## 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>
## The bug (audit 2026-05-09)
`crates/ml/src/feature_cache.rs:calculate_dbn_cache_key_full` hashed only
`(symbol, data_source, dbn_filenames+sizes)` — NOT `imbalance_bar_threshold`
or `imbalance_bar_ewma_alpha`. Combined with `precompute_features.rs:346`
unconditionally calling `build_volume_bars` regardless of `data_source`,
this meant:
1. 14 audited production runs (Apr 11–May 8) all collided on the same
fxcache key (`a3f933aa...` / `c07c960a...`) regardless of TOML
`imbalance_bar_threshold` value
2. The imbalance-bar code path was reachable only via fxcache MISS, which
never happens in production because `ensure-fxcache` always populates
first
3. Every "tuning" of `imbalance_bar_threshold` across 16+ SP runs was a
silent no-op — the system was actually running volume bars at
DEFAULT_VOLUME_BAR_SIZE (100 contracts/bar)
## The fix (this commit)
**Part A — cache key includes bar formation params:**
- `calculate_dbn_cache_key_full` signature: 5 args → 7 args. Two new f64
params hashed via `to_le_bytes()`.
- 4 callers updated atomically (per `feedback_no_partial_refactor`).
- 2 new unit tests (`test_cache_key_includes_bar_threshold`,
`test_cache_key_includes_bar_alpha`) pin the contract.
**Part B — precompute_features actually USES data_source:**
- New CLI args `--imbalance-bar-threshold` (default 0.5) and
`--imbalance-bar-ewma-alpha` (default 0.1) on both train_baseline_rl
and precompute_features.
- `precompute_features.rs:346` now branches: when
`data_source == "mbp10"` AND `mbp10_data_dir.is_some()`, calls
`mbp10_to_imbalance_bars` instead of `build_volume_bars`.
**Argo plumbing:**
- `train-template.yaml` + `train-multi-seed-template.yaml`: new workflow
parameters threaded into BOTH precompute and trainer invocations so
both compute the same fxcache key.
- `scripts/argo-train.sh`: new CLI flags for ad-hoc overrides.
- ensure-fxcache regen path: removed `rm -f /feature-cache/*.fxcache`
(with bar-params now in key, parallel experiments coexist).
## Effects going forward
- Tuning `imbalance_bar_threshold` actually changes bar density
- Configuring `data_source = "mbp10"` actually produces imbalance bars
- Multiple parallel experiments at different thresholds coexist on PVC
- `dqn-production.toml: imbalance_bar_threshold = 0.5` no longer ignored
Default values match prior production behavior → existing wgdc7-equivalent
runs reproduce, just with a *new* fxcache key (the old volume-bar cache
file is still on disk but won't be hit; harmless, can GC manually).
Audit-doc: `docs/dqn-wire-up-audit.md` updated with full context.
Tests: 5/5 feature_cache tests pass, full workspace + examples compile clean.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Smoke and localdev profiles previously used data_source = "ohlcv", divergent
from production (mbp10). Mismatch silently produced cache-key collisions in
the SHA256 hash path: smoke fxcache could not be loaded by production-shape
training without an explicit override. Local-dev fxcache regen also required
remembering to pass --data-source ohlcv to match.
Globalize mbp10 as the default everywhere it isn't deliberately overridden:
- config/training/dqn-smoketest.toml: data_source = "mbp10"
- config/training/dqn-localdev.toml: data_source = "mbp10"
- training_profile.rs: doc Default → "mbp10"
- trainers/dqn/config.rs: Default impl → "mbp10"
- hyperopt/adapters/dqn.rs: default → "mbp10"
- examples/precompute_features.rs: doc updated
- fxcache.rs / feature_cache.rs: discover_and_load + cache-key tests
use "mbp10" arguments
- docs/dqn-wire-up-audit.md: new entry per Invariant 7
Documentation strings retained "ohlcv" only where they document the two
available choices (config.rs:946, training_profile.rs:83).
Local fxcache regenerated to v6 mbp10:
test_data/feature-cache/13c0b086a975cc7e2384377a2cd0e97738c9410292fcfecb5807c29bf885cb48.fxcache
(175874 bars, 55 MB, OFI_DIM=32). Stale v5 ohlcv fxcache untracked
from git index (already gitignored post-79578bbaf).
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Different instruments (ES.FUT vs NQ.FUT) and data source modes (ohlcv vs mbp10)
now produce distinct .fxcache keys, preventing silent overwrites and wrong-bar-type
loads at cache lookup time.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
The cache key hashed filename + size + mtime. PVC remounts on different
nodes change file timestamps without changing data, producing a different
key every pod boot. Result: fxcache MISS on every H100 run, forcing
10+ min DBN feature extraction from 148GB raw MBP-10 data.
Fix: hash filename + size only. Deterministic across remounts.
Note: existing cache must be rebuilt once (key format changed).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Cache key hashes filename + size + mtime instead of full paths.
Resolves mbp10/trades relative paths by walking up from data_dir.
Ensures precompute binary and cargo test produce the same key
regardless of working directory.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Precompute binary now uses calculate_dbn_cache_key_full from the
library instead of its own compute_cache_key. Canonicalize all
paths in the key function so relative/absolute produce the same
key. Walk up parent dirs for sibling feature-cache discovery.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Removed 2.6GB of uncompressed .dbn files (derivable from .zst).
Renamed directory to mbp10-fixtures to distinguish unit test
fixtures from training data. Updated all test references to use
.dbn.zst paths directly.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
The DBN feature cache was keyed ONLY on OHLCV .dbn files. If a cache was
created without trades data (VPIN/Kyle's Lambda), subsequent runs with trades
would silently serve stale features from cache, dropping VPIN enrichment.
Now cache key hashes OHLCV + MBP-10 + trades dirs together. Adding or removing
data sources invalidates the cache correctly.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
continuous_bounds_for large GPU expansion used .max() which overwrote
Phase Fast's single-point bounds (128,128) → (128,2048). Now skips
expansion when lo==hi (bound is fixed by Phase Fast).
Feature cache uses CARGO_TARGET_DIR/.foxhunt_feature_cache when set
(PVC-persisted on CI), falls back to /tmp (ephemeral). Saves ~2 min
of DBN parsing per hyperopt run on H100.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Root cause: ElementwiseKernels was cached in a static OnceLock, compiled
once on the first test's CudaContext. When the second test created a new
CudaContext (fresh Arc), the cached CudaFunction handles were stale,
causing CUDA_ERROR_INVALID_VALUE on alloc_zeros (n=128, op=abs).
Fix: Replace OnceLock with a Mutex<HashMap<usize, Arc<ElementwiseKernels>>>
keyed by Arc<CudaContext> pointer address. Each distinct CudaContext gets
fresh kernel compilation. Old entries are evicted on context change.
Also: eliminate ALL GpuTensor from DQN training path (metrics.rs,
training_loop.rs). Replace with CPU computation for validation (cold path)
and raw CudaSlice for replay buffer insertion. Log deferred CUDA errors
instead of silently swallowing.
Result: ALL 6 sequential GPU smoke tests pass (was 1 failing).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Expand FeatureVector from 40 to 42 dimensions by including ADX(14) at
index 40 and CUSUM direction at index 41 from the existing CPU feature
extraction pipeline. This eliminates proxy-based regime classification
and enables GPU-native regime detection via tensor narrow/comparison ops.
Key changes:
- extraction.rs: wire RegimeADXFeatures + RegimeCUSUMFeatures into
extract_current_features_v2(), output 42 features per bar
- regime_conditional.rs: classify_regime_masks_gpu() creates per-regime
mask tensors entirely on GPU (ADX > 0.25 = trending, |CUSUM| > 0.7 =
volatile, else ranging). Zero CPU roundtrip in training hot path.
- trainer.rs/config.rs: state_dim 43→45 (no OFI), 51→53 (with OFI),
aligned dims unchanged (48/56). GPU batch insertion for all 3 heads.
- CUDA header: MARKET_DIM 40→42
- walk_forward.rs: FEATURE_DIM 40→42
- 42 files updated, all [f64;40]→[f64;42] propagated across workspace
Test results: ml=874/0, ml-dqn=354/0, ml-features=282/0, ml-core=274/0
Real data GPU smoke tests: 7/7 passed (OHLCV + OFI + trade enrichment)
Hyperopt baseline RL: 2 trials completed on local RTX 3050 Ti
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Move 17 library crates into crates/, CLI binary into bin/fxt,
consolidate 10 test crates into testing/, split config crate
from deployment config files.
Root directory reduced from 38+ to ~17 directories.
All Cargo.toml paths and build.rs proto refs updated.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
