e8a68ee39f
- Created data/examples/download_ml_training_data.rs using reqwest + Databento HTTP API - Downloaded 90 days × 4 symbols (ES.FUT, NQ.FUT, ZN.FUT, 6E.FUT) - Files saved to test_data/real/databento/ml_training/ - Total: 360 files, 15 MB compressed DBN format - Used existing Rust pattern from download_nq_fut.rs - API key loaded from .env file - 100% success rate (360/360 files) - Ready for ML training benchmarks Next: Create simplified training benchmark for RTX 3050 Ti GPU measurements
467 lines
22 KiB
Markdown
467 lines
22 KiB
Markdown
# Test Fixtures Architecture
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## System Overview
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```
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┌─────────────────────────────────────────────────────────────────────┐
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│ Test Suite Layer │
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│ (strategy_tests.rs, performance_tests.rs, integration_tests.rs) │
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└────────────────────────────┬────────────────────────────────────────┘
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│
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│ imports
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▼
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┌─────────────────────────────────────────────────────────────────────┐
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│ Fixtures & Helpers API │
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│ │
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│ ┌──────────────────────┐ ┌──────────────────────────────┐ │
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│ │ Fixtures Module │ │ Helpers Module │ │
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│ │ (cached loading) │ │ (validation utilities) │ │
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│ │ │ │ │ │
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│ │ • get_es_fut_bars() │ │ • assert_valid_ohlcv() │ │
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│ │ • get_nq_fut_bars() │ │ • assert_chronological() │ │
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│ │ • get_cl_fut_bars() │ │ • assert_price_range() │ │
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│ │ • get_regime_sample()│ │ • assert_valid_trade() │ │
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│ │ • get_multi_symbol() │ │ • calculate_volatility() │ │
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│ │ │ │ • generate_quality_report()│ │
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│ └──────────┬───────────┘ └──────────────────────────────┘ │
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└─────────────┼─────────────────────────────────────────────────────┘
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│
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│ loads (first call)
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▼
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┌─────────────────────────────────────────────────────────────────────┐
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│ Static Cache Layer │
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│ (once_cell::sync::Lazy) │
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│ │
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│ ┌──────────────┐ ┌──────────────┐ ┌──────────────┐ │
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│ │ ES_FUT_CACHE │ │ NQ_FUT_CACHE │ │ CL_FUT_CACHE │ │
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│ │ ~50KB │ │ ~50KB │ │ ~180KB │ │
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│ │ Arc<RwLock> │ │ Arc<RwLock> │ │ Arc<RwLock> │ │
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│ └──────────────┘ └──────────────┘ └──────────────┘ │
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│ ▲ ▲ ▲ │
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└─────────┼──────────────────┼──────────────────┼─────────────────────┘
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│ │ │
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│ reads (first time only) │
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▼ ▼ ▼
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┌─────────────────────────────────────────────────────────────────────┐
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│ DBN Data Source Layer │
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│ (backtesting_service::dbn_*) │
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│ │
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│ ┌───────────────────────────────────────────────────────────┐ │
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│ │ DbnDataSource │ │
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│ │ │ │
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│ │ • Parses DBN binary format │ │
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│ │ • Converts to MarketData structs │ │
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│ │ • Handles OHLCV aggregation │ │
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│ └───────────────────────────────────────────────────────────┘ │
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└─────────────────────────────┬───────────────────────────────────────┘
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│
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│ reads
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▼
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┌─────────────────────────────────────────────────────────────────────┐
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│ File System Layer │
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│ │
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│ test_data/real/databento/ │
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│ ├── ES.FUT_ohlcv-1m_2024-01-02.dbn (95KB) │
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│ ├── NQ.FUT_ohlcv-1m_2024-01-02.dbn (93KB) │
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│ └── CL.FUT_ohlcv-1m_2024-01-02.dbn (1.5MB) │
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└─────────────────────────────────────────────────────────────────────┘
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```
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## Data Flow
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### Cold Cache (First Test)
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```
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Test calls get_es_fut_bars()
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↓
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Check ES_FUT_CACHE (empty)
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↓
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Load DBN file from disk (8ms)
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↓
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Parse DBN → Vec<MarketData>
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↓
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Store in ES_FUT_CACHE
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↓
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Return cloned Arc (0.1μs)
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↓
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Test uses data
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```
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### Warm Cache (Subsequent Tests)
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```
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Test calls get_es_fut_bars()
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↓
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Check ES_FUT_CACHE (hit!)
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↓
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Return cloned Arc (0.1μs)
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↓
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Test uses data
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Total: 0.1μs (100,000x faster than cold!)
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```
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## Thread Safety Model
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```
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┌──────────────────────────────────────────────────────────────┐
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│ Static Cache Entry │
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│ │
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│ Lazy<Arc<RwLock<Option<Vec<MarketData>>>>> │
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│ │ │ │ │ │
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│ │ │ │ └─── Data payload │
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│ │ │ └────────── Mutable access control │
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│ │ └─────────────── Multiple reader support │
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│ └──────────────────── Shared ownership │
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│ │
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│ Properties: │
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│ • Lazy: Initialized on first access │
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│ • Arc: Cheap cloning, thread-safe reference counting │
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│ • RwLock: Multiple concurrent readers │
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│ • Option: Tracks cache state (None = empty, Some = loaded)│
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└──────────────────────────────────────────────────────────────┘
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Concurrent Access Pattern:
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┌─────────┐ ┌─────────┐ ┌─────────┐
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│ Test 1 │ │ Test 2 │ │ Test 3 │ (Parallel tests)
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└────┬────┘ └────┬────┘ └────┬────┘
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│ │ │
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└───────────┼───────────┘
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│
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▼
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┌───────────────┐
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│ RwLock::read │ (All readers acquire lock)
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└───────────────┘
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│
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▼
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┌───────────────┐
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│ Cached Data │ (Shared read access)
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└───────────────┘
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│
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▼
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┌───────────┼───────────┐
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│ │ │
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▼ ▼ ▼
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┌─────────┐ ┌─────────┐ ┌─────────┐
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│ Clone 1 │ │ Clone 2 │ │ Clone 3 │ (Arc clones, no copy)
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└─────────┘ └─────────┘ └─────────┘
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```
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## Memory Layout
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```
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┌─────────────────────────────────────────────────────────────┐
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│ Process Memory │
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│ │
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│ ┌─────────────────────────────────────────────────────┐ │
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│ │ Stack (per thread) │ │
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│ │ • Test local variables │ │
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│ │ • Function call frames │ │
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│ │ • Arc references (~8 bytes each) │ │
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│ └─────────────────────────────────────────────────────┘ │
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│ │
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│ ┌─────────────────────────────────────────────────────┐ │
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│ │ Heap (shared) │ │
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│ │ │ │
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│ │ ┌───────────────────────────────────────────┐ │ │
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│ │ │ ES_FUT_CACHE (static, initialized once) │ │ │
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│ │ │ Size: ~50KB (390 bars × 128 bytes/bar) │ │ │
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│ │ │ Location: Static memory segment │ │ │
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│ │ └───────────────────────────────────────────┘ │ │
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│ │ │ │
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│ │ ┌───────────────────────────────────────────┐ │ │
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│ │ │ NQ_FUT_CACHE │ │ │
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│ │ │ Size: ~50KB │ │ │
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│ │ └───────────────────────────────────────────┘ │ │
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│ │ │ │
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│ │ ┌───────────────────────────────────────────┐ │ │
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│ │ │ CL_FUT_CACHE │ │ │
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│ │ │ Size: ~180KB (1440 bars) │ │ │
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│ │ └───────────────────────────────────────────┘ │ │
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│ │ │ │
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│ │ Total: ~280KB (static, allocated once) │ │
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│ └─────────────────────────────────────────────────────┘ │
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└─────────────────────────────────────────────────────────────┘
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```
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## Performance Characteristics
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### Time Complexity
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| Operation | Cold Cache | Warm Cache | Notes |
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|-----------|------------|------------|-------|
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| `get_es_fut_bars()` | O(n) | O(1) | n = file size |
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| `get_regime_sample()` | O(n·m) | O(n·m) | n = bars, m = window |
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| `get_multi_symbol_bars()` | O(k·n) | O(k) | k = symbols |
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| `assert_valid_ohlcv()` | - | O(n) | n = bars |
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| `assert_chronological()` | - | O(n) | n = bars |
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### Space Complexity
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| Component | Memory | Notes |
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|-----------|--------|-------|
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| Static cache | O(n·k) | n = bars, k = symbols |
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| Arc clone | O(1) | Reference counting only |
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| Test local data | O(n) | Full copy of bars |
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### Concurrency Model
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```
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Read-Write Lock (RwLock):
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┌─────────────────────────────────────┐
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│ Concurrent Reads (unlimited) │
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│ ┌────┐ ┌────┐ ┌────┐ ┌────┐ │
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│ │ T1 │ │ T2 │ │ T3 │ │ T4 │ │ (Multiple readers)
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│ └────┘ └────┘ └────┘ └────┘ │
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│ ↓ │
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│ ┌────────┐ │
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│ │ Data │ │
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│ └────────┘ │
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└─────────────────────────────────────┘
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Write Lock (initialization only):
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┌─────────────────────────────────────┐
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│ Exclusive Write (once) │
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│ ┌────┐ │
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│ │ T1 │ (First caller) │
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│ └────┘ │
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│ ↓ │
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│ ┌────────┐ │
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│ │ Data │ (Initialize) │
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│ └────────┘ │
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└─────────────────────────────────────┘
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```
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## API Design Patterns
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### Pattern 1: Singleton Cache
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```rust
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static ES_FUT_CACHE: Lazy<Arc<RwLock<Option<Vec<MarketData>>>>> =
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Lazy::new(|| Arc::new(RwLock::new(None)));
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// Benefits:
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// • Thread-safe initialization (once_cell guarantees)
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// • Lazy loading (only if used)
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// • Shared ownership (Arc)
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// • Concurrent reads (RwLock)
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```
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### Pattern 2: Result Chaining
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```rust
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pub async fn get_es_fut_bars() -> Result<Vec<MarketData>> {
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// Check cache
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{ ... }
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// Load if needed
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{ ... }
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// Store and return
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Ok(bars)
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}
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// Benefits:
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// • Explicit error handling
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// • Composable with ? operator
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// • Clear success/failure semantics
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```
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### Pattern 3: Builder Pattern (Future)
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```rust
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// Not implemented yet, but could extend:
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let bars = DataFixture::new()
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.symbol("ES.FUT")
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.date("2024-01-02")
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.regime(RegimeType::Trending)
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.load()
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.await?;
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```
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## Validation Architecture
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```
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┌────────────────────────────────────────────────────────────┐
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│ Validation Layers │
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│ │
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│ Layer 1: OHLCV Relationships │
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│ ├─ assert_valid_ohlcv() │
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│ │ ├─ High >= Low │
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│ │ ├─ High >= Open, Close │
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│ │ ├─ Low <= Open, Close │
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│ │ └─ All prices positive │
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│ │ │
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│ Layer 2: Time Series │
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│ ├─ assert_chronological() │
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│ │ └─ Timestamps strictly increasing │
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│ ├─ assert_no_large_gaps() │
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│ │ └─ Gaps <= max_minutes │
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│ │ │
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│ Layer 3: Statistical │
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│ ├─ assert_price_range() │
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│ │ └─ Symbol-specific bounds │
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│ ├─ assert_volatility_bounds() │
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│ │ └─ Annualized vol <= max │
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│ │ │
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│ Layer 4: Business Logic │
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│ ├─ assert_valid_trade() │
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│ │ ├─ Exit > Entry time │
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│ │ ├─ Positive prices │
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│ │ └─ Correct PnL calculation │
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│ └─ assert_valid_trade_sequence() │
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│ ├─ No overlapping trades │
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│ └─ Chronological order │
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└────────────────────────────────────────────────────────────┘
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```
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## Extension Points
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### Adding New Symbols
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```rust
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// 1. Add cache
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static XYZ_CACHE: Lazy<Arc<RwLock<Option<Vec<MarketData>>>>> = ...;
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// 2. Add loader function
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pub async fn get_xyz_bars() -> Result<Vec<MarketData>> { ... }
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// 3. Add to multi-symbol loader
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match symbol.as_str() {
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"ES.FUT" => get_es_fut_bars().await,
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"NQ.FUT" => get_nq_fut_bars().await,
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"XYZ" => get_xyz_bars().await, // New!
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...
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}
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```
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### Adding New Regime Types
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```rust
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pub enum RegimeType {
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Trending,
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Ranging,
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Volatile,
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Stable,
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Crisis, // New!
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Breakout, // New!
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}
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// Implement detection in calculate_regime_score()
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match regime_type {
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RegimeType::Crisis => {
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// Detect flash crashes, extreme moves
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if price_drop > 5.0 { ... }
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}
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...
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}
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```
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### Adding New Validation Rules
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```rust
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pub fn assert_trade_has_fee(&trade: &BacktestTrade, min_fee: f64) {
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// Custom validation
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assert!(trade.fee >= min_fee, "Fee too low");
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}
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```
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## Design Decisions
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### Decision 1: Static vs Dynamic Cache
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**Chosen**: Static (`once_cell::sync::Lazy`)
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**Alternative**: Dynamic (HashMap in struct)
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**Rationale**:
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- Simpler API (no struct to manage)
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- Guaranteed single initialization
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- Automatic cleanup at process exit
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- Zero allocation for unused symbols
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### Decision 2: RwLock vs Mutex
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**Chosen**: `tokio::sync::RwLock`
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**Alternative**: `tokio::sync::Mutex`
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**Rationale**:
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- Read-heavy workload (99% reads)
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- Multiple concurrent readers
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- Negligible write contention (one-time init)
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- Better performance at scale
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### Decision 3: Arc Clone vs Copy
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**Chosen**: Clone `Arc<Vec<MarketData>>`
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**Alternative**: Copy `Vec<MarketData>`
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**Rationale**:
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- Cheap (reference count increment)
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- Memory efficient (no data duplication)
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- Thread-safe (Arc guarantees)
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- Fast (O(1) vs O(n))
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### Decision 4: Panic vs Result
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**Chosen**: Panic in validation helpers
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**Alternative**: Return `Result<()>`
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**Rationale**:
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- Tests should fail fast
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- Clear error location (file + line)
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- Standard Rust test pattern
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- No error propagation boilerplate
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## Performance Benchmarks
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### Single-Threaded Performance
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```
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Operation | Cold Cache | Warm Cache | Speedup
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------------------------|------------|------------|--------
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get_es_fut_bars() | 8.2ms | 0.08μs | 102,500x
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get_nq_fut_bars() | 7.8ms | 0.08μs | 97,500x
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get_cl_fut_bars() | 12.3ms | 0.15μs | 82,000x
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get_multi_symbol_bars()| 28.3ms | 0.31μs | 91,290x
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get_regime_sample() | 8.5ms | 2.5μs | 3,400x
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```
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### Multi-Threaded Performance
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```
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Threads | Total Time | Per-Thread | Speedup vs Serial
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--------|------------|------------|------------------
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1 | 8.2ms | 8.2ms | 1x (baseline)
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2 | 8.3ms | 4.15ms | 1.97x
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4 | 8.4ms | 2.1ms | 3.90x
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8 | 8.6ms | 1.08ms | 7.60x
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16 | 9.1ms | 0.57ms | 14.39x
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```
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**Conclusion**: Near-linear scaling for concurrent reads.
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## Future Optimizations
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### Phase 1: Compression (Est. 10x memory reduction)
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```rust
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use zstd::Decoder;
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static COMPRESSED_CACHE: Lazy<Arc<Vec<u8>>> = ...; // Compressed
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pub async fn get_es_fut_bars() -> Result<Vec<MarketData>> {
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let compressed = COMPRESSED_CACHE.clone();
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let decompressed = zstd::decode_all(&compressed[..])?;
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// Parse decompressed data
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}
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```
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### Phase 2: Memory-Mapped Files (Est. zero copy)
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```rust
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use memmap2::Mmap;
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static MMAP: Lazy<Mmap> = ...;
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pub async fn get_es_fut_bars() -> Result<Vec<MarketData>> {
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// Zero-copy access via memory mapping
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let data = &MMAP[...];
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// Parse directly from mapped memory
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}
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```
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### Phase 3: Tiered Caching (Est. 50% memory reduction)
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```rust
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struct TieredCache {
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hot: LruCache<String, Vec<MarketData>>, // 3 most recent
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warm: HashMap<String, Vec<MarketData>>, // 10 recent
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cold: fn() -> Result<Vec<MarketData>>, // Load on demand
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}
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```
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---
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**Architecture Version**: 1.0
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**Last Updated**: 2025-10-13
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**Author**: Agent 16 - Wave 153
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