1305d6531b18307e9d1228c9a0f9505cefbd94de
2 Commits
| Author | SHA1 | Message | Date | |
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jgrusewski
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5c0bcb1fdb |
fix(alpha): MBP-10 parser full-levels copy + fit_poisson L2 regularization
Two carried-over limitations from Phase E.0 / E.1 fixed and verified.
1. MBP-10 parser bug fix (`parse_mbp10_streaming` + `parse_mbp10_file`)
The DBN crate's `Mbp10Msg` carries the FULL post-update top-10 book
in `levels: [BidAskPair; 10]` per message — not just the single
update event's price/size. Previously the parser only called
`update_level(0, ...)` with the update event's fields, leaving
`current_snapshot.levels[1..10]` at default-empty. Downstream:
- OFI calculator reading L2-L5 got zeros → produced wrong OFI
features (the canonical Phase 1c/1d 81-dim feature stack has
multi-level OFI as features 0..5; with the bug these were
constant zero).
- microprice (`snapshot.levels[1]`) got zeros.
- FillModel L2/L3 fit observations got zeros, so L2/L3
coefficients were undefined (we worked around by replicating
L1 with attenuated intercept).
Fix: after `update_level(0, ...)`, copy fields from
`mbp10.levels[lvl]` into `current_snapshot.levels[lvl]` for `lvl
in 1..max_lvl`. Field-by-field copy preserves the existing scale
convention (raw 1e9 fixed-point i64). Applied to both streaming
and async file-parse code paths.
Comment "For simplicity, store all updates in level 0 / A full
implementation would maintain proper level ordering" removed.
2. fit_poisson L2 regularization
New `fit_poisson_l2(features, observed, max_iters, lr, l2_lambda)`
API (the old `fit_poisson` delegates with l2_lambda=0). L2 penalty
applies to slope coefficients β[1..5] but NOT to intercept β[0]
(penalizing the intercept biases toward p≈0.5 for all-zero-feature
samples, breaking the recovery test). Per-iteration update:
β[0] -= lr · grad[0] / n (intercept)
β[k] -= lr · (grad[k] / n + λ · β[k]) (slope, k ∈ 1..5)
Canonical motivation: on real 5.2M-trade ES.FUT data the
unregularized fitter converged to β_spread ≈ -40 (Task 5c commit
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jgrusewski
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91d1a52b9c |
refactor(alpha): rename phase_e_* → alpha_* — system-scoped naming
The kill-criteria producer, Munchausen target kernel, Rust launchers,
fit/baseline binaries, and their output JSON artifacts are *durable
infrastructure* of the alpha trading system (live across Phase E/F/G/...),
not milestone-scoped to Phase E specifically. Aligns with the earlier
`phase_e_isv_slots.rs` → `alpha_isv_slots.rs` rename rationale.
What was renamed:
Code files:
crates/ml/src/cuda_pipeline/phase_e_kill_criteria.cu → alpha_kill_criteria.cu
crates/ml/src/cuda_pipeline/phase_e_munchausen_target.cu → alpha_munchausen_target.cu
crates/ml/src/cuda_pipeline/phase_e_kernels.rs → alpha_kernels.rs
crates/ml/examples/phase_e_fit_fill_model.rs → alpha_fit_fill_model.rs
crates/ml/examples/phase_e_random_baseline.rs → alpha_random_baseline.rs
Artifacts:
config/ml/phase_e_fill_coeffs.json → alpha_fill_coeffs.json
config/ml/phase_e_random_baseline.json → alpha_random_baseline.json
Kernel function names:
phase_e_kill_criteria_compute_kernel → alpha_kill_criteria_compute_kernel
phase_e_munchausen_target_kernel → alpha_munchausen_target_kernel
Rust launcher names:
launch_phase_e_kill_criteria → launch_alpha_kill_criteria
launch_phase_e_munchausen_target → launch_alpha_munchausen_target
Static cubin names:
PHASE_E_MUNCHAUSEN_TARGET_CUBIN → ALPHA_MUNCHAUSEN_TARGET_CUBIN
Historical milestone tags in doc-comments ("Phase E.1 Task N (2026-05-15)")
are RETAINED — they record WHEN the work landed and what plan it
implemented, which doesn't change with the system-scoped rename.
Plus: ADDS the alpha_munchausen_target GPU smoke test in alpha_kernels.rs.
End-to-end validates the launcher + kernel against hand-computed expected
values: batch=2 with one terminal sample; expected targets [29.8, 1.1];
got match within 0.05 tolerance on RTX 3050 Ti. PROVES the Task 9/10
kernels actually run on GPU.
All affected references updated in:
- build.rs (kernel compile list)
- mod.rs (module registration)
- state_reset_registry.rs (4 RegistryEntry descriptions for slots 539-542)
- alpha_isv_slots.rs (slot table comment)
- docs/isv-slots.md (audit-doc cross-references)
Verified:
cargo test -p ml --lib alpha_kernels: 2/2 pass (including GPU smoke)
cargo test -p ml --lib state_reset_registry: 10/10 pass
cargo build -p ml --release --example alpha_fit_fill_model --example alpha_random_baseline: clean
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