Flamegraph of precompute_features on 1Q ES showed 62% of CPU time in
zstd decompression, 6% in DBN FSM parsing, and only 2% in the actual
feature math — single-threaded zstd was the bottleneck, not compute.
Two fixes:
1. Per-quarter parallelism on the volume-bar trades loop (was sequential
`for file in &trade_files`); brings it in line with the OFI path that
already used par_iter.
2. Predecoded sidecar cache in `crates/ml-features/src/predecoded.rs`:
first call to a `.dbn.zst` writes a bincode'd Vec<Mbp10Snapshot> or
Vec<DbnTrade> under `<output_dir>/predecoded/`. Subsequent calls
deserialize the sidecar and skip zstd entirely. An mtime+size header
self-invalidates the sidecar when the source changes — no manual
flush needed when a quarter is re-downloaded.
Local 1Q ES results:
- cold (writes sidecar): 40.7s (was 39.3s; +1.4s for write)
- warm (HIT): 4.7s (8.7× faster)
- zstd in flat perf: 62% → 0% of CPU samples
- sidecar disk per Q: ~150MB
The sidecar layer also auto-dedupes within a single run: the OFI section
re-loads trades, but the second call hits the sidecar that the
volume-bar section wrote moments earlier.
CLI: `--rebuild-predecoded` purges sidecars for cold-path testing or
after a wire-format change to Mbp10Snapshot / DbnTrade. Sidecars also
self-invalidate on format-version mismatch so old caches are skipped
silently rather than mis-deserializing.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Three things landing atomically because they're load-bearing for each other:
1. **Trend-scanning leakage fix** — trend_scanning.rs was emitting OLS slope+t-stat
over a *forward* window [t, t+L]. With the Phase 1a label = sign(price[t+60]
− price[t]), the forward feature window overlaps the label window, contaminating
it. Purged walk-forward only sterilizes forward-looking *labels* that cross
the train/val split, not forward-looking *features* that peek inside the same
horizon the label measures. The leak inflated MLP accuracy from 0.49
(legacy 74-dim baseline) to 0.75 — vanished to 0.50 after switching to a
trailing window. Bounded the perfect-fit t-stat sentinel from ±1e6 → ±20
(p<1e-30 is already meaningless); eliminated the 16k corruption-cap drops.
2. **Variable-dim alpha column** — fxcache schema now carries the alpha-feature
width via metadata (`alpha_feature_dim`), not a compile-time constant. Same
on-disk format hosts the 134-dim bar-level stack OR the 81-dim snapshot stack.
Reader + auto-detect honor the metadata-declared dim; downstream MLP auto-sizes
`in_dim`. Single schema, no forks.
3. **Snapshot pipeline (Phase 1c falsification)** — `snapshot_pipeline.rs`: 81-dim
per-MBP10-snapshot extractor reusing 10 snapshot-native alpha blocks + 6 new
snapshot-specific features (time-since-trade, time-since-snap, event-rate,
spread-bps, L1-imbalance, microprice-mid drift). `precompute_features` gets
`--row-unit snapshot` flag; emits one fxcache row per LOB update (1.97M rows
from MBP-10 data vs 206K for bar mode).
**Smoke verdict on real data** (ES.FUT, 1.97M snapshots, 384K val):
- Bar-level honest alpha: accuracy=0.5005, AUC=0.5043 (no signal)
- **Snapshot-level alpha**: accuracy=0.5241, AUC=0.6849 (real signal, 384K val)
- GBM corroboration: accuracy=0.5401 (non-linear partitioning sees more)
- Horizon decay: alpha peaks at K=20-50 snapshots (~5-25ms), gone by K=500
- Regime-conditional: spread-Q4 quintile hits 0.752 accuracy on 76k samples
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Integration test now loads imbalance_bar_threshold and ewma_alpha from
config/training/dqn-smoketest.toml. Single source of truth for all
config values. Production threshold lowered to 0.5 for maximum bar yield.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
First load: full MBP-10 decompression (~450s for 19G).
Subsequent loads: bincode deserialize (<1s).
Cache key: hash(dir + symbol + threshold + alpha).
Auto-invalidates when any source .dbn file is newer than cache.
Cache failures are non-fatal — falls through to recomputation.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
