2c08b49b4f01b7e84b6eb364d598a4cf9fcbf557
4 Commits
| Author | SHA1 | Message | Date | |
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jgrusewski
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cc4c47f471 |
audit(rust-consts): catch literal-vs-const drift + cleanup BOOK_LEVELS=10
Audit script (audit-rust-consts.sh) scans Rust src/examples for numeric
literals mirroring structural kernel-side consts (N_ACTIONS, Q_N_ATOMS,
HIDDEN_DIM, MAX_UNITS, BOOK_LEVELS). Closes the layer-3 gap noted in
feedback_use_consts_not_literals_for_structural_dims:
Layer 1: kernel `#define` allowlist → audit-isv
Layer 2: Rust `pub const` canonical → exists (e.g. N_ACTIONS in rl/common.rs)
Layer 3: Rust literals mirroring (2) → audit-rust-consts (this commit)
Honors `// audit-ignore: <SYMBOL>` per-line markers and skips `[u8; N]`
byte-buffer patterns (high false-positive class — almost always I/O
scratch, not structural dims).
Cleanup driven by first run (19 real flags, no grandfathering):
* New canonical: `BOOK_LEVELS` in `ml-alpha/src/cfc/snap_features.rs`
(10 book levels = same place as `Mbp10RawInput` struct)
* `ml-backtesting/src/lob/mod.rs`: redefine as `pub use` re-export from
ml-alpha (single source of truth; ml-backtesting depends on ml-alpha
via `Mbp10RawInput` already)
* 19 sites switched literal `10` → `BOOK_LEVELS`:
- snap_features.rs:44-47 (struct fields)
- data/loader.rs:872-876, 960 (Mbp10Snapshot → Mbp10RawInput convert)
- data/aggregation.rs:161 (level-wise aggregation loop)
- trainer/perception.rs:2750-2756, 6272-6278, 6686-6690, 7247-7253
(snapshot → batch staging loops)
- tests/lob_sim_fuzz.rs:21, lob_sim_integrated_fuzz.rs:22 (duplicate
const → use ml_backtesting::lob::BOOK_LEVELS)
* 5 sites marked `// audit-ignore: BOOK_LEVELS — <reason>`:
- harness.rs:572,574,594 (conviction-bucket histograms, 10 ≠ depth)
- multi_horizon_labels.rs:489,557,564 (10-element test price vecs)
Re-run after fixes: 0 suspect literals flagged. PASS.
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jgrusewski
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d3175711b9 |
feat(rl): SP20 P4 — N_ACTIONS 9→11 with HalfFlat actions
Action enum extended:
a9 = HalfFlatLong (close ⌈|pos|/2⌉ of long position, no-op if not long)
a10 = HalfFlatShort (close ⌈|pos|/2⌉ of short position, no-op if not short)
`actions_to_market_targets.cu` extended with a9/a10 handlers:
HalfFlatLong (pos > 0): side=1 sell, size=max(1, (position_lots+1)/2)
HalfFlatShort (pos < 0): side=0 buy, size=max(1, (|position_lots|+1)/2)
Round-up division ensures min 1 lot closes — single-lot positions
fully close on HalfFlat (the half rounds up to 1).
N_ACTIONS=9 → 11 propagated to all 10 .cu kernels:
argmax_expected_q, bellman_target_projection, dqn_distributional_q,
log_pi_at_action, ppo_clipped_surrogate, rl_action_kernel,
rl_entropy_coef_controller, rl_pi_action_kernel, rl_q_pi_agree_b,
rl_q_pi_distill_grad
Rust-side N_ACTIONS const bumped to 11 in src/rl/common.rs.
CLI alpha_rl_train.rs action_hist + windowed_act_hist refactored
to reference `N_ACTIONS` const instead of literal 11. Caught DURING
this commit's dogfood: an intermediate state had `[0u32; 11]` but
left `(0..9).contains(&a)` unchanged — HalfFlat samples silently
dropped (a9/a10 showed 0% in diag despite P_MIN=0.02 floor
guaranteeing 2% each). Fix uses N_ACTIONS const everywhere; new
pearl `feedback_use_consts_not_literals_for_structural_dims`
codifies the meta-pattern (Rust code mirroring kernel structural
dims must reference the const, NEVER duplicate the literal —
audit-isv only scans .cu files, this class of bug is currently
unaudited in .rs).
Audits PASS:
audit-isv: all kernel #defines allowlisted (BOOK_LEVELS,
ACTION_*, structural dims)
audit-wiring: all 4 actions in manifest (TrailTighten, TrailLoosen,
HalfFlatLong, HalfFlatShort) have consumers
Local 1k-step smoke (RTX 3050 Ti, 13.5s):
* Exit 0, 0 NaN/inf, 16000/16000 samples accounted for
* Action distribution: all 11 used in 7-11% range
* HalfFL=7.99%, HalfFS=7.51% — π samples them under multinomial
* Trail=19.34% — agent continues to value trail-stop actions
Trail-stop check (rl_trail_stop_check.cu) currently still routes
force-close through a3/a4 (FlatFromLong/Short) rather than per-unit
partial-flat via a9/a10. That routing upgrade is SP20 P5b follow-up
work — it requires the per-unit close_unit_index buffer wiring per
spec §3 P5. Adding a9/a10 to the action space is the foundational
prerequisite; consumer kernel uses come with P5b.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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jgrusewski
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20c835713b |
fix(rl): wire TrailTighten/TrailLoosen + SP20 P1+P5 foundation
scripts/audit-wiring.sh dogfood pass flagged a7 (TrailTighten) and
a8 (TrailLoosen) as actions with no consumer anywhere in the
codebase (canonical pearl_dead_trail_stop_actions_a7_a8). Fix
bundles SP20 P1 (per-unit trade state buffers) and P5 (trail-stop
kernels) since they're the same architectural work.
Three new kernels:
rl_unit_state_update.cu — per-batch trade state machine. Runs
AFTER fill+extract_realized_pnl_delta.
Detects open/close/reverse position
transitions and populates unit slot 0
with entry_price, entry_step, lots,
initial_r, trail_distance. Slots 1-3
allocated for SP20 P7 pyramid expansion
but unused this commit.
rl_trail_mutate.cu — handles a7/a8 actions. Mutates ALL
active units' trail_distance bounded
by ISV [MIN, MAX] with symmetric
reciprocal adjust rate per SP20 §4.12:
a7: trail = max(MIN, trail × rate)
a8: trail = min(MAX, trail / rate)
rl_trail_stop_check.cu — per-batch per-unit breach check. Reads
shared lobsim best book (bid/ask),
computes mid, compares to each active
unit's (entry ± trail). On breach,
OVERRIDE actions[b] to FlatFromLong
(a3) or FlatFromShort (a4). Force-close
routes through existing flat plumbing
per pearl_stop_checks_run_at_deadline_cadence.
SP20 v3 §3 P5 calls for routing close
via partial-flat (a9/a10) so only the
at-risk unit closes — that needs P4
(N_ACTIONS=11). For now, ANY unit's
breach closes ENTIRE position via full
FlatFromLong/Short.
Per-batch per-unit buffers (8 new in trainer):
unit_entry_price_d [B × 4] f32
unit_entry_step_d [B × 4] i32
unit_lots_d [B × 4] i32
unit_initial_r_d [B × 4] f32
unit_trail_distance_d[B × 4] f32
unit_active_d [B × 4] u8
pyramid_units_count_d[B] i32
unit_prev_pos_lots_d [B] i32 (state-machine tracker, separate
from extract_realized_pnl_delta's
prev_position_lots_d for clean
kernel composability)
4 new ISV slots (494-497):
RL_TRAIL_MIN_INDEX — trail distance floor (seed 0.001)
RL_TRAIL_MAX_INDEX — trail distance ceiling (seed 100.0)
RL_TRAIL_K_INIT_INDEX — initial trail multiplier (seed 2.0, Turtle 2N)
RL_TRAIL_ADJUST_RATE_INDEX — tighten ratio (seed 0.9; symmetric reciprocal for loosen)
RL_SLOTS_END: 494 → 498.
LobSim exposes bid_px_d() + ask_px_d() public accessors. RlLobBackend
trait extended with the two accessors; the LobSimCuda impl wires
through.
Override stack ordering per SP20 §2.3:
1. rl_pi_action_kernel (sample)
2. rl_trail_mutate (a7/a8 → mutate, before stop check)
3. rl_trail_stop_check (per-unit breach → override action)
4. actions_to_market_targets (execute, including overridden flat)
5. step_fill_from_market_targets
6. extract_realized_pnl_delta
7. rl_unit_state_update (detect post-fill transitions)
Audit infrastructure refined as part of dogfooding:
* audit-isv allowlist extended for BOOK_LEVELS (structural book
depth) and ACTION_* prefix (enum-mirror constants — these are
structural API contracts matching src/rl/common.rs::Action positions)
* audit-wiring action-handler regex now matches BOTH literal
`action == <idx>` and `action == ACTION_<UPPER_SNAKE>` patterns,
and treats != as a handler too (a guard against the action is
valid wiring)
Both `audit-isv.sh` and `audit-wiring.sh` PASS cleanly with the
full manifest. audit-diag scheduled for first SP20 phase that adds
diag fields (this commit deliberately keeps diag exposure minimal
— full per-unit + trail diag blocks come with SP20 P13).
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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jgrusewski
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40855bfd62 |
docs(sp20): trader-grade trade management spec + audit infrastructure
Adds SP20 — full production trader-management system in one
greenfield commit (3-4 weeks of implementation work to follow):
* Tier 0: multi-resolution time-scaled market features (3 horizons)
* Tier 1: trade-arc awareness (4 features per batch)
* Tier 2: per-unit trail-stop (entry + trail + stop per unit)
* Tier 3: pyramiding + partial profit-taking (HalfFlat actions,
N_ACTIONS=9→11)
* Tier 4: Forward-Return-Distribution head + confidence gate +
per-batch anti-martingale sizing + position heat cap +
vol-adjusted defaults
Spec went through critical-review pass (v1→v2→v3):
* v1: 3 tiers, side-channel features, single-gate acceptance
* v2: 5 tiers added partial-flat + anti-mart + multi-res + checklist
* v3: foundational fixes for 4 CRIT + 6 SIG + 6 MIN findings
(per-unit pyramid state, encoder-input injection vs side-channel,
FRD head replaces survivor-biased checklist, override stack
ordering, per-batch anti-mart, real-time multi-res scales,
P-1 ceiling falsification gate, multi-tier acceptance)
§0 Foundational Principles (NEW, non-negotiable):
* §0.1 every numerical constant ISV-resident (no hardcoded #defines
in new kernels; structural-dim exception only)
* §0.2 every kernel/slot/head/action fully wired in same commit
* §0.3 diagnostics baked in at birth (every observable in JSONL)
* §0.4 per-phase ship-gate: all three audits must pass
Audit infrastructure shipped with the spec:
* scripts/audit-isv.sh — greps new .cu for hardcoded #defines
* scripts/audit-wiring.sh — verifies kernels/slots/heads/actions
have producer + consumer in code
* scripts/audit-diag.sh — runs local 100-step smoke, validates
manifest-listed jq paths present in JSONL
* scripts/audit-manifest/ — per-phase append manifests (kernels,
slots, heads, actions, diag-fields)
Naming discipline: audit scripts and manifest are SP-agnostic (no
`sp20-` prefix) per new pearl `feedback_no_sp_or_version_prefixes_in_file_names`
— they'll serve future SPs too. SP numbers belong only in
docs/superpowers/{specs,plans}/ filenames.
Audit scripts dogfooded — already caught two real violations on
existing code that the formal review missed:
* audit-isv: KL_EMA_ALPHA=0.05f hardcoded in rl_q_pi_distill_grad.cu
* audit-wiring: TrailTighten action (a7) has no handler in any
kernel (per pearl_dead_trail_stop_actions_a7_a8)
These violations are SP20 P5/P10 fix targets.
User decision recorded in spec §3 P-1: ceiling-falsification phase
intentionally skipped — SP20 is the architectural launchpad for
the broader trader system regardless of whether current arch could
be pushed further at 1M steps. P-1 may be revisited as standalone
work after SP20 ships.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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