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fix: resolve mbp10_data_dir relative to workspace root + smoketest with MBP-10

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Relative TOML paths now resolved via CARGO_MANIFEST_DIR → workspace root,
matching test_data_dir() behavior. MBP-10 smoke test passes: 654 imbalance
bars from Q1+Q2 2024, threshold=25.0.

Smoketest config switched to data_source="mbp10" for MBP-10 validation.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-03-31 11:43:21 +02:00
parent 3501d7a37b
commit aafcdf261d
2 changed files with 21 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
config/training/dqn-smoketest.toml
View File

@@ -21,10 +21,10 @@ hidden_dim_base = 64
max_steps_per_epoch = 200
reward_scale = 1.0
huber_delta = 1.0
# Data source: "ohlcv" for smoke tests (no MBP-10 data required)
data_source = "ohlcv"
# OFI feature enrichment from MBP-10 order book data (8 features: OFI L1/L5, depth imbalance, VPIN, Kyle's lambda, bid/ask slope, trade imbalance)
# mbp10_data_dir = "test_data/futures-baseline-mbp10"
data_source = "mbp10"
mbp10_data_dir = "test_data/futures-baseline-mbp10"
imbalance_bar_threshold = 25.0
imbalance_bar_ewma_alpha = 0.1
[distributional]
num_atoms = 51

19
crates/ml/src/trainers/dqn/data_loading.rs
View File

@@ -636,6 +636,21 @@ impl DQNTrainer {
.ok_or_else(|| anyhow::anyhow!(
"data_source='mbp10' requires mbp10_data_dir to be set in [training] config"
))?;
// Resolve relative paths against workspace root (same as test_data_dir)
let mbp10_path = {
let raw = Path::new(mbp10_dir_str);
if raw.is_absolute() || raw.exists() {
raw.to_path_buf()
} else {
// Try resolving from workspace root via CARGO_MANIFEST_DIR
let manifest = std::env::var("CARGO_MANIFEST_DIR").unwrap_or_default();
let workspace = Path::new(&manifest)
.parent().and_then(|p| p.parent())
.unwrap_or(Path::new(""));
let resolved = workspace.join(raw);
if resolved.exists() { resolved } else { raw.to_path_buf() }
}
};
// Extract symbol from dbn_data_dir (last path component, e.g. "ES.FUT")
let symbol = Path::new(dbn_data_dir)
.file_name()
@@ -643,12 +658,12 @@ impl DQNTrainer {
.unwrap_or("ES.FUT");
info!(
"Loading MBP-10 imbalance bars: dir={}, symbol={}, threshold={}, alpha={}",
mbp10_dir_str, symbol,
mbp10_path.display(), symbol,
self.hyperparams.imbalance_bar_threshold,
self.hyperparams.imbalance_bar_ewma_alpha,
);
let bars = crate::features::mbp10_loader::mbp10_to_imbalance_bars(
Path::new(mbp10_dir_str),
&mbp10_path,
symbol,
self.hyperparams.imbalance_bar_threshold,
self.hyperparams.imbalance_bar_ewma_alpha,