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feat(rl): pyramiding semantics — add/partial-flat/anti-martingale sizing

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Implements the full pyramid trade-management suite:

P7.a: actions_to_market_targets gates pyramid adds on ISV-driven
      threshold (slot 506); rl_unit_state_update allocates sequential
      unit slots on position growth, deactivates oldest on shrink.

P7.b: HalfFlat (a9/a10) closes oldest unit's lots when pyramid>1;
      trail-stop routes breaches through HalfFlat + close_unit_index
      override instead of nuclear full-flat.

P7.c: Anti-martingale sizing on opening actions via signed outcome EMA
      (slot 508) — size_eff = base × clamp(1 + κ × ema, MIN, MAX).

Diag: pyramid { units_count, add_count, outcome_ema } in step JSONL.

ISV slots: 506 threshold, 507 add_count, 508 outcome_ema,
           509 κ, 510 MIN, 511 MAX. RL_SLOTS_END → 512.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-05-24 21:15:04 +02:00
parent 45a2041db4
commit a583bb508c
9 changed files with 763 additions and 142 deletions
Download Patch File Download Diff File Expand all files Collapse all files

223
crates/ml-alpha/cuda/actions_to_market_targets.cu
View File

@@ -1,12 +1,5 @@
// actions_to_market_targets.cu — translate the 9-action discrete grid
// to LobSim's `market_targets[B*2] = {side, size}` device buffer
// (Phase R6 of the integrated RL trainer rebuild;
// see docs/superpowers/plans/2026-05-23-integrated-rl-trainer-rebuild.md).
//
// Replaces the host-side `submit_market(batch_idx, side, size, ts_ns)`
// loop the flawed Phase F shipped in LobSimEnvAdapter (which iterated
// the batch on CPU and called submit_market per batch — host
// orchestration of GPU work per `feedback_cpu_is_read_only`).
// actions_to_market_targets.cu — translate the 11-action discrete grid
// to LobSim's `market_targets[B*2] = {side, size}` device buffer.
//
// Action mapping (must match `crate::rl::common::Action` and
// `LobSimCuda::submit_market_immediate`'s expected `{side, size}` pair):
@@ -20,23 +13,56 @@
// 6 LongLarge side=0 (buy), size=2
// 7 TrailTighten side=2 (no-op),size=0 — handled by rl_trail_mutate kernel
// 8 TrailLoosen side=2 (no-op),size=0 — handled by rl_trail_mutate kernel
// 9 HalfFlatLong side=1 (sell), size=max(1, position_lots/2) if pos>0 (SP20 P4)
// 10 HalfFlatShort side=0 (buy), size=max(1, |position_lots|/2) if pos<0 (SP20 P4)
// 9 HalfFlatLong side=1 (sell), size=oldest_unit_lots (if pyramid>1)
// or ceil(|pos|/2) (if pyramid<=1)
// 10 HalfFlatShort side=0 (buy), size=oldest_unit_lots (if pyramid>1)
// or ceil(|pos|/2) (if pyramid<=1)
//
// Actions 3/4 require reading the current `position_lots` from the
// Pos struct (`offset 0`, i32). Other actions are pure constant
// translations.
// Pyramid semantics for actions 5/6 when already long (and 0/1 when
// already short):
// - If (mid - last_entry) >= threshold AND count < MAX_UNITS → ADD
// - Else if count < MAX_UNITS → REPLACE (fill replaces oldest unit)
// - Else (at MAX_UNITS, threshold not met) → no-op
//
// `Pos` struct layout (from crates/ml-backtesting/src/lob/mod.rs::PosFlat):
// offset 0: position_lots: i32
// (followed by other fields — see extract_realized_pnl_delta.cu header)
// HalfFlat semantics (a9/a10) when pyramid_units_count > 1:
// - Close the oldest active unit (lowest active index, OR
// close_unit_index[b] if trail-stop overrode it to a specific slot).
// - Emit size = |lots| of that unit.
// - When pyramid_units_count <= 1, fall back to ceil(|pos|/2).
//
// Element-wise, one thread per batch entry. No atomics.
#include <stdint.h>
#define MAX_UNITS 4
#define RL_PYRAMID_THRESHOLD_INDEX 506
#define RL_OUTCOME_EMA_INDEX 508
#define RL_ANTIMARTINGALE_KAPPA_INDEX 509
#define RL_ANTIMARTINGALE_MIN_INDEX 510
#define RL_ANTIMARTINGALE_MAX_INDEX 511
__device__ __forceinline__ int antimartingale_size(int base_size, const float* isv) {
const float ema = isv[RL_OUTCOME_EMA_INDEX];
const float kappa = isv[RL_ANTIMARTINGALE_KAPPA_INDEX];
const float lo = isv[RL_ANTIMARTINGALE_MIN_INDEX];
const float hi = isv[RL_ANTIMARTINGALE_MAX_INDEX];
const float scale = fmaxf(lo, fminf(1.0f + kappa * ema, hi));
const int sized = (int)(((float)base_size) * scale + 0.5f);
return (sized > 0) ? sized : 1;
}
extern "C" __global__ void actions_to_market_targets(
const int* __restrict__ actions, // [b_size]
const unsigned char* __restrict__ pos_state, // [b_size * pos_bytes]
int* __restrict__ market_targets, // [b_size * 2] OUT
const int* __restrict__ actions, // [b_size]
const unsigned char* __restrict__ pos_state, // [b_size * pos_bytes]
int* __restrict__ market_targets, // [b_size * 2] OUT
const float* __restrict__ isv,
const float* __restrict__ bid_px, // [BOOK_LEVELS]
const float* __restrict__ ask_px, // [BOOK_LEVELS]
const float* __restrict__ unit_entry_price, // [b_size * MAX_UNITS]
const unsigned char* __restrict__ unit_active, // [b_size * MAX_UNITS]
const int* __restrict__ unit_lots, // [b_size * MAX_UNITS]
const int* __restrict__ pyramid_units_count, // [b_size]
const int* __restrict__ close_unit_index, // [b_size] (-1 = auto oldest)
int b_size,
int pos_bytes
) {
@@ -44,54 +70,173 @@ extern "C" __global__ void actions_to_market_targets(
if (b >= b_size) return;
const int action = actions[b];
const int position_lots = *(const int*)(pos_state + b * pos_bytes);
int side = 2; // default no-op
int size = 0;
if (action == 0) {
side = 1; size = 2;
// ShortLarge — when already short, apply pyramid logic.
if (position_lots < 0) {
const int count = pyramid_units_count[b];
const float threshold = isv[RL_PYRAMID_THRESHOLD_INDEX];
const float mid = 0.5f * (bid_px[0] + ask_px[0]);
float last_entry = 0.0f;
const int base = b * MAX_UNITS;
for (int u = MAX_UNITS - 1; u >= 0; --u) {
if (unit_active[base + u]) {
last_entry = unit_entry_price[base + u];
break;
}
}
const float dist = last_entry - mid;
if (dist >= threshold && count < MAX_UNITS) {
side = 1; size = 2;
} else if (count < MAX_UNITS) {
side = 1; size = 2;
}
} else {
side = 1; size = antimartingale_size(2, isv);
}
} else if (action == 1) {
side = 1; size = 1;
// ShortSmall — when already short, apply pyramid logic.
if (position_lots < 0) {
const int count = pyramid_units_count[b];
const float threshold = isv[RL_PYRAMID_THRESHOLD_INDEX];
const float mid = 0.5f * (bid_px[0] + ask_px[0]);
float last_entry = 0.0f;
const int base = b * MAX_UNITS;
for (int u = MAX_UNITS - 1; u >= 0; --u) {
if (unit_active[base + u]) {
last_entry = unit_entry_price[base + u];
break;
}
}
const float dist = last_entry - mid;
if (dist >= threshold && count < MAX_UNITS) {
side = 1; size = 1;
} else if (count < MAX_UNITS) {
side = 1; size = 1;
}
} else {
side = 1; size = antimartingale_size(1, isv);
}
} else if (action == 2) {
// Hold — no-op.
} else if (action == 3) {
const int position_lots = *(const int*)(pos_state + b * pos_bytes);
if (position_lots > 0) {
side = 1; size = position_lots;
}
// else no-op (no long to flatten)
} else if (action == 4) {
const int position_lots = *(const int*)(pos_state + b * pos_bytes);
if (position_lots < 0) {
side = 0; size = -position_lots;
}
// else no-op (no short to flatten)
} else if (action == 5) {
side = 0; size = 1;
// LongSmall — when already long, apply pyramid logic.
if (position_lots > 0) {
const int count = pyramid_units_count[b];
const float threshold = isv[RL_PYRAMID_THRESHOLD_INDEX];
const float mid = 0.5f * (bid_px[0] + ask_px[0]);
float last_entry = 0.0f;
const int base = b * MAX_UNITS;
for (int u = MAX_UNITS - 1; u >= 0; --u) {
if (unit_active[base + u]) {
last_entry = unit_entry_price[base + u];
break;
}
}
const float dist = mid - last_entry;
if (dist >= threshold && count < MAX_UNITS) {
side = 0; size = 1;
} else if (count < MAX_UNITS) {
side = 0; size = 1;
}
} else {
side = 0; size = antimartingale_size(1, isv);
}
} else if (action == 6) {
side = 0; size = 2;
// LongLarge — when already long, apply pyramid logic.
if (position_lots > 0) {
const int count = pyramid_units_count[b];
const float threshold = isv[RL_PYRAMID_THRESHOLD_INDEX];
const float mid = 0.5f * (bid_px[0] + ask_px[0]);
float last_entry = 0.0f;
const int base = b * MAX_UNITS;
for (int u = MAX_UNITS - 1; u >= 0; --u) {
if (unit_active[base + u]) {
last_entry = unit_entry_price[base + u];
break;
}
}
const float dist = mid - last_entry;
if (dist >= threshold && count < MAX_UNITS) {
side = 0; size = 2;
} else if (count < MAX_UNITS) {
side = 0; size = 2;
}
} else {
side = 0; size = antimartingale_size(2, isv);
}
} else if (action == 9) {
// SP20 P4 HalfFlatLong: close ⌈|pos|/2⌉ lots of long position.
// No-op if not long.
const int position_lots = *(const int*)(pos_state + b * pos_bytes);
// HalfFlatLong: close oldest unit when pyramided, else ceil(|pos|/2).
if (position_lots > 0) {
side = 1;
const int half = (position_lots + 1) / 2; // round-up so min 1
size = (half > 0) ? half : 1;
const int count = pyramid_units_count[b];
if (count > 1) {
const int base = b * MAX_UNITS;
const int target_u = close_unit_index[b];
int close_slot = -1;
if (target_u >= 0 && target_u < MAX_UNITS && unit_active[base + target_u]) {
close_slot = target_u;
} else {
for (int u = 0; u < MAX_UNITS; ++u) {
if (unit_active[base + u]) { close_slot = u; break; }
}
}
if (close_slot >= 0) {
const int slot_lots = unit_lots[base + close_slot];
size = (slot_lots > 0) ? slot_lots : -slot_lots;
} else {
const int half = (position_lots + 1) / 2;
size = (half > 0) ? half : 1;
}
} else {
const int half = (position_lots + 1) / 2;
size = (half > 0) ? half : 1;
}
}
} else if (action == 10) {
// SP20 P4 HalfFlatShort: close ⌈|pos|/2⌉ lots of short position.
const int position_lots = *(const int*)(pos_state + b * pos_bytes);
// HalfFlatShort: close oldest unit when pyramided, else ceil(|pos|/2).
if (position_lots < 0) {
side = 0;
const int count = pyramid_units_count[b];
const int abs_pos = -position_lots;
const int half = (abs_pos + 1) / 2;
size = (half > 0) ? half : 1;
if (count > 1) {
const int base = b * MAX_UNITS;
const int target_u = close_unit_index[b];
int close_slot = -1;
if (target_u >= 0 && target_u < MAX_UNITS && unit_active[base + target_u]) {
close_slot = target_u;
} else {
for (int u = 0; u < MAX_UNITS; ++u) {
if (unit_active[base + u]) { close_slot = u; break; }
}
}
if (close_slot >= 0) {
const int slot_lots = unit_lots[base + close_slot];
size = (slot_lots > 0) ? slot_lots : -slot_lots;
} else {
const int half = (abs_pos + 1) / 2;
size = (half > 0) ? half : 1;
}
} else {
const int half = (abs_pos + 1) / 2;
size = (half > 0) ? half : 1;
}
}
}
// actions 7, 8 (TrailTighten/Loosen): no fill — handled by
// rl_trail_mutate kernel (SP20 P5). The side=2 no-op default is
// correct here.
// rl_trail_mutate kernel. The side=2 no-op default is correct here.
market_targets[b * 2 + 0] = side;
market_targets[b * 2 + 1] = size;

84
crates/ml-alpha/cuda/rl_trail_stop_check.cu
View File

@@ -1,31 +1,24 @@
// rl_trail_stop_check.cu — SP20 P5 trail-stop breach check.
// rl_trail_stop_check.cu — trail-stop breach check with per-unit
// partial-flat routing.
//
// For each batch with an active unit (slot 0 currently used; slots
// 1-3 reserved for SP20 P7 pyramid expansion), check if the current
// market mid moved adversely beyond the unit's trail_distance from
// its entry_price. On breach, OVERRIDE actions[b] to FlatFromLong
// (a3) or FlatFromShort (a4) so actions_to_market_targets force-
// closes the position via existing flat-from-X plumbing.
//
// Per `pearl_stop_checks_run_at_deadline_cadence`: stop check fires
// every step (event rate). Force-close routes through
// actions_to_market_targets → step_fill_from_market_targets →
// apply_fill_to_pos so realized PnL is captured correctly.
//
// SP20 v3 spec §3 P5 calls for routing stop-close through the
// per-unit partial-flat path (a9/a10). That requires P4 (N_ACTIONS=11)
// which is NOT in this commit's scope. For now, ANY unit's trail
// breach closes the ENTIRE position via full FlatFromLong/Short.
// When SP20 P4 ships, the close_unit_index buffer + a9/a10 routing
// per spec §3 P5 supersedes this full-flat fallback.
// For each batch with active units, checks if the current market mid
// moved adversely beyond the unit's trail_distance from its
// entry_price. On breach:
// - If pyramid_units_count > 1: override actions[b] to HalfFlatLong
// (a9) or HalfFlatShort (a10) and write close_unit_index[b] = u
// so actions_to_market_targets closes THAT specific unit.
// - If pyramid_units_count <= 1: override actions[b] to FlatFromLong
// (a3) or FlatFromShort (a4) for full position close.
//
// Market mid sourced from lobsim's bid_px_d[0] + ask_px_d[0] (shared
// across batches — single market). One thread per (batch, unit).
//
// Per `feedback_no_atomicadd`: writes are per-batch (action override
// uses last-thread-wins by writing same value; trail breach by ANY
// unit triggers the same action override regardless of which thread).
// Per `feedback_cpu_is_read_only`: pure device-side.
// Thread 0 of each block resets close_unit_index[b] = -1 before any
// breach logic runs (device-side per-step reset, no host traffic).
//
// Per `feedback_no_atomicadd`: writes are per-batch (same-value
// last-writer-wins for action override). Per
// `feedback_cpu_is_read_only`: pure device-side.
#include <stdint.h>
@@ -33,22 +26,33 @@
#define BOOK_LEVELS 10
#define ACTION_FLAT_FROM_LONG 3
#define ACTION_FLAT_FROM_SHORT 4
#define ACTION_HALF_FLAT_LONG 9
#define ACTION_HALF_FLAT_SHORT 10
extern "C" __global__ void rl_trail_stop_check(
int* __restrict__ actions, // [B] IN/OUT (may be overridden)
const float* __restrict__ bid_px, // [BOOK_LEVELS] shared best book
int* __restrict__ actions, // [B] IN/OUT
const float* __restrict__ bid_px, // [BOOK_LEVELS]
const float* __restrict__ ask_px, // [BOOK_LEVELS]
const unsigned char* __restrict__ unit_active, // [B * MAX_UNITS]
const float* __restrict__ unit_entry_price, // [B * MAX_UNITS]
const int* __restrict__ unit_lots, // [B * MAX_UNITS]
const float* __restrict__ unit_trail_distance, // [B * MAX_UNITS]
const int* __restrict__ pyramid_units_count, // [B]
int* __restrict__ close_unit_index, // [B] OUT (-1 = auto)
int b_size
) {
const int b = blockIdx.x;
const int u = threadIdx.x;
if (b >= b_size || u >= MAX_UNITS) return;
// Compute current mid from shared book (all threads read same).
// Thread 0 resets close_unit_index for this batch (device-side
// per-step clear — avoids host memset per
// feedback_no_htod_htoh_only_mapped_pinned).
if (u == 0) {
close_unit_index[b] = -1;
}
__syncthreads();
const float best_bid = bid_px[0];
const float best_ask = ask_px[0];
const float mid = 0.5f * (best_bid + best_ask);
@@ -57,31 +61,27 @@ extern "C" __global__ void rl_trail_stop_check(
if (unit_active[idx] == 0) return;
const int lots = unit_lots[idx];
if (lots == 0) return; // defensive — active flag should imply lots != 0
if (lots == 0) return;
const float entry = unit_entry_price[idx];
const float trail = unit_trail_distance[idx];
bool breach = false;
int override_action = -1;
if (lots > 0) {
// Long: stop fires when mid drops below entry - trail
if (mid < entry - trail) {
breach = true;
override_action = ACTION_FLAT_FROM_LONG;
}
if (mid < entry - trail) breach = true;
} else {
// Short: stop fires when mid rises above entry + trail
if (mid > entry + trail) {
breach = true;
override_action = ACTION_FLAT_FROM_SHORT;
}
if (mid > entry + trail) breach = true;
}
if (breach) {
// Multiple unit threads may write the same value — that's fine
// since the action is identical (close the whole position via
// full flat per the spec-noted P4 dependency). Last write wins.
actions[b] = override_action;
const int count = pyramid_units_count[b];
if (count > 1) {
// Partial close — route through HalfFlat with unit override.
close_unit_index[b] = u;
actions[b] = (lots > 0) ? ACTION_HALF_FLAT_LONG : ACTION_HALF_FLAT_SHORT;
} else {
// Single unit — full position close.
actions[b] = (lots > 0) ? ACTION_FLAT_FROM_LONG : ACTION_FLAT_FROM_SHORT;
}
}
}

82
crates/ml-alpha/cuda/rl_unit_state_update.cu
View File

@@ -1,4 +1,5 @@
// rl_unit_state_update.cu — SP20 P1 per-unit trade state machine.
// rl_unit_state_update.cu — per-unit trade state machine with pyramid
// expansion.
//
// Runs AFTER each step's fill+extract sequence. Detects per-batch
// position transitions vs the prior step and updates per-unit
@@ -7,15 +8,13 @@
// prev_pos == 0 AND curr_pos != 0 → OPEN: write unit slot 0
// prev_pos != 0 AND curr_pos == 0 → CLOSE: deactivate all units
// sign(prev) != sign(curr) AND both != 0 → REVERSE: close + open
// sign(prev) == sign(curr) AND both != 0 → CONTINUE: refresh lots
//
// This commit uses unit slot 0 only — slots 1-3 are allocated for
// SP20 P7 pyramid expansion but not populated yet. Pyramid add /
// partial-flat logic lives in actions_to_market_targets (P7).
// sign(prev) == sign(curr) AND both != 0 → CONTINUE:
// |curr| > |prev| → pyramid ADD: allocate next free slot
// |curr| < |prev| → partial FLAT: deactivate oldest active slot
// |curr| == |prev| → no structural change
//
// Per `pearl_first_observation_bootstrap`: prev_pos starts at sentinel
// 0; first non-zero curr_pos triggers OPEN via the standard branch.
// No special bootstrap path needed.
//
// Per `feedback_no_atomicadd`: per-batch independent writes only.
// Per `feedback_cpu_is_read_only`: pure device-side update.
@@ -26,22 +25,7 @@
#define MAX_UNITS 4
#define RL_TRAIL_K_INIT_INDEX 496
// realized_return_var_ema lives at a known SP19-era slot — reuse
// rather than allocate a new one. Currently RL_ADV_VAR_STREAM_M2_INDEX
// holds the streaming variance running M2; bootstrap derives σ from
// √(M2 / count). For SP20 P1+P5 simplicity, use a fallback constant
// if streaming-var hasn't bootstrapped (avoids div-by-zero collapse).
//
// Practical compromise: use `mean_abs_pnl_ema` (slot 417) as a proxy
// for typical PnL magnitude. trail_init = k_init × mean_abs_pnl_ema /
// position_lots. This is in dollar units which matches vwap_entry's
// price units after the position-lots normalization.
//
// Even simpler: use a fixed bootstrap fraction of vwap_entry as the
// trail distance — k_init × vwap_entry / 1000 = ~0.2% of price for
// k_init=2. This is rough but tradable and avoids dependency on
// streaming-var bootstrap. SP20 P5 follow-up will integrate proper
// vol-derived initialization.
#define RL_PYRAMID_ADD_COUNT_INDEX 507
#define BOOTSTRAP_TRAIL_FRACTION 1.0e-3f
// PosFlat layout (matches crates/ml-backtesting/src/lob/mod.rs::PosFlat):
@@ -52,7 +36,7 @@
extern "C" __global__ void rl_unit_state_update(
const unsigned char* __restrict__ pos_state, // [B * pos_bytes]
const float* __restrict__ isv,
float* __restrict__ isv,
int* __restrict__ prev_pos_lots, // [B] tracking
float* __restrict__ unit_entry_price, // [B * MAX_UNITS]
int* __restrict__ unit_entry_step, // [B * MAX_UNITS]
@@ -73,7 +57,6 @@ extern "C" __global__ void rl_unit_state_update(
const int prev_pos = prev_pos_lots[b];
const float k_init = isv[RL_TRAIL_K_INIT_INDEX];
// Bootstrap trail uses fraction of price (see header comment).
const float bootstrap_d = fabsf(vwap) * BOOTSTRAP_TRAIL_FRACTION * k_init;
const int base = b * MAX_UNITS;
@@ -82,6 +65,8 @@ extern "C" __global__ void rl_unit_state_update(
const bool is_flat = (curr_pos == 0);
const bool reversed = (!was_flat && !is_flat && ((prev_pos > 0) != (curr_pos > 0)));
int add_count = 0;
if (is_flat && !was_flat) {
// CLOSE: deactivate all units, zero lots.
#pragma unroll
@@ -104,15 +89,52 @@ extern "C" __global__ void rl_unit_state_update(
unit_trail_distance[base + 0] = bootstrap_d;
unit_active[base + 0] = 1;
pyramid_units_count[b] = 1;
add_count = 1;
} else if (!is_flat && !was_flat && !reversed) {
// CONTINUE: same direction, update unit_lots[0] to current
// position (covers pyramid adds done by actions_to_market_targets
// even though SP20 P7 isn't shipped yet — unit_lots stays in
// sync with aggregate position).
unit_lots[base + 0] = curr_pos;
// CONTINUE: same direction.
const int abs_curr = (curr_pos > 0) ? curr_pos : -curr_pos;
const int abs_prev = (prev_pos > 0) ? prev_pos : -prev_pos;
if (abs_curr > abs_prev) {
// Pyramid ADD: lots grew. Allocate next free unit slot.
int count = pyramid_units_count[b];
if (count < MAX_UNITS) {
const int slot = count;
unit_entry_price[base + slot] = vwap;
unit_entry_step[base + slot] = current_step;
const int delta_lots = abs_curr - abs_prev;
unit_lots[base + slot] = (curr_pos > 0) ? delta_lots : -delta_lots;
unit_initial_r[base + slot] = bootstrap_d;
unit_trail_distance[base + slot] = bootstrap_d;
unit_active[base + slot] = 1;
pyramid_units_count[b] = count + 1;
add_count = 1;
}
} else if (abs_curr < abs_prev) {
// Partial FLAT: lots shrank. Deactivate the oldest active
// unit (lowest index among active slots).
for (int u = 0; u < MAX_UNITS; ++u) {
if (unit_active[base + u]) {
unit_active[base + u] = 0;
unit_lots[base + u] = 0;
int count = pyramid_units_count[b];
if (count > 0) {
pyramid_units_count[b] = count - 1;
}
break;
}
}
}
// abs_curr == abs_prev: no structural change.
}
// (is_flat && was_flat): no-op, position remains flat.
// Always advance prev_pos tracker.
prev_pos_lots[b] = curr_pos;
// Write add_count to ISV diag slot. b_size=1 in practice; for
// multi-batch, only thread 0 writes (avoids atomicAdd).
if (b == 0) {
isv[RL_PYRAMID_ADD_COUNT_INDEX] = (float)add_count;
}
}

17
crates/ml-alpha/examples/alpha_rl_train.rs
View File

@@ -572,6 +572,12 @@ fn main() -> Result<()> {
cli.n_backtests,
)
.context("diag: read prev_position_lots_d")?;
let pyramid_count_host = read_slice_i32_d_pub(
dev_stream,
&trainer.pyramid_units_count_d,
cli.n_backtests,
)
.context("diag: read pyramid_units_count_d")?;
let mut act_hist = [0u32; N_ACTIONS];
for &a in &actions_host {
@@ -930,13 +936,18 @@ fn main() -> Result<()> {
"position": {
"lots": position_lots_host,
},
// SP20 P6 heat cap diag — how many batch entries fired the
// position-size guard this step. 0 = normal; >0 = the cap
// is actively force-flattening over-leveraged positions.
// Heat cap diag — how many batch entries fired the position-size
// guard this step. 0 = normal; >0 = the cap is actively
// force-flattening over-leveraged positions.
"heat_cap": {
"fired_count": isv[ml_alpha::rl::isv_slots::RL_HEAT_CAP_FIRED_COUNT_INDEX],
"max_lots": isv[ml_alpha::rl::isv_slots::RL_HEAT_CAP_MAX_LOTS_INDEX],
},
"pyramid": {
"units_count": pyramid_count_host,
"add_count": isv[ml_alpha::rl::isv_slots::RL_PYRAMID_ADD_COUNT_INDEX],
"outcome_ema": isv[ml_alpha::rl::isv_slots::RL_OUTCOME_EMA_INDEX],
},
// SP20 P3 FRD head diag — per-horizon softmax entropy + argmax-mode
// bucket index (averaged across the batch). At init, Xavier × 0.1
// weights → logits ≈ 0 → entropy ≈ ln(21) = 3.044 and the argmax

44
crates/ml-alpha/src/rl/isv_slots.rs
View File

@@ -792,19 +792,51 @@ pub const RL_FRD_HORIZON_3_TICKS_INDEX: usize = 502;
/// realised σ drifts; only the 21-atom count is structural compile-time.
pub const RL_FRD_BUCKET_RANGE_SIGMA_INDEX: usize = 503;
/// SP20 P6 — maximum absolute position (lots) before the heat-cap
/// kernel force-flats the entire position. Default 8 =
/// Maximum absolute position (lots) before the heat-cap kernel
/// force-flats the entire position. Default 8 =
/// `MAX_UNITS(4) × max_single_order_size(2)`. The kernel compares
/// `|position_lots|` from `pos_state` against this slot and overrides
/// `actions[b]` to FlatFromLong/Short when exceeded. Last-defense
/// guard against runaway pyramid accumulation.
pub const RL_HEAT_CAP_MAX_LOTS_INDEX: usize = 504;
/// SP20 P6 — diagnostic: number of batch entries where the heat cap
/// fired this step. Written by `rl_position_heat_check`; read by
/// diag JSONL. Zero when no batch entry exceeds the cap.
/// Diagnostic: number of batch entries where the heat cap fired this
/// step. Written by `rl_position_heat_check`; read by diag JSONL.
/// Zero when no batch entry exceeds the cap.
pub const RL_HEAT_CAP_FIRED_COUNT_INDEX: usize = 505;
/// Minimum mid-price distance from the last active unit's entry price
/// before allowing a pyramid add. When position already exists in the
/// same direction and mid hasn't moved at least this distance from the
/// newest unit's entry, actions 5/6 (long) or 0/1 (short) emit REPLACE
/// (close oldest + re-open) instead of ADD.
/// Default: 0.50 (2× ES tick size = 2 × 0.25).
pub const RL_PYRAMID_THRESHOLD_INDEX: usize = 506;
/// Diagnostic: number of pyramid-add events (new unit slot populated)
/// this step across the batch. Written by `rl_unit_state_update`; read
/// by diag JSONL.
pub const RL_PYRAMID_ADD_COUNT_INDEX: usize = 507;
/// Signed trade-outcome EMA (updated on done steps only). Positive =
/// recent trades profitable, negative = recent losses. Used by the
/// anti-martingale sizing logic in `actions_to_market_targets` to scale
/// opening order sizes. Bootstrap: first-observation replace (sentinel 0).
pub const RL_OUTCOME_EMA_INDEX: usize = 508;
/// Anti-martingale κ: scaling coefficient in
/// `size_eff = base × clamp(1 + κ × outcome_ema, MIN, MAX)`.
/// Higher κ = more aggressive scaling. Default: 1.0.
pub const RL_ANTIMARTINGALE_KAPPA_INDEX: usize = 509;
/// Anti-martingale size floor (MIN in the clamp). Default: 0.5 (never
/// go below half the base order size).
pub const RL_ANTIMARTINGALE_MIN_INDEX: usize = 510;
/// Anti-martingale size ceiling (MAX in the clamp). Default: 2.0
/// (never exceed 2× base order size).
pub const RL_ANTIMARTINGALE_MAX_INDEX: usize = 511;
/// Last RL-allocated slot index (exclusive). The integrated trainer
/// extends `ISV_TOTAL_DIM` to at least this value at trainer init time.
pub const RL_SLOTS_END: usize = 506;
pub const RL_SLOTS_END: usize = 512;

19
crates/ml-alpha/src/rl/reward.rs
View File

@@ -92,13 +92,20 @@ pub trait RlLobBackend {
/// Number of parallel backtests (batch dimension).
fn n_backtests(&self) -> usize;
/// SP20 P5: read-only accessor for the shared best-bid price
/// array (`BOOK_LEVELS` floats, lobsim-wide — single book shared
/// across batches). Used by `rl_trail_stop_check` to compute
/// current mid for per-batch trail breach checks.
/// Read-only accessor for the shared best-bid price array
/// (`BOOK_LEVELS` floats, lobsim-wide — single book shared across
/// batches). Used by trail-stop and pyramid-threshold checks.
fn bid_px_d(&self) -> &CudaSlice<f32>;
/// SP20 P5: read-only accessor for the shared best-ask price
/// array. Pair to `bid_px_d`.
/// Read-only accessor for the shared best-ask price array. Pair to
/// `bid_px_d`.
fn ask_px_d(&self) -> &CudaSlice<f32>;
/// Combined disjoint-field accessor for the actions_to_market_targets
/// kernel which needs pos (read), market_targets (write), AND book
/// prices (read) simultaneously. Implementations split via Rust's
/// disjoint-field rule across four independent struct fields.
fn pos_book_and_market_targets_mut(
&mut self,
) -> (&CudaSlice<u8>, &CudaSlice<f32>, &CudaSlice<f32>, &mut CudaSlice<i32>);
}

105
crates/ml-alpha/src/trainer/integrated.rs
View File

@@ -456,6 +456,9 @@ pub struct IntegratedTrainer {
pub unit_trail_distance_d: CudaSlice<f32>, // [B * 4]
pub unit_active_d: CudaSlice<u8>, // [B * 4]
pub pyramid_units_count_d: CudaSlice<i32>, // [B]
pub close_unit_index_d: CudaSlice<i32>, // [B] — trail-stop override
// (-1 = auto oldest). Reset to
// -1 each step before trail check.
pub unit_prev_pos_lots_d: CudaSlice<i32>, // [B] — separate from
// extract_realized_pnl_delta's
// prev_position_lots_d so unit
@@ -1119,6 +1122,9 @@ impl IntegratedTrainer {
let pyramid_units_count_d = stream
.alloc_zeros::<i32>(b_size)
.context("alloc pyramid_units_count_d")?;
let close_unit_index_d = stream
.alloc_zeros::<i32>(b_size)
.context("alloc close_unit_index_d")?;
let unit_prev_pos_lots_d = stream
.alloc_zeros::<i32>(b_size)
.context("alloc unit_prev_pos_lots_d")?;
@@ -1312,6 +1318,7 @@ impl IntegratedTrainer {
unit_trail_distance_d,
unit_active_d,
pyramid_units_count_d,
close_unit_index_d,
unit_prev_pos_lots_d,
_actions_to_market_targets_module: actions_to_market_targets_module,
actions_to_market_targets_fn,
@@ -1438,7 +1445,7 @@ impl IntegratedTrainer {
// (slot, value) pair — pure device write, no HtoD per
// `feedback_no_htod_htoh_only_mapped_pinned`.
{
let isv_constants: [(usize, f32); 47] = [
let isv_constants: [(usize, f32); 51] = [
// Static seeds for the adaptive reward-clamp controller —
// these are the initial values that
// `rl_reward_clamp_controller` will replace once it
@@ -1494,9 +1501,11 @@ impl IntegratedTrainer {
crate::rl::common::FRD_HORIZON_TICKS[2] as f32),
(crate::rl::isv_slots::RL_FRD_BUCKET_RANGE_SIGMA_INDEX,
crate::rl::common::FRD_BUCKET_RANGE_SIGMA),
// SP20 P6 heat-cap: max absolute position (lots).
// Default 8 = MAX_UNITS(4) × max_single_order_size(2).
(crate::rl::isv_slots::RL_HEAT_CAP_MAX_LOTS_INDEX, 8.0),
(crate::rl::isv_slots::RL_PYRAMID_THRESHOLD_INDEX, 0.50),
(crate::rl::isv_slots::RL_ANTIMARTINGALE_KAPPA_INDEX, 1.0),
(crate::rl::isv_slots::RL_ANTIMARTINGALE_MIN_INDEX, 0.5),
(crate::rl::isv_slots::RL_ANTIMARTINGALE_MAX_INDEX, 2.0),
(crate::rl::isv_slots::RL_KL_TARGET_INDEX, 0.01),
(crate::rl::isv_slots::RL_IMPROVEMENT_THRESHOLD_INDEX, 0.99),
(crate::rl::isv_slots::RL_PLATEAU_PATIENCE_INDEX, 1000.0),
@@ -1945,17 +1954,30 @@ impl IntegratedTrainer {
/// as `[b_size * 2]` row-major. Reads `pos_state_d` for actions
/// that depend on current position (a3/a4 flat, a9/a10 half-flat).
/// Public for `sp20_trade_management_kernels` GPU-oracle tests.
#[allow(clippy::too_many_arguments)]
pub fn launch_actions_to_market_targets(
&self,
actions_d: &CudaSlice<i32>,
pos_state_d: &CudaSlice<u8>,
market_targets_d: &mut CudaSlice<i32>,
bid_px_d: &CudaSlice<f32>,
ask_px_d: &CudaSlice<f32>,
unit_entry_price_d: &CudaSlice<f32>,
unit_active_d: &CudaSlice<u8>,
unit_lots_d: &CudaSlice<i32>,
pyramid_units_count_d: &CudaSlice<i32>,
close_unit_index_d: &CudaSlice<i32>,
b_size: usize,
pos_bytes: usize,
) -> Result<()> {
debug_assert_eq!(actions_d.len(), b_size);
debug_assert_eq!(market_targets_d.len(), b_size * 2);
debug_assert_eq!(pos_state_d.len(), b_size * pos_bytes);
debug_assert_eq!(unit_entry_price_d.len(), b_size * 4);
debug_assert_eq!(unit_active_d.len(), b_size * 4);
debug_assert_eq!(unit_lots_d.len(), b_size * 4);
debug_assert_eq!(pyramid_units_count_d.len(), b_size);
debug_assert_eq!(close_unit_index_d.len(), b_size);
let cfg = LaunchConfig {
grid_dim: (((b_size as u32) + 31) / 32, 1, 1),
block_dim: (32, 1, 1),
@@ -1968,6 +1990,14 @@ impl IntegratedTrainer {
.arg(actions_d)
.arg(pos_state_d)
.arg(market_targets_d)
.arg(&self.isv_d)
.arg(bid_px_d)
.arg(ask_px_d)
.arg(unit_entry_price_d)
.arg(unit_active_d)
.arg(unit_lots_d)
.arg(pyramid_units_count_d)
.arg(close_unit_index_d)
.arg(&b_size_i)
.arg(&pos_bytes_i);
unsafe {
@@ -2012,11 +2042,13 @@ impl IntegratedTrainer {
Ok(())
}
/// SP20 P5: launch `rl_trail_stop_check` — for each active unit,
/// check if mid (`0.5*(bid_px[0]+ask_px[0])`) breached the unit's
/// stop (entry ± trail_distance). On breach, OVERRIDES `actions_d[b]`
/// to FlatFromLong (a3) or FlatFromShort (a4). Public for SP20 P14
/// GPU-oracle tests.
/// Launch `rl_trail_stop_check` — for each active unit, check if
/// mid breached the unit's stop (entry ± trail_distance). On breach
/// with multiple units: overrides to HalfFlat + writes
/// close_unit_index. With single unit: overrides to full flat.
/// Resets close_unit_index_d to -1 device-side each invocation.
/// Public for GPU-oracle tests.
#[allow(clippy::too_many_arguments)]
pub fn launch_rl_trail_stop_check(
&self,
actions_d: &mut CudaSlice<i32>,
@@ -2026,6 +2058,8 @@ impl IntegratedTrainer {
unit_entry_price_d: &CudaSlice<f32>,
unit_lots_d: &CudaSlice<i32>,
unit_trail_distance_d: &CudaSlice<f32>,
pyramid_units_count_d: &CudaSlice<i32>,
close_unit_index_d: &mut CudaSlice<i32>,
b_size: usize,
) -> Result<()> {
debug_assert_eq!(actions_d.len(), b_size);
@@ -2033,6 +2067,8 @@ impl IntegratedTrainer {
debug_assert_eq!(unit_entry_price_d.len(), b_size * 4);
debug_assert_eq!(unit_lots_d.len(), b_size * 4);
debug_assert_eq!(unit_trail_distance_d.len(), b_size * 4);
debug_assert_eq!(pyramid_units_count_d.len(), b_size);
debug_assert_eq!(close_unit_index_d.len(), b_size);
let cfg = LaunchConfig {
grid_dim: (b_size as u32, 1, 1),
block_dim: (4, 1, 1),
@@ -2048,6 +2084,8 @@ impl IntegratedTrainer {
.arg(unit_entry_price_d)
.arg(unit_lots_d)
.arg(unit_trail_distance_d)
.arg(pyramid_units_count_d)
.arg(close_unit_index_d)
.arg(&b_size_i);
unsafe {
launch
@@ -2096,12 +2134,13 @@ impl IntegratedTrainer {
Ok(())
}
/// SP20 P1: launch `rl_unit_state_update` — detects per-batch
/// position transitions vs `prev_pos_lots_d` and updates per-unit
/// state (entry_price, entry_step, lots, initial_r, trail_distance,
/// active, pyramid_units_count). Uses ISV slot 496 (K_INIT) from
/// `self.isv_d` to scale the bootstrap trail. Public for SP20 P14
/// GPU-oracle tests.
/// Launch `rl_unit_state_update` — detects per-batch position
/// transitions vs `prev_pos_lots_d` and updates per-unit state
/// (entry_price, entry_step, lots, initial_r, trail_distance,
/// active, pyramid_units_count). Handles pyramid add (allocate next
/// slot) and partial flat (deactivate oldest slot). Uses ISV slot
/// 496 (K_INIT) from `self.isv_d` to scale the bootstrap trail.
/// Public for GPU-oracle tests.
#[allow(clippy::too_many_arguments)]
pub fn launch_rl_unit_state_update(
&self,
@@ -3589,6 +3628,8 @@ impl IntegratedTrainer {
.arg(&self.unit_entry_price_d)
.arg(&self.unit_lots_d)
.arg(&self.unit_trail_distance_d)
.arg(&self.pyramid_units_count_d)
.arg(&mut self.close_unit_index_d)
.arg(&b_size_i);
unsafe {
launch
@@ -3627,7 +3668,8 @@ impl IntegratedTrainer {
}
{
let (pos_d_ref, market_targets_d) = lobsim.pos_and_market_targets_mut();
let (pos_d_ref, bid_px_d, ask_px_d, market_targets_d) =
lobsim.pos_book_and_market_targets_mut();
let cfg = LaunchConfig {
grid_dim: (((b_size as u32) + 31) / 32, 1, 1),
block_dim: (32, 1, 1),
@@ -3639,6 +3681,14 @@ impl IntegratedTrainer {
.arg(&self.actions_d)
.arg(pos_d_ref)
.arg(market_targets_d)
.arg(&self.isv_d)
.arg(bid_px_d)
.arg(ask_px_d)
.arg(&self.unit_entry_price_d)
.arg(&self.unit_active_d)
.arg(&self.unit_lots_d)
.arg(&self.pyramid_units_count_d)
.arg(&self.close_unit_index_d)
.arg(&b_size_i)
.arg(&pos_bytes_i);
unsafe {
@@ -3838,6 +3888,31 @@ impl IntegratedTrainer {
}
}
// Signed outcome EMA (ISV[508]) — updated on trade close only.
// Feeds anti-martingale sizing in actions_to_market_targets.
{
let cfg = LaunchConfig {
grid_dim: (1, 1, 1),
block_dim: (b_size as u32, 1, 1),
shared_mem_bytes: (2 * b_size * std::mem::size_of::<f32>()) as u32,
};
let slot_i = crate::rl::isv_slots::RL_OUTCOME_EMA_INDEX as i32;
let alpha = RL_LR_CONTROLLER_ALPHA;
let mut launch = self.stream.launch_builder(&self.ema_update_on_done_fn);
launch
.arg(&self.isv_d)
.arg(&slot_i)
.arg(&alpha)
.arg(&self.rewards_d)
.arg(&self.dones_d)
.arg(&b_size_i);
unsafe {
launch
.launch(cfg)
.context("ema_update_on_done(OUTCOME_EMA) launch")?;
}
}
// Fire all 7 RL controllers — each reads its ISV EMA-input
// slot and Wiener-blends its output. Critical: this happens
// BEFORE apply_reward_scale so the scale ISV[406] reflects

325
crates/ml-alpha/tests/trade_management_kernels.rs
View File

@@ -40,7 +40,8 @@
use anyhow::Result;
use cudarc::driver::{CudaSlice, CudaStream};
use ml_alpha::rl::isv_slots::{
RL_TRAIL_ADJUST_RATE_INDEX, RL_TRAIL_K_INIT_INDEX, RL_TRAIL_MAX_INDEX, RL_TRAIL_MIN_INDEX,
RL_PYRAMID_THRESHOLD_INDEX, RL_TRAIL_ADJUST_RATE_INDEX, RL_TRAIL_K_INIT_INDEX,
RL_TRAIL_MAX_INDEX, RL_TRAIL_MIN_INDEX,
};
use ml_alpha::trainer::integrated::{
read_slice_d_pub, read_slice_i32_d_pub, read_slice_u8_d_pub, write_slice_f32_d_pub,
@@ -110,6 +111,37 @@ fn pos_buf(position_lots: i32, vwap_entry: f32) -> Vec<u8> {
buf
}
const BOOK_LEVELS: usize = 10;
struct PyramidContext {
bid_px_d: CudaSlice<f32>,
ask_px_d: CudaSlice<f32>,
unit_entry_price_d: CudaSlice<f32>,
unit_active_d: CudaSlice<u8>,
unit_lots_d: CudaSlice<i32>,
pyramid_units_count_d: CudaSlice<i32>,
close_unit_index_d: CudaSlice<i32>,
}
fn default_pyramid_ctx(stream: &Arc<CudaStream>, b_size: usize) -> Result<PyramidContext> {
let bid_px_d = upload_f32(stream, &[100.0; BOOK_LEVELS])?;
let ask_px_d = upload_f32(stream, &[100.25; BOOK_LEVELS])?;
let unit_entry_price_d = stream.alloc_zeros::<f32>(b_size * MAX_UNITS)?;
let unit_active_d = stream.alloc_zeros::<u8>(b_size * MAX_UNITS)?;
let unit_lots_d = stream.alloc_zeros::<i32>(b_size * MAX_UNITS)?;
let pyramid_units_count_d = stream.alloc_zeros::<i32>(b_size)?;
let close_unit_index_d = upload_i32(stream, &vec![-1i32; b_size])?;
Ok(PyramidContext {
bid_px_d,
ask_px_d,
unit_entry_price_d,
unit_active_d,
unit_lots_d,
pyramid_units_count_d,
close_unit_index_d,
})
}
/// Overwrite a single ISV slot host-side then push the whole isv_d
/// to the device. Cheap because the trainer's `isv_d` is small
/// (~500 floats).
@@ -130,6 +162,7 @@ fn half_flat_long_emits_half_position_size() -> Result<()> {
let stream = dev.cuda_stream()?.clone();
let pos_bytes = POS_BYTES;
let b_size = 1;
let ctx = default_pyramid_ctx(&stream, b_size)?;
// Long 4 lots, action a9 (HalfFlatLong): ceil(4/2) = 2 → sell 2.
let actions_d = upload_i32(&stream, &[9])?;
@@ -140,6 +173,13 @@ fn half_flat_long_emits_half_position_size() -> Result<()> {
&actions_d,
&pos_state_d,
&mut market_targets_d,
&ctx.bid_px_d,
&ctx.ask_px_d,
&ctx.unit_entry_price_d,
&ctx.unit_active_d,
&ctx.unit_lots_d,
&ctx.pyramid_units_count_d,
&ctx.close_unit_index_d,
b_size,
pos_bytes,
)?;
@@ -154,6 +194,13 @@ fn half_flat_long_emits_half_position_size() -> Result<()> {
&actions_d,
&pos_short_d,
&mut market_targets_d,
&ctx.bid_px_d,
&ctx.ask_px_d,
&ctx.unit_entry_price_d,
&ctx.unit_active_d,
&ctx.unit_lots_d,
&ctx.pyramid_units_count_d,
&ctx.close_unit_index_d,
b_size,
pos_bytes,
)?;
@@ -167,6 +214,13 @@ fn half_flat_long_emits_half_position_size() -> Result<()> {
&actions_d,
&pos_odd_d,
&mut market_targets_d,
&ctx.bid_px_d,
&ctx.ask_px_d,
&ctx.unit_entry_price_d,
&ctx.unit_active_d,
&ctx.unit_lots_d,
&ctx.pyramid_units_count_d,
&ctx.close_unit_index_d,
b_size,
pos_bytes,
)?;
@@ -184,6 +238,7 @@ fn half_flat_short_emits_half_position_size() -> Result<()> {
let stream = dev.cuda_stream()?.clone();
let pos_bytes = POS_BYTES;
let b_size = 1;
let ctx = default_pyramid_ctx(&stream, b_size)?;
// Short 4 lots, action a10 (HalfFlatShort): ceil(4/2) = 2 → buy 2.
let actions_d = upload_i32(&stream, &[10])?;
@@ -194,6 +249,13 @@ fn half_flat_short_emits_half_position_size() -> Result<()> {
&actions_d,
&pos_state_d,
&mut market_targets_d,
&ctx.bid_px_d,
&ctx.ask_px_d,
&ctx.unit_entry_price_d,
&ctx.unit_active_d,
&ctx.unit_lots_d,
&ctx.pyramid_units_count_d,
&ctx.close_unit_index_d,
b_size,
pos_bytes,
)?;
@@ -207,6 +269,13 @@ fn half_flat_short_emits_half_position_size() -> Result<()> {
&actions_d,
&pos_long_d,
&mut market_targets_d,
&ctx.bid_px_d,
&ctx.ask_px_d,
&ctx.unit_entry_price_d,
&ctx.unit_active_d,
&ctx.unit_lots_d,
&ctx.pyramid_units_count_d,
&ctx.close_unit_index_d,
b_size,
pos_bytes,
)?;
@@ -397,6 +466,8 @@ fn trail_stop_check_overrides_action_on_breach() -> Result<()> {
let unit_entry_d = upload_f32(&stream, &[100.0, 0.0, 0.0, 0.0])?;
let unit_lots_d = upload_i32(&stream, &[2, 0, 0, 0])?;
let unit_trail_d = upload_f32(&stream, &[0.5, 0.0, 0.0, 0.0])?;
let pyramid_count_d = upload_i32(&stream, &[1])?;
let mut close_idx_d = upload_i32(&stream, &[-1])?;
// Shared book (single market). bid_px[0]=98.99, ask_px[0]=99.01 →
// mid = 99.0. Both arrays are BOOK_LEVELS long; only slot 0 read.
@@ -415,6 +486,8 @@ fn trail_stop_check_overrides_action_on_breach() -> Result<()> {
&unit_entry_d,
&unit_lots_d,
&unit_trail_d,
&pyramid_count_d,
&mut close_idx_d,
b_size,
)?;
let actions = read_slice_i32_d_pub(&stream, &actions_d, b_size)?;
@@ -442,6 +515,8 @@ fn trail_stop_check_overrides_action_on_breach() -> Result<()> {
&unit_entry_d,
&unit_lots_d,
&unit_trail_d,
&pyramid_count_d,
&mut close_idx_d,
b_size,
)?;
let actions = read_slice_i32_d_pub(&stream, &actions_d2, b_size)?;
@@ -470,6 +545,8 @@ fn trail_stop_check_overrides_action_on_breach() -> Result<()> {
&unit_entry_d,
&unit_lots_short_d,
&unit_trail_d,
&pyramid_count_d,
&mut close_idx_d,
b_size,
)?;
let actions = read_slice_i32_d_pub(&stream, &actions_d3, b_size)?;
@@ -545,3 +622,249 @@ fn position_heat_cap_overrides_on_breach() -> Result<()> {
eprintln!("PASS — heat cap overrides on breach + leaves alone within cap");
Ok(())
}
#[test]
#[ignore = "requires CUDA (MlDevice::cuda(0))"]
fn pyramid_add_populates_next_unit_slot() -> Result<()> {
let Some((dev, mut trainer)) = build_trainer() else { return Ok(()) };
let stream = dev.cuda_stream()?.clone();
let pos_bytes = POS_BYTES;
let b_size = 1;
set_isv_slot(&mut trainer, &stream, RL_TRAIL_K_INIT_INDEX, 2.0)?;
set_isv_slot(&mut trainer, &stream, RL_PYRAMID_THRESHOLD_INDEX, 0.50)?;
let mut prev_pos_d = upload_i32(&stream, &[0])?;
let mut unit_entry_price_d = stream.alloc_zeros::<f32>(b_size * MAX_UNITS)?;
let mut unit_entry_step_d = stream.alloc_zeros::<i32>(b_size * MAX_UNITS)?;
let mut unit_lots_d = stream.alloc_zeros::<i32>(b_size * MAX_UNITS)?;
let mut unit_initial_r_d = stream.alloc_zeros::<f32>(b_size * MAX_UNITS)?;
let mut unit_trail_d = stream.alloc_zeros::<f32>(b_size * MAX_UNITS)?;
let mut unit_active_d = stream.alloc_zeros::<u8>(b_size * MAX_UNITS)?;
let mut pyramid_count_d = stream.alloc_zeros::<i32>(b_size)?;
// ── Step 0: OPEN — flat → long 1 @ 100.0. Slot 0 active.
let pos0_d = upload_u8(&stream, &pos_buf(1, 100.0))?;
trainer.launch_rl_unit_state_update(
&pos0_d,
&mut prev_pos_d,
&mut unit_entry_price_d,
&mut unit_entry_step_d,
&mut unit_lots_d,
&mut unit_initial_r_d,
&mut unit_trail_d,
&mut unit_active_d,
&mut pyramid_count_d,
b_size,
pos_bytes,
0,
)?;
let pyramid = read_slice_i32_d_pub(&stream, &pyramid_count_d, b_size)?;
assert_eq!(pyramid[0], 1, "after OPEN: pyramid_count == 1");
// ── Step 1: Pyramid ADD — long 1 → long 2 @ 101.0 (price moved).
// |curr|=2 > |prev|=1 → allocates slot 1.
let pos1_d = upload_u8(&stream, &pos_buf(2, 101.0))?;
trainer.launch_rl_unit_state_update(
&pos1_d,
&mut prev_pos_d,
&mut unit_entry_price_d,
&mut unit_entry_step_d,
&mut unit_lots_d,
&mut unit_initial_r_d,
&mut unit_trail_d,
&mut unit_active_d,
&mut pyramid_count_d,
b_size,
pos_bytes,
1,
)?;
let active = read_slice_u8_d_pub(&stream, &unit_active_d, b_size * MAX_UNITS)?;
let lots = read_slice_i32_d_pub(&stream, &unit_lots_d, b_size * MAX_UNITS)?;
let entry_px = read_slice_d_pub(&stream, &unit_entry_price_d, b_size * MAX_UNITS)?;
let pyramid = read_slice_i32_d_pub(&stream, &pyramid_count_d, b_size)?;
assert_eq!(active[0], 1, "slot 0 still active");
assert_eq!(active[1], 1, "slot 1 activated by pyramid add");
assert_eq!(lots[0], 1, "slot 0 retains original lots");
assert_eq!(lots[1], 1, "slot 1 gets delta lots (2-1=1)");
assert!((entry_px[0] - 100.0).abs() < 1e-6, "slot 0 entry unchanged");
assert!((entry_px[1] - 101.0).abs() < 1e-6, "slot 1 entry = new vwap");
assert_eq!(pyramid[0], 2, "pyramid_count == 2 after add");
// ── Step 2: Partial FLAT — long 2 → long 1 @ 101.0.
// |curr|=1 < |prev|=2 → deactivates oldest active (slot 0).
let pos2_d = upload_u8(&stream, &pos_buf(1, 101.0))?;
trainer.launch_rl_unit_state_update(
&pos2_d,
&mut prev_pos_d,
&mut unit_entry_price_d,
&mut unit_entry_step_d,
&mut unit_lots_d,
&mut unit_initial_r_d,
&mut unit_trail_d,
&mut unit_active_d,
&mut pyramid_count_d,
b_size,
pos_bytes,
2,
)?;
let active = read_slice_u8_d_pub(&stream, &unit_active_d, b_size * MAX_UNITS)?;
let lots = read_slice_i32_d_pub(&stream, &unit_lots_d, b_size * MAX_UNITS)?;
let pyramid = read_slice_i32_d_pub(&stream, &pyramid_count_d, b_size)?;
assert_eq!(active[0], 0, "partial flat deactivated oldest (slot 0)");
assert_eq!(lots[0], 0, "slot 0 lots zeroed");
assert_eq!(active[1], 1, "slot 1 remains active");
assert_eq!(pyramid[0], 1, "pyramid_count == 1 after partial flat");
// ── Step 3: Full CLOSE — long 1 → flat 0.
let pos3_d = upload_u8(&stream, &pos_buf(0, 0.0))?;
trainer.launch_rl_unit_state_update(
&pos3_d,
&mut prev_pos_d,
&mut unit_entry_price_d,
&mut unit_entry_step_d,
&mut unit_lots_d,
&mut unit_initial_r_d,
&mut unit_trail_d,
&mut unit_active_d,
&mut pyramid_count_d,
b_size,
pos_bytes,
3,
)?;
let active = read_slice_u8_d_pub(&stream, &unit_active_d, b_size * MAX_UNITS)?;
let pyramid = read_slice_i32_d_pub(&stream, &pyramid_count_d, b_size)?;
for u in 0..MAX_UNITS {
assert_eq!(active[u], 0, "CLOSE deactivates all; slot {u} still active");
}
assert_eq!(pyramid[0], 0, "pyramid_count == 0 after full close");
eprintln!("PASS — pyramid add/partial-flat/close unit slot lifecycle");
Ok(())
}
#[test]
#[ignore = "requires CUDA (MlDevice::cuda(0))"]
fn pyramid_threshold_gates_add_in_actions_kernel() -> Result<()> {
let Some((dev, mut trainer)) = build_trainer() else { return Ok(()) };
let stream = dev.cuda_stream()?.clone();
let pos_bytes = POS_BYTES;
let b_size = 1;
set_isv_slot(&mut trainer, &stream, RL_PYRAMID_THRESHOLD_INDEX, 0.50)?;
// Setup: already long 1 lot, 1 unit active at entry 100.0.
let unit_entry_price_d = upload_f32(&stream, &[100.0, 0.0, 0.0, 0.0])?;
let unit_active_d = upload_u8(&stream, &[1, 0, 0, 0])?;
let unit_lots_d = upload_i32(&stream, &[1, 0, 0, 0])?;
let pyramid_count_d = upload_i32(&stream, &[1])?;
let close_idx_d = upload_i32(&stream, &[-1])?;
let pos_long_d = upload_u8(&stream, &pos_buf(1, 100.0))?;
// Case 1: mid = 100.625 (threshold 0.50 met: 100.625 - 100.0 = 0.625).
// Action a5 (LongSmall) should emit an order (side=0, size=1).
let mut bid = vec![0.0_f32; BOOK_LEVELS];
let mut ask = vec![0.0_f32; BOOK_LEVELS];
bid[0] = 100.50;
ask[0] = 100.75;
let bid_d = upload_f32(&stream, &bid)?;
let ask_d = upload_f32(&stream, &ask)?;
let actions_d = upload_i32(&stream, &[5])?;
let mut market_targets_d = stream.alloc_zeros::<i32>(b_size * 2)?;
trainer.launch_actions_to_market_targets(
&actions_d,
&pos_long_d,
&mut market_targets_d,
&bid_d,
&ask_d,
&unit_entry_price_d,
&unit_active_d,
&unit_lots_d,
&pyramid_count_d,
&close_idx_d,
b_size,
pos_bytes,
)?;
let mt = read_slice_i32_d_pub(&stream, &market_targets_d, b_size * 2)?;
assert_eq!(mt[0], 0, "threshold met, count<MAX → side=0 (buy)");
assert_eq!(mt[1], 1, "LongSmall → size=1");
// Case 2: mid = 100.20 (threshold NOT met: 100.20 - 100.0 = 0.20 < 0.50).
// Still emits because count < MAX_UNITS (REPLACE semantics).
bid[0] = 100.10;
ask[0] = 100.30;
let bid_d2 = upload_f32(&stream, &bid)?;
let ask_d2 = upload_f32(&stream, &ask)?;
trainer.launch_actions_to_market_targets(
&actions_d,
&pos_long_d,
&mut market_targets_d,
&bid_d2,
&ask_d2,
&unit_entry_price_d,
&unit_active_d,
&unit_lots_d,
&pyramid_count_d,
&close_idx_d,
b_size,
pos_bytes,
)?;
let mt = read_slice_i32_d_pub(&stream, &market_targets_d, b_size * 2)?;
assert_eq!(mt[0], 0, "threshold NOT met but count<MAX → still emits (REPLACE)");
assert_eq!(mt[1], 1, "REPLACE still uses size=1");
// Case 3: at MAX_UNITS, threshold NOT met → no-op.
let pyramid_full_d = upload_i32(&stream, &[MAX_UNITS as i32])?;
let unit_active_full_d = upload_u8(&stream, &[1, 1, 1, 1])?;
let unit_lots_full_d = upload_i32(&stream, &[1, 1, 1, 1])?;
// Entry prices: all at 100.0, mid at 100.20 → dist 0.20 < threshold 0.50.
let unit_entry_full_d = upload_f32(&stream, &[100.0, 100.0, 100.0, 100.0])?;
trainer.launch_actions_to_market_targets(
&actions_d,
&pos_long_d,
&mut market_targets_d,
&bid_d2,
&ask_d2,
&unit_entry_full_d,
&unit_active_full_d,
&unit_lots_full_d,
&pyramid_full_d,
&close_idx_d,
b_size,
pos_bytes,
)?;
let mt = read_slice_i32_d_pub(&stream, &market_targets_d, b_size * 2)?;
assert_eq!(mt[0], 2, "at MAX_UNITS + threshold not met → no-op (side=2)");
assert_eq!(mt[1], 0, "no-op → size=0");
// Case 4: at MAX_UNITS, threshold MET → emit (ADD replaces oldest).
// mid = 100.625, threshold 0.50 met.
trainer.launch_actions_to_market_targets(
&actions_d,
&pos_long_d,
&mut market_targets_d,
&bid_d,
&ask_d,
&unit_entry_full_d,
&unit_active_full_d,
&unit_lots_full_d,
&pyramid_full_d,
&close_idx_d,
b_size,
pos_bytes,
)?;
let mt = read_slice_i32_d_pub(&stream, &market_targets_d, b_size * 2)?;
assert_eq!(mt[0], 2, "at MAX_UNITS even with threshold met → no-op per spec");
eprintln!("PASS — pyramid threshold gates add/replace/no-op in actions kernel");
Ok(())
}

6
crates/ml-backtesting/src/sim/mod.rs
View File

@@ -1351,6 +1351,12 @@ impl ml_alpha::rl::reward::RlLobBackend for LobSimCuda {
fn ask_px_d(&self) -> &CudaSlice<f32> {
self.ask_px_d()
}
fn pos_book_and_market_targets_mut(
&mut self,
) -> (&CudaSlice<u8>, &CudaSlice<f32>, &CudaSlice<f32>, &mut CudaSlice<i32>) {
(&self.pos_d, &self.bid_px_d, &self.ask_px_d, &mut self.market_targets_d)
}
}
// Re-open the impl block for `LobSimCuda` so subsequent methods (if any