fix(architectural): volume_bar_size in cache key + OFI front-month filter
## Two architectural cleanups, both surfaced by the wgdc8 experiment ### Part 1: volume_bar_size in cache key Mirrors the imbalance_bar_threshold/ewma_alpha fix from `f7718b376`. The volume bar size constant (100 contracts/bar) was previously hardcoded and not in the fxcache key. Tuning it would have hit the same fossilization bug as imbalance_bar_threshold did pre-fix. Changes: - `Hyperparams.volume_bar_size: u64` field added (default 100, matches `DEFAULT_VOLUME_BAR_SIZE` for backwards compat). - TrainingProfile loader reads `volume_bar_size` TOML key. - `calculate_dbn_cache_key_full` signature 7 → 8 args. Hashed via `to_le_bytes()`. Test `test_cache_key_includes_volume_bar_size` added; passes alongside the 5 existing tests. - 4 callers updated atomically (per `feedback_no_partial_refactor`): `discover_and_load`, `data_loading.rs:146`, `train_baseline_rl.rs:599`, `precompute_features.rs:259,720`. - `data_loading.rs:279` now passes `self.hyperparams.volume_bar_size` to `build_volume_bars` instead of the hardcoded `DEFAULT_VOLUME_BAR_SIZE`. - New `--volume-bar-size` CLI arg on both binaries (default 100). - New Argo workflow params `volume-bar-size` (default "100") and `data-source` (default "mbp10") on both `train-template.yaml` and `train-multi-seed-template.yaml`. Threaded into precompute + trainer invocations. - `scripts/argo-train.sh` exposes `--volume-bar-size <n>` and `--data-source <s>` for ad-hoc overrides. ### Part 2: OFI front-month filter (latent bug fix) `crates/ml/examples/precompute_features.rs:539-557` (the OFI/VPIN/Kyle's Lambda computation branch when MBP-10 + trades data is available) was loading trades unfiltered for per-bar microstructure feature computation. The volume bar formation path filters front-month per-file (line 354), but the OFI path did not. Effect pre-fix: during contract rollover windows (e.g., ESZ24 → ESH25), OFI per-bar microstructure features included trades from BOTH contracts simultaneously, distorting VPIN, Kyle's Lambda, and trade imbalance signals. Severity in production: small (front-month dominates ES.FUT volume by 10-100×) but real and present in every prior MBP-10+trades production run. Fix: mirror the per-file `filter_front_month` call from the volume bar path. Volume bar formation and OFI computation now both see the same in-month trade tape. Added log line shows raw vs filtered count per file for transparency. ## Why bundled Both fixes touch trade-data plumbing in `precompute_features.rs` and the fxcache key contract. Per `feedback_no_partial_refactor`, related architectural cleanups land atomically. Both surfaced from the same wgdc8 audit; bundling avoids two cache-key-invalidating commits in sequence (each would force full fxcache regen). ## Compatibility - `volume_bar_size` defaults to 100 → existing wgdc7-equivalent runs reproduce, but with a *new* fxcache key (the f7718b376-era cache file is unreachable; harmless, can GC manually). - OFI fix is strictly more correct; no opt-out needed. Existing models trained on contaminated OFI features may show slight feature distribution drift on first cache regen — expected, not a regression. - `data_source = "ohlcv"` Argo param now possible; routes precompute through volume bar branch directly. wgdc8 experiment uses this to test bar resolution sensitivity at volume_bar_size=500 (5× DEFAULT). Tests: 6/6 feature_cache tests pass. Workspace + examples compile clean. Audit-doc: `docs/dqn-wire-up-audit.md` updated. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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@@ -33,6 +33,8 @@ TAG=""
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PROFILE=false
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IMBALANCE_BAR_THRESHOLD=""
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IMBALANCE_BAR_EWMA_ALPHA=""
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VOLUME_BAR_SIZE=""
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DATA_SOURCE=""
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usage() {
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cat <<EOF
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@@ -61,6 +63,10 @@ Options:
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--imbalance-bar-ewma-alpha <f> Override imbalance bar EWMA alpha (default: 0.1).
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α=1.0 disables adaptation (this codebase's reversed
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convention). MUST match between precompute and trainer.
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--volume-bar-size <n> Override volume bar size in contracts (default: 100).
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Used when --data-source != "mbp10". Cache key includes.
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--data-source <s> Data source mode: "mbp10" or "ohlcv" (default: "mbp10").
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Threaded into both precompute and trainer.
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--profile Wrap training under nsys (NVIDIA Nsight Systems) and
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upload .nsys-rep artefacts to MinIO bucket
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foxhunt-training-artifacts/profiles/<sha>/. Forces the
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@@ -100,6 +106,8 @@ while [[ $# -gt 0 ]]; do
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--profile) PROFILE=true; shift ;;
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--imbalance-bar-threshold) IMBALANCE_BAR_THRESHOLD="$2"; shift 2 ;;
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--imbalance-bar-ewma-alpha) IMBALANCE_BAR_EWMA_ALPHA="$2"; shift 2 ;;
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--volume-bar-size) VOLUME_BAR_SIZE="$2"; shift 2 ;;
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--data-source) DATA_SOURCE="$2"; shift 2 ;;
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--dry-run) DRY_RUN=true; shift ;;
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-h|--help) usage ;;
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*) echo "Unknown option: $1"; usage ;;
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@@ -158,6 +166,8 @@ if [[ "$USE_MULTI_SEED" == "false" ]]; then
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[[ "$SANITIZER" != "none" ]] && CMD="$CMD -p sanitizer=$SANITIZER"
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[[ -n "$IMBALANCE_BAR_THRESHOLD" ]] && CMD="$CMD -p imbalance-bar-threshold=$IMBALANCE_BAR_THRESHOLD"
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[[ -n "$IMBALANCE_BAR_EWMA_ALPHA" ]] && CMD="$CMD -p imbalance-bar-ewma-alpha=$IMBALANCE_BAR_EWMA_ALPHA"
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[[ -n "$VOLUME_BAR_SIZE" ]] && CMD="$CMD -p volume-bar-size=$VOLUME_BAR_SIZE"
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[[ -n "$DATA_SOURCE" ]] && CMD="$CMD -p data-source=$DATA_SOURCE"
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$BASELINE && CMD="$CMD -p hyperopt-trials=0"
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$WATCH && CMD="$CMD --watch"
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@@ -291,6 +301,8 @@ CMD="$CMD -p profile=$PROFILE"
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[[ -n "$TAG" ]] && CMD="$CMD --labels foxhunt-tag=$TAG"
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[[ -n "$IMBALANCE_BAR_THRESHOLD" ]] && CMD="$CMD -p imbalance-bar-threshold=$IMBALANCE_BAR_THRESHOLD"
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[[ -n "$IMBALANCE_BAR_EWMA_ALPHA" ]] && CMD="$CMD -p imbalance-bar-ewma-alpha=$IMBALANCE_BAR_EWMA_ALPHA"
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[[ -n "$VOLUME_BAR_SIZE" ]] && CMD="$CMD -p volume-bar-size=$VOLUME_BAR_SIZE"
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[[ -n "$DATA_SOURCE" ]] && CMD="$CMD -p data-source=$DATA_SOURCE"
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[[ "$SANITIZER" != "none" ]] && CMD="$CMD -p sanitizer=$SANITIZER"
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$BASELINE && CMD="$CMD -p hyperopt-trials=0"
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