d8c6938027
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
165 lines
6.1 KiB
Rust
165 lines
6.1 KiB
Rust
//! `CostSum` — the output node of a C10 cost-model graph: it sums `n_costs`
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//! cost-in-R records per-field into one aggregate record, so any number of cost
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//! nodes collapses to the single 3-field cost stream the net-R seam already
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//! consumes (`summarize_r` + the `net_r_equity` tap stay unchanged). Each cost
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//! node contributes the 3-field `{cost_in_r, cum_cost_in_r, open_cost_in_r}`
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//! record; the aggregate is the per-field sum. `n_costs = 1` is the identity, so
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//! the cost path is uniform whether one or several cost nodes are wired.
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use aura_core::{
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Cell, Ctx, FieldSpec, Firing, Node, NodeSchema, PortSpec, PrimitiveBuilder, ScalarKind,
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};
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/// The cost-record field triple and its width come from the shared cost contract
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/// (`crate::cost::{COST_FIELD_NAMES, COST_WIDTH}`) — one source of truth, read by
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/// both the producer side (`cost_node_builder`) and this aggregator. The input-name
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/// loop, the output schema, the lookback vector, and the eval accumulator all read
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/// it, so the producer↔aggregator field match is structural, not by-convention.
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use crate::cost::{cost_port, COST_FIELD_NAMES, COST_WIDTH};
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/// Per-field sum of `n_costs` cost-in-R records. Inputs are
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/// `cost[k].{cost_in_r,cum_cost_in_r,open_cost_in_r}` for `k in 0..n_costs`, in
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/// slot order (3 per cost node); the 3-field output mirrors a single cost record.
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/// Emits `None` until every input leg is present (mode-A as-of join, like LinComb).
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pub struct CostSum {
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n_costs: usize,
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out: [Cell; COST_WIDTH],
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}
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impl CostSum {
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pub fn new(n_costs: usize) -> Self {
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assert!(n_costs >= 1, "CostSum needs at least one cost input");
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Self { n_costs, out: [Cell::from_f64(0.0); COST_WIDTH] }
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}
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/// The param-generic recipe. `n_costs` is topology (fixed per blueprint, C19),
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/// captured by the build closure (no per-build params). The input names are a
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/// lockstep contract with the connect side (`cost[k].<field>`).
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pub fn builder(n_costs: usize) -> PrimitiveBuilder {
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let mut inputs = Vec::with_capacity(n_costs * COST_WIDTH);
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for k in 0..n_costs {
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for field in COST_FIELD_NAMES {
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inputs.push(PortSpec {
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kind: ScalarKind::F64,
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firing: Firing::Any,
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// Owned String (PortSpec.name is String); the NAME comes from
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// the shared cost_port helper so the aggregator's input names
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// and cost_graph's agg-side names share ONE shape definition.
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name: cost_port(k, field).to_string(),
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});
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}
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}
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PrimitiveBuilder::new(
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"CostSum",
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NodeSchema {
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inputs,
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output: COST_FIELD_NAMES
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.iter()
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.map(|n| FieldSpec { name: (*n).into(), kind: ScalarKind::F64 })
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.collect(),
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params: vec![],
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doc: "sums cost-model contributions into one cost-in-R stream",
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},
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move |_| Box::new(CostSum::new(n_costs)),
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)
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}
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}
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impl Node for CostSum {
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fn lookbacks(&self) -> Vec<usize> {
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vec![1; self.n_costs * COST_WIDTH]
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}
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fn eval(&mut self, ctx: Ctx<'_>) -> Option<&[Cell]> {
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let mut acc = [0.0_f64; COST_WIDTH]; // per-field accumulator, COST_FIELD_NAMES order
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for k in 0..self.n_costs {
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for (f, slot) in acc.iter_mut().enumerate() {
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let w = ctx.f64_in(k * COST_WIDTH + f);
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if w.is_empty() {
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return None;
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}
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*slot += w[0];
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}
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}
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self.out = [Cell::from_f64(acc[0]), Cell::from_f64(acc[1]), Cell::from_f64(acc[2])];
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Some(&self.out)
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}
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fn label(&self) -> String {
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format!("CostSum({})", self.n_costs)
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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 f64_cols(n: usize) -> Vec<AnyColumn> {
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(0..n).map(|_| AnyColumn::with_capacity(ScalarKind::F64, 1)).collect()
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}
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#[test]
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fn two_records_sum_per_field() {
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let mut s = CostSum::new(2);
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let mut inputs = f64_cols(6);
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// cost[0] = [0.5, 0.5, 0.0]; cost[1] = [0.375, 1.0, 0.2]
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for (i, v) in [0.5, 0.5, 0.0, 0.375, 1.0, 0.2].into_iter().enumerate() {
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inputs[i].push(Scalar::f64(v)).unwrap();
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}
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// per-field sum: [0.875, 1.5, 0.2]
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assert_eq!(
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s.eval(Ctx::new(&inputs, Timestamp(0))),
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Some([Cell::from_f64(0.875), Cell::from_f64(1.5), Cell::from_f64(0.2)].as_slice())
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);
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}
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#[test]
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fn n_one_is_identity() {
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let mut s = CostSum::new(1);
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let mut inputs = f64_cols(3);
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for (i, v) in [0.5, 1.25, 0.3].into_iter().enumerate() {
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inputs[i].push(Scalar::f64(v)).unwrap();
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}
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assert_eq!(
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s.eval(Ctx::new(&inputs, Timestamp(0))),
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Some([Cell::from_f64(0.5), Cell::from_f64(1.25), Cell::from_f64(0.3)].as_slice())
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);
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}
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#[test]
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fn withholds_until_every_leg_present() {
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let mut s = CostSum::new(2);
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let mut inputs = f64_cols(6);
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// only the first cost node's three fields present -> withhold
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for col in inputs.iter_mut().take(3) {
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col.push(Scalar::f64(1.0)).unwrap();
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}
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assert_eq!(s.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_cost_index_field() {
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let s = CostSum::builder(2);
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let names: Vec<String> = s.schema().inputs.iter().map(|p| p.name.clone()).collect();
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assert_eq!(
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names,
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[
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"cost[0].cost_in_r", "cost[0].cum_cost_in_r", "cost[0].open_cost_in_r",
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"cost[1].cost_in_r", "cost[1].cum_cost_in_r", "cost[1].open_cost_in_r",
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]
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);
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}
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#[test]
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fn label_carries_the_arity() {
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assert_eq!(CostSum::new(2).label(), "CostSum(2)");
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}
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#[test]
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#[should_panic(expected = "CostSum needs at least one cost input")]
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fn new_panics_on_zero() {
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let _ = CostSum::new(0);
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}
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}
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