Replaces dead Gem 1 micro-reward (used future price = hindsight leak) and
moves OFI-alignment from sparse (trade completion) to dense (every positioned bar).
Uses CURRENT-BAR observable OFI features:
- depth_imbalance (70%): bid vs ask volume ratio from MBP-10
- trade_imbalance (30%): inferred trade direction flow
Rewards Long when order flow says buy pressure, Short when sell pressure.
This gives the direction advantage head a STATE-CONDITIONAL signal:
"Long is better than Short WHEN order book shows buy pressure."
Without this, direction rewards are 50/50 (price is random) and the
advantage gradient cancels via dueling mean-subtraction.
Combined with dense DSR, every positioned bar now gets:
1. DSR: "is holding improving Sharpe?" (consistency signal)
2. OFI-alignment: "does order flow confirm your direction?" (microstructure signal)
3. Inventory penalty: "holding costs money" (urgency signal)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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