Wire 8 OFI features (OFI L1/L5, depth imbalance, VPIN, Kyle's lambda,
bid/ask slopes, trade imbalance) through the DQN training pipeline:
- Add mbp10_data_dir config field to DQNHyperparameters
- Dynamic state_dim: 43 (no OFI) or 51 (with OFI) based on config
- Compute OFI per bar during data loading, store on trainer
- Pass OFI features through regime_features slot in TradingState
- Configurable MBP-10 path with recursive .dbn/.dbn.zst discovery
- Add zstd auto-detection to DbnParser::parse_mbp10_file()
- Add --mbp10-data-dir CLI flag to train_baseline_rl
- Fix hardcoded [f64; 51] → FeatureVector51 ([f64; 40]) across
examples, walk_forward, GPU memory profile, and test fixtures
- Fix stale state_dim=51 in dqn_config_2025() and DQN tests
2747 tests pass, 0 failures.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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