foxhunt/WAVE_12_5_2_QUICK_REFERENCE.md

WAVE 12.5.2 - ML Pipeline Integration Tests - Quick Reference

Status: ✅ COMPLETE (11/11 tests, 100% pass rate) Test Time: 0.08 seconds Commit: c96a1533, 79c6fb20

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🚀 Run Tests

# Run all ML pipeline integration tests
cargo test -p foxhunt_e2e --test ml_pipeline_integration_test

# Run with output
cargo test -p foxhunt_e2e --test ml_pipeline_integration_test -- --nocapture

# Run single test
cargo test -p foxhunt_e2e --test ml_pipeline_integration_test test_full_ml_pipeline_end_to_end

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📝 Test Summary (11 Tests)

#	Test Name	Purpose	Status
1	test_full_ml_pipeline_end_to_end	Complete pipeline (7 stages)	✅
2	test_real_time_prediction_pipeline	Streaming predictions	✅
3	test_multi_symbol_pipeline	ES.FUT + ZN.FUT	✅
4	test_dbn_to_ml_features	DBN → 16 features	✅
5	test_ml_predictions_to_trading_decisions	Predictions → Orders	✅
6	test_trading_decisions_to_orders	Decisions → Executable	✅
7	test_adaptive_ensemble_real_data	Ensemble validation	✅
8	test_shared_ml_strategy_integration	ONE SINGLE SYSTEM	✅
9	test_regime_detection_accuracy	Bull/Bear/Sideways	✅
10	test_ml_inference_latency	<100ms target	✅
11	test_backtesting_throughput	>100 bars/s target	✅

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📁 Key Files

tests/e2e/
├── tests/
│   └── ml_pipeline_integration_test.rs  # 850+ lines, 11 tests
└── Cargo.toml                            # Added dbn + candle-core deps

test_data/real/databento/ml_training/
└── ES.FUT_ohlcv-1m_2024-03-25.dbn       # 1,674+ bars

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🔧 Pipeline Stages

1. Data Ingestion       → Load DBN binary files
2. Feature Engineering  → Extract 16 technical indicators
3. ML Prediction        → Generate ensemble predictions (mock)
4. Trading Agent        → Universe/Asset/Allocation decisions
5. Order Generation     → Create executable orders
6. Trading Execution    → Execute orders (simulated)
7. Backtesting          → Calculate performance metrics

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📊 Features Extracted (16 Total)

Feature	Type	Lookback
Open, High, Low, Close, Volume	OHLCV	Current bar
Returns	Momentum	1 bar
MA5	Moving Avg	5 bars
Volatility	Std Dev	10 bars
RSI	Oscillator	14 bars
MACD, Signal	Trend	12/26 bars
Bollinger Upper/Lower	Volatility	20 bars
ATR	Volatility	14 bars
EMA12, EMA26	Moving Avg	12/26 bars

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⚡ Performance Targets

Metric	Target	Actual	Status
Full pipeline time	<30s	0.08s	✅ 375x faster
Inference latency	<100ms	<1ms	✅ 100x faster (mock)
Backtest throughput	>100 bars/s	>10K bars/s	✅ 100x faster

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🔄 Mock vs Real

Current (Mock)

• Strategy: Moving Average Crossover (5 vs 20 period)
• Purpose: Validate infrastructure
• Performance: <1ms per prediction
• Status: ✅ All tests passing

Next Wave (Real)

• Models: MAMBA-2, DQN, PPO, TFT (6 models total)
• Purpose: Production predictions
• Expected: 10-50ms per prediction (GPU)
• Status: ⏳ Pending trained checkpoints

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📈 Usage Examples

Load DBN Data

let bars = load_dbn_data("test_data/real/databento/ml_training/ES.FUT_ohlcv-1m_2024-03-25.dbn").await?;
// Returns: Vec<OhlcvBar> with timestamp, OHLCV, symbol

Extract Features

let features = extract_features(&bars)?;
// Returns: Vec<Vec<f64>> - 16 features per bar

Generate Predictions

let predictions = mock_ensemble_predictions(&bars, &features)?;
// Returns: Vec<f64> - prediction scores (0.0-1.0)

Create Trading Decisions

let decisions = generate_trading_decisions(&predictions)?;
// Returns: Vec<TradingDecision> with action (Buy/Sell/Hold)

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🐛 Known Issues

None! All 11 tests passing.

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🎯 Next Steps

1. Load Real Models (Priority 1)

   • Replace mock with MAMBA-2, DQN, PPO, TFT
   • Test with trained checkpoints
   • Validate GPU inference

2. Expand Symbols (Priority 2)

   • Add NQ.FUT, 6E.FUT, GC.FUT
   • Test multi-symbol coordination
   • Validate cross-symbol strategies

3. Real Trading Integration (Priority 3)

   • Connect to Trading Service gRPC
   • Test paper trading execution
   • Real-time market data streaming

4. Production Deployment (Priority 4)

   • Add monitoring and alerts
   • Production logging
   • Error handling and recovery

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📚 Documentation

• Full Report: WAVE_12_5_2_ML_PIPELINE_INTEGRATION_COMPLETE.md
• Test File: tests/e2e/tests/ml_pipeline_integration_test.rs
• CLAUDE.md: Section on ML Pipeline Testing (updated)

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🔗 Related Waves

• Wave 12.4.1: Trading Service ML Migration (SharedMLStrategy)
• Wave 12.4.2: Backtesting E2E Migration (Real implementations)
• Wave 206: MAMBA-2 Shape Bug Fix (Ready for training)

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Quick Command:

cargo test -p foxhunt_e2e --test ml_pipeline_integration_test -- --nocapture

Expected Output: test result: ok. 11 passed; 0 failed; 0 ignored

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🤖 Generated with Claude Code