8a87f302c0
Wire 8 OFI features (OFI L1/L5, depth imbalance, VPIN, Kyle's lambda, bid/ask slopes, trade imbalance) through the DQN training pipeline: - Add mbp10_data_dir config field to DQNHyperparameters - Dynamic state_dim: 43 (no OFI) or 51 (with OFI) based on config - Compute OFI per bar during data loading, store on trainer - Pass OFI features through regime_features slot in TradingState - Configurable MBP-10 path with recursive .dbn/.dbn.zst discovery - Add zstd auto-detection to DbnParser::parse_mbp10_file() - Add --mbp10-data-dir CLI flag to train_baseline_rl - Fix hardcoded [f64; 51] → FeatureVector51 ([f64; 40]) across examples, walk_forward, GPU memory profile, and test fixtures - Fix stale state_dim=51 in dqn_config_2025() and DQN tests 2747 tests pass, 0 failures. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
17 lines
396 B
TOML
17 lines
396 B
TOML
# ES.FUT MBP-10 — small test subset (1 quarter)
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# For local OFI pipeline validation only.
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[universe]
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name = "es-mbp10-test"
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description = "ES.FUT MBP-10 test subset (Q2 2024)"
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date_range_start = "2024-04-01"
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date_range_end = "2024-07-01"
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bar_size = "tick"
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databento_dataset = "GLBX.MDP3"
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databento_schema = "mbp-10"
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[[symbols]]
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symbol = "ES.FUT"
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exchange = "GLBX.MDP3"
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asset_class = "Future"
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