2ecf36b94c
Define DIR_SHORT=0, DIR_HOLD=1, DIR_LONG=2, DIR_FLAT=3, NUM_DIRECTIONS=4 in state_layout.cuh. Migrate all literal dir_idx/raw_dir comparisons to named constants across experience_kernels.cu (15 sites), trade_physics.cuh (3 sites), and backtest_metrics_kernel.cu (2 sites). Raw integer comparisons (== 0/1/2/3) eliminated from all direction-branch consumers. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5.4 KiB
5.4 KiB
DQN Named Dimensions Registry
Invariant 8 enforcement. Every semantic index has a named constant. Raw indices ([0], [6], [23]) appear ONLY at definition sites. Consumer code always uses the named constant.
State vector offsets
Defined in crates/ml/src/cuda_pipeline/state_layout.cuh and mirrored in Rust via ml-core::state_layout.
| Constant | Value | Meaning |
|---|---|---|
SL_STATE_DIM |
104 | Total state vector length |
SL_STATE_DIM_PADDED |
128 | Padded for cuBLAS K-tile alignment |
SL_MARKET_DIM |
42 | Market-feature block width |
SL_OFI_DIM |
32 | OFI block width |
SL_MTF_DIM |
16 | Multi-timeframe block width |
SL_PORTFOLIO_BASE_DIM |
8 | Portfolio-base block width |
SL_PORTFOLIO_PLAN_DIM |
6 | Plan-ISV block width (extended to 7 in Plan 2) |
SL_MARKET_START |
0 | |
SL_OFI_START |
42 | |
SL_MTF_START |
74 | |
SL_PORTFOLIO_START |
90 | |
SL_PLAN_ISV_START |
98 |
Portfolio state slots (ps[0..PS_STRIDE=38))
Defined in crates/ml/src/cuda_pipeline/state_layout.cuh (PS_* constants).
Consumer code uses the named constants; raw ps[N] access outside definition
sites is a lint violation (Invariant 8). Slots 3-6 and 22 also carry legacy
named aliases in experience_kernels.cu (DSR_A_SLOT etc.) retained for
in-file use; PS_* names are the canonical cross-file form.
| Index | Constant | Meaning |
|---|---|---|
| 0 | PS_POSITION |
Current contract position (signed) |
| 1 | PS_CASH |
Cash balance |
| 2 | PS_PORTFOLIO_VALUE |
Mark-to-market total (cash + pos×price) |
| 3 | PS_DSR_A |
EMA of realised trade returns (DSR) |
| 4 | PS_DSR_B |
EMA of squared trade returns (DSR) |
| 5 | PS_DSR_TRADE_COUNT |
Completed trades counter (DSR warmup) |
| 6 | PS_PREV_CLOSE |
Prev bar raw_close for DSR per-bar returns |
| 7 | PS_PEAK_EQUITY |
High-water mark (init to initial_capital) |
| 8 | PS_FLAT_COUNTER |
Consecutive flat steps |
| 9 | PS_PREV_EQUITY |
Equity at previous step |
| 10 | PS_HOLD_TIME |
Consecutive steps with position |
| 11 | PS_REALIZED_PNL |
Cumulative realised PnL |
| 12 | PS_ENTRY_PRICE |
Price when trade was entered |
| 13 | PS_TRADE_START_PNL |
Realised PnL snapshot at trade entry |
| 14 | PS_KELLY_WIN_COUNT |
Kelly: number of profitable trade exits |
| 15 | PS_KELLY_LOSS_COUNT |
Kelly: number of losing trade exits |
| 16 | PS_KELLY_SUM_WINS |
Kelly: cumulative profit from winners |
| 17 | PS_KELLY_SUM_LOSSES |
Kelly: cumulative |loss| from losers |
| 18 | PS_KELLY_SUM_RETURNS |
Kelly: cumulative net returns (for mu) |
| 19 | PS_KELLY_SUM_SQ_RETURNS |
Kelly: cumulative squared returns (sigma^2) |
| 20 | PS_INTRA_TRADE_MAX_DD |
Worst intra-trade drawdown (v8 reward) |
| 21 | PS_INTRA_TRADE_MAX_PNL |
Best intra-trade unrealised PnL (hindsight) |
| 22 | PS_PREV_MID |
Prev bar MBP-10 mid-price |
| 23 | PS_PLAN_TARGET_BARS |
plan: max hold bars (>0.5 = plan active) |
| 24 | PS_PLAN_PROFIT_TARGET |
plan: raw profit threshold |
| 25 | PS_PLAN_STOP_LOSS |
plan: raw stop threshold |
| 26 | PS_PLAN_SCALE_AGGRESSION |
plan: position ramp speed |
| 27 | PS_PLAN_CONVICTION |
plan: conviction at entry [0,1] |
| 28 | PS_PLAN_ASYMMETRY |
plan: profit/stop asymmetry |
| 29 | PS_PLAN_ENTRY_REGIME |
plan: regime_stability at entry |
| 30-37 | PS_OFI_PREV_BASE + k |
Prev-bar OFI scratch for delta computation |
| 38 | PS_STRIDE |
Total portfolio state stride (=PORTFOLIO_STRIDE) |
Plan_isv dimensions (plan_isv[0..6))
Will extend to 7 in Plan 2 (D.6 remaining_fraction). These constants live alongside SL_PLAN_ISV_START in state_layout.cuh.
| Index | Constant | Meaning |
|---|---|---|
| 0 | PLAN_ISV_PROGRESS |
hold_time / target_bars (clamped 2.0) |
| 1 | PLAN_ISV_PNL_VS_TARGET |
unrealized / (target × equity) |
| 2 | PLAN_ISV_PNL_VS_STOP |
-unrealized / (stop × equity) |
| 3 | PLAN_ISV_ENTRY_CONVICTION |
conviction at entry |
| 4 | PLAN_ISV_CONVICTION_DRIFT |
current conviction − entry conviction |
| 5 | PLAN_ISV_REGIME_SHIFT |
|isv[11] − entry_stability| |
Plan_params output (plan_params[0..6))
From the trade_plan MLP output.
| Index | Constant | Meaning |
|---|---|---|
| 0 | PLAN_PARAM_TARGET_BARS |
|
| 1 | PLAN_PARAM_PROFIT_TARGET |
|
| 2 | PLAN_PARAM_STOP_LOSS |
|
| 3 | PLAN_PARAM_SCALE_AGGRESSION |
|
| 4 | PLAN_PARAM_CONVICTION |
|
| 5 | PLAN_PARAM_ASYMMETRY |
Branch indices (4-branch factored action)
| Index | Constant | Meaning |
|---|---|---|
| 0 | BRANCH_DIR |
Direction branch (4 actions) |
| 1 | BRANCH_MAG |
Magnitude branch (3 actions) |
| 2 | BRANCH_ORD |
Order-type branch (3 actions) |
| 3 | BRANCH_URG |
Urgency branch (3 actions) |
Direction action sub-indices
| Index | Constant | Meaning |
|---|---|---|
| 0 | DIR_SHORT |
Open short (or close long + open short) |
| 1 | DIR_HOLD |
Keep current position (no-op on position) |
| 2 | DIR_LONG |
Open long (or close short + open long) |
| 3 | DIR_FLAT |
Close any position to zero |
Magnitude action sub-indices
| Index | Constant | Meaning |
|---|---|---|
| 0 | MAG_QUARTER |
0.25× max_position |
| 1 | MAG_HALF |
0.50× max_position |
| 2 | MAG_FULL |
1.00× max_position |
Commit history
- Task 4A (ps[0..PS_STRIDE) constants): commit 144c85b85
- Task 4B (plan_isv[0..6) constants): commit 741cb48d5
- Task 4C (plan_params[0..6) constants): commit 0ac83479e
- Task 4D (BRANCH_* constants): commit 11755632b
- Task 4E (DIR_* direction sub-indices): commit TBD