gitadmin/foxhunt
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat(trading_engine): re-enable features module, clean stale comments

Browse Source 
- Remove 6 stale "TEMPORARILY COMMENTED OUT" comments (modules already active)
- Fix features/mod.rs: repair corrupted use block, fix test_utils type mismatches
- Fix features/unified_extractor.rs: correct MarketTick import, safe indexing
- Add Debug derives, suppress dead_code on partially-implemented fields

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-02-22 03:08:30 +01:00
parent 704ce8eff6
commit 1ae419d88e
3 changed files with 56 additions and 99 deletions
Download Patch File Download Diff File Expand all files Collapse all files

115
trading_engine/src/features/mod.rs
View File

@@ -67,50 +67,11 @@ pub mod unified_extractor;
use async_trait::async_trait;
// Re-export the main types for convenient access
// DO NOT RE-EXPORT - Use explicit imports at usage sites
// AnalystRating variant
AnalystRating,
// Base feature components
// BaseMarketFeatures variant
BaseMarketFeatures,
// BenzingaNewsData variant
BenzingaNewsData,
// BenzingaNewsFeatures variant
BenzingaNewsFeatures,
// DQNFeatures variant
DQNFeatures,
// Data provider structures
// DatabentoBuData variant
DatabentoBuData,
// DatabentoBuFeatures variant
DatabentoBuFeatures,
// FeatureError variant
FeatureError,
// LiquidFeatures variant
LiquidFeatures,
// MAMBAFeatures variant
MAMBAFeatures,
// NewsArticle variant
NewsArticle,
// PPOFeatures variant
PPOFeatures,
// SentimentScore variant
SentimentScore,
// TFTFeatures variant
TFTFeatures,
// Model-specific feature sets
// TLOBFeatures variant
TLOBFeatures,
// UnifiedConfig variant
UnifiedConfig,
// UnifiedFeatureExtractor variant
UnifiedFeatureExtractor,
// UnusualOptionsActivity variant
UnusualOptionsActivity,
// Types are NOT re-exported - use explicit imports at usage sites:
// use crate::features::unified_extractor::{...};
use unified_extractor::{
BaseMarketFeatures, BenzingaNewsData, BenzingaNewsFeatures, DatabentoBuData,
DatabentoBuFeatures, FeatureError, UnifiedFeatureExtractor,
};
/// Feature extraction result type for ergonomic error handling
@@ -267,6 +228,7 @@ pub mod monitoring {
}
/// Performance monitor for feature extraction
#[derive(Debug)]
pub struct FeatureMonitor {
metrics: HashMap<String, Vec<FeatureMetrics>>,
start_times: HashMap<String, Instant>,
@@ -355,33 +317,32 @@ pub mod monitoring {
/// Testing utilities for feature validation
#[cfg(test)]
pub mod test_utils {
use super::*;
use common::*;
use chrono::Utc;
use common::types::{Exchange, HftTimestamp, MarketTick, TickType};
use common::{Price, Quantity, Symbol, TradeEvent};
use rust_decimal_macros::dec;
use super::unified_extractor::{
BenzingaNewsData, DatabentoBuData, NewsArticle, SentimentScore,
};
/// Create mock Databento data for testing
pub fn create_mock_databento_data() -> DatabentoBuData {
let bid_price = Price::from_f64(100.50).unwrap_or(Price::ZERO);
let ask_price = Price::from_f64(100.51).unwrap_or(Price::ZERO);
let bid_qty = Quantity::from_f64(1000.0).unwrap_or(Quantity::ZERO);
let ask_qty = Quantity::from_f64(800.0).unwrap_or(Quantity::ZERO);
DatabentoBuData {
order_book: vec![
OrderBookLevel {
price: Price::from_dollars(100.50),
size: Decimal::from(1000),
side: OrderSide::Bid,
},
OrderBookLevel {
price: Price::from_dollars(100.51),
size: Decimal::from(800),
side: OrderSide::Ask,
},
(bid_price, bid_qty),
(ask_price, ask_qty),
],
trades: vec![Trade {
symbol: Symbol::new("AAPL"),
price: Price::from_dollars(100.505),
volume: Decimal::from(100),
timestamp: Utc::now(),
side: OrderSide::Buy,
trade_id: "T123".to_string(),
}],
trades: vec![TradeEvent::new(
"AAPL".to_string(),
dec!(100.505),
dec!(100),
Utc::now(),
).with_trade_id("T123")],
quotes: vec![],
timestamp: Utc::now(),
}
@@ -395,12 +356,12 @@ pub mod test_utils {
content: "Apple exceeded expectations...".to_string(),
source: "Reuters".to_string(),
timestamp: Utc::now(),
symbols: vec![Symbol::new("AAPL")],
symbols: vec![Symbol::new("AAPL".to_string())],
category: "earnings".to_string(),
importance: 0.8,
}],
sentiment_scores: vec![SentimentScore {
symbol: Symbol::new("AAPL"),
symbol: Symbol::new("AAPL".to_string()),
score: 0.6,
confidence: 0.9,
timestamp: Utc::now(),
@@ -412,24 +373,24 @@ pub mod test_utils {
}
/// Create mock historical market data
#[allow(clippy::unwrap_used)]
pub fn create_mock_historical_data() -> Vec<MarketTick> {
let base_price = 100.0;
let base_price = 100.0_f64;
let mut data = Vec::new();
for i in 0..1000 {
for i in 0..1000_u64 {
let price_change = (i as f64 / 100.0).sin() * 0.01;
let price = Price::from_dollars(base_price + price_change);
let volume = Decimal::from(1000 + (i % 500) as i64);
let price = Price::from_f64(base_price + price_change).unwrap_or(Price::ZERO);
let size = Quantity::from_f64(1000.0 + (i % 500) as f64).unwrap_or(Quantity::ZERO);
data.push(MarketTick {
symbol: Symbol::new("AAPL"),
symbol: Symbol::new("AAPL".to_string()),
price,
volume,
timestamp: Utc::now() - chrono::Duration::seconds(1000 - i as i64),
bid: Some(price - Price::from_cents(1)),
ask: Some(price + Price::from_cents(1)),
bid_size: Some(volume),
ask_size: Some(volume),
size,
timestamp: HftTimestamp::now().unwrap(),
tick_type: TickType::Trade,
exchange: Exchange::NASDAQ,
sequence_number: i,
});
}

31
trading_engine/src/features/unified_extractor.rs
View File

@@ -22,7 +22,8 @@ use thiserror::Error;
use tracing::{debug, error};
use crate::simd::SimdMarketDataOps;
use common::{Price, Volume, Symbol, MarketTick, Quantity, TradeEvent, QuoteEvent};
use common::types::MarketTick;
use common::{Price, Quantity, QuoteEvent, Symbol, TradeEvent, Volume};
/// Feature extraction errors
#[derive(Error, Debug)]
@@ -455,6 +456,8 @@ impl Default for UnifiedConfig {
}
/// The unified feature extractor - SINGLE SOURCE OF TRUTH
#[derive(Debug)]
#[allow(dead_code)]
pub struct UnifiedFeatureExtractor {
config: UnifiedConfig,
simd_processor: Option<SimdMarketDataOps>,
@@ -762,7 +765,11 @@ impl UnifiedFeatureExtractor {
});
}
let latest = historical_data.last().unwrap();
let latest = historical_data.last().ok_or_else(|| FeatureError::InsufficientData {
feature: "base_features".to_owned(),
required: 1,
available: 0,
})?;
// Calculate returns using SIMD optimization
let returns_1m = self.calculate_returns(historical_data, Duration::from_secs(60))?;
@@ -804,7 +811,7 @@ impl UnifiedFeatureExtractor {
returns_1h,
volatility_1h,
volatility_4h,
volume: Volume::new(latest.size.value() as f64).unwrap_or(Volume::ZERO),
volume: Volume::from_f64(latest.size.to_f64()).unwrap_or(Volume::ZERO),
volume_ratio_1h,
vwap_deviation,
volume_imbalance,
@@ -971,9 +978,9 @@ impl UnifiedFeatureExtractor {
// Calculate log returns
let mut returns = Vec::with_capacity(data.len() - 1);
for i in 1..data.len() {
let curr_price = data[i].price;
let prev_price = data[i - 1].price;
for window in data.windows(2) {
let prev_price = window.first().map(|t| t.price).unwrap_or(Price::ZERO);
let curr_price = window.last().map(|t| t.price).unwrap_or(Price::ZERO);
if prev_price.to_f64() > 0.0 && curr_price.to_f64() > 0.0 {
returns.push((curr_price.to_f64() / prev_price.to_f64()).ln());
@@ -1036,15 +1043,13 @@ impl UnifiedFeatureExtractor {
length: usize,
) -> Result<Vec<f64>, FeatureError> {
let mut sequence = Vec::with_capacity(length);
let data_len = data.len();
for i in 0..length {
if i < data_len {
sequence.push(data[i].price.to_f64());
if let Some(tick) = data.get(i) {
sequence.push(tick.price.to_f64());
} else {
sequence.push(0.0);
}
}
// Ok variant
Ok(sequence)
}
@@ -1054,15 +1059,13 @@ impl UnifiedFeatureExtractor {
length: usize,
) -> Result<Vec<f64>, FeatureError> {
let mut sequence = Vec::with_capacity(length);
let data_len = data.len();
for i in 0..length {
if i < data_len {
sequence.push(data[i].size.to_f64());
if let Some(tick) = data.get(i) {
sequence.push(tick.size.to_f64());
} else {
sequence.push(0.0);
}
}
// Ok variant
Ok(sequence)
}

9
trading_engine/src/lib.rs
View File

@@ -96,7 +96,6 @@ extern crate log as _;
extern crate zeroize as _;
/// Core trading types with optimized memory layout and financial safety
// TEMPORARILY COMMENTED OUT: Testing for compilation hang - causes circular dependencies
pub mod types;
/// RDTSC-based ultra-low latency timing (14ns precision)
@@ -127,20 +126,17 @@ pub mod lockfree;
pub mod small_batch_optimizer;
/// High-performance event processing pipeline
// TEMPORARILY COMMENTED OUT: Testing for compilation hang
pub mod events;
/// Configuration management system
// Configuration is provided by the config crate
/// Persistence layer with PostgreSQL, `InfluxDB`, Redis, and `ClickHouse`
// TEMPORARILY COMMENTED OUT: Testing for compilation hang
pub mod persistence;
/// Prelude module for convenient imports
pub mod prelude;
/// Repository pattern abstractions for data access
// TEMPORARILY COMMENTED OUT: Testing for compilation hang
pub mod repositories;
/// Core trading operations with comprehensive metrics
@@ -151,16 +147,13 @@ pub mod trading_operations;
// Keep only working core trading_operations module
/// Core trading engine and business logic
// TEMPORARILY COMMENTED OUT: Testing for compilation hang
pub mod trading;
/// Broker connectivity and routing
// TEMPORARILY COMMENTED OUT: Testing for compilation hang
pub mod brokers;
/// Unified feature extraction system - prevents training/serving skew
// TEMPORARILY COMMENTED OUT: features module may have dependency issues
// pub mod features;
pub mod features;
/// Comprehensive performance benchmarks for `HFT` system validation
#[cfg(feature = "benchmarks")]
pub mod comprehensive_performance_benchmarks;