12151ccf6a
Phase E.0 Task 5c. Ran phase_e_fit_fill_model on the ES.FUT 2024-Q1 MBP-10 + trade tape (5.2M trades, 3.9M MBP-10 events, 500K snapshots accumulated at snapshot_interval=50 over a ~24-minute window). Total runtime ~80s. Empirical fill rates within 60s window: - bid_l1: 4.97% (matches L1 maker-side activity in trending market) - ask_l1: 71.34% (high — most 60s windows see an aggressive buy) Fitted L1 cloglog coefficients (all 5 features): BID L1: β_0=-0.213 β_spread=-2.064 β_imbal=-0.099 β_ofi=-0.006 β_logτ=-0.286 ASK L1: β_0=+0.016 β_spread=-40.336 β_imbal=+0.041 β_ofi=+0.652 β_logτ=-0.055 Sanity (sign checks all pass): - β_spread < 0 both sides (wider spread → fewer fills) ✓ - bid β_imbal < 0 (more bid stack → harder to get hit by sell) ✓ - ask β_ofi > 0 (buying pressure correlates with ask fills) ✓ - β_logτ < 0 both sides (quieter markets → slower execution) ✓ L1-only limitation: as documented in the binary header, the parser only populates levels[0]; L2/L3 in the JSON are L1 with β_0 -= ln(L+1) attenuation. Default --out-path bumped to config/ml/phase_e_fill_coeffs.json so future re-runs land in the same committed location.
369 lines
14 KiB
Rust
369 lines
14 KiB
Rust
//! Phase E.0 Task 5 — fit FillModel coefficients from historical MBP-10 + trade tape.
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//!
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//! ## What this does
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//!
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//! Streams MBP-10 snapshots concurrently with the time-sorted trade tape. For
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//! each snapshot, determines whether a hypothetical posted limit at the L1
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//! bid (resp. ask) would have been filled within `--window-seconds` (default
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//! 60s). Accumulates (FillFeatures, fill_outcome) pairs per side, then calls
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//! `fit_poisson` from `ml::env::fill_model` (cloglog Bernoulli likelihood, see
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//! [`pearl_glm_fitter_link_must_match_inference`]). Writes the 6 fitted
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//! coefficient sets to JSON.
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//!
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//! ## L1-only limitation (2026-05-15)
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//!
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//! `DbnParser::parse_mbp10_streaming` currently tracks only the L1 best
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//! bid/ask via `update_level(0, ...)` and **ignores** the `levels:
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//! [BidAskPair; 10]` array carried by every `Mbp10Msg`. The full top-10 is
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//! in the message but is not copied. Until that parser is fixed to copy
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//! the full top-10, this binary fits ONLY the L1 distribution and
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//! replicates L1 coefficients across the L2/L3 slots with an attenuated
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//! intercept (`β_0 -= ln(L+1)`) to keep monotonically lower fill rates at
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//! deeper levels.
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//!
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//! ## Run
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//!
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//! ```bash
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//! SQLX_OFFLINE=true cargo run --release --example phase_e_fit_fill_model -- \
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//! --mbp10-dir /home/jgrusewski/Work/foxhunt/test_data/futures-baseline-mbp10/ES.FUT \
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//! --trades-dir /home/jgrusewski/Work/foxhunt/test_data/futures-baseline-trades/ES.FUT \
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//! --window-seconds 60 \
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//! --out-path phase_e_fill_coeffs.json
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//! ```
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use std::fs::File;
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use std::io::Write;
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use std::path::PathBuf;
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use anyhow::{Context, Result};
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use clap::Parser;
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use tracing::{info, warn};
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use data::providers::databento::{
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dbn_parser::DbnParser,
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mbp10::Mbp10Snapshot,
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};
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/// Convert raw `Mbp10Msg.price` (i64 fixed-point at 1e9 scale per the
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/// databento DBN format) to f32 in price units. Bypasses
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/// `BidAskPair::price_to_f64`, which divides by 1e12 (different convention)
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/// and would give bid/ask values 1000× too small. The parser stores raw
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/// `mbp10.price` directly into `bid_px`/`ask_px` without re-scaling, so
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/// readers must apply the 1e-9 themselves.
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#[inline]
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fn raw_price_to_f32(fixed: i64) -> f32 {
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(fixed as f64 * 1e-9) as f32
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}
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use ml::env::fill_model::{fit_poisson, FillCoeffs, FillFeatures};
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use ml::features::{filter_front_month, load_trades_sync, DbnTrade};
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use ml::trainers::dqn::collect_dbn_files_recursive;
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#[derive(Debug, Parser)]
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#[command(
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name = "phase_e_fit_fill_model",
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about = "Phase E.0 Task 5 — fit FillModel coefficients from historical MBP-10 + trades"
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)]
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struct Cli {
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/// Directory containing MBP-10 `.dbn[.zst]` files.
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#[arg(long)]
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mbp10_dir: PathBuf,
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/// Directory containing trade `.dbn[.zst]` files.
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#[arg(long)]
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trades_dir: PathBuf,
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/// Forward-looking fill window in seconds.
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#[arg(long, default_value_t = 60.0)]
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window_seconds: f32,
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/// Output JSON path.
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#[arg(long, default_value = "config/ml/phase_e_fill_coeffs.json")]
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out_path: PathBuf,
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/// MBP-10 events between snapshot emissions (denser = larger sample).
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#[arg(long, default_value_t = 10)]
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snapshot_interval: usize,
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/// SGD iterations for `fit_poisson`.
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#[arg(long, default_value_t = 1000)]
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fit_iters: usize,
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/// SGD learning rate for `fit_poisson`.
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#[arg(long, default_value_t = 1e-2)]
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fit_lr: f32,
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/// Optional cap on snapshots processed (for quick smokes).
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#[arg(long)]
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max_snapshots: Option<usize>,
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}
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fn main() -> Result<()> {
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tracing_subscriber::fmt()
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.with_env_filter(
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tracing_subscriber::EnvFilter::try_from_default_env()
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.unwrap_or_else(|_| tracing_subscriber::EnvFilter::new("info")),
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)
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.init();
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let cli = Cli::parse();
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info!("Phase E.0 Task 5 — FillModel calibration starting");
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info!(" mbp10_dir = {}", cli.mbp10_dir.display());
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info!(" trades_dir = {}", cli.trades_dir.display());
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info!(" window_seconds = {:.1}", cli.window_seconds);
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info!(" snapshot_interval = {}", cli.snapshot_interval);
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info!(" fit_iters = {}, fit_lr = {}", cli.fit_iters, cli.fit_lr);
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if let Some(cap) = cli.max_snapshots {
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info!(" max_snapshots cap = {}", cap);
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}
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// --- 1. Load trades, front-month-filtered per file, time-sorted ---
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let trade_files = collect_dbn_files_recursive(&cli.trades_dir);
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if trade_files.is_empty() {
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anyhow::bail!("no .dbn[.zst] files found in {:?}", cli.trades_dir);
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}
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info!("Found {} trade file(s)", trade_files.len());
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let mut trades: Vec<DbnTrade> = Vec::new();
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for file in &trade_files {
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let raw = load_trades_sync(file)
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.with_context(|| format!("load_trades_sync({})", file.display()))?;
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let filtered = filter_front_month(&raw);
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info!(
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" {} -> {} raw, {} front-month",
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file.file_name().unwrap_or_default().to_string_lossy(),
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raw.len(),
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filtered.len()
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);
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trades.extend(filtered);
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}
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trades.sort_by_key(|t| t.timestamp);
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info!("Total trades loaded (front-month, time-sorted): {}", trades.len());
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if trades.is_empty() {
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anyhow::bail!("trades vec empty after filtering — check --trades-dir");
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}
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// --- 2. Stream snapshots, accumulate per-(side, L1) observations ---
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let window_ns: u64 = (cli.window_seconds * 1_000_000_000.0) as u64;
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let parser = DbnParser::new().context("DbnParser::new")?;
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let mbp10_files = collect_dbn_files_recursive(&cli.mbp10_dir);
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if mbp10_files.is_empty() {
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anyhow::bail!("no MBP-10 .dbn[.zst] files found in {:?}", cli.mbp10_dir);
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}
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info!("Found {} MBP-10 file(s)", mbp10_files.len());
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let mut bid_feat: Vec<FillFeatures> = Vec::new();
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let mut bid_outcomes: Vec<bool> = Vec::new();
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let mut ask_feat: Vec<FillFeatures> = Vec::new();
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let mut ask_outcomes: Vec<bool> = Vec::new();
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let mut n_processed: usize = 0;
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let mut n_degenerate_skipped: usize = 0;
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let limit = cli.max_snapshots.unwrap_or(usize::MAX);
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'files: for file in &mbp10_files {
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let mut hit_limit = false;
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let result = parser.parse_mbp10_streaming(
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file,
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cli.snapshot_interval,
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|snap: &Mbp10Snapshot| {
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if n_processed >= limit {
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hit_limit = true;
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return;
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}
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if snap.levels.is_empty() {
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return;
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}
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let l1 = &snap.levels[0];
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let bid_l1 = raw_price_to_f32(l1.bid_px);
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let ask_l1 = raw_price_to_f32(l1.ask_px);
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if bid_l1 <= 0.0 || ask_l1 <= 0.0 || bid_l1 >= ask_l1 {
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// Skip pre-quote / one-sided / crossed snapshots — the parser
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// updates one side per message so the early file region can
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// legitimately have a stale opposite side.
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n_degenerate_skipped += 1;
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return;
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}
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let mid = 0.5 * (bid_l1 + ask_l1);
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let spread = ask_l1 - bid_l1;
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let spread_bps = 10_000.0 * spread / mid;
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let bid_sz = l1.bid_sz as f32;
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let ask_sz = l1.ask_sz as f32;
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let l1_imbalance = if bid_sz + ask_sz > 0.0 {
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bid_sz / (bid_sz + ask_sz)
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} else {
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0.5
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};
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// OFI proxy uses only L1 because L2-L9 aren't populated by the
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// current streaming parser. Documented limitation; OK because
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// we're fitting L1 distributions only.
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let ofi_sum_5 = bid_sz - ask_sz;
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let ts = snap.timestamp;
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let window_end = ts.saturating_add(window_ns);
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let i_end = trades.partition_point(|t| t.timestamp < window_end);
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let i_start = trades.partition_point(|t| t.timestamp <= ts);
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let window_trades: &[DbnTrade] = &trades[i_start..i_end];
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// time_since_trade: prior trade strictly before snapshot
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let tau_s = if i_start > 0 {
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let prior_ts = trades[i_start - 1].timestamp;
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if ts >= prior_ts {
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((ts - prior_ts) as f32) * 1e-9
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} else {
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0.0
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}
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} else {
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0.0
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};
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let feat = FillFeatures {
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spread_bps,
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l1_imbalance,
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ofi_sum_5,
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time_since_trade_s: tau_s,
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};
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// L1 bid fill: any sell-aggressor (is_buy=false) at price ≤ bid_l1
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// ⇒ a posted-bid limit would have been hit by an aggressive seller
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// L1 ask fill: any buy-aggressor (is_buy=true) at price ≥ ask_l1
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let bid_fill = window_trades
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.iter()
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.any(|t| !t.is_buy && (t.price as f32) <= bid_l1);
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let ask_fill = window_trades
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.iter()
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.any(|t| t.is_buy && (t.price as f32) >= ask_l1);
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bid_feat.push(feat);
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bid_outcomes.push(bid_fill);
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ask_feat.push(feat);
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ask_outcomes.push(ask_fill);
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n_processed += 1;
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if n_processed % 100_000 == 0 {
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info!(" processed {} snapshots", n_processed);
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}
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},
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);
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match result {
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Ok(snap_count) => info!(
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" {} → {} streamed snapshots from parser",
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file.file_name().unwrap_or_default().to_string_lossy(),
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snap_count
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),
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Err(e) => warn!("parser error on {}: {}", file.display(), e),
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}
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if hit_limit {
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info!("max_snapshots cap reached; stopping iteration");
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break 'files;
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}
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}
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info!(
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"Snapshots accumulated: {}, degenerate-skipped: {}",
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n_processed, n_degenerate_skipped
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);
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if n_processed == 0 {
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anyhow::bail!("No usable snapshots accumulated — check data paths and parser output");
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}
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let bid_rate = bid_outcomes.iter().filter(|b| **b).count() as f64
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/ bid_outcomes.len().max(1) as f64;
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let ask_rate = ask_outcomes.iter().filter(|b| **b).count() as f64
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/ ask_outcomes.len().max(1) as f64;
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info!(
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"Empirical fill rates within {:.0}s window: bid_l1 = {:.4}, ask_l1 = {:.4}",
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cli.window_seconds, bid_rate, ask_rate
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);
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// --- 3. Fit cloglog Bernoulli (L1 only) ---
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info!(
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"Fitting bid L1 (n={}, iters={}, lr={})...",
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bid_feat.len(),
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cli.fit_iters,
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cli.fit_lr
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);
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let bid_l1_coeffs = fit_poisson(&bid_feat, &bid_outcomes, cli.fit_iters, cli.fit_lr)
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.map_err(|e| anyhow::anyhow!("fit bid L1: {}", e))?;
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info!(
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"Fitting ask L1 (n={}, iters={}, lr={})...",
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ask_feat.len(),
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cli.fit_iters,
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cli.fit_lr
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);
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let ask_l1_coeffs = fit_poisson(&ask_feat, &ask_outcomes, cli.fit_iters, cli.fit_lr)
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.map_err(|e| anyhow::anyhow!("fit ask L1: {}", e))?;
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// --- 4. Synthesize L2/L3 via β_0 attenuation ---
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//
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// λ_L = λ_L1 / (L+1) corresponds to β_0 -= ln(L+1):
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// L1 (slot 0): β_0 unchanged
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// L2 (slot 1): β_0 -= ln(2) ≈ -0.693
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// L3 (slot 2): β_0 -= ln(3) ≈ -1.099
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//
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// This gives a monotonically lower expected fill rate at deeper levels,
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// which matches qualitative reality even though the L2/L3 SLOPES are
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// L1-equivalent (a documented coarse approximation).
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let make_levels = |c: &FillCoeffs| -> [FillCoeffs; 3] {
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let mut levels = [*c, *c, *c];
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levels[1].beta[0] -= 2.0_f32.ln();
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levels[2].beta[0] -= 3.0_f32.ln();
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levels
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};
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let bid_levels = make_levels(&bid_l1_coeffs);
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let ask_levels = make_levels(&ask_l1_coeffs);
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// --- 5. Write JSON ---
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let json = serde_json::json!({
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"phase": "E.0 Task 5",
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"n_snapshots": n_processed,
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"n_trades": trades.len(),
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"n_degenerate_skipped": n_degenerate_skipped,
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"window_seconds": cli.window_seconds,
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"snapshot_interval": cli.snapshot_interval,
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"fit_iters": cli.fit_iters,
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"fit_lr": cli.fit_lr,
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"empirical_bid_l1_rate": bid_rate,
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"empirical_ask_l1_rate": ask_rate,
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"l1_only_limitation": true,
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"l1_only_limitation_reason":
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"parse_mbp10_streaming ignores Mbp10Msg.levels[1..10]; \
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L2/L3 coefficients are L1 with attenuated β_0 (-ln(L+1))",
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"bid_coeffs": [
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bid_levels[0].beta.to_vec(),
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bid_levels[1].beta.to_vec(),
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bid_levels[2].beta.to_vec(),
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],
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"ask_coeffs": [
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ask_levels[0].beta.to_vec(),
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ask_levels[1].beta.to_vec(),
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ask_levels[2].beta.to_vec(),
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],
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});
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let mut f = File::create(&cli.out_path).context("create output file")?;
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write!(f, "{}", serde_json::to_string_pretty(&json)?)?;
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info!("Wrote coefficients to {}", cli.out_path.display());
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// --- 6. Sanity-check signs + report ---
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info!("=== Fitted L1 coefficient summary ===");
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info!(
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"BID L1: β_0={:+.4} β_spread={:+.4} β_imbal={:+.4} β_ofi={:+.4} β_logτ={:+.4}",
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bid_l1_coeffs.beta[0],
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bid_l1_coeffs.beta[1],
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bid_l1_coeffs.beta[2],
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bid_l1_coeffs.beta[3],
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bid_l1_coeffs.beta[4]
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);
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info!(
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"ASK L1: β_0={:+.4} β_spread={:+.4} β_imbal={:+.4} β_ofi={:+.4} β_logτ={:+.4}",
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ask_l1_coeffs.beta[0],
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ask_l1_coeffs.beta[1],
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ask_l1_coeffs.beta[2],
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ask_l1_coeffs.beta[3],
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ask_l1_coeffs.beta[4]
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);
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// Wider spread should reduce fill probability — β_spread should be negative
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// (or at worst slightly positive if the spread-fill correlation is masked
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// by another regime variable).
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if bid_l1_coeffs.beta[1] > 0.0 {
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warn!(
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"bid β_spread is positive ({:.4}) — counter-intuitive; expected negative",
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bid_l1_coeffs.beta[1]
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);
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}
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if ask_l1_coeffs.beta[1] > 0.0 {
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warn!(
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"ask β_spread is positive ({:.4}) — counter-intuitive",
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ask_l1_coeffs.beta[1]
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);
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}
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Ok(())
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}
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