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Author	SHA1	Message	Date
jgrusewski	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.	2026-05-24 17:39:40 +02:00
jgrusewski	771faac723	test(ml-backtesting): Ring 2 invariant fuzz at N ∈ {1, 16, 256} (C10) Property-based fuzz tests with random-walk MBP-10 sequences applied to the LOB simulator at three backtest counts; assert per-snapshot invariants that must hold regardless of input or block scheduling: fuzz_n1_book_only (200 events, no orders) Pure book-update kernel — verifies mid-drift random walks preserve book monotonicity and never produce a crossed book. fuzz_n16_with_orders (200 events, market orders every 8th event) 16 backtests in parallel, each submitting random buy/sell market orders 1-3 lots at every 8th event. Asserts book invariants on each backtest's state PLUS: - position_lots stays within ±30 (plausible given fixture book depth) - realized_pnl + vwap_entry finite (no NaN/Inf leaks) fuzz_n256_with_orders (100 events, market orders) Production-scale parallelism. Same invariants as N=16. Each block has its own per-backtest Pos + OpenTradeState + TradeLog, exercising the per-block isolation discipline established in C5-C7. All 3 pass on RTX 3050. Spec §8 Ring 2 confidence gate hit. Adds rand + rand_chacha to ml-backtesting dev-dependencies. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	2026-05-18 09:00:49 +02:00

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SHA1

Message

Date

jgrusewski

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.

2026-05-24 17:39:40 +02:00

jgrusewski

771faac723

test(ml-backtesting): Ring 2 invariant fuzz at N ∈ {1, 16, 256} (C10)

Property-based fuzz tests with random-walk MBP-10 sequences applied to
the LOB simulator at three backtest counts; assert per-snapshot
invariants that must hold regardless of input or block scheduling:

  fuzz_n1_book_only (200 events, no orders)
    Pure book-update kernel — verifies mid-drift random walks preserve
    book monotonicity and never produce a crossed book.

  fuzz_n16_with_orders (200 events, market orders every 8th event)
    16 backtests in parallel, each submitting random buy/sell market
    orders 1-3 lots at every 8th event. Asserts book invariants on
    each backtest's state PLUS:
      - position_lots stays within ±30 (plausible given fixture book depth)
      - realized_pnl + vwap_entry finite (no NaN/Inf leaks)

  fuzz_n256_with_orders (100 events, market orders)
    Production-scale parallelism. Same invariants as N=16. Each block
    has its own per-backtest Pos + OpenTradeState + TradeLog, exercising
    the per-block isolation discipline established in C5-C7.

All 3 pass on RTX 3050. Spec §8 Ring 2 confidence gate hit.

Adds rand + rand_chacha to ml-backtesting dev-dependencies.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

2026-05-18 09:00:49 +02:00

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