foxhunt/crates/ml-backtesting/cuda/lob_state.cuh

// Per-block shared-mem layout for the LOB simulator.
// One block = one parallel backtest. See spec §2 + §5b.
//
// MUST stay in sync with crates/ml-backtesting/src/lob/mod.rs's host mirrors.

#ifndef LOB_STATE_CUH
#define LOB_STATE_CUH

// Must stay in sync with crates/ml-alpha/src/heads.rs::N_HORIZONS and
// crates/ml-backtesting/src/lob/mod.rs::N_HORIZONS.
#define N_HORIZONS 3
#define MAX_LIMITS 32
#define MAX_STOPS  16

struct Book {
    float bid_px[10];
    float bid_sz[10];
    float ask_px[10];
    float ask_sz[10];
};

// Per-backtest position + cumulative P&L. See spec §2 (CUDA shared-mem layout).
// Host mirror in crates/ml-backtesting/src/lob/mod.rs::PosFlat — MUST stay in sync.
struct Pos {
    int   position_lots;          // signed (+ long, − short)
    float vwap_entry;              // running entry-price VWAP for current open position
    float realized_pnl;            // cumulative realized P&L in price-units × lots
    float peak_equity;             // for drawdown tracking
    unsigned int submission_overflow; // diagnostic counter
    unsigned int open_horizon_mask;   // bit h set if currently open position was authorized by horizon h
};

// Per-horizon adaptive Kelly state. Lives per (backtest, horizon).
// See spec §5 (per-horizon ISV-Kelly).
struct IsvKellyState {
    float pnl_ema_win;             // Wiener-α blended EMA of winning trade returns (price units)
    float pnl_ema_loss;            // EMA of losing trade returns (positive magnitude)
    float win_rate_ema;
    unsigned int n_trades_seen;
    float realised_return_var;     // Welford running variance over per-trade returns
    float recent_sharpe;            // composite: (μ × win_rate − μ_loss × (1−win_rate)) / sqrt(var)
};

// Resting-order slots. See spec §2 (CUDA shared-mem layout) and §3
// (order types). Host mirror in src/lob/mod.rs::{LimitSlotFlat,StopSlotFlat}.
// LimitSlot.kind / StopSlot.kind values mirror OrderEventKind:
//   Limit=1, Ioc=2, Fok=3 for LimitSlot
//   StopMarket=4, StopLimit=5 for StopSlot
struct LimitSlot {
    unsigned char active;          // 0=free, 1=resting, 2=in-flight (latency)
    unsigned char side;            // 0=buy, 1=sell
    unsigned char kind;            // 1=Limit, 2=Ioc, 3=Fok
    unsigned char oco_pair;        // 0xFF=no pair, else paired-slot global index
                                   //   (limits: 0..31; stops: 32..47)
    float price;                   // limit price in price-units (e.g. 5500.25)
    float size_remaining;          // contracts left unfilled
    float queue_position;          // contracts ahead of us at this level (queue decay)
    unsigned long long arrival_ts_ns;  // when in-flight order becomes resting
    unsigned short gen_counter;    // bumped on each slot allocation for SlotTag freshness
    unsigned char _pad[6];         // pad-to-8 for u64-aligned arrays of this struct
};                                  // 32 bytes

struct StopSlot {
    unsigned char active;          // 0=free, 1=armed, 2=in-flight
    unsigned char side;            // 0=buy, 1=sell
    unsigned char kind;            // 4=StopMarket, 5=StopLimit
    unsigned char oco_pair;        // 0xFF=no pair, else paired-slot global index
    float trigger_price;
    float limit_price;             // 0.0 for StopMarket; price for StopLimit
    float size;
    unsigned long long arrival_ts_ns;
    unsigned short gen_counter;
    unsigned char _pad[6];         // pad-to-8 for u64-aligned arrays
};                                  // 32 bytes

#define MAX_LIMITS 32
#define MAX_STOPS  16

struct Orders {
    LimitSlot limits[MAX_LIMITS];   // 32 × 32 = 1024 B
    StopSlot  stops[MAX_STOPS];     // 16 × 32 =  512 B
};                                   // 1536 B total

#endif // LOB_STATE_CUH