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
Brummel
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