cfe7bad0ff
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
122 lines
4.8 KiB
Rust
122 lines
4.8 KiB
Rust
//! BLOCKER #138 capstone: the R-reduction's peak retained memory is
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//! O(trades)+O(1), independent of cycle count. Drives `GatedRecorder` (gate =
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//! CLOSED) through its real `mpsc` channel with a FIXED small number of closed
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//! trades but a VARIABLE large number of hold cycles, generated LAZILY (one row
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//! at a time, never all at once), and measures peak live bytes with a counting
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//! global allocator. A retain-everything sink's peak would scale with the cycle
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//! count; the folding sink's does not. Sole test in this binary, so the global
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//! peak counter is not polluted by other tests running in parallel.
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use std::alloc::{GlobalAlloc, Layout, System};
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use std::sync::atomic::{AtomicUsize, Ordering};
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use std::sync::mpsc;
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use aura_core::{AnyColumn, Ctx, Node, Scalar, ScalarKind, Timestamp};
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use aura_std::{GatedRecorder, PM_RECORD_KINDS, PM_WIDTH};
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struct CountingAlloc;
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static LIVE: AtomicUsize = AtomicUsize::new(0);
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static PEAK: AtomicUsize = AtomicUsize::new(0);
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unsafe impl GlobalAlloc for CountingAlloc {
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unsafe fn alloc(&self, layout: Layout) -> *mut u8 {
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let p = unsafe { System.alloc(layout) };
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if !p.is_null() {
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let now = LIVE.fetch_add(layout.size(), Ordering::Relaxed) + layout.size();
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PEAK.fetch_max(now, Ordering::Relaxed);
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}
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p
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}
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unsafe fn dealloc(&self, ptr: *mut u8, layout: Layout) {
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LIVE.fetch_sub(layout.size(), Ordering::Relaxed);
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unsafe { System.dealloc(ptr, layout) }
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}
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}
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#[global_allocator]
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static A: CountingAlloc = CountingAlloc;
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fn reset_peak() {
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PEAK.store(LIVE.load(Ordering::Relaxed), Ordering::Relaxed);
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}
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fn peak() -> usize {
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PEAK.load(Ordering::Relaxed)
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}
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const CLOSED: usize = 0;
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const REALIZED_R: usize = 1;
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const K_TRADES: usize = 8;
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/// Peak live bytes to drive `GatedRecorder` over `K_TRADES` closed trades, each
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/// followed by `holds` hold cycles, sourced lazily (one row built at a time),
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/// then fold the emitted rows. With a folding sink the peak is O(trades).
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fn peak_bytes(holds: usize) -> usize {
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reset_peak();
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let (tx, rx) = mpsc::channel();
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let mut g = GatedRecorder::new(&PM_RECORD_KINDS, CLOSED, tx);
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let mut cols: Vec<AnyColumn> =
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PM_RECORD_KINDS.iter().map(|&k| AnyColumn::with_capacity(k, 1)).collect();
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let mut ts = 0i64;
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let push = |g: &mut GatedRecorder, cols: &mut Vec<AnyColumn>, ts: &mut i64, closed: bool, r: f64| {
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// kind-correct zeros: the PM record is heterogeneous (PM_RECORD_KINDS has
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// Bool/I64/Timestamp slots), so each unset slot defaults to its column's
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// kind — a blanket f64 zero would be rejected by the kind-typed push.
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let mut row: Vec<Scalar> = PM_RECORD_KINDS
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.iter()
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.map(|&k| match k {
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ScalarKind::F64 => Scalar::f64(0.0),
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ScalarKind::I64 => Scalar::i64(0),
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ScalarKind::Bool => Scalar::bool(false),
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ScalarKind::Timestamp => Scalar::ts(Timestamp(0)),
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})
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.collect();
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debug_assert_eq!(row.len(), PM_WIDTH);
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row[CLOSED] = Scalar::bool(closed);
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row[REALIZED_R] = Scalar::f64(r);
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for (i, s) in row.iter().enumerate() {
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cols[i].push(*s).unwrap();
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}
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g.eval(Ctx::new(cols, Timestamp(*ts)));
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*ts += 1;
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};
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for k in 0..K_TRADES {
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let r = if k % 2 == 0 { 1.0 } else { -0.5 };
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push(&mut g, &mut cols, &mut ts, true, r);
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for _ in 0..holds {
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push(&mut g, &mut cols, &mut ts, false, 0.0);
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}
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}
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g.finalize();
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let rows: Vec<(Timestamp, Vec<Scalar>)> = rx.try_iter().collect();
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// the K_TRADES gated (closed) rows, plus the one genuine final row the
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// GatedRecorder flushes on finalize (the last cycle is a hold, so it was not
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// gated) — O(trades)+O(1), independent of `holds`, which is the whole point.
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assert_eq!(rows.len(), K_TRADES + 1, "only the closed trades + the final row are retained");
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let p = peak();
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drop(rows);
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p
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}
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#[test]
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fn r_reduction_peak_memory_is_independent_of_cycle_count() {
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const SMALL_HOLDS: usize = 64; // 8 * (1+64) = 520 cycles
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const LARGE_HOLDS: usize = 50_000; // 8 * (1+50000) = 400_008 cycles
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let small = peak_bytes(SMALL_HOLDS);
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let large = peak_bytes(LARGE_HOLDS);
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// cycle count grew ~770x; an O(trades)+O(1) sink holds its peak essentially
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// flat. Generous 4x headroom so only genuine O(cycles) retention trips it.
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assert!(
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large <= small.saturating_mul(4),
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"R-reduction peak scales with cycle count (O(cycles) retention): \
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small {} cycles -> {} bytes; large {} cycles -> {} bytes ({:.0}x). \
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The folding sink must retain O(trades)+O(1).",
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K_TRADES * (1 + SMALL_HOLDS),
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small,
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K_TRADES * (1 + LARGE_HOLDS),
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large,
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large as f64 / small.max(1) as f64,
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);
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}
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