v2 NaN instrumentation (S1.21) localized the bug to apply_fill_to_pos's
open-from-flat branch writing pos.vwap_entry = avg_px where avg_px was 0
(194 cases) or > 21M finite (216 cases). The arithmetic was clean — root
cause is walk_ask_for_buy/walk_bid_for_sell consuming size from deep
levels (k=1..9) that have lvl_sz > 0 but lvl_px = 0 (or huge sentinel).
MBP-10 fills empty depth slots beyond available levels with these
sentinels.
Existing per-level filter checked lvl_sz <= 0, !isfinite(lvl_sz),
!isfinite(lvl_px) — but allowed lvl_px = 0 and lvl_px > max range.
Fix: thread per-backtest min_reasonable_px / max_reasonable_px (already
uploaded for the top-of-book skip in book_update_apply_snapshot via
S1.19) through to walk_*, and reject any level whose price falls
outside [min_px, max_px]. Same fix shape as Bug C-b (top-of-book skip),
now applied at all 10 depths.
Changes: resting_orders.cu (walk_* signatures + kernel param + 2 call
sites), order_match.cu (walk_* signatures + kernel param + 1 call site),
sim/mod.rs (submit_market + step_resting_orders launch args). 19 CUDA
tests pass.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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