Files
Aura/crates/aura-strategy/src/cost_sum.rs
T
claude d8c6938027 feat(engine, market, strategy, backtest): NodeSchema.doc threading across the domain crates
C29 compile/unit seam, tasks 4+5 of the self-description plan.

aura-engine (task 4): derive_signature stamps doc: "" with the stance
recorded in-code -- a derived composite signature is graph wiring, not
a vocabulary entry; no seam walks its doc, the described surface is the
composite's own doc at the register seam. All in-crate test literals
thread doc: "test-only schema".

Domain crates (task 5): the 12 production builder sites in
aura-market / aura-strategy / aura-backtest carry authored meaning
lines; test sites in aura-backtest / aura-composites / aura-ingest
thread the test-only doc.

Three texts were corrected against the actual node semantics after
quality review rather than kept from the first authoring pass:
SimBroker is the frictionless integrator of held exposure times price
return into cumulative pip equity (no fills/stops/lifecycle -- that is
PositionManagement's domain), the shared cost-node line names the
PM-geometry inputs and both charge modes (AtClose / PerHeldCycle)
instead of a "per-trade gross R" mapping, and LongOnly's line
conditions on its enabled param and speaks port-term "exposure".

Gates: cargo test green for all six touched crates (engine, market,
strategy, backtest, composites, ingest); the workspace-wide gate
follows task 6 (aura-runner is the one remaining unthreaded site,
E0063 by design until then).

refs #316
2026-07-23 16:08:26 +02:00

165 lines
6.1 KiB
Rust

//! `CostSum` — the output node of a C10 cost-model graph: it sums `n_costs`
//! cost-in-R records per-field into one aggregate record, so any number of cost
//! nodes collapses to the single 3-field cost stream the net-R seam already
//! consumes (`summarize_r` + the `net_r_equity` tap stay unchanged). Each cost
//! node contributes the 3-field `{cost_in_r, cum_cost_in_r, open_cost_in_r}`
//! record; the aggregate is the per-field sum. `n_costs = 1` is the identity, so
//! the cost path is uniform whether one or several cost nodes are wired.
use aura_core::{
Cell, Ctx, FieldSpec, Firing, Node, NodeSchema, PortSpec, PrimitiveBuilder, ScalarKind,
};
/// The cost-record field triple and its width come from the shared cost contract
/// (`crate::cost::{COST_FIELD_NAMES, COST_WIDTH}`) — one source of truth, read by
/// both the producer side (`cost_node_builder`) and this aggregator. The input-name
/// loop, the output schema, the lookback vector, and the eval accumulator all read
/// it, so the producer↔aggregator field match is structural, not by-convention.
use crate::cost::{cost_port, COST_FIELD_NAMES, COST_WIDTH};
/// Per-field sum of `n_costs` cost-in-R records. Inputs are
/// `cost[k].{cost_in_r,cum_cost_in_r,open_cost_in_r}` for `k in 0..n_costs`, in
/// slot order (3 per cost node); the 3-field output mirrors a single cost record.
/// Emits `None` until every input leg is present (mode-A as-of join, like LinComb).
pub struct CostSum {
n_costs: usize,
out: [Cell; COST_WIDTH],
}
impl CostSum {
pub fn new(n_costs: usize) -> Self {
assert!(n_costs >= 1, "CostSum needs at least one cost input");
Self { n_costs, out: [Cell::from_f64(0.0); COST_WIDTH] }
}
/// The param-generic recipe. `n_costs` is topology (fixed per blueprint, C19),
/// captured by the build closure (no per-build params). The input names are a
/// lockstep contract with the connect side (`cost[k].<field>`).
pub fn builder(n_costs: usize) -> PrimitiveBuilder {
let mut inputs = Vec::with_capacity(n_costs * COST_WIDTH);
for k in 0..n_costs {
for field in COST_FIELD_NAMES {
inputs.push(PortSpec {
kind: ScalarKind::F64,
firing: Firing::Any,
// Owned String (PortSpec.name is String); the NAME comes from
// the shared cost_port helper so the aggregator's input names
// and cost_graph's agg-side names share ONE shape definition.
name: cost_port(k, field).to_string(),
});
}
}
PrimitiveBuilder::new(
"CostSum",
NodeSchema {
inputs,
output: COST_FIELD_NAMES
.iter()
.map(|n| FieldSpec { name: (*n).into(), kind: ScalarKind::F64 })
.collect(),
params: vec![],
doc: "sums cost-model contributions into one cost-in-R stream",
},
move |_| Box::new(CostSum::new(n_costs)),
)
}
}
impl Node for CostSum {
fn lookbacks(&self) -> Vec<usize> {
vec![1; self.n_costs * COST_WIDTH]
}
fn eval(&mut self, ctx: Ctx<'_>) -> Option<&[Cell]> {
let mut acc = [0.0_f64; COST_WIDTH]; // per-field accumulator, COST_FIELD_NAMES order
for k in 0..self.n_costs {
for (f, slot) in acc.iter_mut().enumerate() {
let w = ctx.f64_in(k * COST_WIDTH + f);
if w.is_empty() {
return None;
}
*slot += w[0];
}
}
self.out = [Cell::from_f64(acc[0]), Cell::from_f64(acc[1]), Cell::from_f64(acc[2])];
Some(&self.out)
}
fn label(&self) -> String {
format!("CostSum({})", self.n_costs)
}
}
#[cfg(test)]
mod tests {
use super::*;
use aura_core::{AnyColumn, Scalar, Timestamp};
fn f64_cols(n: usize) -> Vec<AnyColumn> {
(0..n).map(|_| AnyColumn::with_capacity(ScalarKind::F64, 1)).collect()
}
#[test]
fn two_records_sum_per_field() {
let mut s = CostSum::new(2);
let mut inputs = f64_cols(6);
// cost[0] = [0.5, 0.5, 0.0]; cost[1] = [0.375, 1.0, 0.2]
for (i, v) in [0.5, 0.5, 0.0, 0.375, 1.0, 0.2].into_iter().enumerate() {
inputs[i].push(Scalar::f64(v)).unwrap();
}
// per-field sum: [0.875, 1.5, 0.2]
assert_eq!(
s.eval(Ctx::new(&inputs, Timestamp(0))),
Some([Cell::from_f64(0.875), Cell::from_f64(1.5), Cell::from_f64(0.2)].as_slice())
);
}
#[test]
fn n_one_is_identity() {
let mut s = CostSum::new(1);
let mut inputs = f64_cols(3);
for (i, v) in [0.5, 1.25, 0.3].into_iter().enumerate() {
inputs[i].push(Scalar::f64(v)).unwrap();
}
assert_eq!(
s.eval(Ctx::new(&inputs, Timestamp(0))),
Some([Cell::from_f64(0.5), Cell::from_f64(1.25), Cell::from_f64(0.3)].as_slice())
);
}
#[test]
fn withholds_until_every_leg_present() {
let mut s = CostSum::new(2);
let mut inputs = f64_cols(6);
// only the first cost node's three fields present -> withhold
for col in inputs.iter_mut().take(3) {
col.push(Scalar::f64(1.0)).unwrap();
}
assert_eq!(s.eval(Ctx::new(&inputs, Timestamp(0))), None);
}
#[test]
fn input_slots_are_named_cost_index_field() {
let s = CostSum::builder(2);
let names: Vec<String> = s.schema().inputs.iter().map(|p| p.name.clone()).collect();
assert_eq!(
names,
[
"cost[0].cost_in_r", "cost[0].cum_cost_in_r", "cost[0].open_cost_in_r",
"cost[1].cost_in_r", "cost[1].cum_cost_in_r", "cost[1].open_cost_in_r",
]
);
}
#[test]
fn label_carries_the_arity() {
assert_eq!(CostSum::new(2).label(), "CostSum(2)");
}
#[test]
#[should_panic(expected = "CostSum needs at least one cost input")]
fn new_panics_on_zero() {
let _ = CostSum::new(0);
}
}