Brummel
f5e00a9c72
Cycle 5 of milestone #148 (cost-model graph in R): the per-cycle-held accrual mechanism — C10's "per-cycle-held factors accrue over the hold". A carry/funding cost is charged for every cycle a position is held, so the net_r_equity equity curve bleeds continuously over the hold (approach B, "ja, mach B") rather than stepping at close. Mechanism (logged on #148): ChargeMode { AtClose, PerHeldCycle } is a property of the cost factor, read by the one shared CostRunner (no second runner type). The AtClose arm is the pre-cycle-5 eval tokens VERBATIM (IEEE-754 byte-identity). The PerHeldCycle arm accrues `per` into `acc` each held cycle, dumps the accrued total into `cum` at close (resetting acc), and marks the open position via a growing open_cost_in_r. The bleed lives in open_cost_in_r, which the net_r_equity tap already subtracts — so summarize_r and the CLI net_eq wiring are UNCHANGED, and the cycle-0083/0084 net_expectancy_r goldens (-614.3134020253314 flat, -615.0304388396047 composed) + the C18 no-cost golden stay byte-identical. CarryCost is a ConstantCost twin differing only in charge_mode() -> PerHeldCycle (a labelled stress parameter, the flat base of the accrual family). Wired through the existing cost_graph/CostSum aggregation; a per-trade ConstantCost and a per-held-cycle CarryCost compose in one run (the costs sum per-field — the composed golden is exactly the sum of the two single-cost charges). New run-path --carry-per-cycle flag (sweep/walkforward/mc pass None, as the existing cost flags do). Tests: 2 RED-first unit B-proofs (open_cost grows over the hold, dumps the total at close, acc resets between trades — the discriminator a scalar net_expectancy_r cannot see); the CarryCost twin's 5 unit tests; 2 captured net_expectancy_r goldens (-768.2095026600887 carry, -1383.7939051991182 composed); a net_r_equity-bleeds-over- the-hold integration test (the terminal open hold's r_equity-net_r_equity gap strictly grows); plus negative-rate-refused-exit-2, monotone-in-rate, and zero-rate-exactly-free guards. Verified: cargo test --workspace (0 failures), cargo build --workspace, cargo clippy --workspace --all-targets -- -D warnings clean. summarize_r / aura-analysis untouched. Deferred to later #148 cycles (logged there): notional-based carry, the calendar-aware overnight swap, sweep-path cost. refs #148
86 lines
2.4 KiB
Rust
86 lines
2.4 KiB
Rust
//! `aura-std` — the standard node library shipped with the engine.
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//!
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//! The universal, batteries-included building blocks every project gets for
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//! free: common indicators (SMA, ATR, RSI, …), resamplers, the `SessionNode`,
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//! standard combinators, the legacy `SimBroker` pip yardstick, and cost-model
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//! nodes authored against the [`CostNode`] trait + [`CostRunner`] adapter
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//! (`ConstantCost`, `VolSlippageCost`, …, in R — C10). Depends only on `aura-core`
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//! (the shared contract).
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//!
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//! This is the top tier of the three-tier node-reuse model (contract C16):
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//!
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//! - `aura-std` — universal blocks, here, ship with the engine;
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//! - shared node crates — cross-project-reusable blocks, in their own repos,
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//! pulled in as cargo git dependencies;
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//! - project-local `nodes/` — experimental, project-specific blocks.
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//!
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//! The first block lands with the walking skeleton: [`Sma`], the simple moving
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//! average — a worked producer node proving the `aura-core` `Node` contract.
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mod add;
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mod and;
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mod bias;
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mod carry_cost;
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mod constant_cost;
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mod cost;
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mod cost_sum;
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mod delay;
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mod ema;
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mod eqconst;
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mod gated_recorder;
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mod gt;
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mod latch;
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mod lincomb;
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mod longonly;
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mod mul;
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mod position_management;
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mod recorder;
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mod resample;
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mod rolling_max;
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mod rolling_min;
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mod series_reducer;
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mod session;
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mod sim_broker;
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mod sizer;
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mod sma;
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mod sqrt;
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mod stop_rule;
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mod sub;
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mod vol_slippage_cost;
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pub use add::Add;
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pub use and::And;
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pub use bias::Bias;
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pub use carry_cost::CarryCost;
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pub use constant_cost::ConstantCost;
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pub use cost::{
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cost_node_builder, ChargeMode, CostNode, CostRunner, COST_FIELD_NAMES, COST_WIDTH,
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GEOMETRY_WIDTH,
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};
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pub use cost_sum::CostSum;
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pub use delay::Delay;
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pub use ema::Ema;
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pub use eqconst::EqConst;
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pub use gated_recorder::GatedRecorder;
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pub use gt::Gt;
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pub use latch::Latch;
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pub use lincomb::LinComb;
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pub use longonly::LongOnly;
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pub use mul::Mul;
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pub use position_management::{
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ExitReason, FIELD_NAMES as PM_FIELD_NAMES, PositionManagement, RECORD_KINDS as PM_RECORD_KINDS,
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WIDTH as PM_WIDTH,
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};
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pub use recorder::Recorder;
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pub use resample::Resample;
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pub use rolling_max::RollingMax;
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pub use rolling_min::RollingMin;
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pub use series_reducer::SeriesReducer;
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pub use session::Session;
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pub use sim_broker::SimBroker;
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pub use sizer::Sizer;
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pub use sma::Sma;
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pub use sqrt::Sqrt;
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pub use stop_rule::FixedStop;
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pub use sub::Sub;
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pub use vol_slippage_cost::VolSlippageCost;
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