foxhunt/crates/ml-backtesting/cuda/order_match.cu

// order_match.cu — immediate market-order matching (C5 minimal).
//
// v1 scope: walk the book for an aggressive market order, update
// position + VWAP + realized P&L. Single-writer (thread 0) per block.
//
// Resting-limit machinery (queue decay, in-flight latency promotion,
// stop triggers, OCO link cancellation) is added in follow-up commits.
//
// Per feedback_no_atomicadd.md: no atomics — single-writer discipline.

#include "lob_state.cuh"

// Walk ask side for a buy of `size`. Returns total notional cost in
// price-units. Writes filled_lots out-param.
//
// min_px / max_px: per-backtest price-range bounds (from upload_price_range /
// S1.19). Levels with lvl_px outside [min_px, max_px] are MBP-10 sentinels
// for empty depth slots — consuming them writes avg_px=0 or avg_px>21M into
// pos.vwap_entry (S1.22 root-cause fix).
__device__ static float walk_ask_for_buy(
    const Book& book, float size, float& filled_lots,
    float min_px, float max_px
) {
    float cost = 0.0f;
    filled_lots = 0.0f;
    #pragma unroll
    for (int k = 0; k < 10; ++k) {
        if (size <= 0.0f) break;
        const float lvl_sz = book.ask_sz[k];
        const float lvl_px = book.ask_px[k];
        if (lvl_sz <= 0.0f || !isfinite(lvl_sz) || !isfinite(lvl_px)
            || lvl_px < min_px || lvl_px > max_px) continue;
        const float take = (size < lvl_sz) ? size : lvl_sz;
        cost        += take * lvl_px;
        filled_lots += take;
        size        -= take;
    }
    return cost;
}

__device__ static float walk_bid_for_sell(
    const Book& book, float size, float& filled_lots,
    float min_px, float max_px
) {
    float cost = 0.0f;
    filled_lots = 0.0f;
    #pragma unroll
    for (int k = 0; k < 10; ++k) {
        if (size <= 0.0f) break;
        const float lvl_sz = book.bid_sz[k];
        const float lvl_px = book.bid_px[k];
        if (lvl_sz <= 0.0f || !isfinite(lvl_sz) || !isfinite(lvl_px)
            || lvl_px < min_px || lvl_px > max_px) continue;
        const float take = (size < lvl_sz) ? size : lvl_sz;
        cost        += take * lvl_px;
        filled_lots += take;
        size        -= take;
    }
    return cost;
}

// Immediate market-order fill: walks the book, updates Pos.
// One block per backtest; thread 0 does all the work.
//
// `targets` is a [n_backtests, 2]-shaped i32 array: { side, size }.
// side: 0=buy, 1=sell, 2=no-op (skip this backtest this step).
//
// S1.22: min_reasonable_px / max_reasonable_px added so walk_* can reject
// sentinel-priced depth levels (zero-priced or huge-priced empty MBP-10 slots).
extern "C" __global__ void submit_market_immediate(
    const Book*         __restrict__ books,
    const int*          __restrict__ targets,         // [n_backtests, 2]
    Pos*                __restrict__ positions,        // [n_backtests]
    const float*        __restrict__ min_reasonable_px, // [n_backtests]
    const float*        __restrict__ max_reasonable_px, // [n_backtests]
    int                              n_backtests
) {
    int b = blockIdx.x;
    if (b >= n_backtests || threadIdx.x != 0) return;

    const int side = targets[b * 2 + 0];
    const int sz_in = targets[b * 2 + 1];
    if (side == 2 || sz_in <= 0) return;   // no-op for this backtest

    const Book& book = books[b];
    Pos& pos = positions[b];

    const float min_px = min_reasonable_px[b];
    const float max_px = max_reasonable_px[b];

    float filled = 0.0f;
    const float cost = (side == 0)
        ? walk_ask_for_buy (book, (float)sz_in, filled, min_px, max_px)
        : walk_bid_for_sell(book, (float)sz_in, filled, min_px, max_px);
    if (filled <= 0.0f) return;
    const float avg_px = cost / filled;
    const float sgn = (side == 0) ? 1.0f : -1.0f;

    const float prev_pos_f = (float)pos.position_lots;
    const float new_pos_f  = prev_pos_f + sgn * filled;

    if (pos.position_lots == 0) {
        // Open position from flat.
        pos.vwap_entry = avg_px;
    } else if ((prev_pos_f > 0.0f) == (sgn > 0.0f)) {
        // Same direction: scale-in. Update VWAP by lot-weighted average.
        const float prev_notional = prev_pos_f * pos.vwap_entry;     // signed notional ($ at entry-side)
        const float new_notional  = prev_notional + sgn * cost;
        const float new_abs       = (new_pos_f > 0.0f) ? new_pos_f : -new_pos_f;
        pos.vwap_entry = (new_abs > 0.0f) ? (new_notional / (sgn * new_abs)) : 0.0f;
    } else {
        // Counter direction: realize P&L on the unwound portion.
        const float prev_abs = (prev_pos_f > 0.0f) ? prev_pos_f : -prev_pos_f;
        const float unwind   = (filled < prev_abs) ? filled : prev_abs;
        // Profit per lot for a closed long  = exit_px − entry_px
        // Profit per lot for a closed short = entry_px − exit_px
        // prev_pos_f > 0 (long) closing via sell: side==1, sgn=−1 → realised = (avg_px − vwap) × unwind
        // prev_pos_f < 0 (short) closing via buy:  side==0, sgn=+1 → realised = (vwap − avg_px) × unwind
        const float dir_was_long = (prev_pos_f > 0.0f) ? 1.0f : -1.0f;
        const float realised = (avg_px - pos.vwap_entry) * dir_was_long * unwind;
        pos.realized_pnl += realised;
        // If counter-fill exceeds the prior position, the residual opens
        // a new position in the opposite direction at avg_px.
        if (filled > prev_abs) {
            pos.vwap_entry = avg_px;
        }
        // If position is now flat, vwap_entry becomes irrelevant.
    }
    pos.position_lots = (int)new_pos_f;
}