Aura/crates/aura-strategy/src/sizer.rs

//! `Sizer` — the flat-1R sizing seam (C10). Turns a protective-stop distance
//! into a position `size = risk_budget / stop_distance`: with `risk_budget = 1.0` this is
//! true flat-1R (one risk unit per trade) and `size` is inversely proportional to the
//! stop — NOT a constant. The `bias` input gates firing (a size is only meaningful when a
//! strategy is taking a position) and is the live/deploy-edge seam: fixed-fractional
//! sizing swaps `risk_budget` for `risk_fraction · equity` (an added equity input), same
//! node shape. R is computed SIZE-INVARIANTLY downstream, so the Sizer never contaminates
//! signal quality — it only scales the (deploy-edge) currency exposure.
use aura_core::{
    Cell, Ctx, FieldSpec, Firing, Node, NodeSchema, ParamSpec, PortSpec, PrimitiveBuilder,
    ScalarKind,
};

/// Flat-1R sizer: `size = risk_budget / stop_distance` (`risk_budget` > 0). Emits `None`
/// until both inputs are present (warm-up filter, C8).
pub struct Sizer {
    risk_budget: f64,
    out: [Cell; 1],
}

impl Sizer {
    /// Build a sizer with risk budget `risk_budget` (must be > 0; `1.0` = flat-1R).
    pub fn new(risk_budget: f64) -> Self {
        assert!(risk_budget > 0.0, "Sizer risk_budget must be > 0");
        Self { risk_budget, out: [Cell::from_f64(0.0)] }
    }

    /// The param-generic recipe: declares `risk_budget` and builds through `Sizer::new`.
    pub fn builder() -> PrimitiveBuilder {
        PrimitiveBuilder::new(
            "Sizer",
            NodeSchema {
                inputs: vec![
                    PortSpec { kind: ScalarKind::F64, firing: Firing::Any, name: "bias".into() },
                    PortSpec { kind: ScalarKind::F64, firing: Firing::Any, name: "stop_distance".into() },
                ],
                output: vec![FieldSpec { name: "size".into(), kind: ScalarKind::F64 }],
                params: vec![ParamSpec { name: "risk_budget".into(), kind: ScalarKind::F64 }],
                doc: "size = risk_budget / stop_distance at the deploy edge; bias only gates firing, research runs flat-1R",
            },
            |p| Box::new(Sizer::new(p[0].f64())),
        )
    }
}

impl Node for Sizer {
    fn lookbacks(&self) -> Vec<usize> {
        vec![1, 1]
    }

    fn eval(&mut self, ctx: Ctx<'_>) -> Option<&[Cell]> {
        let bias = ctx.f64_in(0);
        let dist = ctx.f64_in(1);
        if bias.is_empty() || dist.is_empty() {
            return None; // a size needs a (present) bias and a stop distance
        }
        let d = dist[0];
        // a zero/degenerate stop distance yields zero size (no division blow-up); a real
        // stop rule emits a strictly positive distance, so this guards only warm-up edges.
        let size = if d > 0.0 { self.risk_budget / d } else { 0.0 };
        self.out[0] = Cell::from_f64(size);
        Some(&self.out)
    }

    fn label(&self) -> String {
        format!("Sizer({})", self.risk_budget)
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use aura_core::{AnyColumn, Scalar, Timestamp};

    fn eval_once(s: &mut Sizer, bias: f64, dist: f64) -> Option<f64> {
        let mut c = vec![
            AnyColumn::with_capacity(ScalarKind::F64, 1),
            AnyColumn::with_capacity(ScalarKind::F64, 1),
        ];
        c[0].push(Scalar::f64(bias)).unwrap();
        c[1].push(Scalar::f64(dist)).unwrap();
        s.eval(Ctx::new(&c, Timestamp(0))).map(|o| o[0].f64())
    }

    // (4) flat-1R invariant: size * stop_distance == risk_budget for every stop distance.
    #[test]
    fn sizer_is_flat_1r_invariant() {
        for budget in [1.0_f64, 2.5] {
            let mut s = Sizer::new(budget);
            for dist in [0.5_f64, 2.0, 10.0, 37.5] {
                let size = eval_once(&mut s, 1.0, dist).expect("both inputs present");
                assert!(
                    (size * dist - budget).abs() < 1e-9,
                    "size*dist must equal risk_budget; budget={budget} dist={dist} size={size}"
                );
            }
        }
    }

    #[test]
    #[should_panic(expected = "risk_budget must be > 0")]
    fn sizer_panics_on_zero_risk_budget() {
        let _ = Sizer::new(0.0);
    }

    #[test]
    #[should_panic(expected = "risk_budget must be > 0")]
    fn sizer_panics_on_negative_risk_budget() {
        let _ = Sizer::new(-1.0);
    }

    #[test]
    fn sizer_is_none_until_both_inputs_present() {
        let mut s = Sizer::new(1.0);
        let mut c = vec![
            AnyColumn::with_capacity(ScalarKind::F64, 1),
            AnyColumn::with_capacity(ScalarKind::F64, 1),
        ];
        // only bias present -> None
        c[0].push(Scalar::f64(1.0)).unwrap();
        assert_eq!(s.eval(Ctx::new(&c, Timestamp(0))), None);
        // both present -> Some(risk_budget / dist) = 1.0/10.0 = 0.1
        c[1].push(Scalar::f64(10.0)).unwrap();
        assert_eq!(s.eval(Ctx::new(&c, Timestamp(0))), Some([Cell::from_f64(0.1)].as_slice()));
    }

    #[test]
    fn input_slots_are_named_bias_and_stop_distance() {
        let b = Sizer::builder();
        let names: Vec<&str> = b.schema().inputs.iter().map(|p| p.name.as_str()).collect();
        assert_eq!(names, ["bias", "stop_distance"]);
    }
}