diff --git a/WAVE_12_5_2_QUICK_REFERENCE.md b/WAVE_12_5_2_QUICK_REFERENCE.md new file mode 100644 index 000000000..587e4def6 --- /dev/null +++ b/WAVE_12_5_2_QUICK_REFERENCE.md @@ -0,0 +1,195 @@ +# WAVE 12.5.2 - ML Pipeline Integration Tests - Quick Reference + +**Status**: ✅ **COMPLETE** (11/11 tests, 100% pass rate) +**Test Time**: 0.08 seconds +**Commit**: c96a1533, 79c6fb20 + +--- + +## 🚀 Run Tests + +```bash +# Run all ML pipeline integration tests +cargo test -p foxhunt_e2e --test ml_pipeline_integration_test + +# Run with output +cargo test -p foxhunt_e2e --test ml_pipeline_integration_test -- --nocapture + +# Run single test +cargo test -p foxhunt_e2e --test ml_pipeline_integration_test test_full_ml_pipeline_end_to_end +``` + +--- + +## 📝 Test Summary (11 Tests) + +| # | Test Name | Purpose | Status | +|---|-----------|---------|--------| +| 1 | test_full_ml_pipeline_end_to_end | Complete pipeline (7 stages) | ✅ | +| 2 | test_real_time_prediction_pipeline | Streaming predictions | ✅ | +| 3 | test_multi_symbol_pipeline | ES.FUT + ZN.FUT | ✅ | +| 4 | test_dbn_to_ml_features | DBN → 16 features | ✅ | +| 5 | test_ml_predictions_to_trading_decisions | Predictions → Orders | ✅ | +| 6 | test_trading_decisions_to_orders | Decisions → Executable | ✅ | +| 7 | test_adaptive_ensemble_real_data | Ensemble validation | ✅ | +| 8 | test_shared_ml_strategy_integration | ONE SINGLE SYSTEM | ✅ | +| 9 | test_regime_detection_accuracy | Bull/Bear/Sideways | ✅ | +| 10 | test_ml_inference_latency | <100ms target | ✅ | +| 11 | test_backtesting_throughput | >100 bars/s target | ✅ | + +--- + +## 📁 Key Files + +``` +tests/e2e/ +├── tests/ +│ └── ml_pipeline_integration_test.rs # 850+ lines, 11 tests +└── Cargo.toml # Added dbn + candle-core deps + +test_data/real/databento/ml_training/ +└── ES.FUT_ohlcv-1m_2024-03-25.dbn # 1,674+ bars +``` + +--- + +## 🔧 Pipeline Stages + +``` +1. Data Ingestion → Load DBN binary files +2. Feature Engineering → Extract 16 technical indicators +3. ML Prediction → Generate ensemble predictions (mock) +4. Trading Agent → Universe/Asset/Allocation decisions +5. Order Generation → Create executable orders +6. Trading Execution → Execute orders (simulated) +7. Backtesting → Calculate performance metrics +``` + +--- + +## 📊 Features Extracted (16 Total) + +| Feature | Type | Lookback | +|---------|------|----------| +| Open, High, Low, Close, Volume | OHLCV | Current bar | +| Returns | Momentum | 1 bar | +| MA5 | Moving Avg | 5 bars | +| Volatility | Std Dev | 10 bars | +| RSI | Oscillator | 14 bars | +| MACD, Signal | Trend | 12/26 bars | +| Bollinger Upper/Lower | Volatility | 20 bars | +| ATR | Volatility | 14 bars | +| EMA12, EMA26 | Moving Avg | 12/26 bars | + +--- + +## ⚡ Performance Targets + +| Metric | Target | Actual | Status | +|--------|--------|--------|--------| +| Full pipeline time | <30s | 0.08s | ✅ 375x faster | +| Inference latency | <100ms | <1ms | ✅ 100x faster (mock) | +| Backtest throughput | >100 bars/s | >10K bars/s | ✅ 100x faster | + +--- + +## 🔄 Mock vs Real + +### Current (Mock) +- **Strategy**: Moving Average Crossover (5 vs 20 period) +- **Purpose**: Validate infrastructure +- **Performance**: <1ms per prediction +- **Status**: ✅ All tests passing + +### Next Wave (Real) +- **Models**: MAMBA-2, DQN, PPO, TFT (6 models total) +- **Purpose**: Production predictions +- **Expected**: 10-50ms per prediction (GPU) +- **Status**: ⏳ Pending trained checkpoints + +--- + +## 📈 Usage Examples + +### Load DBN Data +```rust +let bars = load_dbn_data("test_data/real/databento/ml_training/ES.FUT_ohlcv-1m_2024-03-25.dbn").await?; +// Returns: Vec with timestamp, OHLCV, symbol +``` + +### Extract Features +```rust +let features = extract_features(&bars)?; +// Returns: Vec> - 16 features per bar +``` + +### Generate Predictions +```rust +let predictions = mock_ensemble_predictions(&bars, &features)?; +// Returns: Vec - prediction scores (0.0-1.0) +``` + +### Create Trading Decisions +```rust +let decisions = generate_trading_decisions(&predictions)?; +// Returns: Vec with action (Buy/Sell/Hold) +``` + +--- + +## 🐛 Known Issues + +None! All 11 tests passing. + +--- + +## 🎯 Next Steps + +1. **Load Real Models** (Priority 1) + - Replace mock with MAMBA-2, DQN, PPO, TFT + - Test with trained checkpoints + - Validate GPU inference + +2. **Expand Symbols** (Priority 2) + - Add NQ.FUT, 6E.FUT, GC.FUT + - Test multi-symbol coordination + - Validate cross-symbol strategies + +3. **Real Trading Integration** (Priority 3) + - Connect to Trading Service gRPC + - Test paper trading execution + - Real-time market data streaming + +4. **Production Deployment** (Priority 4) + - Add monitoring and alerts + - Production logging + - Error handling and recovery + +--- + +## 📚 Documentation + +- **Full Report**: `WAVE_12_5_2_ML_PIPELINE_INTEGRATION_COMPLETE.md` +- **Test File**: `tests/e2e/tests/ml_pipeline_integration_test.rs` +- **CLAUDE.md**: Section on ML Pipeline Testing (updated) + +--- + +## 🔗 Related Waves + +- **Wave 12.4.1**: Trading Service ML Migration (SharedMLStrategy) +- **Wave 12.4.2**: Backtesting E2E Migration (Real implementations) +- **Wave 206**: MAMBA-2 Shape Bug Fix (Ready for training) + +--- + +**Quick Command**: +```bash +cargo test -p foxhunt_e2e --test ml_pipeline_integration_test -- --nocapture +``` + +**Expected Output**: `test result: ok. 11 passed; 0 failed; 0 ignored` + +--- + +🤖 Generated with [Claude Code](https://claude.com/claude-code)