2c43296c2c
Iteration 1 of the Stage-1 "R-based signal quality" cycle (spec 0065): a strategy's signal quality, measured in R on its unsized bias stream, feed-forward. New discrete-trade machinery, NOT a SimBroker extension. What lands: - exposure -> bias (refs #126): the Exposure node/type/file/output-field renamed to Bias (computation unchanged: clamp(signal/scale,-1,+1); the SEMANTICS change — the output is the unsized strategy bias, sizing leaves the strategy). Scoped to the semantic core; behaviour-preserving cosmetics are deferred (see below). - stop-rule nodes (refs #119): VolStop = k*EMA(|price - prev_price|) (one fused node; the volatility that defines 1R, close-to-close — true-range ATR deferred, needs OHLC) + FixedStop (constant, the test fixture / fixed-vs-vol structural-axis sibling). - PositionManagement (refs #127): the stateful heart. Latches the entry-cycle stop distance as the FROZEN R-denominator (never re-read), marks/exits no-look-ahead like SimBroker (a position earns from the next cycle; an exit realises against the cycle's close), and emits ONE dense per-cycle R-record (C8). Stop-outs are NOT capped at -1R (a gap through the stop realises R < -1 — the honest loss tail); R is computed size-invariantly (size = (exit-entry)*dir / latched_dist cancels). The trade ledger is the rows where closed_this_cycle; the R-equity is cum_realized + unrealized; a position open at window end is the last row (open=true) — explicit, never silent MtM. - summarize_r + RMetrics (refs #129): the post-run fold (NOT an in-graph node — recorders drain post-run). E[R], win-rate, profit-factor, avg win/loss R, by-trade max R-drawdown, n_open_at_end (window-end force-close). SQN / conviction terciles / net-of-cost / RunMetrics.r are iteration 2. Design adversarially hardened before implementation (12-juror refute panel; decisions on #117). Ratified implementer deviations from the plan snippet, verified by hand: - col-4 `direction` tracks the OPEN position at cycle end (window-end synthesis; names the reopened leg on a reversal), falling back to the closed trade's dir only when flat. summarize_r does not read col 4; the R-metrics are unaffected. - .named("exposure") kept on the 4 previously-unnamed Bias nodes so the auto-derived param-path stays exposure.scale (no manifest/dir-name drift) — the unnamed nodes would otherwise flip to bias.scale. - intra-doc links [`Exposure`] -> [`Bias`] in sim_broker/latch + the sample-model test pin (cosmetic, behaviour-neutral; broken intra-doc links fail cargo doc). - the E2E drives a full bootstrapped Harness (stronger than the plan's direct-node drive — exercises the real cross-crate producer->consumer seam). Deferred (behaviour-preserving, separate cosmetic pass — NOT this iteration): RunMetrics.exposure_sign_flips / Metric::ExposureSignFlips, SimBroker/LongOnly "exposure" input ports, the "exposure" tap/trace names, and the .named("exposure") instance labels. Iteration 2: the Sizer seam, the RiskExecutor composite (+ the Veto documented-seam), summarize_r enrichment, RunMetrics.r, and the CLI/recording surface. Verification (orchestrator-run, not agent-claimed): - cargo build --workspace: clean. - cargo test --workspace: all green, 0 failed (incl. the new bias/stop_rule/ position_management unit tests, the summarize_r arithmetic tests, and the stage1_r_e2e capstone + layout guard). - cargo clippy --workspace --all-targets -- -D warnings: clean (exit 0). - Keystone RED tests pass: no_lookahead_bias_exit_realises_the_held_move, stop_out_is_not_capped_at_minus_one_r, no_gap_stop_is_exactly_minus_one_r, reversal_closes_one_leg_and_reopens, open_at_window_end_is_carried_on_the_last_row. refs #117 #119 #126 #127 #129
144 lines
5.4 KiB
Rust
144 lines
5.4 KiB
Rust
//! `Latch` — a level-sensitive set/reset register that emits an `f64` exposure
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//! magnitude (`1.0` latched / `0.0` flat), the C5 SR-register of the
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//! session-breakout vocabulary.
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//!
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//! Two `bool` inputs (`set`, `reset`, `Firing::Any`); one `f64` output `value`;
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//! no params. **Emits `f64` directly**, not `bool`: a held position *is*
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//! exposure `+1`, flat *is* `0.0`, so the output feeds [`SimBroker`](crate::SimBroker)'s
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//! `f64` `exposure` slot with no cast — this is the resolution of the `bool → f64`
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//! seam (no separate `Bias`/cast node).
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//!
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//! **State.** A persisted `held: f64`, initial `0.0`, mutated in `eval` and
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//! carried across cycles in the struct — exactly how [`SimBroker`](crate::SimBroker)
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//! holds `prev_price`/`prev_exposure` across cycles.
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//!
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//! **Logic — level SR latch, RESET-DOMINANT.** Per fired eval: if `reset` is on
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//! → `held = 0.0`; else if `set` is on → `held = 1.0`; else `held` is unchanged
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//! (sample-and-hold). Reset wins when both pulse (defensive default; in the
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//! strategy bar3 ≠ bar5 so they never coincide).
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use aura_core::{Cell, Ctx, FieldSpec, Firing, Node, NodeSchema, PortSpec, PrimitiveBuilder, ScalarKind};
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/// Level-sensitive set/reset register emitting an `f64` exposure magnitude:
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/// `held` → `1.0` on `set`, → `0.0` on `reset` (reset-dominant), held across
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/// quiet cycles. Emits `None` only while **both** input legs are still cold
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/// (nothing latched yet); a present-but-false leg is read as "no pulse".
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pub struct Latch {
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held: f64, // persisted exposure magnitude: 1.0 = long, 0.0 = flat
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out: [Cell; 1],
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}
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impl Latch {
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/// Build a `Latch` node, initially flat (`held = 0.0`).
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pub fn new() -> Self {
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Self { held: 0.0, out: [Cell::from_f64(0.0)] }
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}
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/// The param-generic recipe for a blueprint primitive: paramless, builds
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/// through `Latch::new`.
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pub fn builder() -> PrimitiveBuilder {
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PrimitiveBuilder::new(
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"Latch",
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NodeSchema {
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inputs: vec![
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PortSpec { kind: ScalarKind::Bool, firing: Firing::Any, name: "set".into() },
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PortSpec { kind: ScalarKind::Bool, firing: Firing::Any, name: "reset".into() },
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],
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output: vec![FieldSpec { name: "value".into(), kind: ScalarKind::F64 }],
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params: vec![],
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},
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|_| Box::new(Latch::new()),
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)
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}
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}
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impl Default for Latch {
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fn default() -> Self {
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Self::new()
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}
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}
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impl Node for Latch {
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fn lookbacks(&self) -> Vec<usize> {
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vec![1, 1]
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}
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fn eval(&mut self, ctx: Ctx<'_>) -> Option<&[Cell]> {
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let set = ctx.bool_in(0);
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let reset = ctx.bool_in(1);
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if set.is_empty() && reset.is_empty() {
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return None; // cold: nothing latched yet (downstream reads flat 0.0)
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}
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// An absent/empty leg is read as "no pulse"; a present leg pulses when true.
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let set_on = set.get(0).unwrap_or(false);
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let reset_on = reset.get(0).unwrap_or(false);
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if reset_on {
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self.held = 0.0; // reset dominates (defensive default)
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} else if set_on {
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self.held = 1.0;
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} // else: sample-and-hold — `held` unchanged
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self.out[0] = Cell::from_f64(self.held);
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Some(&self.out)
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}
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fn label(&self) -> String {
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"Latch".to_string()
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use aura_core::{AnyColumn, Scalar, Timestamp};
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fn two_bool_inputs() -> Vec<AnyColumn> {
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vec![
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AnyColumn::with_capacity(ScalarKind::Bool, 1),
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AnyColumn::with_capacity(ScalarKind::Bool, 1),
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]
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}
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#[test]
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fn latch_holds_set_until_reset_reset_dominant() {
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// The core property: a level SR latch that sample-and-HOLDS its f64
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// exposure magnitude across quiet bars, with RESET dominant when both
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// pulse. Both legs are present every cycle (as in the real graph: set =
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// `entry`, reset = `isBar5Close`, both fresh bool streams each bar).
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let mut node = Latch::new();
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let mut inputs = two_bool_inputs();
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// (set, reset) -> expected held
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let cases = [
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((false, false), 0.0), // initial: flat
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((true, false), 1.0), // set latches long
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((false, false), 1.0), // HOLD across a quiet bar (load-bearing sample-and-hold)
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((false, true), 0.0), // reset goes flat
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((false, false), 0.0), // hold flat
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((true, true), 0.0), // reset-dominant: both on -> flat (pins the priority)
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];
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for ((set, reset), want) in cases {
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inputs[0].push(Scalar::bool(set)).unwrap();
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inputs[1].push(Scalar::bool(reset)).unwrap();
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let got = node.eval(Ctx::new(&inputs, Timestamp(0)));
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assert_eq!(got, Some([Cell::from_f64(want)].as_slice()));
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}
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}
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#[test]
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fn latch_is_none_while_both_legs_cold() {
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// Before any input on either leg: nothing latched yet -> None (downstream
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// reads SimBroker's cold-leg-as-0.0, i.e. flat).
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let mut node = Latch::new();
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let inputs = two_bool_inputs();
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assert_eq!(node.eval(Ctx::new(&inputs, Timestamp(0))), None);
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}
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#[test]
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fn input_slots_are_named_set_reset() {
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let l = Latch::builder();
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let names: Vec<&str> = l.schema().inputs.iter().map(|p| p.name.as_str()).collect();
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assert_eq!(names, ["set", "reset"]);
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}
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}
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