::new(Exposure::new(0.5)), // 3 Box::new(SimBroker::new(0.0001)), // 4 Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_eq)), // 5 equity sink Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_ex)), // 6 exposure sink ], vec![SourceSpec { kind: ScalarKind::F64, targets: vec![ Target { node: 0, slot: 0 }, Target { node: 1, slot: 0 }, Target { node: 4, slot: 1 }, // price into the broker ], }], vec![ Edge { from: 0, to: 2, slot: 0, from_field: 0 }, Edge { from: 1, to: 2, slot: 1, from_field: 0 }, Edge { from: 2, to: 3, slot: 0, from_field: 0 }, Edge { from: 3, to: 4, slot: 0, from_field: 0 }, Edge { from: 4, to: 5, slot: 0, from_field: 0 }, // equity -> sink 5 Edge { from: 3, to: 6, slot: 0, from_field: 0 }, // exposure -> sink 6 ], ) .expect("valid signal-quality DAG"); let window = ( prices.first().map(|&(t, _)| t).unwrap_or(Timestamp(0)), prices.last().map(|&(t, _)| t).unwrap_or(Timestamp(0)), ); h.run(vec![prices]); let eq_rows: Vec<(Timestamp, Vec)> = rx_eq.try_iter().collect(); let ex_rows: Vec<(Timestamp, Vec)> = rx_ex.try_iter().collect(); let equity = f64_field(&eq_rows, 0); let exposure = f64_field(&ex_rows, 0); let metrics = summarize(&equity, &exposure); RunReport { manifest: RunManifest { commit: "real-bars-test".to_string(), params: vec![ ("sma_fast".to_string(), 2.0), ("sma_slow".to_string(), 4.0), ("exposure_scale".to_string(), 0.5), ], window, seed: 0, broker: "sim-optimal(pip_size=0.0001)".to_string(), }, metrics, } } #[test] fn sample_strategy_runs_over_real_m1_bars_deterministically() { let server = Arc::new(DataServer::new(DEFAULT_DATA_PATH)); if !server.has_symbol("AAPL.US") { eprintln!("skip: no local data at {DEFAULT_DATA_PATH} (symbol AAPL.US absent)"); return; // hermetic elsewhere; exercises the real path where files exist } // 2006-08 in inclusive Unix-ms (data-server skips files outside the window). let (from_ms, to_ms) = (1_154_390_400_000_i64, 1_157_068_799_999_i64); let load = || { load_m1_window(&server, "AAPL.US", from_ms, to_ms) .expect("AAPL.US has data in the 2006-08 window") .close_stream() }; let prices = load(); assert!(!prices.is_empty(), "window resolved to zero bars"); let r1 = run_sample_over(prices); assert!(r1.metrics.total_pips.is_finite(), "a backtest ran over real bars"); // same window -> bit-identical report (C1). let r2 = run_sample_over(load()); assert_eq!(r1.to_json(), r2.to_json()); } ``` - [ ] **Step 2: Run the integration test** Run: `cargo test -p aura-ingest --test real_bars` Expected: PASS — on this machine `/mnt/tickdata/Pepperstone` exists, so the test runs the real path (loads AAPL.US 2006-08, runs the sample harness, asserts finite + deterministic). On a machine without the data it prints the skip note and passes. --- ## Task 6: Full-workspace gates Confirm the additive crate leaves the whole workspace green under the project's gate commands. **Files:** none (verification only). - [ ] **Step 1: Workspace test suite** Run: `cargo test --workspace` Expected: PASS — all existing crate tests plus the new `aura-ingest` unit tests and the gated integration test. (Builds `aura-ingest` + its `data-server` tree; the cargo cache must be populated — Task 1 already fetched it.) - [ ] **Step 2: Lint** Run: `cargo clippy --workspace --all-targets -- -D warnings` Expected: PASS — no warnings across the workspace including `aura-ingest`. - [ ] **Step 3: Docs** Run: `RUSTDOCFLAGS="-D warnings" cargo doc --workspace --no-deps` Expected: PASS — `aura-ingest`'s rustdoc (module doc + public-item docs) builds with no warnings. --- ## Self-review (planner Step 5) 1. **Spec coverage:** boundary (`unix_ms_to_epoch_ns` T1, `transpose_m1`/`M1Columns` T2, `close_stream` T3, `load_m1_window` T4), hermetic tests (T2/T3), gated integration test (T5), workspace gates (T6), crate/firewall + offline-build (T1 manifest + members). All spec sections covered. 2. **Placeholder scan:** no TBD/TODO/"implement later"/"similar to"/"add appropriate". 3. **Type consistency:** `M1Columns`, `transpose_m1`, `unix_ms_to_epoch_ns`, `close_stream`, `load_m1_window`, node/edge wiring identical across tasks and to the recon-anchored `report.rs` fixture; `data-server` signatures match the verified source. 4. **Step granularity:** each step is one edit or one command. 5. **No commit steps:** none present. 6. **Pin/replacement contiguity:** no presence-pin paired with a verbatim text edit (the `members` edit is a whole-array replacement, self-contained). 7. **Compile-gate vs deferred-caller:** purely additive new crate; Task 1 adds the member AND manifest AND a compiling lib.rs together, so its build gate is satisfiable with no deferred caller. No existing signature changes. 8. **Verification-command filters resolve:** per-task gates use `-p aura-ingest` (whole-crate, named expected tests) and `--test real_bars` (the file created in T5); no empty-filter "0 ran" masquerade. 9. **Parse-the-bytes gate:** profile declares no `spec_validation` parser → no-op; inlined bodies are Rust (the source language), caught by the implement compile gate, not the planner parse gate.