c9f0e438e1
A seeded source whose stream is fully determined by a u64 seed, making RunManifest.seed a live captured input instead of the dead 0 it was. This is C12's reconciliation of stochastic runs with C1: a run is bit-identical for a fixed seed (the seed is a captured input, not hidden nondeterminism), and a different seed gives a different-but-reproducible run. Precondition for the Monte-Carlo family (#68) and random param-sweep (#52). Engine (aura-engine): - SplitMix64: a ~10-line private, dependency-free PRNG. Chosen over a rand-family crate for guaranteed bit-stability across toolchains/crate versions — the whole value of seed-as-input is reproducibility, and a crate whose algorithm is not version-stable would silently break a recorded seed on a dep bump. No new direct dep. - SyntheticSpec + source(seed) -> impl Source: the Fn(u64) -> impl Source contract (Fork B — seed at the data-generation edge, outside the engine graph). Returns a Source, never a Vec, so the MC family can re-seed N times without materializing N streams. First cut collects to a VecSource internally; the signature does not name Vec, so a lazy generator is a drop-in replacement. Re-exported from lib.rs beside VecSource. CLI (aura-cli): - sim_optimal_manifest gains a seed: u64 param recorded into the manifest (the single Fork B capture site). All four existing seed-free callers (run_sample, run_sample_real, the sweep grid-report, run_macd) pass 0 unchanged — their determinism tests stay green. - A test-only run_sample_seeded + SeededTrace exercise a live seed and expose the drained sink trace, so the three e2e tests assert bit-identity at the trace level (strictly stronger than the folded 3-field metrics). Tests (RED-first): 2 engine producer tests (same-seed identical / different-seed differs) + 3 cli e2e tests (bit-identical trace, different-seed metrics differ, seed recorded in manifest). Full workspace green; clippy -D warnings clean. Errata vs plan 0042 (two compile-forced deviations, neither alters the spec contract): - source returns `impl Source + use<>`: under edition 2024 a bare `impl Source` captures the &self lifetime, which blocks boxing as Box<dyn Source + 'static> for run() (E0597). The source owns its data, so use<> (captures nothing) is correct. - SyntheticSpec is imported inside `#[cfg(test)] mod tests` in main.rs: it is used only by the seeded test vehicle, so a top-level import is unused in the non-test build under clippy -D warnings. closes #66
889 lines
40 KiB
Rust
889 lines
40 KiB
Rust
//! `aura` — the programmatic / CLI face of the engine (the surface the LLM and
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//! automation drive: author a node, run a sim/sweep, emit structured metrics).
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//!
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//! The walking skeleton's closing seam: `aura run` bootstraps a built-in sample
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//! signal-quality harness (synthetic source → SMA-cross → Exposure → SimBroker →
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//! recording sinks), runs it deterministically (C1), and prints the run's
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//! metrics + manifest (#6) as canonical JSON to stdout (the headline C14 move).
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//!
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//! `aura run --real <SYMBOL> [--from <ms>] [--to <ms>]` feeds that same harness
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//! real M1 close bars, streamed lazily from the local data-server archive through
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//! the #71 Source seam (`M1FieldSource`) instead of the synthetic stream — the
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//! first real-data backtest from the CLI.
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mod render;
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use aura_core::{Firing, Scalar, ScalarKind, Timestamp};
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use aura_engine::{
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f64_field, summarize, Composite, Edge, FlatGraph, GraphBuilder, Harness,
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RunManifest, RunReport, SourceSpec, SweepFamily, Target, VecSource,
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};
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use aura_registry::{rank_by, Registry};
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use aura_std::{Ema, Exposure, LinComb, Recorder, SimBroker, Sma, Sub};
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use std::sync::mpsc::{self, Receiver};
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/// The built-in synthetic price stream: rises through t=4 then reverses, so the
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/// demo trace carries one exposure sign flip and a real drawdown (C22 populated
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/// trace). Deterministic and fixed (C1).
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fn synthetic_prices() -> Vec<(Timestamp, Scalar)> {
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[
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(1_i64, 1.0000_f64),
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(2, 1.0010),
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(3, 1.0030),
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(4, 1.0060),
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(5, 1.0040),
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(6, 1.0010),
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(7, 0.9990),
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]
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.iter()
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.map(|&(t, p)| (Timestamp(t), Scalar::F64(p)))
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.collect()
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}
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/// A warm-up-adequate synthetic stream for the enriched sample/sweep: ~18 ticks
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/// rising, falling, then rising again so the trend SMA spread and the MACD
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/// EMA-of-EMA histogram both warm up and flip sign. It shares the proven warm-up
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/// profile of `macd_prices` (the enriched sample embeds the same `macd` composite,
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/// so it needs the same warm-up length); the flat `run_sample` keeps the shorter
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/// `synthetic_prices`. Deterministic and fixed (C1).
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fn showcase_prices() -> Vec<(Timestamp, Scalar)> {
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[
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1.0000_f64, 1.0008, 1.0021, 1.0039, 1.0062, 1.0090, 1.0083, 1.0061, 1.0034,
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1.0012, 0.9998, 1.0006, 1.0024, 1.0047, 1.0069, 1.0086, 1.0097, 1.0092,
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]
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.iter()
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.enumerate()
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.map(|(i, &p)| (Timestamp(i as i64 + 1), Scalar::F64(p)))
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.collect()
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}
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/// Bootstrap the sample signal-quality harness with two recording sinks (equity
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/// tapped on the SimBroker, exposure tapped on the Exposure node). Rust-authored
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/// wiring (C17/C20) over the raw bootstrap API — no builder DSL this cycle. The
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/// price taps both SMAs and the broker's price slot (slot 1); exposure feeds the
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/// broker's slot 0 (slot order is load-bearing — both are f64).
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// The harness-plus-two-drained-sink-receivers tuple has exactly one call site
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// (`run_sample`); a named type would be speculative abstraction this cycle.
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#[allow(clippy::type_complexity)]
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fn sample_harness() -> (
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Harness,
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Receiver<(Timestamp, Vec<Scalar>)>,
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Receiver<(Timestamp, Vec<Scalar>)>,
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) {
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let (tx_eq, rx_eq) = mpsc::channel();
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let (tx_ex, rx_ex) = mpsc::channel();
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let f64_recorder_sig = || aura_engine::NodeSchema {
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inputs: vec![aura_engine::PortSpec { kind: ScalarKind::F64, firing: Firing::Any, name: "in".into() }],
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output: vec![],
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params: vec![],
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};
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let h = Harness::bootstrap(FlatGraph {
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nodes: vec![
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Box::new(Sma::new(2)), // 0 fast SMA
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Box::new(Sma::new(4)), // 1 slow SMA
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Box::new(Sub::new()), // 2 spread
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Box::new(Exposure::new(0.5)), // 3 exposure
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Box::new(SimBroker::new(0.0001)), // 4 sim-optimal broker
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Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_eq)), // 5 equity sink
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Box::new(Recorder::new(&[ScalarKind::F64], Firing::Any, tx_ex)), // 6 exposure sink
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],
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signatures: vec![
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Sma::builder().schema().clone(),
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Sma::builder().schema().clone(),
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Sub::builder().schema().clone(),
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Exposure::builder().schema().clone(),
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SimBroker::builder(0.0001).schema().clone(),
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f64_recorder_sig(),
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f64_recorder_sig(),
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],
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sources: vec![SourceSpec {
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kind: ScalarKind::F64,
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targets: vec![
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Target { node: 0, slot: 0 },
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Target { node: 1, slot: 0 },
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Target { node: 4, slot: 1 }, // price into the broker's price slot
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],
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}],
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edges: vec![
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Edge { from: 0, to: 2, slot: 0, from_field: 0 },
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Edge { from: 1, to: 2, slot: 1, from_field: 0 },
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Edge { from: 2, to: 3, slot: 0, from_field: 0 },
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Edge { from: 3, to: 4, slot: 0, from_field: 0 }, // exposure into broker slot 0
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Edge { from: 4, to: 5, slot: 0, from_field: 0 }, // equity -> sink 5
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Edge { from: 3, to: 6, slot: 0, from_field: 0 }, // exposure -> sink 6
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],
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})
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.expect("valid sample signal-quality DAG");
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(h, rx_eq, rx_ex)
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}
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/// Build the sim-optimal `RunManifest`: the engine-external descriptor fields
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/// (commit, seed-free synthetic run, broker label) are constant across the CLI's
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/// built-in harnesses — only `params` and `window` vary. Centralizing the broker
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/// label keeps it a single source (and a single edit point for #22's per-asset
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/// pip work).
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fn sim_optimal_manifest(
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params: Vec<(String, f64)>,
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window: (Timestamp, Timestamp),
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seed: u64,
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) -> RunManifest {
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RunManifest {
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commit: option_env!("AURA_COMMIT").unwrap_or("unknown").to_string(),
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params,
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window,
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seed,
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broker: "sim-optimal(pip_size=0.0001)".to_string(),
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}
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}
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/// Run the sample harness and fold it into a `RunReport` (drain both sinks →
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/// `f64_field` → `summarize` → pair with a `RunManifest`). Pure and deterministic
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/// (C1): the same build yields the same report.
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fn run_sample() -> RunReport {
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let (mut h, rx_eq, rx_ex) = sample_harness();
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let prices = synthetic_prices();
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let window = (
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prices.first().expect("non-empty stream").0,
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prices.last().expect("non-empty stream").0,
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);
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h.run(vec![Box::new(VecSource::new(prices))]);
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let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
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let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
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let equity = f64_field(&eq_rows, 0);
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let exposure = f64_field(&ex_rows, 0);
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let metrics = summarize(&equity, &exposure);
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RunReport {
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manifest: sim_optimal_manifest(
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vec![
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("sma_fast".to_string(), 2.0),
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("sma_slow".to_string(), 4.0),
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("exposure_scale".to_string(), 0.5),
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],
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window,
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0,
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),
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metrics,
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}
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}
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/// `aura run --real <SYMBOL>`: run the built-in sample harness over real M1 close
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/// bars streamed lazily from the local data-server archive through the #71 Source
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/// seam (`M1FieldSource`, a `Box<dyn Source>`), not the synthetic `VecSource`. Same
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/// fold as `run_sample`. The manifest window is read from a *separate* probe source
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/// (a Source is single-pass), so the run source streams the window untouched.
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/// A no-local-data condition (unknown symbol, or a window overlapping no file / no
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/// bars) is a usage error: stderr + exit(2), not a panic.
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fn run_sample_real(symbol: &str, from_ms: Option<i64>, to_ms: Option<i64>) -> RunReport {
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let (mut h, rx_eq, rx_ex) = sample_harness();
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let server = std::sync::Arc::new(data_server::DataServer::new(data_server::DEFAULT_DATA_PATH));
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let no_data = || -> ! {
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eprintln!(
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"aura: no local data for symbol '{symbol}' at {}",
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data_server::DEFAULT_DATA_PATH
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);
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std::process::exit(2)
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};
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if !server.has_symbol(symbol) {
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no_data();
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}
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let open = || aura_ingest::M1FieldSource::open(&server, symbol, from_ms, to_ms, aura_ingest::M1Field::Close);
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// Manifest window: drain a separate probe (single-pass Source) for first/last ts.
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let mut probe = match open() {
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Some(p) => p,
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None => no_data(),
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};
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let first = match aura_engine::Source::peek(&probe) {
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Some(t) => t,
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None => no_data(),
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};
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let mut last = first;
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while let Some((t, _)) = aura_engine::Source::next(&mut probe) {
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last = t;
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}
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let window = (first, last);
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let source: Box<dyn aura_engine::Source> = match open() {
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Some(s) => Box::new(s),
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None => no_data(),
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};
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h.run(vec![source]);
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let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
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let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
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let equity = f64_field(&eq_rows, 0);
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let exposure = f64_field(&ex_rows, 0);
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let metrics = summarize(&equity, &exposure);
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RunReport {
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manifest: sim_optimal_manifest(
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vec![
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("sma_fast".to_string(), 2.0),
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("sma_slow".to_string(), 4.0),
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("exposure_scale".to_string(), 0.5),
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],
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window,
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0,
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),
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metrics,
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}
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}
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/// Parse the `run --real` tail: a mandatory `<SYMBOL>` then zero-or-more
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/// `--from <ms>` / `--to <ms>` pairs in any order. Pure (no I/O, no exit) so the
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/// arg grammar is unit-testable; `main` does the side effects. An unknown token, a
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/// flag without its value, a non-`i64` ms, or a repeated flag is an `Err` carrying
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/// a short usage message.
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fn parse_real_args(rest: &[&str]) -> Result<(String, Option<i64>, Option<i64>), String> {
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let usage = || "run --real <SYMBOL> [--from <ms>] [--to <ms>]".to_string();
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let (symbol, mut tail) = match rest.split_first() {
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Some((sym, t)) if !sym.is_empty() => (*sym, t),
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_ => return Err(usage()),
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};
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let mut from: Option<i64> = None;
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let mut to: Option<i64> = None;
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while let Some((flag, t)) = tail.split_first() {
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let (value, t) = t.split_first().ok_or_else(usage)?;
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let ms: i64 = value.parse().map_err(|_| usage())?;
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match *flag {
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"--from" if from.is_none() => from = Some(ms),
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"--to" if to.is_none() => to = Some(ms),
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_ => return Err(usage()),
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}
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tail = t;
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}
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Ok((symbol.to_string(), from, to))
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}
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/// The SMA-cross signal as a named composite (price -> fast/slow SMA -> spread).
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/// CLI-local sample builder; the engine ships no sample (the duplication with
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/// `blueprint.rs`'s test helper is the dedup tracked in #14). Value-empty: the SMA
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/// lengths are injected at compile, not baked here.
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fn sma_cross(name: &str) -> Composite {
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let mut g = GraphBuilder::new(name);
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let fast = g.add(Sma::builder().named("fast")); // fast SMA leg
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let slow = g.add(Sma::builder().named("slow")); // slow SMA leg
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let sub = g.add(Sub::builder());
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let price = g.input_role("price");
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g.feed(price, [fast.input("series"), slow.input("series")]);
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g.connect(fast.output("value"), sub.input("lhs"));
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g.connect(slow.output("value"), sub.input("rhs"));
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g.expose(sub.output("value"), "cross");
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g.build().expect("sample sma_cross wiring resolves")
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}
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/// The blended signal: a trend leg (SMA-cross) and a momentum leg (MACD), combined
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/// by a weighted sum. A multiply-nested composite (root → signals → {trend,
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/// momentum}); the blend is a multi-param node living inside it, with one weight
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/// bound as a structural constant (so it drops out of the sweepable surface).
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fn signals(name: &str) -> Composite {
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let mut g = GraphBuilder::new(name);
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let trend = g.add(sma_cross("trend")); // trend leg (one f64 "cross")
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let momentum = g.add(macd("momentum")); // momentum leg (3 outputs)
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// blend: Σ wᵢ·termᵢ over [trend.cross, momentum.histogram, momentum.signal].
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// weights[2] is bound (a fixed signal-line weight) → removed from param_space;
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// weights[0]/[1] stay tunable. `.named("blend")` makes the path signals.blend.*
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// (and renders the `blend:` prefix).
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let blend = g.add(
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LinComb::builder(3)
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.named("blend")
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.bind("weights[2]", Scalar::F64(0.5)),
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);
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let price = g.input_role("price");
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g.feed(price, [trend.input("price"), momentum.input("price")]);
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g.connect(trend.output("cross"), blend.input("term[0]")); // trend.cross → blend.term[0]
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g.connect(momentum.output("histogram"), blend.input("term[1]")); // momentum.histogram → blend.term[1]
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g.connect(momentum.output("signal"), blend.input("term[2]")); // momentum.signal → blend.term[2]
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g.expose(blend.output("value"), "signal");
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g.build().expect("sample signals wiring resolves")
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}
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/// The sample signal-quality blueprint (value-empty) **with its two recording
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/// sinks reachable**: returns the equity + exposure receivers a per-point sweep
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/// run drains (the eight free params — the trend SMA lengths, the momentum EMA
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/// lengths, the two open blend weights, and the exposure scale — are injected at
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/// compile via the point vector). The root harness of the sample topology, whose
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/// signal is built by the nested `signals` composite; `build_sample` (the `aura
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/// graph` entry) is expressed on top of it.
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#[allow(clippy::type_complexity)]
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fn sample_blueprint_with_sinks() -> (
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Composite,
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Receiver<(Timestamp, Vec<Scalar>)>,
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Receiver<(Timestamp, Vec<Scalar>)>,
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) {
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let (tx_eq, rx_eq) = mpsc::channel();
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let (tx_ex, rx_ex) = mpsc::channel();
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let mut g = GraphBuilder::new("sample");
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let sig = g.add(signals("signals"));
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let exposure = g.add(Exposure::builder());
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let broker = g.add(SimBroker::builder(0.0001));
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let eq = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq));
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let ex = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex));
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let price = g.source_role("price", ScalarKind::F64);
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g.feed(price, [sig.input("price"), broker.input("price")]);
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g.connect(sig.output("signal"), exposure.input("signal")); // blended signal -> Exposure
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g.connect(exposure.output("exposure"), broker.input("exposure")); // exposure -> broker slot 0
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g.connect(broker.output("equity"), eq.input("col[0]")); // equity -> sink
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g.connect(exposure.output("exposure"), ex.input("col[0]")); // exposure -> sink
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let bp = g.build().expect("sample blueprint wiring resolves");
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(bp, rx_eq, rx_ex)
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}
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/// The sample blueprint without its sink receivers — the `aura graph` render
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/// entry, which never runs the graph (so the receivers are dropped).
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fn build_sample() -> Composite {
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sample_blueprint_with_sinks().0
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}
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/// The built-in sample rendered by `aura graph`.
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fn sample_blueprint() -> Composite {
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build_sample()
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}
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/// Coerce a sweep point's `Scalar` value to the manifest's `f64` param type.
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/// A tuning grid carries only numeric params (`I64` lengths, `F64` scales).
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fn scalar_as_param_f64(s: &Scalar) -> f64 {
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match s {
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Scalar::I64(n) => *n as f64,
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Scalar::F64(f) => *f,
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other => unreachable!("non-numeric sweep param: {other:?}"),
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}
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}
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/// Run the built-in sample over a small built-in grid (fast ∈ {2,3},
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/// slow ∈ {4,5}, scale ∈ {0.5} — 4 points) and render one JSON line per point in
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/// enumeration (odometer) order. Pure + deterministic (C1): the same build yields
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/// the same report. Each point builds a fresh blueprint (fresh sink channels),
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/// bootstraps it under the point vector, runs it, and folds the drained sinks to
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/// metrics — the per-point closure the engine `sweep` drives disjointly.
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fn sweep_family() -> SweepFamily {
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let bp = sample_blueprint_with_sinks().0;
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let space = bp.param_space();
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bp.axis("signals.trend.fast.length", [2, 3])
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.axis("signals.trend.slow.length", [4, 5])
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.axis("signals.momentum.fast.length", [2])
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.axis("signals.momentum.slow.length", [4])
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.axis("signals.momentum.signal.length", [3])
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.axis("signals.blend.weights[0]", [1.0])
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.axis("signals.blend.weights[1]", [1.0])
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.axis("exposure.scale", [0.5])
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.sweep(|point| {
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let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks();
|
||
let mut h = bp
|
||
.bootstrap_with_params(point.to_vec())
|
||
.expect("grid points are kind-checked against param_space");
|
||
let prices = showcase_prices();
|
||
let window = (
|
||
prices.first().expect("non-empty stream").0,
|
||
prices.last().expect("non-empty stream").0,
|
||
);
|
||
h.run(vec![Box::new(VecSource::new(prices))]);
|
||
let equity = f64_field(&rx_eq.try_iter().collect::<Vec<_>>(), 0);
|
||
let exposure = f64_field(&rx_ex.try_iter().collect::<Vec<_>>(), 0);
|
||
let params = space
|
||
.iter()
|
||
.zip(point)
|
||
.map(|(ps, v)| (ps.name.clone(), scalar_as_param_f64(v)))
|
||
.collect();
|
||
RunReport {
|
||
manifest: sim_optimal_manifest(params, window, 0),
|
||
metrics: summarize(&equity, &exposure),
|
||
}
|
||
})
|
||
.expect("the built-in named grid matches the sample param-space")
|
||
}
|
||
|
||
/// Render a sweep family as one `RunReport` JSON line per point. Test helper:
|
||
/// production (`run_sweep`) renders *and* persists per point.
|
||
#[cfg(test)]
|
||
fn sweep_report() -> String {
|
||
let mut out = String::new();
|
||
for pt in &sweep_family().points {
|
||
out.push_str(&pt.report.to_json());
|
||
out.push('\n');
|
||
}
|
||
out
|
||
}
|
||
|
||
/// The default run registry: an append-only JSONL store under the current
|
||
/// working directory. (A project-configured runs-dir via `Aura.toml` is a later
|
||
/// refinement.)
|
||
fn default_registry() -> Registry {
|
||
Registry::open("runs/runs.jsonl")
|
||
}
|
||
|
||
/// `aura sweep`: run the built-in sweep, persist each point's `RunReport` to the
|
||
/// registry (the run record, queryable over time — C18), and print each as one
|
||
/// JSON line.
|
||
fn run_sweep() {
|
||
let reg = default_registry();
|
||
for pt in &sweep_family().points {
|
||
if let Err(e) = reg.append(&pt.report) {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
println!("{}", pt.report.to_json());
|
||
}
|
||
}
|
||
|
||
/// `aura runs list`: print every stored run record, in store (over-time) order.
|
||
fn runs_list() {
|
||
for report in &load_runs_or_exit() {
|
||
println!("{}", report.to_json());
|
||
}
|
||
}
|
||
|
||
/// `aura runs rank <metric>`: print the stored runs best-first by `metric`.
|
||
fn runs_rank(metric: &str) {
|
||
match rank_by(load_runs_or_exit(), metric) {
|
||
Ok(ranked) => {
|
||
for report in &ranked {
|
||
println!("{}", report.to_json());
|
||
}
|
||
}
|
||
Err(e) => {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
/// Load the registry or exit 2 with the error. A missing registry loads empty.
|
||
fn load_runs_or_exit() -> Vec<RunReport> {
|
||
default_registry().load().unwrap_or_else(|e| {
|
||
eprintln!("aura: {e}");
|
||
std::process::exit(2);
|
||
})
|
||
}
|
||
|
||
// --- MACD proof-of-concept (a richer, nested indicator + strategy) -----------
|
||
|
||
/// The MACD signal as a named composite: price → fast/slow `Ema` → the MACD line
|
||
/// (their spread) → a signal `Ema` of that line → the histogram (line − signal).
|
||
/// The composite exposes all **three MACD lines** as a named output record
|
||
/// (`macd`, `signal`, `histogram`); the strategy trades the histogram by reading
|
||
/// `from_field: 2`. A richer fixture than `sma_cross`: a nested EMA-of-EMA chain
|
||
/// with interior fan-out (the MACD line feeds *both* the signal EMA and the
|
||
/// histogram). Three `length` knobs (fast, slow, signal) are injected at compile
|
||
/// in node order; value-empty here.
|
||
fn macd(name: &str) -> Composite {
|
||
let mut g = GraphBuilder::new(name);
|
||
let fast = g.add(Ema::builder().named("fast")); // fast EMA
|
||
let slow = g.add(Ema::builder().named("slow")); // slow EMA
|
||
let line = g.add(Sub::builder()); // MACD line = fast − slow
|
||
let signal = g.add(Ema::builder().named("signal")); // signal EMA of the MACD line
|
||
let hist = g.add(Sub::builder()); // histogram = MACD line − signal
|
||
let price = g.input_role("price");
|
||
g.feed(price, [fast.input("series"), slow.input("series")]);
|
||
g.connect(fast.output("value"), line.input("lhs")); // fast → line
|
||
g.connect(slow.output("value"), line.input("rhs")); // slow → line
|
||
g.connect(line.output("value"), signal.input("series")); // line → signal EMA
|
||
g.connect(line.output("value"), hist.input("lhs")); // line → histogram
|
||
g.connect(signal.output("value"), hist.input("rhs")); // signal → histogram
|
||
g.expose(line.output("value"), "macd"); // the MACD line
|
||
g.expose(signal.output("value"), "signal"); // the signal line
|
||
g.expose(hist.output("value"), "histogram"); // the histogram
|
||
g.build().expect("sample macd wiring resolves")
|
||
}
|
||
|
||
/// The MACD strategy blueprint (value-empty): the `macd` histogram → `Exposure` →
|
||
/// `SimBroker` → recording sinks. Channels are threaded so a run can drain the
|
||
/// sinks; `macd_blueprint` drops the receivers for the structural render.
|
||
fn macd_strategy_blueprint(
|
||
tx_eq: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
tx_ex: mpsc::Sender<(Timestamp, Vec<Scalar>)>,
|
||
) -> Composite {
|
||
let mut g = GraphBuilder::new("macd_strategy");
|
||
let macd_node = g.add(macd("macd"));
|
||
let exposure = g.add(Exposure::builder());
|
||
let broker = g.add(SimBroker::builder(0.0001));
|
||
let eq = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_eq));
|
||
let ex = g.add(Recorder::builder(vec![ScalarKind::F64], Firing::Any, tx_ex));
|
||
let price = g.source_role("price", ScalarKind::F64);
|
||
g.feed(price, [macd_node.input("price"), broker.input("price")]);
|
||
g.connect(macd_node.output("histogram"), exposure.input("signal")); // histogram → Exposure
|
||
g.connect(exposure.output("exposure"), broker.input("exposure")); // exposure → broker slot 0
|
||
g.connect(broker.output("equity"), eq.input("col[0]")); // equity → sink
|
||
g.connect(exposure.output("exposure"), ex.input("col[0]")); // exposure → sink
|
||
g.build().expect("macd_strategy wiring resolves")
|
||
}
|
||
|
||
/// The MACD strategy blueprint as a param-space fixture (receivers dropped, since
|
||
/// `param_space()` reads structure only, never runs the graph).
|
||
#[cfg(test)]
|
||
fn macd_blueprint() -> Composite {
|
||
let (tx_eq, _rx_eq) = mpsc::channel();
|
||
let (tx_ex, _rx_ex) = mpsc::channel();
|
||
macd_strategy_blueprint(tx_eq, tx_ex)
|
||
}
|
||
|
||
/// The point vector for the MACD strategy, in `param_space()` slot order:
|
||
/// `[fast EMA length, slow EMA length, signal EMA length, exposure scale]`. Short
|
||
/// windows so the 7-tick synthetic stream still produces a non-trivial trace
|
||
/// (conventional MACD is 12/26/9, meaningless on 7 points).
|
||
fn macd_point() -> Vec<Scalar> {
|
||
vec![Scalar::I64(2), Scalar::I64(4), Scalar::I64(3), Scalar::F64(0.5)]
|
||
}
|
||
|
||
/// A longer synthetic stream than the SMA sample's 7 ticks: MACD's EMAs each warm
|
||
/// up over their `length`, so the stream rises, falls, then rises again to give the
|
||
/// histogram room to flip sign more than once *after* warm-up. Deterministic (C1).
|
||
fn macd_prices() -> Vec<(Timestamp, Scalar)> {
|
||
[
|
||
1.0000_f64, 1.0008, 1.0021, 1.0039, 1.0062, 1.0090, 1.0083, 1.0061, 1.0034,
|
||
1.0012, 0.9998, 1.0006, 1.0024, 1.0047, 1.0069, 1.0086, 1.0097, 1.0092,
|
||
]
|
||
.iter()
|
||
.enumerate()
|
||
.map(|(i, &p)| (Timestamp(i as i64 + 1), Scalar::F64(p)))
|
||
.collect()
|
||
}
|
||
|
||
/// Run the MACD strategy: compile the nested composite blueprint to a flat harness
|
||
/// (the same bootstrap path the SMA sample's compiled view uses), drive it on the
|
||
/// synthetic stream, and fold both sinks into a `RunReport`. Pure and
|
||
/// deterministic (C1).
|
||
fn run_macd() -> RunReport {
|
||
let (tx_eq, rx_eq) = mpsc::channel();
|
||
let (tx_ex, rx_ex) = mpsc::channel();
|
||
let flat = macd_strategy_blueprint(tx_eq, tx_ex)
|
||
.compile_with_params(&macd_point())
|
||
.expect("valid macd blueprint");
|
||
let mut h = Harness::bootstrap(flat).expect("valid macd harness");
|
||
|
||
let prices = macd_prices();
|
||
let window = (
|
||
prices.first().expect("non-empty stream").0,
|
||
prices.last().expect("non-empty stream").0,
|
||
);
|
||
h.run(vec![Box::new(VecSource::new(prices))]);
|
||
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = 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: sim_optimal_manifest(
|
||
vec![
|
||
("ema_fast".to_string(), 2.0),
|
||
("ema_slow".to_string(), 4.0),
|
||
("ema_signal".to_string(), 3.0),
|
||
("exposure_scale".to_string(), 0.5),
|
||
],
|
||
window,
|
||
0,
|
||
),
|
||
metrics,
|
||
}
|
||
}
|
||
|
||
const USAGE: &str =
|
||
"usage: aura run [--macd] | aura run --real <SYMBOL> [--from <ms>] [--to <ms>] | aura graph | aura sweep | aura runs list | aura runs rank <metric>";
|
||
|
||
fn main() {
|
||
// Collect argv and match the whole vector: every accepted form is exhaustive,
|
||
// so an unexpected trailing token falls through to the usage-error path rather
|
||
// than masquerading as a successful run (#16 strict reading).
|
||
let args: Vec<String> = std::env::args().skip(1).collect();
|
||
match args.iter().map(String::as_str).collect::<Vec<_>>().as_slice() {
|
||
["run"] => println!("{}", run_sample().to_json()),
|
||
["run", "--macd"] => println!("{}", run_macd().to_json()),
|
||
["run", "--real", rest @ ..] => match parse_real_args(rest) {
|
||
Ok((sym, from, to)) => println!("{}", run_sample_real(&sym, from, to).to_json()),
|
||
Err(msg) => {
|
||
eprintln!("aura: {msg}");
|
||
std::process::exit(2);
|
||
}
|
||
},
|
||
["graph"] => print!("{}", render::render_html(&sample_blueprint())),
|
||
["sweep"] => run_sweep(),
|
||
["runs", "list"] => runs_list(),
|
||
["runs", "rank", metric] => runs_rank(metric),
|
||
["--help"] | ["-h"] => println!("{USAGE}"),
|
||
_ => {
|
||
eprintln!("aura: {USAGE}");
|
||
std::process::exit(2);
|
||
}
|
||
}
|
||
}
|
||
|
||
#[cfg(test)]
|
||
mod tests {
|
||
use super::*;
|
||
// `SyntheticSpec` is used only by the seeded test vehicle below, so it is
|
||
// imported here rather than at module top (a top-level import would be
|
||
// `unused` in the non-test binary build under `clippy -D warnings`).
|
||
use aura_engine::SyntheticSpec;
|
||
|
||
/// The drained sink trace of a seeded run — the recorded rows of the equity
|
||
/// and exposure sinks. Compared row-for-row so the C1 seed-determinism
|
||
/// property is tested at the trace level (strictly stronger than the folded
|
||
/// 3-field metrics). `PartialEq` not `Eq`: `Scalar` carries `f64`.
|
||
#[derive(Debug, PartialEq)]
|
||
struct SeededTrace {
|
||
equity: Vec<(Timestamp, Vec<Scalar>)>,
|
||
exposure: Vec<(Timestamp, Vec<Scalar>)>,
|
||
}
|
||
|
||
/// A seeded run of the sample harness: the synthetic stream is generated
|
||
/// from `seed`, that same seed is recorded into the manifest, and the
|
||
/// drained sink trace is returned alongside the report. Every byte of both
|
||
/// is a function of `seed`.
|
||
fn run_sample_seeded(seed: u64) -> (RunReport, SeededTrace) {
|
||
let (mut h, rx_eq, rx_ex) = sample_harness();
|
||
let spec = SyntheticSpec { start: 1.0, len: 64, step: 1 };
|
||
let window = (Timestamp(1), Timestamp((spec.len as i64 - 1) * spec.step + 1));
|
||
h.run(vec![Box::new(spec.source(seed))]);
|
||
let eq_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_eq.try_iter().collect();
|
||
let ex_rows: Vec<(Timestamp, Vec<Scalar>)> = rx_ex.try_iter().collect();
|
||
let metrics = summarize(&f64_field(&eq_rows, 0), &f64_field(&ex_rows, 0));
|
||
let report = RunReport {
|
||
manifest: sim_optimal_manifest(
|
||
vec![
|
||
("sma_fast".to_string(), 2.0),
|
||
("sma_slow".to_string(), 4.0),
|
||
("exposure_scale".to_string(), 0.5),
|
||
],
|
||
window,
|
||
seed,
|
||
),
|
||
metrics,
|
||
};
|
||
(report, SeededTrace { equity: eq_rows, exposure: ex_rows })
|
||
}
|
||
|
||
#[test]
|
||
fn same_seed_bit_identical_trace() {
|
||
// Bit-identical sink trace for a fixed seed (acceptance bullet 1, C1).
|
||
let (_, trace_a) = run_sample_seeded(42);
|
||
let (_, trace_b) = run_sample_seeded(42);
|
||
assert_eq!(trace_a, trace_b);
|
||
}
|
||
|
||
#[test]
|
||
fn different_seed_different_trace() {
|
||
// Different seeds perturb the trace (acceptance bullet 2).
|
||
let (a, _) = run_sample_seeded(1);
|
||
let (b, _) = run_sample_seeded(2);
|
||
assert_ne!(a.metrics, b.metrics);
|
||
}
|
||
|
||
#[test]
|
||
fn seed_recorded_in_manifest() {
|
||
// The seed that drove the run is recorded (acceptance bullet 3).
|
||
let (report, _) = run_sample_seeded(7);
|
||
assert_eq!(report.manifest.seed, 7);
|
||
}
|
||
|
||
#[test]
|
||
fn sample_blueprint_with_sinks_bootstraps_runs_and_drains() {
|
||
// the factory returns the two Recorder receivers (build_sample drops them),
|
||
// so a caller can bootstrap one point, run it, and drain both sinks.
|
||
let (bp, rx_eq, rx_ex) = sample_blueprint_with_sinks();
|
||
let mut h = bp
|
||
.with("signals.trend.fast.length", 2)
|
||
.with("signals.trend.slow.length", 4)
|
||
.with("signals.momentum.fast.length", 2)
|
||
.with("signals.momentum.slow.length", 4)
|
||
.with("signals.momentum.signal.length", 3)
|
||
.with("signals.blend.weights[0]", 1.0)
|
||
.with("signals.blend.weights[1]", 1.0)
|
||
.with("exposure.scale", 0.5)
|
||
.bootstrap()
|
||
.expect("sample blueprint compiles under a valid point");
|
||
h.run(vec![Box::new(VecSource::new(showcase_prices()))]);
|
||
assert!(!rx_eq.try_iter().collect::<Vec<_>>().is_empty(), "equity sink drained empty");
|
||
assert!(!rx_ex.try_iter().collect::<Vec<_>>().is_empty(), "exposure sink drained empty");
|
||
}
|
||
|
||
#[test]
|
||
fn sweep_report_renders_four_points_in_odometer_order() {
|
||
let out = sweep_report();
|
||
let lines: Vec<&str> = out.lines().collect();
|
||
assert_eq!(lines.len(), 4, "one JSON line per grid point; got: {out:?}");
|
||
// each line is a full RunReport; the commit is the real git HEAD
|
||
// (volatile), so pin the per-point manifest params (odometer order, last
|
||
// axis fastest) + the metric keys, not the commit value.
|
||
for line in &lines {
|
||
assert!(line.starts_with(r#"{"manifest":{"commit":""#), "not a RunReport: {line}");
|
||
}
|
||
assert!(lines[0].contains(r#""params":[["signals.trend.fast.length",2.0],["signals.trend.slow.length",4.0],["signals.momentum.fast.length",2.0],["signals.momentum.slow.length",4.0],["signals.momentum.signal.length",3.0],["signals.blend.weights[0]",1.0],["signals.blend.weights[1]",1.0],["exposure.scale",0.5]]"#), "line0: {}", lines[0]);
|
||
assert!(lines[1].contains(r#""params":[["signals.trend.fast.length",2.0],["signals.trend.slow.length",5.0],["signals.momentum.fast.length",2.0],["signals.momentum.slow.length",4.0],["signals.momentum.signal.length",3.0],["signals.blend.weights[0]",1.0],["signals.blend.weights[1]",1.0],["exposure.scale",0.5]]"#), "line1: {}", lines[1]);
|
||
assert!(lines[2].contains(r#""params":[["signals.trend.fast.length",3.0],["signals.trend.slow.length",4.0],["signals.momentum.fast.length",2.0],["signals.momentum.slow.length",4.0],["signals.momentum.signal.length",3.0],["signals.blend.weights[0]",1.0],["signals.blend.weights[1]",1.0],["exposure.scale",0.5]]"#), "line2: {}", lines[2]);
|
||
assert!(lines[3].contains(r#""params":[["signals.trend.fast.length",3.0],["signals.trend.slow.length",5.0],["signals.momentum.fast.length",2.0],["signals.momentum.slow.length",4.0],["signals.momentum.signal.length",3.0],["signals.blend.weights[0]",1.0],["signals.blend.weights[1]",1.0],["exposure.scale",0.5]]"#), "line3: {}", lines[3]);
|
||
for line in &lines {
|
||
assert!(line.contains(r#""total_pips":"#), "missing total_pips: {line}");
|
||
assert!(line.contains(r#""max_drawdown":"#), "missing max_drawdown: {line}");
|
||
assert!(line.contains(r#""exposure_sign_flips":"#), "missing flips: {line}");
|
||
assert!(line.ends_with('}'), "line not closed: {line}");
|
||
}
|
||
}
|
||
|
||
#[test]
|
||
fn sweep_report_is_deterministic() {
|
||
// C1 at the CLI edge: the same build yields a bit-identical report.
|
||
assert_eq!(sweep_report(), sweep_report());
|
||
}
|
||
|
||
#[test]
|
||
fn run_macd_compiles_from_nested_composite_and_is_deterministic() {
|
||
// the MACD strategy authors a nested EMA-of-EMA composite, compiles it to a
|
||
// flat runnable harness (the call not panicking proves the compile+bootstrap
|
||
// path), and runs it. C1 determinism: two runs are bit-identical.
|
||
let r1 = run_macd();
|
||
let r2 = run_macd();
|
||
assert_eq!(r1.metrics, r2.metrics);
|
||
assert_eq!(r1.to_json(), r2.to_json());
|
||
|
||
// the synthetic stream is carried end-to-end and the trace is well-formed.
|
||
let (from, to) = r1.manifest.window;
|
||
assert_eq!((from.0, to.0), (1, 18));
|
||
assert!(r1.metrics.total_pips.is_finite(), "macd pips must be finite: {:?}", r1.metrics);
|
||
assert!(r1.metrics.max_drawdown >= 0.0, "drawdown is non-negative: {:?}", r1.metrics);
|
||
// after warm-up the EMA-of-EMA histogram crosses zero, so the strategy
|
||
// reverses exposure at least once — a genuinely non-trivial trace.
|
||
assert!(
|
||
r1.metrics.exposure_sign_flips >= 1,
|
||
"macd trace should flip exposure: {:?}",
|
||
r1.metrics
|
||
);
|
||
}
|
||
|
||
/// E2E acceptance (#41 / spec 0019, the worked example): the real MACD strategy
|
||
/// blueprint's swept param surface qualifies the three otherwise-indistinguishable
|
||
/// EMA `length` slots by node name to `macd.fast.length` / `macd.slow.length` /
|
||
/// `macd.signal.length` — the named composite boundary visible end-to-end through
|
||
/// `param_space()`, with the slot count and order unchanged (C23 — node names are
|
||
/// non-load-bearing: every interior slot stays sweepable, the `exposure.scale`
|
||
/// knob is unaffected).
|
||
#[test]
|
||
fn macd_param_space_surfaces_the_three_named_legs() {
|
||
let names: Vec<String> =
|
||
macd_blueprint().param_space().into_iter().map(|p| p.name).collect();
|
||
// three named composite-interior slots, in declared (fast, slow, signal)
|
||
// order, then the strategy-level Exposure `scale` (a root-level leaf).
|
||
assert_eq!(
|
||
names,
|
||
vec![
|
||
"macd.fast.length".to_string(),
|
||
"macd.slow.length".to_string(),
|
||
"macd.signal.length".to_string(),
|
||
"exposure.scale".to_string(),
|
||
],
|
||
"MACD param surface must expose the three named EMA lengths + scale",
|
||
);
|
||
}
|
||
|
||
/// `aura run --real <SYMBOL>` dogfoods the #71 streaming Source seam: the same
|
||
/// built-in sample signal-quality harness, but fed real M1 **close** bars
|
||
/// streamed lazily through `aura_ingest::M1FieldSource` (a `Box<dyn Source>`),
|
||
/// not synthetic `VecSource` prices. The property: over a bounded real window,
|
||
/// `run_sample_real` yields a `RunReport` whose `total_pips` is finite and is
|
||
/// C1-deterministic — two runs of the same window are bit-identical JSON.
|
||
///
|
||
/// Gated like the ingest `streaming_seam` test: skip (early return) when the
|
||
/// local Pepperstone archive is absent, so the spec never fails on a machine
|
||
/// without the data. Uses the verified bounded 2006-08 `AAPL.US` window (the
|
||
/// same FROM_MS/TO_MS the ingest seam test drives) so the two-run determinism
|
||
/// check stays fast.
|
||
#[test]
|
||
fn run_sample_real_streams_real_close_bars_deterministically() {
|
||
// Same bounded 2006-08 inclusive-ms window the ingest streaming_seam test
|
||
// uses; AAPL.US M1 data is present there on a data-bearing machine.
|
||
const SYMBOL: &str = "AAPL.US";
|
||
const FROM_MS: i64 = 1_154_390_400_000;
|
||
const TO_MS: i64 = 1_157_068_799_999;
|
||
|
||
// Mirror skip_if_no_data: never fail where the local archive is absent.
|
||
let server = std::sync::Arc::new(data_server::DataServer::new(
|
||
data_server::DEFAULT_DATA_PATH,
|
||
));
|
||
if !server.has_symbol(SYMBOL) {
|
||
eprintln!(
|
||
"skip: no local data at {} (symbol {SYMBOL} absent)",
|
||
data_server::DEFAULT_DATA_PATH
|
||
);
|
||
return;
|
||
}
|
||
|
||
// The headline: a real-data run over the bounded window yields a finite,
|
||
// C1-deterministic RunReport.
|
||
let r1 = run_sample_real(SYMBOL, Some(FROM_MS), Some(TO_MS));
|
||
let r2 = run_sample_real(SYMBOL, Some(FROM_MS), Some(TO_MS));
|
||
|
||
assert!(
|
||
r1.metrics.total_pips.is_finite(),
|
||
"real-data run must yield finite pips: {:?}",
|
||
r1.metrics
|
||
);
|
||
// C1 at the CLI edge: the same real window streamed twice is bit-identical.
|
||
assert_eq!(
|
||
r1.to_json(),
|
||
r2.to_json(),
|
||
"two real-data runs of the same window must be bit-identical (C1)"
|
||
);
|
||
}
|
||
|
||
/// `parse_real_args` accepts a bare symbol (no window) and a full
|
||
/// symbol + `--from`/`--to` pair in any order, and rejects a flag missing its
|
||
/// value — the pure arg grammar `main` relies on for `run --real`.
|
||
#[test]
|
||
fn parse_real_args_accepts_symbol_and_optional_window() {
|
||
assert_eq!(parse_real_args(&["EURUSD"]), Ok(("EURUSD".to_string(), None, None)));
|
||
assert_eq!(
|
||
parse_real_args(&["EURUSD", "--from", "100", "--to", "200"]),
|
||
Ok(("EURUSD".to_string(), Some(100), Some(200)))
|
||
);
|
||
// flags in any order
|
||
assert_eq!(
|
||
parse_real_args(&["EURUSD", "--to", "200", "--from", "100"]),
|
||
Ok(("EURUSD".to_string(), Some(100), Some(200)))
|
||
);
|
||
// a flag without its value, an empty symbol, and a non-numeric ms all reject
|
||
assert!(parse_real_args(&["EURUSD", "--from"]).is_err());
|
||
assert!(parse_real_args(&[]).is_err());
|
||
assert!(parse_real_args(&["EURUSD", "--from", "notanumber"]).is_err());
|
||
}
|
||
|
||
#[test]
|
||
fn run_sample_is_deterministic_and_non_trivial() {
|
||
let r1 = run_sample();
|
||
let r2 = run_sample();
|
||
// C1 determinism: two runs are bit-identical (metrics + rendered JSON).
|
||
assert_eq!(r1.metrics, r2.metrics);
|
||
assert_eq!(r1.to_json(), r2.to_json());
|
||
|
||
let m = &r1.metrics;
|
||
// exactly one exposure sign flip in the demo trace (rises then reverses).
|
||
assert_eq!(m.exposure_sign_flips, 1);
|
||
// a non-trivial, populated trace: a real drawdown.
|
||
assert!(m.max_drawdown > 0.0);
|
||
// hand-computed magnitudes for the chosen stream (float tolerance; the
|
||
// computation's dust is ~1e-15).
|
||
assert!(
|
||
(m.max_drawdown - 0.17).abs() < 1e-9,
|
||
"max_drawdown = {}",
|
||
m.max_drawdown
|
||
);
|
||
assert!(
|
||
(m.total_pips - (-0.13)).abs() < 1e-9,
|
||
"total_pips = {}",
|
||
m.total_pips
|
||
);
|
||
|
||
// manifest carries the sample's known configuration.
|
||
let (from, to) = r1.manifest.window;
|
||
assert_eq!((from.0, to.0), (1, 7));
|
||
// commit is the build's git identity (or the no-git "unknown" fallback);
|
||
// either way it is non-empty and fixed at compile time, so it is stable
|
||
// across runs of the same build (C1 determinism, already asserted above
|
||
// via `to_json()`).
|
||
assert!(!r1.manifest.commit.is_empty());
|
||
assert_eq!(r1.manifest.commit, r2.manifest.commit);
|
||
}
|
||
}
|