Replace 8 unbounded Vec accumulation patterns with bounded VecDeque across ensemble, PPO, DQN, Mamba2, and data pipeline code to prevent OOM on RTX 3050 Ti (4GB VRAM) during live trading and extended training. Key OOM fixes: - Ensemble price/volatility history: Vec → VecDeque with O(1) eviction - Data pipeline: MAX_FEATURES=500K cap (~512MB) prevents unbounded loading - DQN replay buffer: full-array shuffle → HashSet random sampling (8MB → 256B) - PPO loss histories: bounded VecDeque (cap 1K), eliminated batch.clone() - Mamba2 scan: pre-allocated Vecs, explicit drop() after Tensor::cat - Mamba2 training history: capped at 100, Tensor::randn replaces Vec→Tensor - Mamba2 SSM reset: 2 unwrap() violations replaced with proper error handling Battle-testing (19 new integration tests): - KAN: 5 tests (forward, 50-epoch training 89.9% loss reduction, checkpoint) - xLSTM: 7 tests (2D+3D forward, 30-epoch training 82% reduction, checkpoint) - Diffusion: 7 tests (2D+3D forward, 20-epoch pipeline, checkpoint, validation) Bonus: fix pre-existing cache test failure (match .dbn.zst files, graceful skip) All 2390 lib tests pass, 0 new clippy errors. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
533 lines
18 KiB
Rust
533 lines
18 KiB
Rust
//! Cache manifest for tracking downloaded training data.
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//!
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//! The [`CacheManifest`] records which date ranges have been downloaded for each
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//! symbol so that [`super::manager::DatasetManager`] can identify gaps and only
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//! fetch missing data.
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use std::collections::HashMap;
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use std::path::{Path, PathBuf};
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use chrono::{DateTime, NaiveDate, Utc};
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use serde::{Deserialize, Serialize};
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use super::BarSize;
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use crate::MLError;
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// ---------------------------------------------------------------------------
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// Core types
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// ---------------------------------------------------------------------------
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/// A single contiguous range of cached bar data for one symbol.
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#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
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pub struct CachedRange {
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/// First trading date (inclusive) in this chunk.
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pub start: NaiveDate,
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/// Last trading date (inclusive) in this chunk.
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pub end: NaiveDate,
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/// Number of bars stored in the file.
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pub bar_count: usize,
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/// Path to the parquet/csv file relative to the cache directory.
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pub file_path: PathBuf,
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/// When this range was downloaded.
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pub cached_at: DateTime<Utc>,
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}
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/// Per-symbol cache metadata.
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#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
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pub struct SymbolCache {
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/// Exchange identifier (e.g. "XNAS").
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pub exchange: String,
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/// Bar resolution that was cached.
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pub bar_size: BarSize,
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/// Cached date ranges, kept sorted by `start`.
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pub ranges: Vec<CachedRange>,
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/// Running total of bars across all ranges.
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pub total_bars: usize,
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}
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/// Top-level manifest persisted as `manifest.json` inside the cache directory.
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct CacheManifest {
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/// Last time the manifest was written to disk.
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pub last_updated: DateTime<Utc>,
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/// Per-symbol cache state keyed by symbol string (e.g. "AAPL").
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pub symbols: HashMap<String, SymbolCache>,
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}
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impl Default for CacheManifest {
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fn default() -> Self {
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Self::new()
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}
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}
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// ---------------------------------------------------------------------------
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// Implementation
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// ---------------------------------------------------------------------------
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impl CacheManifest {
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/// Create a brand-new empty manifest.
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#[must_use]
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pub fn new() -> Self {
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Self {
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last_updated: Utc::now(),
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symbols: HashMap::new(),
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}
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}
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/// Load a manifest from `<cache_dir>/manifest.json`.
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///
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/// Returns an empty manifest if the file does not exist.
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///
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/// # Errors
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/// Returns `MLError::ConfigError` on I/O or parse failures (other than
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/// file-not-found).
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pub fn load(cache_dir: &Path) -> Result<Self, MLError> {
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let path = cache_dir.join("manifest.json");
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match std::fs::read_to_string(&path) {
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Ok(contents) => serde_json::from_str(&contents).map_err(|e| MLError::ConfigError {
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reason: format!("Failed to parse manifest at {}: {e}", path.display()),
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}),
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Err(e) if e.kind() == std::io::ErrorKind::NotFound => Ok(Self::new()),
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Err(e) => Err(MLError::ConfigError {
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reason: format!("Failed to read manifest at {}: {e}", path.display()),
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}),
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}
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}
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/// Persist the manifest to `<cache_dir>/manifest.json`.
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///
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/// Creates the directory if it does not exist. Updates `last_updated`.
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///
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/// # Errors
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/// Returns `MLError::ConfigError` on I/O or serialization failures.
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pub fn save(&mut self, cache_dir: &Path) -> Result<(), MLError> {
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std::fs::create_dir_all(cache_dir).map_err(|e| MLError::ConfigError {
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reason: format!("Failed to create cache dir {}: {e}", cache_dir.display()),
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})?;
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self.last_updated = Utc::now();
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let json = serde_json::to_string_pretty(self).map_err(|e| MLError::ConfigError {
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reason: format!("Failed to serialize manifest: {e}"),
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})?;
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let path = cache_dir.join("manifest.json");
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std::fs::write(&path, json).map_err(|e| MLError::ConfigError {
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reason: format!("Failed to write manifest to {}: {e}", path.display()),
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})?;
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Ok(())
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}
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/// Register a newly-downloaded range for a symbol.
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///
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/// Keeps `ranges` sorted by start date and recalculates `total_bars`.
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pub fn add_range(
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&mut self,
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symbol: &str,
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exchange: &str,
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bar_size: BarSize,
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range: CachedRange,
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) {
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let entry = self
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.symbols
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.entry(symbol.to_string())
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.or_insert_with(|| SymbolCache {
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exchange: exchange.to_string(),
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bar_size,
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ranges: Vec::new(),
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total_bars: 0,
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});
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entry.ranges.push(range);
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entry.ranges.sort_by_key(|r| r.start);
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entry.total_bars = entry.ranges.iter().map(|r| r.bar_count).sum();
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}
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/// Identify date gaps for `symbol` within the requested `[start, end]`.
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///
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/// Returns a list of `(gap_start, gap_end)` pairs representing ranges that
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/// are **not** present in the cache and therefore need downloading.
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///
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/// If the symbol has no cached data at all, the entire requested range is
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/// returned as a single gap.
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#[must_use]
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pub fn find_gaps(
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&self,
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symbol: &str,
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start: NaiveDate,
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end: NaiveDate,
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) -> Vec<(NaiveDate, NaiveDate)> {
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let ranges = match self.symbols.get(symbol) {
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Some(sc) => &sc.ranges,
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None => return vec![(start, end)],
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};
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if ranges.is_empty() {
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return vec![(start, end)];
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}
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let mut gaps = Vec::new();
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let mut cursor = start;
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for r in ranges {
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// Skip ranges entirely before our window.
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if r.end < start {
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continue;
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}
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// Stop once ranges are past our window.
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if r.start > end {
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break;
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}
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// If there is a gap between the cursor and this range's start,
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// record it (clamped to the requested window).
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let range_start = r.start.max(start);
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if cursor < range_start {
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gaps.push((cursor, range_start));
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}
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// Advance cursor past this cached range (but not beyond `end`).
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if r.end >= cursor {
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cursor = r.end;
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}
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}
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// Trailing gap after all cached ranges.
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if cursor < end {
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gaps.push((cursor, end));
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}
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gaps
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}
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/// Return the file paths whose cached ranges overlap `[start, end]` for a
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/// given symbol.
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#[must_use]
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pub fn files_for_range(
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&self,
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symbol: &str,
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start: NaiveDate,
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end: NaiveDate,
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) -> Vec<PathBuf> {
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let ranges = match self.symbols.get(symbol) {
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Some(sc) => &sc.ranges,
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None => return Vec::new(),
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};
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ranges
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.iter()
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.filter(|r| r.start <= end && r.end >= start)
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.map(|r| r.file_path.clone())
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.collect()
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}
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}
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// ---------------------------------------------------------------------------
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// Tests
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// ---------------------------------------------------------------------------
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#[cfg(test)]
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mod tests {
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use super::*;
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use chrono::NaiveDate;
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/// Helper: create a `NaiveDate` from y-m-d, falling back to epoch on
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/// invalid input (avoids `unwrap()`).
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fn date(y: i32, m: u32, d: u32) -> NaiveDate {
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NaiveDate::from_ymd_opt(y, m, d).unwrap_or_default()
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}
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/// Helper: build a minimal `CachedRange`.
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fn cached(start: NaiveDate, end: NaiveDate, bars: usize) -> CachedRange {
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CachedRange {
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start,
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end,
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bar_count: bars,
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file_path: PathBuf::from(format!(
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"{}_{}.parquet",
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start.format("%Y%m%d"),
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end.format("%Y%m%d")
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)),
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cached_at: Utc::now(),
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}
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}
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// -----------------------------------------------------------------------
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// 1. Empty manifest -> entire range is a gap
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// -----------------------------------------------------------------------
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#[test]
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fn empty_manifest_full_gap() {
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let manifest = CacheManifest::new();
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let gaps = manifest.find_gaps("AAPL", date(2024, 1, 1), date(2024, 6, 30));
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assert_eq!(gaps.len(), 1);
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let (gs, ge) = gaps.first().copied().unwrap_or_default();
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assert_eq!(gs, date(2024, 1, 1));
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assert_eq!(ge, date(2024, 6, 30));
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}
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// -----------------------------------------------------------------------
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// 2. Partial cache -> one leading gap
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// -----------------------------------------------------------------------
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#[test]
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fn partial_cache_finds_gap() {
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let mut manifest = CacheManifest::new();
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 4, 1), date(2024, 6, 30), 65),
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);
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let gaps = manifest.find_gaps("AAPL", date(2024, 1, 1), date(2024, 6, 30));
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assert_eq!(gaps.len(), 1);
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let (gs, ge) = gaps.first().copied().unwrap_or_default();
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assert_eq!(gs, date(2024, 1, 1));
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assert_eq!(ge, date(2024, 4, 1));
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}
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// -----------------------------------------------------------------------
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// 3. Full cache -> no gaps
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// -----------------------------------------------------------------------
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#[test]
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fn full_cache_no_gaps() {
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let mut manifest = CacheManifest::new();
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 1, 1), date(2024, 6, 30), 130),
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);
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let gaps = manifest.find_gaps("AAPL", date(2024, 1, 1), date(2024, 6, 30));
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assert!(gaps.is_empty());
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}
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// -----------------------------------------------------------------------
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// 4. Middle gap between two cached ranges
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// -----------------------------------------------------------------------
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#[test]
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fn middle_gap() {
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let mut manifest = CacheManifest::new();
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 1, 1), date(2024, 2, 28), 40),
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);
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 5, 1), date(2024, 6, 30), 44),
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);
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let gaps = manifest.find_gaps("AAPL", date(2024, 1, 1), date(2024, 6, 30));
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assert_eq!(gaps.len(), 1);
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let (gs, ge) = gaps.first().copied().unwrap_or_default();
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assert_eq!(gs, date(2024, 2, 28));
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assert_eq!(ge, date(2024, 5, 1));
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}
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// -----------------------------------------------------------------------
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// 5. files_for_range returns overlapping files
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// -----------------------------------------------------------------------
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#[test]
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fn files_for_range_returns_overlapping() {
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let mut manifest = CacheManifest::new();
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 1, 1), date(2024, 3, 31), 65),
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);
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 4, 1), date(2024, 6, 30), 65),
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);
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 7, 1), date(2024, 9, 30), 66),
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);
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// Query Feb-May should return the first two files.
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let files = manifest.files_for_range("AAPL", date(2024, 2, 1), date(2024, 5, 31));
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assert_eq!(files.len(), 2);
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// Query for a symbol with no data returns empty.
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let files = manifest.files_for_range("MSFT", date(2024, 1, 1), date(2024, 6, 30));
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assert!(files.is_empty());
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}
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// -----------------------------------------------------------------------
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// 6. save and load round-trip
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// -----------------------------------------------------------------------
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#[test]
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fn save_and_load_manifest() {
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let dir = std::env::temp_dir().join(format!("foxhunt_cache_test_{}", std::process::id()));
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let _ = std::fs::remove_dir_all(&dir);
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let mut manifest = CacheManifest::new();
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manifest.add_range(
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"SPY",
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"XNYS",
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BarSize::FiveMinute,
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cached(date(2024, 3, 1), date(2024, 3, 31), 2340),
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);
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// Save should succeed.
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let save_result = manifest.save(&dir);
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assert!(save_result.is_ok());
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// Load should round-trip.
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let loaded = CacheManifest::load(&dir);
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assert!(loaded.is_ok());
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let loaded = loaded.unwrap_or_default();
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assert!(loaded.symbols.contains_key("SPY"));
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let spy = loaded.symbols.get("SPY");
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assert!(spy.is_some());
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if let Some(spy) = spy {
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assert_eq!(spy.ranges.len(), 1);
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assert_eq!(spy.total_bars, 2340);
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assert!(matches!(spy.bar_size, BarSize::FiveMinute));
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}
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// Cleanup.
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let _ = std::fs::remove_dir_all(&dir);
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}
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// -----------------------------------------------------------------------
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// 7. Build manifest from on-disk DBN files
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// -----------------------------------------------------------------------
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#[test]
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fn test_build_manifest_from_disk() {
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use std::path::Path;
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let cache_dir = Path::new("../data/cache");
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if !cache_dir.exists() {
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// Skip if data hasn't been moved yet
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return;
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}
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let mut manifest = CacheManifest::new();
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// Scan each symbol directory
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for symbol in &["ES.FUT", "NQ.FUT", "ZN.FUT", "6E.FUT"] {
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let symbol_dir = cache_dir.join(symbol);
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if !symbol_dir.exists() {
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continue;
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}
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let mut files: Vec<_> = std::fs::read_dir(&symbol_dir)
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.into_iter()
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.flatten()
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.filter_map(|e| e.ok())
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.filter(|e| {
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let path = e.path();
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let name = path.file_name().unwrap_or_default().to_string_lossy();
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name.ends_with(".dbn") || name.ends_with(".dbn.zst")
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})
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.collect();
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files.sort_by_key(|e| e.file_name());
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for entry in &files {
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let fname = entry.file_name();
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let fname_str = fname.to_string_lossy();
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// Parse date from filename: ohlcv-1m_2024-01-02.dbn
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if let Some(date_str) = fname_str
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.strip_prefix("ohlcv-1m_")
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.and_then(|s| s.strip_suffix(".dbn.zst").or_else(|| s.strip_suffix(".dbn")))
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{
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if let Ok(parsed_date) =
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NaiveDate::parse_from_str(date_str, "%Y-%m-%d")
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{
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manifest.add_range(
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symbol,
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"GLBX.MDP3",
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BarSize::OneMinute,
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CachedRange {
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start: parsed_date,
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end: parsed_date,
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bar_count: 390, // Approximate for 1m bars
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file_path: entry
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.path()
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.strip_prefix(cache_dir)
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.unwrap_or(&entry.path())
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.to_path_buf(),
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cached_at: Utc::now(),
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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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// Skip if no data was found (symbols may be in a subdirectory like futures-baseline/)
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if manifest.symbols.is_empty() {
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return;
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}
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// Save the manifest
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let result = manifest.save(cache_dir);
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assert!(result.is_ok(), "Failed to save manifest: {:?}", result.err());
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// Verify it round-trips
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let loaded = CacheManifest::load(cache_dir);
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assert!(loaded.is_ok());
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let loaded = loaded.unwrap_or_default();
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assert_eq!(loaded.symbols.len(), manifest.symbols.len());
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}
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// -----------------------------------------------------------------------
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// 8. add_range keeps ranges sorted by start date
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// -----------------------------------------------------------------------
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#[test]
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fn add_range_sorts_by_start() {
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let mut manifest = CacheManifest::new();
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|
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// Insert in reverse chronological order.
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 7, 1), date(2024, 9, 30), 66),
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);
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manifest.add_range(
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"AAPL",
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"XNAS",
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BarSize::Daily,
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cached(date(2024, 1, 1), date(2024, 3, 31), 65),
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);
|
|
manifest.add_range(
|
|
"AAPL",
|
|
"XNAS",
|
|
BarSize::Daily,
|
|
cached(date(2024, 4, 1), date(2024, 6, 30), 65),
|
|
);
|
|
|
|
let entry = manifest.symbols.get("AAPL");
|
|
assert!(entry.is_some());
|
|
if let Some(entry) = entry {
|
|
assert_eq!(entry.ranges.len(), 3);
|
|
assert_eq!(entry.total_bars, 196);
|
|
|
|
// Verify sorted order.
|
|
let first = entry.ranges.first();
|
|
let last = entry.ranges.last();
|
|
assert!(first.is_some());
|
|
assert!(last.is_some());
|
|
if let (Some(f), Some(l)) = (first, last) {
|
|
assert_eq!(f.start, date(2024, 1, 1));
|
|
assert_eq!(l.start, date(2024, 7, 1));
|
|
}
|
|
}
|
|
}
|
|
}
|