The C16 tick-rule swap (19986c8d9) replaced the dense `trade_count` delta
at snap_feature_assemble's slot [18] with a signed L1 tick-rule estimate.
That broke a load-bearing redundancy in Phase 1+2+3:
Phase 1+2+3 feature [17] = log1p(trade_count_delta)
Phase 1+2+3 feature [18] = signed_log1p(trade_count_delta)
= log1p(trade_count_delta) for count ≥ 0
Within a file, `cur.trade_count >= prev.trade_count` (monotonic), so the
delta is non-negative and the two features were *bit-identical* floats.
The encoder's Mamba2 W_in had two random-initialised rows projecting the
same dense signal, giving it effective 2× capacity allocation on
trade-flow.
Post-C16:
feature [17] = log1p(trade_count_delta) (unchanged)
feature [18] = signed_log1p(tick_rule_estimate) (new, uncorrelated)
Empirical (7.8M ES MBP-10 snapshots, Q1+Q2 2024 production data):
| Stat | OLD count_delta | NEW tick_rule |
|------------------------|-----------------|-----------------|
| zero rate | 10.2% | 49.1% |
| mean ± std | 4.26 ± 3.82 | -0.18 ± 10.95 |
| max |value| | 100 | 3378 |
| Pearson r vs count | 1.0000 (id) | 0.0002 |
Sign-class breakdown vs Phase 1+2+3 slot [18]:
44.3% new=0 but old≠0 (44% of true trades MISSED by tick-rule)
5.5% new≠0 but old=0 (cancel-as-trade false positives)
22.8% both positive (agree)
0.0% both negative (old never negative)
22.6% sign disagreement (old saw trades, new says "seller")
The tick-rule heuristic is a strictly different (and noisier) signal,
not a superset. Three mechanisms simultaneously regressed mean_auc:
A) lost 2× W_in capacity on count signal
B) noisier signal at slot [18]
C) extreme outliers (max 33× wider) destabilise LayerNorm at [18]
Fix (Option 2 per the diagnostic):
out[26] = signed_log1p((float) trade_count)
Restores the duplicate count-delta signal at a previously-reserved slot.
Slot [18] keeps the new tick-rule signal — the 5.5% "signal added" and
the directional info at L1 are still available. FEATURE_DIM (40) is
unchanged; LayerNorm + Mamba2 W_in dimensions are unchanged.
Both the single-snapshot kernel and the batched kernel are updated.
`snap_feature_bit_equiv::reserved_slots_are_zero` updated to assert
the new slot-26 semantics (signed_log1p of synthetic trade_count=7
= log(8) ≈ 2.079).
All 9 perception_overfit tests pass + all 9 snap_feature_bit_equiv
tests pass.
Cluster verification: single-fold smoke + 3-fold validation follow.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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