Files
foxhunt/crates/ml/tests/fxcache_roundtrip_test.rs
jgrusewski 79578bbaf6 feat(fxcache): OFI_DIM 20→32, persist 12 real-math microstructure signals,
fix kernel-read gap

Adds 12 features to the DQN input pipeline:
 - 10 MicrostructureState::snapshot()[0..10] slots that were previously computed
   every bar and then discarded before reaching fxcache: ofi_trajectory,
   realized_variance, hawkes_intensity, book_pressure (weighted 10-level),
   spread_dynamics, aggression_ratio, queue_depletion_asymmetry,
   order_count_flux, intra_bar_momentum, regime_score.
 - 2 TLOB-novel slots derived directly from Mbp10Snapshot:
   order_count_imbalance = (Σbid_ct − Σask_ct) / Σ(bid_ct + ask_ct),
   microprice_residual = (weighted_mid − mid) / mid.

Also fixes a production gap: ofi_acceleration (slot 18) and
toxicity_gradient (slot 19) were persisted to fxcache via OFI_DIM=20
but the OFI embed kernel (experience_kernels.cu:6146-6173) only read
[0..18), silently discarding them every bar. Kernel extended to
consume full SL_OFI_DIM=32.

Dimension bumps (all 8-aligned):
  OFI_DIM          20 → 32
  FXCACHE_VERSION   4 → 5  (invalidates existing caches; regen via
                            precompute_features)
  STATE_DIM        96 → 104
  PADDING_DIM       4 → 0  (OFI expansion consumed padding, still 8-aligned)
  STATE_DIM_PADDED 128 (unchanged)
  OFI_EMBED_IN     18 → 32 (MLP input width; W/grad/Adam/m/v buffers
                            resized in lockstep via named constants)

fxcache regen results (175874 bars ES.FUT 2024-Q1):
  deltas_nonzero:       175781 / 175874  (99.9 percent)
  book_aggression:      102137 / 175874  (58.1 percent)
  microstructure[20-30): 175874 / 175874 (100 percent)
  tlob_novel[30-32):    133615 / 175874  (76.0 percent)

Compile status: SQLX_OFFLINE=true CARGO_INCREMENTAL=0 cargo check
  --workspace --tests passes cleanly (0 errors, pre-existing warnings
  only).

Test results:
  fxcache roundtrip (unit + integration): PASS (4+6 tests)
  magnitude_distribution smoke: ran through epoch 1 successfully
    (OFI_DIAG fires, state_dim=104 confirmed, feature_dim=74 in
    validation kernel); epoch 2 OOM on local RTX 3050 Ti (4 GB) —
    expected hardware limit from state_dim growth. Full 20-epoch run
    requires L40S/H100 CI verification.
  multi_fold_convergence smoke: not verified locally (same VRAM
    ceiling applies). L40S/H100 CI verification required.

The new slots follow the existing OFICalculator/MicrostructureState
pattern and consume signals already computed by ml-features — no new
crate, no ONNX, no stubs. All 12 sources were audited against their
implementation before persistence; every slot traces back to real
Mbp10Snapshot or MicrostructureState math.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-04-23 11:36:34 +02:00

222 lines
7.4 KiB
Rust

//! Roundtrip tests for the `.fxcache` binary format.
//!
//! Covers f32 serialization, cache-key lookup, header validation,
//! and the empty-bars error path.
use ml::fxcache::{find_fxcache, load_fxcache, write_fxcache, FxCacheData, FXCACHE_VERSION, OFI_DIM};
use tempfile::TempDir;
// ── Helpers ─────────────────────────────────────────────────────────────────
/// Deterministic feature vector for bar `i`.
fn make_features(n: usize) -> Vec<[f64; 42]> {
(0..n)
.map(|i| {
let mut row = [0.0_f64; 42];
for j in 0..42 {
row[j] = (i * 42 + j) as f64 * 0.01;
}
row
})
.collect()
}
/// Deterministic target vector for bar `i`.
fn make_targets(n: usize) -> Vec<[f64; 6]> {
(0..n)
.map(|i| {
let mut row = [0.0_f64; 6];
for j in 0..6 {
row[j] = 5000.0 + (i * 6 + j) as f64 * 0.25;
}
row
})
.collect()
}
/// Deterministic OFI vector for bar `i`.
fn make_ofi(n: usize) -> Vec<[f64; OFI_DIM]> {
(0..n)
.map(|i| {
let mut row = [0.0_f64; OFI_DIM];
for j in 0..OFI_DIM {
row[j] = (i * OFI_DIM + j) as f64 * 0.001;
}
row
})
.collect()
}
/// Deterministic per-bar timestamps (1-minute intervals starting 2022-01-01).
fn make_timestamps(n: usize) -> Vec<i64> {
(0..n)
.map(|i| 1640995200_000_000_000i64 + i as i64 * 60_000_000_000)
.collect()
}
/// A fixed 32-byte cache key for tests.
fn test_cache_key() -> [u8; 32] {
let mut key = [0u8; 32];
for (i, slot) in key.iter_mut().enumerate() {
*slot = (i as u8).wrapping_mul(7).wrapping_add(13);
}
key
}
// ── Tests ───────────────────────────────────────────────────────────────────
/// Write 100 bars as f32 (version 1), read back, verify within f32 tolerance.
#[test]
fn test_fxcache_f32_roundtrip() {
let dir = TempDir::new().unwrap();
let path = dir.path().join("test_f32.fxcache");
let n = 100;
let features = make_features(n);
let targets = make_targets(n);
let ofi = make_ofi(n);
let timestamps = make_timestamps(n);
let key = test_cache_key();
let bytes_written =
write_fxcache(&path, &features, &targets, &ofi, &timestamps, key, false).unwrap();
assert!(bytes_written > 0, "expected nonzero bytes written");
let data: FxCacheData = load_fxcache(&path).unwrap();
assert_eq!(data.bar_count, n);
assert_eq!(data.cache_key, key);
assert_eq!(data.features.len(), n);
assert_eq!(data.targets.len(), n);
assert_eq!(data.ofi.len(), n);
assert_eq!(data.timestamps.len(), n);
// Timestamps are always i64 — bit-exact.
for i in 0..n {
assert_eq!(
data.timestamps[i], timestamps[i],
"timestamp mismatch at bar {i}"
);
}
// f32 roundtrip tolerance checks (~7 significant digits).
for i in 0..n {
for j in 0..42 {
let diff = (data.features[i][j] - features[i][j]).abs();
assert!(
diff < 1e-4,
"feature[{i}][{j}]: expected {}, got {}, diff={diff}",
features[i][j],
data.features[i][j]
);
}
for j in 0..6 {
let diff = (data.targets[i][j] - targets[i][j]).abs();
// f32 at ~5000 has resolution of ~0.0005, allow generous margin.
assert!(
diff < 0.01,
"target[{i}][{j}]: expected {}, got {}, diff={diff}",
targets[i][j],
data.targets[i][j]
);
}
for j in 0..OFI_DIM {
let diff = (data.ofi[i][j] - ofi[i][j]).abs();
assert!(
diff < 1e-4,
"ofi[{i}][{j}]: expected {}, got {}, diff={diff}",
ofi[i][j],
data.ofi[i][j]
);
}
}
}
/// Write a file with a known cache key, verify `find_fxcache` locates it.
/// Also verify that a different key returns `None`.
#[test]
fn test_fxcache_find() {
let dir = TempDir::new().unwrap();
let key = test_cache_key();
let hex_key = hex::encode(key);
let path = dir.path().join(format!("{hex_key}.fxcache"));
let features = make_features(5);
let targets = make_targets(5);
let ofi = make_ofi(5);
let timestamps = make_timestamps(5);
write_fxcache(&path, &features, &targets, &ofi, &timestamps, key, false).unwrap();
// Should find the file.
let found = find_fxcache(dir.path(), &key);
assert!(found.is_some(), "expected to find fxcache file");
assert_eq!(found.unwrap(), path);
// Wrong key should miss.
let mut wrong_key = [0xFFu8; 32];
wrong_key[0] = 0x00;
let miss = find_fxcache(dir.path(), &wrong_key);
assert!(miss.is_none(), "expected miss for wrong key");
}
/// Write garbage bytes to a file, verify `load_fxcache` returns an error
/// whose message contains "magic".
#[test]
fn test_fxcache_header_validation() {
let dir = TempDir::new().unwrap();
let path = dir.path().join("garbage.fxcache");
// Write 128 bytes of garbage (more than header size).
std::fs::write(&path, vec![0xABu8; 128]).unwrap();
let err = load_fxcache(&path).unwrap_err();
let msg = format!("{err:#}");
assert!(
msg.to_lowercase().contains("magic"),
"expected error about magic bytes, got: {msg}"
);
}
/// Attempting to write 0 bars should fail (writer rejects empty data).
/// Attempting to read a hand-crafted header with bar_count=0 should also fail.
#[test]
fn test_fxcache_empty() {
let dir = TempDir::new().unwrap();
let path = dir.path().join("empty.fxcache");
// Writer rejects 0 bars.
let features: Vec<[f64; 42]> = vec![];
let targets: Vec<[f64; 6]> = vec![];
let ofi: Vec<[f64; OFI_DIM]> = vec![];
let timestamps: Vec<i64> = vec![];
let key = test_cache_key();
let err = write_fxcache(&path, &features, &targets, &ofi, &timestamps, key, false).unwrap_err();
let msg = format!("{err:#}");
assert!(
msg.contains("0 bars") || msg.contains("empty"),
"expected empty/0-bars error from writer, got: {msg}"
);
// Reader also rejects a header with bar_count=0.
// Hand-craft a valid-magic header with current version + bar_count=0.
let mut header = [0u8; 64];
header[0..8].copy_from_slice(b"FXCACHE\0");
header[8..10].copy_from_slice(&FXCACHE_VERSION.to_le_bytes()); // current version
header[10..12].copy_from_slice(&42u16.to_le_bytes()); // feat_dim
header[12..14].copy_from_slice(&6u16.to_le_bytes()); // target_dim
header[14..16].copy_from_slice(&(OFI_DIM as u16).to_le_bytes()); // ofi_dim
header[16..24].copy_from_slice(&0u64.to_le_bytes()); // bar_count=0
// cache_key + reserved stay zeroed.
let path_reader = dir.path().join("empty_header.fxcache");
std::fs::write(&path_reader, &header).unwrap();
let err = load_fxcache(&path_reader).unwrap_err();
let msg = format!("{err:#}");
assert!(
msg.contains("zero") || msg.contains("bar_count"),
"expected bar_count/zero error from reader, got: {msg}"
);
}