Per spec §5.4 point 1. Single fused kernel: grid=(B, N_HORIZONS, 1),
block=(MAX_BUCKET_DIM=28, 1, 1) uniform predicate. Shared x_local +
h_old_local cooperative-staged into shared memory once per block per
pearl_cooperative_staging_eliminates_redundant_reads. No atomicAdd.
No host branches.
Forward GPU oracle: matches naive per-channel CfC math (tol 1e-4) on
sm_86. Backward smoke: kernel loads + writes non-NaN gradients.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec §2.5 and feedback_no_partial_refactor. Removes:
- LoaderMode enum (single-variant after Sequential removal → deleted entirely)
- next_sequence_sequential + sequential_file_idx + sequential_anchor_idx + last_call_was_file_boundary + is_file_boundary
- last_seen_file_boundary, train_graph_boundary_state fields
- notify_file_boundary method + boundary-state graph recapture logic
- need_attn_pool_bootstrap match — always true now (random mode always bootstraps)
- --loader-mode CLI flag + notify_file_boundary() call
- loader-mode Argo template param
Additional consumers migrated atomically (beyond the 4 files listed in
the plan): ml-alpha/tests/perception_overfit.rs,
ml-alpha/tests/multi_horizon_loader.rs, ml-backtesting/src/harness.rs,
ml-backtesting/tests/trainer_parity.rs,
ml-backtesting/tests/ring3_replay.rs — all referenced LoaderMode or the
removed config fields.
Workspace builds clean at this commit (pre-existing cudarc-cupti example
and ml-crate test errors are unrelated to MTER removal — they fail at
HEAD too). New per-horizon CfC arch lands in subsequent tasks of the
same plan.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Task 1's attn_pool gate (commit 7dd953aa) was inside the captured-graph
region, so the host branch's decision was frozen at step-2 capture time.
In Sequential mode this would lock the captured graph to whichever
boundary state happened to hold at step 2, breaking subsequent file-
boundary detection — violating pearl_no_host_branches_in_captured_graph.
Fix: track the boundary state at capture time as a new
`train_graph_boundary_state: Option<bool>` field. On each step_batched,
if the current `last_seen_file_boundary` diverges from the captured
state, drop the cached graph and re-capture on the next step.
- Random mode: gate is unconditionally true; state never diverges;
zero recaptures.
- Sequential mode: ~8 recaptures per epoch (one per file boundary).
Each recapture costs the same as the original step-2 capture (~50ms).
Negligible.
Verified clean cargo check -p ml-alpha --all-targets.
Loader can now serve sequences in temporal order (Sequential mode);
when active, the trainer skips attn_pool reset at non-file-boundary
sequence boundaries (next commit will use this for stateful CfC + MTER).
Random mode preserved as default; ZERO behavioral change for existing
runs. Phased commit 1/8 of intervention B per
docs/superpowers/specs/2026-05-21-crt-train-intervention-b-multi-timescale-readout.md
Local trace at base_lambda=0.1 showed the linear ratio
{1, 0.3, 0.1, 0.03, 0.005} = HORIZONS[0]/HORIZONS[h] gave h6000 a
200x stronger target-undershoot signal than h30. The controller
slammed h6000 with smoothness gradient (peak λ[h6000]≈60) while h30
saw nearly none. h6000 val_auc collapsed to 0.514 (near-random)
while h100/h300 improved.
Replace with sqrt(HORIZONS[0]/HORIZONS[h]) = {1, 0.548, 0.316, 0.173,
0.0707}. Caps the differential at ~14x. Verified locally at base=0.1:
- h6000 val_auc recovered to 0.599 (vs 0.514 collapse, vs 0.621 no-smooth)
- jitter ratio h6000/h30 = 0.51 (meaningful differentiation, was 0.84 unforced)
- λ[h6000] equilibrium = 0.7-3 (was 4-60 with linear ratio at same base)
The design target (h6000 jitter = 7% of h30) is less aggressive than
linear (was 0.5%) but produces a tractable training equilibrium that
preserves h6000 predictive capacity. Both 500-step local AND the full
40k-step L40S retrain will tell us where it lands at scale.
The drain task previously used tokio::spawn + tokio::time::sleep,
gated by Handle::try_current().is_ok(). alpha_train's main() is
synchronous (not #[tokio::main]) so Handle::try_current() returned
Err and the drain task was silently skipped — the trace file was
never created.
Refactor to std::thread::spawn + std::thread::sleep. No runtime
required; spawn is unconditional; Drop joins synchronously instead
of aborting; BufWriter flushes on every drain cycle so even short
runs (< 1 sec) capture their tail. Existing gpu_log_ring_invariants
tests migrated from #[tokio::test] back to plain #[test].
Also resolves an exit-1 issue on alpha_train shutdown — likely a
tokio task abort panicking through the synchronous Drop path.
Local smoke (alpha_train --kernel-step-trace ...):
- EXIT=0
- step_trace.jsonl: 1497 lines (~500 steps × 3 smoothness records)
- valid JSONL, schema matches smoothness_controller emission contract
The compile-time feature kernel-step-trace gates inclusion of the ring
code. NEW: --kernel-step-trace <PATH> CLI flag on alpha_train gates
RUNTIME activation:
- Path provided -> ring allocated, drain spawns, JSONL records written
to <PATH> (truncated). One record per kernel emission.
- Path omitted -> ring not allocated, drain not spawned, zero overhead
even with the feature compiled in.
JSONL schema: {"step": u32, "kid": u8, "kname": str, "rt": u8,
"rt_name": str, "payload": {field: f32, ...}}. The payload field names
come from the existing per-(kid, rt) decoders in gpu_log.rs (ported to
serde_json::json! in decode_to_json).
Trainer ring fields are now Option<_>; populated only when the runtime
trace path is Some. Tick kernel, step-counter shadow, smoothness
controller pointer-passing, and Drop all become path-conditional.
The tracing::info!-based drain variant is removed (file-writer is
strictly more useful; tests migrated to assert JSONL file contents).
Argo template:
- New parameter kernel-step-trace-enable (build-time feature opt-in)
- New parameter kernel-step-trace-path (runtime CLI value)
- ensure-binary cache-busts when feature toggles
- training step passes --kernel-step-trace flag conditionally
Per feedback_no_feature_flags: compile-time gate retained because the
ring carries real memory cost (~2 MiB pinned) and per-step write overhead;
the specific name kernel-step-trace narrows scope to this mechanism.
Runtime gate is Option<PathBuf>, not a boolean enable_*.
Per user direction: feature-gating is appropriate for per-step diagnostic
logging (real perf/memory cost) but the name should be specific to the
mechanism, not a generic "diag-log" catch-all. kernel-step-trace
describes what the feature provides — per-step records written to the
ring by kernels.
Pure rename, no behavioral changes. Touched: Cargo.toml feature decl,
lib.rs cfg attribute, perception.rs (~25 cfg attributes including
not(feature) pairs), gpu_log.rs + smoothness_lambda_controller.cu doc
comments, gpu_log_ring_invariants.rs file-level cfg + ignore-attribute
text.
Atomic refactor wiring the GPU log ring's first producer end-to-end:
- cuda/gpu_log_helpers.cuh (new): extract LogHeader/LogRecord/LogRing
struct definitions + the log_record() device __forceinline__ helper
into a shared header. Single source of truth — other kernels include
this rather than redefining the structs.
- cuda/gpu_log_ring.cu: refactor to include gpu_log_helpers.cuh; retain
only the gpu_log_tick kernel.
- cuda/smoothness_lambda_controller.cu: include gpu_log_helpers.cuh, add
trailing (LogRing*, const int*) args, capture pre-EMA jitter +
post-EMA jitter + target + excess_ratio into shared mem, and emit
three records per call (RT_INPUT, RT_STATE, RT_OUTPUT) gated on
non-null ring pointer.
- trainer/perception.rs: feature-gated (cuda-diag-log) ring allocation +
step counter (mapped-pinned host shadow), gpu_log_tick launch FIRST
inside the captured graph, two new pointer args on the smoothness
controller launch (null when feature off), step-counter DtoD shadow
alongside the other telemetry shadows, drain task spawn (skipped when
no tokio runtime — sync tests still construct the trainer), and a
feature-gated Drop impl that aborts the drain task on shutdown.
- tests/smoothness_lambda_controller_invariants.rs: pass null pointers
for the two new kernel args; the kernel's nullptr guard preserves
pre-existing behaviour.
- build.rs: rerun-if-changed on cuda/gpu_log_ids.h and
cuda/gpu_log_helpers.cuh so header edits trigger cubin rebuilds.
Verified: cargo build / check --all-targets clean both with and without
the cuda-diag-log feature; 4/4 smoothness controller invariant tests
pass; 9/9 perception_overfit integration tests pass under the feature.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Task 5 of the GPU log ring plan. Adds `gpu_log` module behind the
`cuda-diag-log` feature gate:
- `LogRecord` (#[repr(C)], 64 B) mirroring the C-side layout in
`gpu_log_ring.cu`; const compile-time size assertion catches drift.
- `LogRing::alloc()` allocates and zero-initialises a 32k-slot
mapped-pinned ring (2 MiB pinned).
- `alloc_step_counter()` allocates the device-side i32 step counter.
- Decoder dispatch table with per-(kid, rt) decoders for
`KID_SMOOTHNESS_CONTROLLER` × {RT_INPUT, RT_STATE, RT_OUTPUT}
emitting structured tracing::info! events.
- `spawn_drain_task()` polls a mapped-pinned step-counter shadow at
500 ms cadence, walks new slots, validates magic + step, dispatches
to decoders. Emits tracing::warn! when the drainer falls behind the
ring window (no silent record drops).
Kernel ID + record-type constants are a manual mirror of
`crates/ml-alpha/cuda/gpu_log_ids.h`; drift is caught by the const
size assertion at compile time and (subsequently) by build.rs.
Task 5 added smoothness_base_lambda to PerceptionTrainerConfig but only
updated the struct definition + Default impl. Eight test sites in
perception_overfit.rs and one site in alpha_train.rs construct the
config via explicit field list (no ..Default::default() spread), so
they broke with E0063 missing-field errors under cargo check
--all-targets.
Per feedback_no_partial_refactor.md: when a contract changes, every
consumer migrates atomically. This commit adds smoothness_base_lambda:
0.0 to all 9 sites so the workspace compiles cleanly. The
alpha_train.rs value of 0.0 is a placeholder — Task 7 will replace it
with cli.smoothness_base_lambda once the CLI flag is added.
Code-quality reviewer flagged two non-blocking polish items in the
output_smoothness kernel's backward pass:
- I1: thread-divergent if-gated loads contradicted the file's stated
branchless-design intent. Fixed via clamp-then-load: at k=0 / k=K-1
read self for the spurious neighbour; lm/rm multipliers zero the
contribution. Every lane executes both loads; no divergence on
boundaries.
- I2: the "Skip work when factor == 0" comment described a non-feature
(no such branch existed). Removed.
Behaviour-equivalent change — same loss and same gradient at every
position; the change only affects warp-execution patterns at the K=0
and K=K-1 strips.
Driven by ffr59 (commit b44a97ff9) findings: all 5 horizons flip
direction every 2.5 events; win rate flat 24% across conviction; mean
PnL anti-correlated with conviction. Hypothesis: per-event alpha output
is high-frequency noise on top of a slower signal. If true, smoothing
input alpha BEFORE the conviction formula should reduce direction flips
and recover signal.
Adds Wiener-α adaptive EMA on raw alpha_probs[h] for each horizon,
applied BEFORE the multi-horizon conviction formula. Floor at 0.1
(stronger than the 0.4 floor on the output-side conviction EMA — this
tests whether INPUT smoothing has different impact than OUTPUT smoothing).
Three new device slots:
- alpha_ema_per_b_per_h (per-horizon EMA state)
- alpha_diff_var_per_b_per_h (variance of changes)
- alpha_sample_var_per_b_per_h (variance of value)
The CRT.diag Group A direction-flip counter still reads RAW alpha_probs
so we have a head-to-head comparison: raw flip rate vs smoothed flip rate.
Group E adds the smoothed-direction counter + mean run length.
End-of-run log adds one line per horizon:
crt_diag h<X> smoothed: flips=Y mean_run_len=Z events (vs raw F / M)
If smoothed mean_run_len >> raw mean_run_len: hypothesis is RIGHT, the
input had signal under the noise. Next step would be to make this an
operational EMA in the controller.
If smoothed and raw are similar: hypothesis is WRONG, per-event output
is genuinely noisy. Next step would be to investigate model training
(horizon collapse) OR the AUC=0.66 measurement definition.
Either way, definitive result from one smoke run.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Pure-instrumentation commit. Zero behavior change. The Gate CRT.1 smoke
p9cnk (commit 1e656948b) produced 222k trades and 29688% drawdown,
worse than the failed CRT.A. The structural fixes (multi-horizon
conviction, no-trade band, composite exit) all work as designed — but
the trade cadence is fundamentally too fast for the signal/cost ratio.
Before another round of threshold tuning, measure the structural truth.
Adds device-side counters dumped at smoke close (single end-of-run
memcpy_dtoh batch in read_diagnostics(), NOT per-event):
Group A — per-horizon signal persistence:
- flip_count[h]: total direction-sign flips
- sum_run_length[h]: cumulative events between flips (u64)
- run_length_hist[h]: 5-bucket log-scale histogram (1-9, 10-99,
100-999, 1k-9.9k, 10k+)
Output: mean_run_len per horizon = signal half-life proxy
Group B — conviction smoothed-EMA distribution:
- conv_hist[10]: 10-bucket histogram over [0, 1)
Output: shape of conviction distribution at decision time
Group C — hold-time distribution:
- hold_hist[6]: <1s, 1-10s, 10-60s, 1-10m, 10-60m, >1h
Output: empirical distribution of trade hold times
Group D — outcome by entry-conviction:
- outcome_n[10]: trades per conviction bucket
- outcome_sum_pnl[10]: cumulative realized PnL per bucket (price-units)
- outcome_n_wins[10]: wins per bucket
Output: validates "high conviction = better trades" hypothesis OR
surfaces signal miscalibration
Per-backtest memory: ~330 bytes. Negligible vs existing state.
All counters single-writer-per-block (threadIdx.x == 0 convention; no
atomicAdd per feedback_no_atomicadd). All updates kernel-internal (no
host roundtrip per event). The end-of-run dump uses memcpy_dtoh in
read_diagnostics() — called once at harness termination from the
post-stop_ctrl_counters block, never per-event. Per
feedback_no_htod_htoh_only_mapped_pinned, the hot path is untouched.
N_HORIZONS = 5 (heads.rs canonical {30, 100, 300, 1000, 6000}); the
plan text says 4 but the workspace constant is 5 — used the code value.
Output at end of cluster smoke as a `crt_diag` log block:
crt_diag h30: flips=X mean_run_len=Y events
crt_diag h30 run_length_hist: 1-9:N 10-99:N 100-999:N ...
...
crt_diag conv_ema_hist: [0.0-0.1]:N [0.1-0.2]:N ...
crt_diag hold_time_hist: <1s:N 1-10s:N ...
crt_diag outcome_by_entry_conv[0.0-0.1]: n=N win_rate=X.X% mean_pnl_pu=Y.YYY
...
The output drives the next round of CRT.1 threshold design (delta_floor,
composite exit factors, min-hold cooldown) from data instead of guesses.
Per pearl_adaptive_not_tuned and pearl_controller_anchors_isv_driven:
thresholds will become ISV-derived in CRT.2; CRT.1 must first establish
defensible defaults from the empirical signal characteristics.
Verified: stop_controller (22/22 pass), decision_floor_coldstart (3/3
pass), threshold_and_cost (3/3 pass), parallel_sim_correctness (1/1
pass), lob_sim_integrated_fuzz (3/3 pass). Two lob_sim_fixtures
failures (fix_decision_alpha_buy_close, fix_decision_program_h4_only)
were pre-existing at HEAD 1e656948b — not caused by this commit.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec §4.3 + plan C1.4. Safety backup for the primary exit path
(target → 0 from collapsed multi-horizon conviction, C1.2). Catches
the edge case where conviction stays bounded above zero but the trade
is deep in unrealized loss, or short/long horizons disagree for many
events while threshold-gate logic still permits sizing.
Three terms, max-of-three composite:
degradation_term = (1 − conv_ema_now / conviction_at_entry) / 2.0
disagreement_term = disagree_consecutive_events / 32.0
pnl_decay_term = max(−pnl_adjusted_conv_ema, 0) / 1.0
exit_signal = max(deg, dis, pnl_decay)
Fires force-flat (market_targets = (3, 0)) when exit_signal >= 1.0.
State-update flow:
- pnl_track open branch: write conviction_at_entry (offset 20),
conviction_ema (offset 24, initialised to entry value),
pnl_adjusted_conviction_ema (offset 44, = 0),
peak_unrealized_pnl (offset 48, = 0). Takes new conviction_ema_per_b
read-only arg to snapshot at open.
- decision kernel intra-event (when pos open): update offsets
24/44/48/56 (disagreement counter) via update_open_trade_trajectory.
- composite_exit_check device helper: reads offsets 20/24/44/56,
writes (3, 0) on fire. Sibling of stop_check_isv with same return
semantics; called after trajectory update so all four reads see
the freshly-written values.
Fields not read in CRT.1 (offsets 28-43 per-horizon EMA, 52 degradation
counter, 60 horizon_idx_dominant) are NOT written by the open branch —
alloc_zeros covers init. Per feedback_no_hiding: don't populate unused
fields. Also fixes a latent C1.1 bug: pnl_track close branch read
horizon_idx from offset 20 (now conviction_at_entry, f32); moved the
read to offset 60 per the documented layout.
Threshold-bootstrap defaults (will be ISV-derived in CRT.2 alongside
the rest of the controller anchors per pearl_controller_anchors_isv_driven):
degradation_factor = 2.0 (50% conviction decay vs entry → ≤0.5 term)
disagreement_factor = 32.0 (32 events of short/long disagreement)
pnl_decay_factor = 1.0 (pnl_adj_conv structurally ∈ [-1, +1])
Under these defaults disagreement_term is the only term that can fire
on its own — degradation_term caps at 0.5 (conv_ema/conviction_at_entry
≥ 0) and pnl_decay_term caps at 1.0 in the limit. The three terms still
add evidence in superposition; CRT.2 will retune factors against ISV
percentiles. Unit-test coverage validates the disagreement path
(composite_exit_signal_fires_on_disagreement).
Per pearl_no_host_branches_in_captured_graph — all composite logic
lives inside the decision kernel; no host roundtrip in the per-event
hot path. Per feedback_no_htod_htoh_only_mapped_pinned — no new
memcpy or stream.synchronize() in step_pnl_track or
dispatch_latent_market_orders.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
The C1.3 commit 7c850a6c0 missed three test files that construct
UniformSimParams literals. cargo check reported E0063 missing-field
errors. Added delta_floor: 0.0 (band disabled, preserves pre-C1.3
behavior in tests) to:
- parallel_sim_correctness.rs
- decision_floor_coldstart.rs
- lob_sim_integrated_fuzz.rs
Per feedback_no_partial_refactor: the atomic refactor must include
every consumer in one logical change.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec §4.0 + plan C1.3. Without this gate, every fractional change
in target_lots seeds an order via target-delta semantics; combined with
the continuous controller invocation (every event after A1) this
generates hyperactivity even with the multi-horizon §4.4 conviction
formula (C1.2). v2 Gate-1 failures confirmed: scalar EMA + amplification
clamp + per-event controller = 155k trades on a 2M-event smoke.
The band absorbs fractional target adjustments so most events produce
no order. When the signal genuinely shifts and target moves enough to
cross the band, the kernel seeds. Continuous evaluation, sparse action.
Greenfields atomic refactor — single config knob threaded through every
layer in one commit:
SweepBase.delta_floor: f32 (YAML, default 1.0 = 1 lot)
SimVariant.delta_floor: Option<f32> (per-variant override)
ResolvedSimVariant.delta_floor: f32
UniformSimParams.delta_floor: f32
BatchedSimConfig.delta_floor: Vec<f32>
LobSimCuda.delta_floor_d: CudaSlice<f32>
seed_inflight_limits_batched kernel param + skip-if-below-floor logic
New accessor: LobSimCuda::read_inflight_count(b) — counts active != 0
limit slots for backtest b. Not cfg(test); follows existing read_limit_slot
pattern.
Test: no_trade_band_blocks_micro_delta verifies that a second decision
with the same strong-bullish alpha (same target, effective = in-flight
lots) produces delta=0 and does not re-seed. max_lots=1 keeps the
arithmetic unambiguous.
Existing tests: all UniformSimParams struct literals updated with
delta_floor=0.0 (band disabled) so existing behaviour is preserved.
harness.rs from_uniform path uses delta_floor=1.0 (production default).
Hot-path discipline: the delta_floor_d upload happens once per run in
the existing config-upload block (alongside threshold, cost, max_hold_ns);
the kernel reads the device slot per-event without any host roundtrip. No
memcpy_htod / dtoh / dtov / synchronize introduced on the per-event path.
Per pearl_controller_anchors_isv_driven, this floor is currently a
config constant; CRT.2 (Phase 2) makes it ISV-derived from rolling
spread cost / signal volatility.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec §4.4 + plan C1.2. Replaces v2 A2 (1d889d2de) + A2.1
(fe2498769) scalar approach that failed Gate 1 catastrophically on
smokes vjmwc and lkrdf (155k trades, 9100% drawdown, Sharpe -15.7).
The structural fix: direction comes from per-horizon SIGNED sum, so
disagreeing horizons cancel. The scalar EMA on max(|p-0.5|) could only
smooth magnitude — it could not smooth direction jitter. Only this
multi-horizon weighted formula can.
Formula (spec §4.4):
weight_h = max(isv[h].net_edge, ε) / (isv[h].var + cost²)
weighted_h = magnitude_h × weight_h × direction_h
conviction_signed = sum(weighted_h) / sum(|weight_h|)
conviction_ema = Wiener-α EMA(|conviction_signed|) (reuses A2 slots)
target_lots = round(sign(conviction_signed) × conviction_ema × max_lots)
Pearl conformance:
- pearl_controller_anchors_isv_driven: weights from ISV state
- pearl_one_unbounded_signal_per_reward: net_edge/(var+cost²) is the
single unbounded factor; magnitude × direction is bounded in [-1,1]
- pearl_zscore_normalization_for_magnitude_asymmetric_signals: divide
by total_abs_weight for scale invariance
- pearl_trade_level_vol_for_stop_distance: cost² is variance bootstrap
- pearl_blend_formulas_must_have_permanent_floor: ε = cost · 0.01 on
net_edge — no cold-start regime switch
- pearl_audit_unboundedness_for_implicit_asymmetry: net_edge is
one-sided positive (losing-edge horizons drop out, not flip sign)
- pearl_wiener_alpha_floor_for_nonstationary: α floor at 0.4 (unchanged
EMA mechanism, repointed at the multi-horizon scalar)
DELETED:
- The `final_size *= (conv_ema/raw_max_conv)` aggregate rescale step
(the v2 bug that amplified weak signals)
- The per-horizon `signed_sizes[h]` Kelly + Sharpe-weight aggregation
loop in decision_policy_default (replaced by direct §4.4 formula)
- Three obsolete tests asserting on the old scalar path:
* conviction_ema_smooths_micro_oscillations
* conviction_ema_does_not_lag_reversals
* conviction_ema_rescale_never_amplifies_weak_signal
* cfg_high_kelly_floor helper (only used by deleted tests)
- cold_start_with_zero_floor_reproduces_old_bug (tested OLD kelly_floor
semantics that v3 doesn't expose)
- cold_start_persistent_bullish_now_closes (was passing under v2 via
target oscillation from integer rounding; v3 produces stable target
on stable signal — closes need price movement)
- alpha_noop_side_2_preserved (anchored on the v2 kelly_frac_floor
integer-truncation path that doesn't exist under v3)
Applied to BOTH decision_policy_default and decision_policy_program
(bytecode VM at OP_WRITE_ORDER). Per feedback_no_partial_refactor —
both consumers migrate atomically. The VM's per-horizon emit + aggregate
opcodes still execute but their stack `final_size` is unused at
OP_WRITE_ORDER (the §4.4 conviction-driven target replaces it). The
stack's attribution mask is still consumed for entry crediting.
The three conviction-EMA device slots (conviction_ema_d, _diff_var,
_sample_var) STAY in LobSimCuda. The Wiener-α EMA mechanism is reused
on the multi-horizon conviction scalar; the device-helper signature
changed from taking alpha_probs[] to taking the precomputed scalar
|conviction_signed|.
Kernel ABI change: decision_policy_default no longer takes
target_annual_vol_units / annualisation_factor / kelly_frac_floor /
sharpe_weight_floor (the §4.4 formula doesn't use them). Removed from
both the CUDA signature and the launch builder in sim/mod.rs. The
bytecode VM (decision_policy_program) still consumes those params for
its OP_EMIT_PER_HORIZON_SIZE / OP_AGG_WEIGHTED_SHARPE opcodes — their
device slots remain allocated.
Test: multi_horizon_conviction_cancels_on_disagreement verifies the
structural fix — bullish [0.7,0.3,0.7,0.3,0.5] horizons cancel to
no-trade output (side=2/3, size=0, conv_ema≈0).
Existing tests rebased: cfgs that used cost_per_lot_per_side=0.0 now
use 1.0 (the §4.4 formula's eps_edge floor requires cost > 0). Each
affected test file documents the rebase inline. Tests that were
anchored on observed v2-kernel values (per
pearl_tests_must_prove_not_lock_observations) are deleted; tests with
genuine invariants (boundedness, direction-sanity, stop-controller
behavior) are preserved.
Hot-path discipline: no memcpy_htod/dtoh/dtov/synchronize introduced.
Only kernel-internal computation; one launch arg removed from the
default decision kernel.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec §7 (v3 architecture reset, promoted from v2 Phase B into CRT.1).
Single-cache-line layout. Every reader and writer of open_trade_state
migrates in this commit per feedback_no_partial_refactor.
New 64-byte layout (existing 24-byte fields preserved at original offsets):
Offset Size Field
0 8 entry_ts_ns (u64)
8 4 entry_px_x100 (i32)
12 4 entry_size (i32)
16 4 realized_at_open (f32)
20 4 conviction_at_entry (f32) ← NEW
24 4 conviction_ema (f32) ← NEW
28 16 conviction_per_horizon_ema [4 × f32] ← NEW
44 4 pnl_adjusted_conviction_ema (f32) ← NEW
48 4 peak_unrealized_pnl (f32) ← NEW
52 4 degradation_consecutive_events (u32) ← NEW
56 4 disagreement_consecutive_events (u32) ← NEW
60 1 horizon_idx_dominant_at_entry (u8) ← NEW
61 3 pad
The 24-byte prefix is unchanged so downstream readers (stop_check_isv in
decision_policy.cu, max_hold event-rate check in resting_orders.cu) need
only update the stride constant. The new fields at offsets 20..63 are
populated by subsequent CRT.1 tasks (C1.2 multi-horizon conviction, C1.4
composite exit signal).
Open branch in pnl_track.cu zeros the new fields implicitly because
alloc_zeros on the device slot zero-initialises everything; subsequent
writes only touch the 0-23 byte range (existing fields). Close branch
reset-loop iterates OPEN_TRADE_STATE_BYTES which now zeros all 64.
Files changed:
crates/ml-backtesting/src/lob/mod.rs — pub const OPEN_TRADE_STATE_BYTES: usize = 64
crates/ml-backtesting/cuda/pnl_track.cu — #define OPEN_TRADE_STATE_BYTES 64
crates/ml-backtesting/cuda/resting_orders.cu — comment + stride literal 24→64
crates/ml-backtesting/tests/stop_controller.rs — open_trade_state_64_byte_layout test
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Gate 1 catastrophic failure (smoke vjmwc, commit 3d8f12deb):
- 62× hyperactivity (157,470 trades vs 2,511 baseline)
- 9,347% max-drawdown ($327M loss on $3.5M base)
- Sharpe -15.63 (2.4× worse than baseline)
Root cause: A2's formula
final_size *= (conv_ema / raw_max_conv)
amplified weak signals because EMA tracks the MEAN of raw_max_conv, NOT a
running max as the author's comment claimed. When raw_max_conv < conv_ema
(normal during quiet periods between strong signals), the multiplier was
> 1, blowing up small-signal positions:
raw=0.05, ema=0.3 → 6× amplification
raw=0.01, ema=0.3 → 30× amplification
Fix: clamp scale ∈ [0, 1] in BOTH decision_policy_default and
decision_policy_program (OP_WRITE_ORDER). Only damp when raw is stronger
than EMA (scale < 1); never amplify when raw is weaker (scale capped at 1).
Math:
scale = conv_ema / raw_max_conv // can be 0..∞
scale_clamped = min(scale, 1.0) // can only be 0..1
final_size *= scale_clamped
Test: conviction_ema_rescale_never_amplifies_weak_signal validates
target_lots stays ≤ 1 when alpha=0.51 (raw_conv=0.02) after EMA warmup
at alpha=0.7 (ema~=0.4). Without the clamp the broken multiplier is 20×.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
The forward_step_bit_identical_after_seed_from_forward_only test in
commit 1d889d2de asserted 1e-5 prediction-level convergence between
forward_only(W[1..K+1]) and seed+forward_step(snap[K]). This is
architecturally impossible: forward_only initialises CfC h_old from a
K-window attention pool; forward_step carries its own hidden state.
Even with a bit-identical SSM seed the two paths see different attention
contexts and diverge in the CfC chain.
The contract seed_step_state_from_forward_only actually makes is at the
BUFFER level: step_scratch_l{1,2}.x_state holds the terminal Mamba2
SSM state produced by replaying K scan_fwd_step calls over the seq
path's pre-computed a_proj/b_proj; and cfc_h_state_step_d is an exact
DtoD copy of h_new_per_k_d[K-1].
Replaced the failing test with seed_step_state_buffers_bit_identical_to_forward_only_terminal:
- Reads cfc_h_state_step_d and h_new_per_k_d[K-1] and asserts bit-for-bit
equality (.to_bits() == .to_bits()) — the DtoD copy makes this exact.
- Verifies L1/L2 x_states are non-zero after seeding (reset zeroed them;
K replay steps built them up).
- Seeds two independent trainers from the same window and asserts all
three buffers match bit-for-bit across both seedings (determinism).
Added readback accessors on the hot path (pub fn, not cfg(test), so
integration tests can reach them — same pattern as forward_step_into_returning):
- Mamba2BlockStepScratch::read_x_state (mamba2_block.rs)
- PerceptionTrainer::read_step_l1_x_state / read_step_l2_x_state /
read_cfc_h_state_step / read_h_new_per_k_last (trainer/perception.rs)
The architectural divergence at prediction level is documented in the
replacement test's docstring so future readers don't reopen the same question.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
After A1 (commit 045850e8f) the controller fires every event. Without
smoothing, target lots would oscillate as alpha probabilities jitter
event-to-event, generating hyperactive spread-bleed from back-and-forth
trades.
Ships per spec §4.2 and §3.7: Wiener-α adaptive EMA on max-conviction-
across-horizons. Formula:
α_raw = diff_var / (diff_var + sample_var + ε)
α_active = max(α_raw, 0.4) per pearl_wiener_alpha_floor_for_nonstationary
ema = α_active × new + (1 − α_active) × prev
First-observation bootstrap: prev_ema == 0 → replace directly per
pearl_first_observation_bootstrap.
Three new device slots (per-backtest):
- conviction_ema_d: smoothed conviction (used for final-aggregate rescale)
- conviction_diff_var_ema_d: second-order EMA, drives adaptive α
- conviction_sample_var_ema_d: second-order EMA, drives adaptive α
Architectural choice: rescale at the final aggregate (final_size *= conv_ema /
raw_max_conv), not at per-horizon sig_mag. Per-horizon sizing keeps raw
|alpha-0.5|*2 so horizons with no signal (alpha=0.5) contribute zero —
the spec §4.2 "smoothed conviction" is a unified gain over the aggregate,
not a substitute for per-horizon signal strength. At bootstrap the scale
is exactly 1.0 (raw_max_conv == conv_ema) so the very first decision is
bit-identical to the pre-A2 kernel. Direction recovery (sign of
alpha-0.5) remains per-horizon — genuine reversals respond at event rate.
Threaded through both decision_policy_default and decision_policy_program
kernels' signatures and launches in sim/mod.rs.
Full multi-horizon conviction *aggregation* (spec §4.4) remains Phase B;
A2 ships ONLY the smoothing operator on the existing scalar conviction.
Pure on-device: no memcpy_htod / dtoh / dtov / synchronize in hot path.
Single test-only DtoH accessor (read_conviction_ema) for unit-test
inspection of the smoothed value.
Tests:
- conviction_ema_smooths_micro_oscillations — sentinel→bootstrap→bounded
EMA across 10 alternating high/low all-bullish alpha drives; direction
stable.
- conviction_ema_does_not_lag_reversals — sign flip in alpha → target
side flips next event.
- All 22 stop_controller + 5 decision_floor_coldstart + 3 threshold_and_cost
+ parallel_sim + ring3_replay + trainer_parity + 6 fuzz tests pass.
- 2 lob_sim_fixtures tests (fix_decision_alpha_buy_close, fix_decision_program_h4_only)
were already failing on baseline 045850e8f pre-A2; not a regression from
this commit.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per spec 2026-05-20-continuous-reasoning-trader-design.md §3.3 and §8:
decision_stride is REMOVED, not deprecated. No backwards-compat shim,
no fallback. Every consumer migrates in this commit per
feedback_no_partial_refactor.
Removed from:
- bin/fxt-backtest: RunArgs CLI flag, SweepBase field, SweepCell
override field, default_decision_stride() function, all three
BacktestHarnessConfig and RunArgs construction sites
- crates/ml-backtesting/src/harness.rs: BacktestHarnessConfig field,
MultiHorizonLoaderConfig decision_stride initializer, `let stride`
local, `if event_count % stride == 0` gate around
step_decision_with_latency; forward_step_into + step_decision now
share a single window-full guard (merged into one `if` block)
- crates/ml-alpha/src/data/loader.rs: MultiHorizonLoaderConfig field,
next_sequence stride logic simplified to stride=1 (consecutive
snapshots only)
- crates/ml-alpha/src/trainer/perception.rs: PerceptionTrainerConfig
field and Default impl; all four dt_s locals replaced with 1.0_f32
(training K-loop, graph-capture K-loop, forward_step_into CfC step,
eval K-loop)
- crates/ml-alpha/examples/alpha_train.rs: CLI flag, trainer_cfg and
both loader configs
- crates/ml/examples/alpha_baseline.rs: CLI flag, train + eval stride
gates replaced with unconditional read_all()
- config/ml/*.yaml: decision_stride: lines removed from
sweep_smoke, sweep_threshold_tuning, sweep_deployability,
sweep_decision_stride_example (file repurposed as generic example)
- tests: forward_step_golden, perception_overfit (×7 structs including
the stride=4 smoke repurposed as a second convergence check),
multi_horizon_loader (stride=4 spacing test repurposed as
ts_ns monotonicity check), ring3_replay, trainer_parity
Harness loop now invokes BOTH forward_step_into AND
step_decision_with_latency on every event whenever the snapshot window
is full. forward_step_into advances SSM state and writes alpha_probs_d;
step_decision_with_latency reads alpha_probs_d immediately after —
no CPU roundtrip, no stride gate.
n_decisions ≈ events_processed - seq_len + 1 after this commit
(vs ~9999 at stride=200 in the S2 baseline).
cargo check --workspace: clean
cargo test -p ml-backtesting --lib: 33 passed
cargo test -p ml-alpha --lib: 33 passed (6 ignored)
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Corrective commit on top of a0e81fbdf addressing two load-bearing issues
flagged in the prior DONE_WITH_CONCERNS report.
Issue 1 (USER-FLAGGED, primary): GPU↔CPU roundtrip per event.
The previous `forward_step` did GPU compute → memcpy_dtod to mapped-pinned
host buffer → stream.synchronize() → CPU read → return [f32; N_HORIZONS]
→ harness stored in last_probs → broadcast_alpha memcpy_htod'd it back to
GPU. The 4-5 probs round-tripped the CPU twice per event for nothing.
The per-event stream.synchronize() defeated CUDA graph capture downstream
and throttled the event rate.
Per feedback_cpu_is_read_only and feedback_no_htod_htoh_only_mapped_pinned:
no compute data round-trips the CPU.
Fix:
- New `PerceptionTrainer::forward_step_into(snapshot, &mut alpha_probs_dst)`
signature. The GRN heads kernel writes per-horizon probs directly into
the caller's device buffer (`LobSimCuda::alpha_probs_d_mut`).
- Removed `probs_step_d`, `probs_step_host` fields. Removed the
DtoD-to-host-staging, the stream.synchronize, and the CPU read.
- New `LobSimCuda::alpha_probs_d_mut()` accessor exposes the on-device
decision-input buffer so the trainer writes directly into it.
- Harness loop now: `forward_step_into(&raw, sim.alpha_probs_d_mut())`
then (stride-gated) `step_decision_with_latency`. broadcast_alpha is
no longer called on the hot path — the probs were never on host.
- Conviction logging moved on-device: new `record_max_conviction_to_slot`
kernel writes one f32/decision into `LobSimCuda::convictions_d` (5M
capacity); `LobSimCuda::read_convictions(n)` DtoH's once at end of
run during `write_artifacts`. Replaces the host-side max-of-5 loop on
`self.last_probs` per decision. `last_probs` field deleted.
- Test-only helper `forward_step_into_returning(snap) -> [f32; N]`
preserves the prior test API shape with one DtoH; not exposed to
production callers. Existing forward_step_golden.rs tests retargeted
to this helper.
Acceptance check (per spec) passes — no memcpy_htod/dtoh/dtov/synchronize
inside forward_step_into or its callees. Only memcpy_dtod_async (DtoD).
Issue 2 (prior report concern #1): bit-identical seed from forward_only.
Previously the convergence test passed only at tolerance 0.15 because
forward_only seeds CfC's h_old from the attention pool over the K-window;
the step path starts from h=0 and the attention pool is dropped. Per memo
§4.5 Option (a) — extract terminal state from forward_only and seed
forward_step from it.
Fix:
- New `Mamba2Block::step_advance_from_seq_row(a_proj_ptr, b_proj_ptr,
scratch)` helper: launches scan_fwd_step against pre-computed
a_proj/b_proj from the seq path. Bit-identical x_state by construction
(same arithmetic, same per-step order). Skips the W_in/W_a/W_b GEMMs
which would otherwise differ from the seq path's batched GEMM at the
bit level.
- New `PerceptionTrainer::seed_step_state_from_forward_only(window)`:
1. Run forward_only(window) — populates mamba2 L1/L2 a_proj/b_proj
+ h_new_per_k_d via the regular seq path.
2. Reset step scratches' x_state to zero.
3. For k in 0..K: launch scan_fwd_step on step_scratch_l1 reading
row k of mamba2_fwd_scratch.a_proj/b_proj. Same for L2.
4. DtoD copy h_new_per_k_d[K-1] (the cfc h_new that would feed
position K if there were one) → cfc_h_state_step_d.
- New test forward_step_bit_identical_after_seed_from_forward_only at
1e-5 tolerance. Asserts forward_step_into on snapshot K (after seeding
from window [0..K-1]) matches forward_only's last-position prediction
on window [1..=K].
Residual structural caveat documented in the test: A and B see different
attn_context inputs (forward_only over [1..K+1] vs warmup [0..K]) and B
has one extra cfc iteration in its chain. The seed pins SSM x_state +
cfc h_state to forward_only's terminal values bit-identically; what
remains is cfc trajectory divergence after that pin. Asserting at 1e-5
exposes the gap at review rather than hiding it under a loose tolerance.
Per pearls: no host branches in captured graph (none added; kernel-only
work), no atomicAdd (block-tree-free single-thread kernel),
mapped-pinned-only for any CPU↔GPU contact (none on hot path; only the
constructor's weight upload + setup paths). cargo check workspace clean.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Per A0 investigation memo (commit 2e87ed0da) — forward_only was Case 2
(stateless K=64 window per call). Refactored PerceptionTrainer to
maintain persistent Mamba2 SSM state per call via step_into kernels.
New API:
- Mamba2BlockStepScratch: scratch sized for K=1, x_state persistent
across step_into calls.
- Mamba2Block::step_into: single-step forward with x_state in-place
update.
- PerceptionTrainer::forward_step(snapshot) -> [f32; N_HORIZONS]
- PerceptionTrainer::reset_step_state(): zero x_state for both
Mamba2 layers + CfC hidden state for session resets.
Decisions (from A0 memo §5):
1. K=1 path: added a dedicated `mamba2_alpha_scan_fwd_step` kernel.
The existing scan_fwd_seq cannot run at K=1 with carry-forward
state — it unconditionally zero-initialises its register-array
SSM state at kernel entry (line 253-255 of the kernel source),
which would discard prior state on every launch. The new step
kernel reads SSM `x_state[N, sh2, state_d]` from DRAM at entry,
advances by one timestep, writes back. Same arithmetic as
scan_fwd_seq's per-step inner loop.
2. x_state carry: written in-place in DRAM at end of step_into.
The scratch struct holds the persistent buffer; the kernel
reads + writes it atomically per (i, j) thread.
3. CUDA Graph at K=1: chose eager dispatch. Per the A0 memo's
default for K=1, graph replay overhead (5-15 µs) is likely
larger than the kernel work at K=1. Profiling a graph-replayed
path can be added in a future task if benchmarks show otherwise.
4. Session reset: `reset_step_state` exposed (zeroes both Mamba2
x_state buffers + CfC h state). NOT wired into BacktestHarness
in this task — that handoff is a session-gap downstream change.
5. Spec §3.2 had factual error ("trunk forward already every
event") — corrected by this commit's behaviour. Spec doc edit
deferred to a separate concern.
Architectural divergence from forward_only (documented in
forward_step doc + test): the per-event path drops the attention
pool over LN_b's K-history (it would require K LN_b rows per call,
defeating the O(1)/event target). CfC instead carries its hidden
state across calls; after `reset_step_state()` that state is zero
and naturally accumulates context via CfC's decay-recurrence.
Golden test (forward_step_golden.rs) covers three structural
invariants:
- Determinism: two trainers from same seed run forward_step over
the same sequence → bit-identical probs (< 1e-6).
- Reset semantics: post-reset run matches a fresh trainer's run
bit-identically.
- Convergence: forward_step on N=320 events converges to
forward_only on the trailing K=64 window within 0.15. The
looseness reflects the dropped attention pool — for long-τ CfC
channels (τ > N · dt) the initial-state attn_context (forward_
only) vs zero (forward_step) difference partially persists. Bit-
identity to forward_only requires either re-introducing attention
pool on the step path or extracting forward_only's terminal state
and seeding forward_step from it (A0 memo §4.5 option (a));
both deferred.
Harness transitional change: forward_step now called EVERY event to
keep SSM state current; decision/broadcast still stride-gated. A1
will delete the stride gate. Adds `last_probs: [f32; N_HORIZONS]`
cache to BacktestHarness so the stride gate reads from cache rather
than re-invoking forward_step.
Per pearls: nvidia-grade kernel performance (warp-shuffle-free
register array x[32], no atomicAdd, no host branches in graph
capture, no nvrtc). The new kernel is pre-compiled in build.rs's
existing mamba2_alpha_kernel.cu cubin alongside fwd/bwd/seq variants.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
S2.2 moved max_hold to event-rate at step_resting_orders (cap is now
enforced — mean hold 432s → 58.43s, max 173893s → 96s). But it mirrored
the session-gap pattern `pos.position_lots = 0;` which intentionally
skips PnL ("cannot fill across halt"). Max_hold differs: the market is
live so the close SHOULD realize PnL via the current top-of-book.
Smoke t9msj (b92bd72c7) showed the consequence: 84% of trades record
$0 realised_pnl, win_rate dropped to 3.3%, total_pnl looks artificially
better (-$225k) only because losses aren't recorded.
Fix: route the force-close through apply_fill_to_pos by synthesizing a
closing fill at book.bid_px[0] (long) or book.ask_px[0] (short). The
existing counter-direction branch (realised = (avg_px − vwap) × dir ×
unwind) correctly realizes PnL on the unwound position. Top-of-book is
already validated by book_update_apply_snapshot's skip, so close_px is
guaranteed in range.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
S2.1 instrumentation (smoke cqpph @ 95a77c4ac) revealed the chain
worked end-to-end: max_hold check fired 1661 times, force-flat target
was written and seen by seed_inflight. Yet 86.5% of trades exceeded
the 60s cap with mean hold = 432s. Root cause: decision_policy's
stop_check_isv only runs every decision_stride events. At
decision_stride=200 on ES Q1 (2M events / ~91 days = ~3.9s sim-time
per event), decisions are ~13 min apart in sim-time, so the cap is
enforced 13 min late on average.
Fix: move the max_hold check to resting_orders_step (event-rate, runs
every iteration), same pattern as the session-gap force-close at
resting_orders.cu:282. Thread max_hold_ns_per_b and open_trade_state
into resting_orders_step. SL/trail stay in stop_check_isv because
they depend on ISV controller state at decision-rate.
Remove the dead decision-rate max_hold code and its 6 diagnostic
counter params from stop_check_isv per single-source-of-truth and
no-hiding rules. Keep mh_kernel_calls and mh_force_flat_seen_by_seed
counters as ongoing generic diagnostics. Update harness.rs log line
and stop_controller tests to exercise the event-rate path.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
S2 cluster smoke ppcfk (29f7e923c) showed mean trade hold = 432s with
max_hold_ns=60s — 886/1024 trades exceed the cap that should hard-flat
them. Upload chain and pnl_track entry_ts write look structurally
correct on inspection. Need per-step counters to localize WHICH step
of the chain fails.
Adds 7 counters in stop_check_isv (kernel_calls, seen_zero, entry_ts_zero,
ts_underflow, elapsed_below_cap, would_fire, force_flat_written) plus 1
counter in seed_inflight_limits_batched (seed_saw_force_flat). Logged at
smoke end as a third nan_counters-like line.
Diagnostic only — no behavioral change.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
S1.20-S1.22 chased a wrong hypothesis (walk_* deep-level filter) for
3 rounds. The actual bug: resting_orders.cu:344 fills at cost = take *
s.price in the queue-decay maturation arm. Market-like orders seed at
line 644 with sentinel s.price = 1e9 (buy) / 0 (sell), counting on the
marketability check at lines 372-... to fire first via walk_*. But
queue_position initializes to 0 (no book level matches the sentinel),
so on the first same-side trade volume the queue-decay arm fires and
injects the sentinel into cost: buy cost = take * 1e9 -> avg_px =
1e9 -> huge_flat=216, sell cost = take * 0 -> avg_px = 0 ->
zero_flat=194. Same pattern explains flip=9+6.
Fix: detect s.price outside [min_reasonable_px, max_reasonable_px] in
the queue-decay arm; absorb queue_position depletion without filling.
Marketability check fires in the same iteration via walk_* with proper
book prices.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
v2 NaN instrumentation (S1.21) localized the bug to apply_fill_to_pos's
open-from-flat branch writing pos.vwap_entry = avg_px where avg_px was 0
(194 cases) or > 21M finite (216 cases). The arithmetic was clean — root
cause is walk_ask_for_buy/walk_bid_for_sell consuming size from deep
levels (k=1..9) that have lvl_sz > 0 but lvl_px = 0 (or huge sentinel).
MBP-10 fills empty depth slots beyond available levels with these
sentinels.
Existing per-level filter checked lvl_sz <= 0, !isfinite(lvl_sz),
!isfinite(lvl_px) — but allowed lvl_px = 0 and lvl_px > max range.
Fix: thread per-backtest min_reasonable_px / max_reasonable_px (already
uploaded for the top-of-book skip in book_update_apply_snapshot via
S1.19) through to walk_*, and reject any level whose price falls
outside [min_px, max_px]. Same fix shape as Bug C-b (top-of-book skip),
now applied at all 10 depths.
Changes: resting_orders.cu (walk_* signatures + kernel param + 2 call
sites), order_match.cu (walk_* signatures + kernel param + 1 call site),
sim/mod.rs (submit_market + step_resting_orders launch args). 19 CUDA
tests pass.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
v1 instrumentation (S1.20) eliminated 3 of 6 hypotheses: apply_fill_to_pos
arithmetic is fully clean (avg_px=0 realised=0 realized_pnl=0). But
pnl_track open branch still saw vwap_entry=0 (194 times) or > 21M (216
times) at the open transition.
v2 adds per-vwap-write-site counters so we can pinpoint which apply_fill
branch produced the bad vwap, plus captures the actual last-bad-vwap
value and the path id (1..6 = open-flat, scale-in zero/huge, flip-beyond
zero/huge, session-gap-saw-stale).
The 7th counter (vwap_session_gap_was_bad) fires when the session-gap
force-close path sees pos.vwap_entry already in a corrupt state pre-gap.
Logged at end of smoke as `nan_counters_v2: zero_flat=N huge_flat=N
zero_scale=N huge_scale=N zero_flip=N huge_flip=N session_gap_was_bad=N
| b0_last_bad_vwap=X b0_last_bad_path=N`.
19/19 stop_controller CUDA tests pass; 5/5 decision_floor_coldstart pass.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Audit (fxt-data-audit on ES.FUT_2024-Q1) revealed real source-data
outliers that the hardcoded < 1e8 threshold didn't catch:
- bid_min = -$4.85 (negative bid)
- bid_p1 = $64.15 (1% of bids in sub-$100 range, far below ES)
- ask_max = $53,012 (10x above any plausible ES price)
The < 1e8 threshold = $100M was useless: never triggered on real ES.
Fix: parameterize the range. min_reasonable_px / max_reasonable_px as
per-backtest fields in UniformSimParams, ResolvedSimVariant, and
BatchedSimConfig (defaults 0.0 / f32::INFINITY = no-check, preserves
existing test fixtures). Sweep_smoke.yaml sets 1000/20000 for ES
futures — catches all observed outliers without rejecting any plausible
price. BacktestHarness calls upload_price_range() once after creating
the sim so the bounds are active before the first apply_snapshot.
CUDA kernel book_update_apply_snapshot gains two new args
(min_reasonable_px[n_backtests], max_reasonable_px[n_backtests]) that
replace the hardcoded > 0.0f && < 1.0e8f checks at both the top-of-book
gate and the per-level sanitization pass.
Test price_range_rejection_skips_snapshot validates: sub-$1000
snapshot, super-$20000 snapshot, and negative bid all skip with
snapshots_skipped counter increment; valid ES snapshot passes through.
17/17 stop_controller tests pass.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
