771faac723
Property-based fuzz tests with random-walk MBP-10 sequences applied to
the LOB simulator at three backtest counts; assert per-snapshot
invariants that must hold regardless of input or block scheduling:
fuzz_n1_book_only (200 events, no orders)
Pure book-update kernel — verifies mid-drift random walks preserve
book monotonicity and never produce a crossed book.
fuzz_n16_with_orders (200 events, market orders every 8th event)
16 backtests in parallel, each submitting random buy/sell market
orders 1-3 lots at every 8th event. Asserts book invariants on
each backtest's state PLUS:
- position_lots stays within ±30 (plausible given fixture book depth)
- realized_pnl + vwap_entry finite (no NaN/Inf leaks)
fuzz_n256_with_orders (100 events, market orders)
Production-scale parallelism. Same invariants as N=16. Each block
has its own per-backtest Pos + OpenTradeState + TradeLog, exercising
the per-block isolation discipline established in C5-C7.
All 3 pass on RTX 3050. Spec §8 Ring 2 confidence gate hit.
Adds rand + rand_chacha to ml-backtesting dev-dependencies.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
42 lines
1.2 KiB
TOML
42 lines
1.2 KiB
TOML
[package]
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name = "ml-backtesting"
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version.workspace = true
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edition.workspace = true
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rust-version.workspace = true
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authors.workspace = true
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license.workspace = true
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repository.workspace = true
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homepage.workspace = true
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documentation.workspace = true
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publish.workspace = true
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keywords.workspace = true
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categories.workspace = true
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description = "ML backtesting framework + LOB simulator + per-horizon execution policy"
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[dependencies]
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ml-core.workspace = true
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ml-alpha = { path = "../ml-alpha" } # loader + trunk reuse — see real-LOB spec §1
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cudarc = { path = "../../vendor/cudarc" } # CUDA bindings — same vendored fork as ml-alpha
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serde = { workspace = true, features = ["derive"] }
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serde_json.workspace = true
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serde_yaml.workspace = true
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chrono.workspace = true
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anyhow.workspace = true
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csv.workspace = true
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bytemuck = { workspace = true, features = ["derive"] }
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tracing.workspace = true
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thiserror.workspace = true
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# Sweep aggregator artifact format (parquet + arrow) — see C9.
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parquet.workspace = true
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arrow.workspace = true
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arrow-array.workspace = true
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arrow-schema.workspace = true
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[dev-dependencies]
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tempfile = "3.12"
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rand.workspace = true
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rand_chacha.workspace = true
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[lints]
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workspace = true
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