cleanup(dead): delete orphan transformers/features.rs — [DEAD-003]
File was 126 LOC of dangling test code referencing types that don't exist (FeatureConfig, MarketTick, MarketMicrostructure, TradeFlowFeatures, FinancialFeatureExtractor, percentile). Not declared via `mod features;` in transformers/mod.rs, so the compiler never saw it. Pure dead weight.
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jgrusewski
@@ -1,126 +0,0 @@
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//! # Financial Feature Engineering for HFT Transformers
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//!
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//! This module implements state-of-the-art feature extraction for financial
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//! market microstructure data, optimized for transformer model input.
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//!
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//! ## Key Features
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//!
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//! - **Order Book Imbalance**: Bid/ask volume imbalances and pressure
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//! - **Trade Flow Analysis**: Aggressive vs passive order flow patterns
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//! - **Microstructure Signals**: Spread, volatility, intensity measures
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//! - **Temporal Features**: Time-of-day, volume clocks, event sequences
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//! - **Cross-Asset Signals**: Correlation and cointegration features
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//!
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//! ## Performance Optimizations
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//!
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//! - Pre-allocated feature vectors for zero-allocation extraction
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//! - SIMD-optimized mathematical operations
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//! - Incremental updates for streaming data
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//! - <20μs feature extraction from raw market data
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use common::types::{Price, Quantity, Symbol};
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use std::collections::VecDeque;
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use ml_core::native_types::{NativeDevice, NativeTensor};
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use ml_core::cuda_autograd::GpuTensor;
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use chrono::{DateTime, Datelike, Timelike, Utc};
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use serde::{Deserialize, Serialize};
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use super::*;
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#[test]
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fn test_feature_config_default() {
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let config = FeatureConfig::default();
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assert_eq!(config.lookback_window, 100);
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assert_eq!(config.book_levels, 5);
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assert!(config.use_order_book_features);
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assert!(config.use_trade_flow_features);
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}
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#[test]
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fn test_market_microstructure_from_tick() {
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let tick = MarketTick::new(
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Symbol::new("EURUSD")?,
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Price::from_f64(1.1000).unwrap(), // bid_price
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Price::from_f64(1.1002).unwrap(), // ask_price
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Price::from_f64(1.1001).unwrap(), // last_price
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Volume::new(1000.0), // volume
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Quantity::from(500), // bid_size
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Quantity::from(300), // ask_size
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1234567890, // timestamp_us
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);
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let micro = MarketMicrostructure::from_tick(&tick);
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assert_eq!(micro.bid_price, tick.bid_price);
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assert_eq!(micro.ask_price, tick.ask_price);
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assert!(micro.book_imbalance > 0.0); // More bid volume than ask
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}
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#[test]
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fn test_trade_flow_features() {
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let mut trades = Vec::new();
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// Create sample trades
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for i in 0..10 {
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let mut micro = MarketMicrostructure {
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timestamp: 1234567890 + i as u64 * 1000,
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bid_price: Price::from_f64(1.1000).unwrap(),
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ask_price: Price::from_f64(1.1002).unwrap(),
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bid_volume: Volume::new(100.0),
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ask_volume: Volume::new(100.0),
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mid_price: Price::from_f64(1.1001).unwrap(),
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spread: Price::from_f64(0.0002).unwrap(),
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last_price: Some(Price::from_f64(1.1001).unwrap()),
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last_volume: Some(Volume::new(100 + i as u64 * 10)),
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trade_direction: if i % 2 == 0 { 1 } else { -1 },
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book_imbalance: 0.0,
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vwap: None,
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trade_count: 1,
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};
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trades.push(micro);
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}
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let features = TradeFlowFeatures::extract(&trades, 1.0);
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let vector = features.to_vector();
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assert_eq!(vector.len(), 8);
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assert!(features.trade_intensity > 0.0);
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assert!(features.avg_trade_size > 0.0);
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}
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#[test]
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fn test_percentile_calculation() {
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let data = vec![1.0, 2.0, 3.0, 4.0, 5.0];
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assert_eq!(percentile(&data, 0.0), 1.0);
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assert_eq!(percentile(&data, 0.5), 3.0);
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assert_eq!(percentile(&data, 1.0), 5.0);
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let empty_data = vec![];
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assert_eq!(percentile(&empty_data, 0.5), 0.0);
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}
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#[tokio::test]
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async fn test_feature_extractor() {
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let config = FeatureConfig::default();
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let device = NativeDevice::Cuda(0);
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let mut extractor = FinancialFeatureExtractor::new(config, device);
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let tick = MarketTick::new(
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Symbol::new("EURUSD")?,
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Price::from_f64(1.1000).unwrap(), // bid_price
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Price::from_f64(1.1002).unwrap(), // ask_price
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Price::from_f64(1.1001).unwrap(), // last_price
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Volume::new(1000.0), // volume
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Quantity::from(500), // bid_size
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Quantity::from(300), // ask_size
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1234567890, // timestamp_us
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);
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let features_tensor = extractor.extract_features(&tick)?;
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let shape = features_tensor.shape();
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assert_eq!(shape.dims(), &[1, 32]); // Default output dimension
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assert!(extractor.average_extraction_time_us() > 0.0);
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}
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}
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