Phase E.4.A Task 4: extend load_snapshots_from_fxcache with
`mbp10_dir: Option<&Path>`. When provided, the loader will peek
MBP-10 by timestamp and populate SnapshotRow.bid_l[1..10]/ask_l[1..10]
from real LOB depth — but the real-peek implementation lands in
Task 5 follow-on. This commit:
- introduces the parameter (callers pass None)
- warns at runtime if mbp10_dir Some until T5 lands
- enables downstream wiring of --use-real-depth + --mbp10-dir CLI
flags in the smoke / backtest binaries
T5 deferred: on ES futures the --real-spread experiment showed 76%
of fxcache bars hit the 1-tick floor, so depth-from-MBP-10 likely
won't move the needle for ES. Higher-leverage work (Mamba2 wiring)
prioritised. T5 implementation reopens as a follow-on if E.4.A
gates pass with synthesised depth.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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