foxhunt/crates/ml-backtesting/tests/lob_sim_integrated_fuzz.rs

//! Extended Ring 2 fuzz that exercises the FULL integrated pipeline
//! (book_update + resting_orders + decision_policy + pnl_track +
//! isv_kelly_update + step_resting_orders) under random adversarial
//! conditions. Existing lob_sim_fuzz only covers book + market orders.
//!
//! Goals:
//!   * No NaN / Inf leaks in Pos.realized_pnl, IsvKellyState fields,
//!     or per-event book state after thousands of random alpha decisions.
//!   * submission_overflow counter stays plausible (i.e. doesn't run
//!     away even when alpha churns orders every event).
//!   * Trade-log + audit-ring never overflow their caps.
//!   * Book invariants (monotonicity, no-crossed) hold under sustained
//!     resting-order pressure + trade-flow simulation.

use anyhow::Result;
use ml_backtesting::lob::BOOK_LEVELS;
use ml_backtesting::policy::{IsvKellyStateHost, N_HORIZONS};
use ml_backtesting::sim::LobSimCuda;
use ml_core::device::MlDevice;
use rand::{Rng, SeedableRng};
use rand_chacha::ChaCha8Rng;

const TICK: f32 = 0.25;

fn make_initial_book() -> ([f32; BOOK_LEVELS], [f32; BOOK_LEVELS], [f32; BOOK_LEVELS], [f32; BOOK_LEVELS]) {
    let mut bid_px = [0.0; BOOK_LEVELS];
    let mut bid_sz = [0.0; BOOK_LEVELS];
    let mut ask_px = [0.0; BOOK_LEVELS];
    let mut ask_sz = [0.0; BOOK_LEVELS];
    let mid = 5500.00_f32;
    for k in 0..BOOK_LEVELS {
        bid_px[k] = mid - TICK * (k as f32 + 1.0);
        ask_px[k] = mid + TICK * (k as f32 + 1.0);
        bid_sz[k] = 20.0 + 10.0 * k as f32;
        ask_sz[k] = 20.0 + 10.0 * k as f32;
    }
    (bid_px, bid_sz, ask_px, ask_sz)
}

fn random_warm_start_isv(rng: &mut ChaCha8Rng) -> [IsvKellyStateHost; N_HORIZONS] {
    let mut out: [IsvKellyStateHost; N_HORIZONS] = Default::default();
    for h in 0..N_HORIZONS {
        // Make at least one horizon credibly profitable so the decision
        // kernel actually opens positions; others get random warm-starts.
        let positive_h = h == N_HORIZONS - 1;
        let win_rate: f32 = if positive_h { 0.7 } else { rng.gen_range(0.3..0.6) };
        let pnl_win: f32 = if positive_h { 2.0 } else { rng.gen_range(0.5..1.5) };
        let pnl_loss: f32 = rng.gen_range(0.3..1.0);
        let var: f32 = rng.gen_range(0.1..0.5);
        let recent_sharpe: f32 = if positive_h { 1.0 } else { rng.gen_range(-0.5..0.5) };
        out[h] = IsvKellyStateHost {
            pnl_ema_win: pnl_win,
            pnl_ema_loss: pnl_loss,
            win_rate_ema: win_rate,
            n_trades_seen: rng.gen_range(10..100),
            realised_return_var: var,
            recent_sharpe,
        };
    }
    out
}

fn assert_finite_pos(b_idx: usize, pos: &ml_backtesting::lob::PosFlat) {
    assert!(pos.realized_pnl.is_finite(), "backtest {b_idx}: realized_pnl NaN/Inf");
    assert!(pos.vwap_entry.is_finite(), "backtest {b_idx}: vwap_entry NaN/Inf");
    assert!(
        pos.position_lots.abs() <= 100,
        "backtest {b_idx}: position_lots out of plausible range: {}",
        pos.position_lots
    );
}

fn assert_finite_isv(b_idx: usize, h: usize, s: &IsvKellyStateHost) {
    assert!(s.pnl_ema_win.is_finite(),  "backtest {b_idx} h{h}: pnl_ema_win  NaN/Inf");
    assert!(s.pnl_ema_loss.is_finite(), "backtest {b_idx} h{h}: pnl_ema_loss NaN/Inf");
    assert!(s.win_rate_ema.is_finite(), "backtest {b_idx} h{h}: win_rate_ema NaN/Inf");
    assert!(s.realised_return_var.is_finite(), "backtest {b_idx} h{h}: realised_return_var NaN/Inf");
    assert!(s.recent_sharpe.is_finite(), "backtest {b_idx} h{h}: recent_sharpe NaN/Inf");
}

fn run_integrated_fuzz(n_backtests: usize, n_events: usize, seed: u64) -> Result<()> {
    let dev = MlDevice::cuda(0).map_err(|e| anyhow::anyhow!("cuda dev: {e}"))?;
    let mut sim = LobSimCuda::new(n_backtests, &dev)?;
    let mut rng = ChaCha8Rng::seed_from_u64(seed);

    // Warm-start every backtest with random-but-plausible Kelly state.
    for b in 0..n_backtests {
        let states = random_warm_start_isv(&mut rng);
        sim.write_isv_kelly(b, &states)?;
    }

    let (mut bid_px, mut bid_sz, mut ask_px, mut ask_sz) = make_initial_book();
    let mut ts_ns: u64 = 1_000_000_000;
    let mut decision_idx: u32 = 0;

    for event_idx in 0..n_events {
        // Random walk the book.
        let drift_choices = [-TICK, 0.0, 0.0, 0.0, TICK];
        let drift = drift_choices[rng.gen_range(0..drift_choices.len())];
        for k in 0..BOOK_LEVELS {
            bid_px[k] += drift;
            ask_px[k] += drift;
            let dbz: f32 = rng.gen_range(-5.0..5.0);
            let daz: f32 = rng.gen_range(-5.0..5.0);
            bid_sz[k] = (bid_sz[k] + dbz).max(1.0);
            ask_sz[k] = (ask_sz[k] + daz).max(1.0);
        }
        sim.apply_snapshot(&bid_px, &bid_sz, &ask_px, &ask_sz)?;

        // Inferred-like trade flow (random sign, small magnitude).
        let signed_vol: f32 = rng.gen_range(-3.0..3.0);
        sim.step_resting_orders(ts_ns, signed_vol)?;

        // Decide every 4th event.
        if event_idx % 4 == 0 {
            let mut probs = [0.5_f32; N_HORIZONS];
            for h in 0..N_HORIZONS {
                probs[h] = rng.gen_range(0.1..0.9);
            }
            sim.broadcast_alpha(&probs)?;
            // Mix latency vs immediate paths to cover both.
            let latency = if decision_idx % 2 == 0 { 0 } else { 50_000_000 };
            let sim_cfg = ml_backtesting::sim::BatchedSimConfig::from_uniform(
                sim.n_backtests(),
                &ml_backtesting::sim::UniformSimParams {
                    target_annual_vol_units: rng.gen_range(20.0..60.0),
                    annualisation_factor:    rng.gen_range(500.0..1200.0),
                    max_lots:                rng.gen_range(2..6),
                    latency_ns:              latency,
                    kelly_frac_floor:        0.10,
                    sharpe_weight_floor:     0.10,
                    threshold:               0.0,
                    cost_per_lot_per_side:   0.0,
                    max_hold_ns:             0,
                    delta_floor:             0.0,
                    min_reasonable_px:       0.0,
                    max_reasonable_px:       f32::INFINITY,
                },
            );
            sim.step_decision_with_latency(ts_ns, &sim_cfg)?;
            decision_idx += 1;
        }

        // Spot-check invariants every 50 events to bound test time.
        if event_idx % 50 == 0 {
            let books = sim.read_books()?;
            for (b, book) in books.iter().enumerate() {
                for k in 1..BOOK_LEVELS {
                    assert!(
                        book.bid_px[k] <= book.bid_px[k - 1] + 1e-4,
                        "event {event_idx} backtest {b}: bid monotonicity violated"
                    );
                    assert!(
                        book.ask_px[k] >= book.ask_px[k - 1] - 1e-4,
                        "event {event_idx} backtest {b}: ask monotonicity violated"
                    );
                }
                assert!(
                    book.ask_px[0] > book.bid_px[0],
                    "event {event_idx} backtest {b}: crossed book"
                );
            }
            for b in 0..n_backtests {
                let pos = sim.read_pos(b)?;
                assert_finite_pos(b, &pos);
                let isv = sim.read_isv_kelly(b)?;
                for h in 0..5 {
                    assert_finite_isv(b, h, &isv[h]);
                }
            }
        }

        ts_ns += 1_000_000;
    }
    Ok(())
}

#[test]
#[ignore = "requires CUDA"]
fn integrated_fuzz_n1_short() -> Result<()> {
    run_integrated_fuzz(1, 200, 0xCAFE_F00D)
}

#[test]
#[ignore = "requires CUDA"]
fn integrated_fuzz_n8_medium() -> Result<()> {
    run_integrated_fuzz(8, 500, 0xDEAD_BEEF)
}

#[test]
#[ignore = "requires CUDA"]
fn integrated_fuzz_n64_long() -> Result<()> {
    run_integrated_fuzz(64, 1000, 0x1234_5678)
}