Three things landing atomically because they're load-bearing for each other: 1. **Trend-scanning leakage fix** — trend_scanning.rs was emitting OLS slope+t-stat over a *forward* window [t, t+L]. With the Phase 1a label = sign(price[t+60] − price[t]), the forward feature window overlaps the label window, contaminating it. Purged walk-forward only sterilizes forward-looking *labels* that cross the train/val split, not forward-looking *features* that peek inside the same horizon the label measures. The leak inflated MLP accuracy from 0.49 (legacy 74-dim baseline) to 0.75 — vanished to 0.50 after switching to a trailing window. Bounded the perfect-fit t-stat sentinel from ±1e6 → ±20 (p<1e-30 is already meaningless); eliminated the 16k corruption-cap drops. 2. **Variable-dim alpha column** — fxcache schema now carries the alpha-feature width via metadata (`alpha_feature_dim`), not a compile-time constant. Same on-disk format hosts the 134-dim bar-level stack OR the 81-dim snapshot stack. Reader + auto-detect honor the metadata-declared dim; downstream MLP auto-sizes `in_dim`. Single schema, no forks. 3. **Snapshot pipeline (Phase 1c falsification)** — `snapshot_pipeline.rs`: 81-dim per-MBP10-snapshot extractor reusing 10 snapshot-native alpha blocks + 6 new snapshot-specific features (time-since-trade, time-since-snap, event-rate, spread-bps, L1-imbalance, microprice-mid drift). `precompute_features` gets `--row-unit snapshot` flag; emits one fxcache row per LOB update (1.97M rows from MBP-10 data vs 206K for bar mode). **Smoke verdict on real data** (ES.FUT, 1.97M snapshots, 384K val): - Bar-level honest alpha: accuracy=0.5005, AUC=0.5043 (no signal) - **Snapshot-level alpha**: accuracy=0.5241, AUC=0.6849 (real signal, 384K val) - GBM corroboration: accuracy=0.5401 (non-linear partitioning sees more) - Horizon decay: alpha peaks at K=20-50 snapshots (~5-25ms), gone by K=500 - Regime-conditional: spread-Q4 quintile hits 0.752 accuracy on 76k samples Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
222 lines
7.4 KiB
Rust
222 lines
7.4 KiB
Rust
//! Roundtrip tests for the `.fxcache` binary format.
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//!
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//! Covers f32 serialization, cache-key lookup, header validation,
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//! and the empty-bars error path.
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use ml::fxcache::{find_fxcache, load_fxcache, write_fxcache, FxCacheData, FXCACHE_VERSION, OFI_DIM};
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use tempfile::TempDir;
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// ── Helpers ─────────────────────────────────────────────────────────────────
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/// Deterministic feature vector for bar `i`.
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fn make_features(n: usize) -> Vec<[f64; 42]> {
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(0..n)
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.map(|i| {
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let mut row = [0.0_f64; 42];
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for j in 0..42 {
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row[j] = (i * 42 + j) as f64 * 0.01;
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}
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row
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})
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.collect()
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}
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/// Deterministic target vector for bar `i`.
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fn make_targets(n: usize) -> Vec<[f64; 6]> {
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(0..n)
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.map(|i| {
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let mut row = [0.0_f64; 6];
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for j in 0..6 {
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row[j] = 5000.0 + (i * 6 + j) as f64 * 0.25;
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}
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row
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})
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.collect()
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}
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/// Deterministic OFI vector for bar `i`.
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fn make_ofi(n: usize) -> Vec<[f64; OFI_DIM]> {
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(0..n)
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.map(|i| {
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let mut row = [0.0_f64; OFI_DIM];
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for j in 0..OFI_DIM {
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row[j] = (i * OFI_DIM + j) as f64 * 0.001;
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}
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row
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})
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.collect()
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}
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/// Deterministic per-bar timestamps (1-minute intervals starting 2022-01-01).
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fn make_timestamps(n: usize) -> Vec<i64> {
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(0..n)
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.map(|i| 1640995200_000_000_000i64 + i as i64 * 60_000_000_000)
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.collect()
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}
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/// A fixed 32-byte cache key for tests.
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fn test_cache_key() -> [u8; 32] {
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let mut key = [0u8; 32];
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for (i, slot) in key.iter_mut().enumerate() {
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*slot = (i as u8).wrapping_mul(7).wrapping_add(13);
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}
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key
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}
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// ── Tests ───────────────────────────────────────────────────────────────────
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/// Write 100 bars as f32 (version 1), read back, verify within f32 tolerance.
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#[test]
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fn test_fxcache_f32_roundtrip() {
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let dir = TempDir::new().unwrap();
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let path = dir.path().join("test_f32.fxcache");
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let n = 100;
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let features = make_features(n);
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let targets = make_targets(n);
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let ofi = make_ofi(n);
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let timestamps = make_timestamps(n);
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let key = test_cache_key();
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let bytes_written =
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write_fxcache(&path, &features, &targets, &ofi, ×tamps, key, false, None).unwrap();
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assert!(bytes_written > 0, "expected nonzero bytes written");
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let data: FxCacheData = load_fxcache(&path).unwrap();
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assert_eq!(data.bar_count, n);
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assert_eq!(data.cache_key, key);
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assert_eq!(data.features.len(), n);
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assert_eq!(data.targets.len(), n);
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assert_eq!(data.ofi.len(), n);
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assert_eq!(data.timestamps.len(), n);
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// Timestamps are always i64 — bit-exact.
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for i in 0..n {
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assert_eq!(
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data.timestamps[i], timestamps[i],
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"timestamp mismatch at bar {i}"
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);
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}
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// f32 roundtrip tolerance checks (~7 significant digits).
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for i in 0..n {
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for j in 0..42 {
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let diff = (data.features[i][j] - features[i][j]).abs();
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assert!(
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diff < 1e-4,
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"feature[{i}][{j}]: expected {}, got {}, diff={diff}",
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features[i][j],
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data.features[i][j]
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);
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}
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for j in 0..6 {
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let diff = (data.targets[i][j] - targets[i][j]).abs();
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// f32 at ~5000 has resolution of ~0.0005, allow generous margin.
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assert!(
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diff < 0.01,
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"target[{i}][{j}]: expected {}, got {}, diff={diff}",
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targets[i][j],
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data.targets[i][j]
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);
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}
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for j in 0..OFI_DIM {
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let diff = (data.ofi[i][j] - ofi[i][j]).abs();
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assert!(
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diff < 1e-4,
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"ofi[{i}][{j}]: expected {}, got {}, diff={diff}",
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ofi[i][j],
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data.ofi[i][j]
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);
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}
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}
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}
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/// Write a file with a known cache key, verify `find_fxcache` locates it.
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/// Also verify that a different key returns `None`.
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#[test]
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fn test_fxcache_find() {
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let dir = TempDir::new().unwrap();
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let key = test_cache_key();
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let hex_key = hex::encode(key);
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let path = dir.path().join(format!("{hex_key}.fxcache"));
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let features = make_features(5);
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let targets = make_targets(5);
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let ofi = make_ofi(5);
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let timestamps = make_timestamps(5);
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write_fxcache(&path, &features, &targets, &ofi, ×tamps, key, false, None).unwrap();
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// Should find the file.
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let found = find_fxcache(dir.path(), &key);
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assert!(found.is_some(), "expected to find fxcache file");
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assert_eq!(found.unwrap(), path);
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// Wrong key should miss.
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let mut wrong_key = [0xFFu8; 32];
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wrong_key[0] = 0x00;
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let miss = find_fxcache(dir.path(), &wrong_key);
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assert!(miss.is_none(), "expected miss for wrong key");
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}
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/// Write garbage bytes to a file, verify `load_fxcache` returns an error
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/// whose message contains "magic".
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#[test]
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fn test_fxcache_header_validation() {
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let dir = TempDir::new().unwrap();
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let path = dir.path().join("garbage.fxcache");
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// Write 128 bytes of garbage (more than header size).
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std::fs::write(&path, vec![0xABu8; 128]).unwrap();
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let err = load_fxcache(&path).unwrap_err();
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let msg = format!("{err:#}");
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assert!(
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msg.to_lowercase().contains("magic"),
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"expected error about magic bytes, got: {msg}"
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);
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}
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/// Attempting to write 0 bars should fail (writer rejects empty data).
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/// Attempting to read a hand-crafted header with bar_count=0 should also fail.
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#[test]
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fn test_fxcache_empty() {
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let dir = TempDir::new().unwrap();
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let path = dir.path().join("empty.fxcache");
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// Writer rejects 0 bars.
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let features: Vec<[f64; 42]> = vec![];
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let targets: Vec<[f64; 6]> = vec![];
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let ofi: Vec<[f64; OFI_DIM]> = vec![];
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let timestamps: Vec<i64> = vec![];
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let key = test_cache_key();
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let err = write_fxcache(&path, &features, &targets, &ofi, ×tamps, key, false, None).unwrap_err();
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let msg = format!("{err:#}");
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assert!(
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msg.contains("0 bars") || msg.contains("empty"),
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"expected empty/0-bars error from writer, got: {msg}"
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);
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// Reader also rejects a header with bar_count=0.
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// Hand-craft a valid-magic header with current version + bar_count=0.
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let mut header = [0u8; 64];
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header[0..8].copy_from_slice(b"FXCACHE\0");
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header[8..10].copy_from_slice(&FXCACHE_VERSION.to_le_bytes()); // current version
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header[10..12].copy_from_slice(&42u16.to_le_bytes()); // feat_dim
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header[12..14].copy_from_slice(&6u16.to_le_bytes()); // target_dim
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header[14..16].copy_from_slice(&(OFI_DIM as u16).to_le_bytes()); // ofi_dim
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header[16..24].copy_from_slice(&0u64.to_le_bytes()); // bar_count=0
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// cache_key + reserved stay zeroed.
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let path_reader = dir.path().join("empty_header.fxcache");
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std::fs::write(&path_reader, &header).unwrap();
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let err = load_fxcache(&path_reader).unwrap_err();
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let msg = format!("{err:#}");
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assert!(
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msg.contains("zero") || msg.contains("bar_count"),
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"expected bar_count/zero error from reader, got: {msg}"
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);
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}
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