f5947c2b22
Bug #8 (CRITICAL): Fixed action selection frequency catastrophe - Root cause: execute_action called during training (522,713 orders/epoch) - Fix: Removed execute_action from experience collection loop (line 928-936) - Impact: 522,713 → 0 orders/epoch (100% reduction) - Transaction costs: $338K → $0 (eliminated) - Test suite: ml/tests/action_selection_frequency_test.rs (3/3 passing) P2-A: Configurable Initial Capital - CLI argument: --initial-capital (default: $100K, min: $1K) - Files modified: trainers/dqn.rs, train_dqn.rs, hyperopt adapter - Test suite: ml/tests/configurable_capital_test.rs (8/8 passing) - Supports: Small accounts ($10K), Standard ($100K), Institutional ($500K+) P2-B: Cash Reserve Requirement - CLI argument: --cash-reserve-percent (default: 0%, range: 0-100%) - Reserve enforcement: BUY trades only (SELL always allowed) - Dynamic reserve adjusts with portfolio value - Files modified: portfolio_tracker.rs (70 lines), trainers/dqn.rs, train_dqn.rs - Test suite: ml/tests/cash_reserve_requirement_test.rs (10/10 passing) Test Status: 21/21 core tests passing (P2-C deferred due to API mismatch) Wave 16S-V11 Agents: - Agent #1: Bug #8 investigation (transaction cost analysis) - Agent #2: P2-A implementation (configurable capital) - Agent #3: P2-B implementation + test fix (cash reserve) - Agent #4: Integration validation (certification report)
98 lines
3.9 KiB
Rust
98 lines
3.9 KiB
Rust
// Wave 16S-P3: DBN Raw Price Inspector
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// Investigates 60.7% data corruption by examining raw i64 values from DBN files
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// Hypothesis: 1e-9 scaling is incorrect, prices might use different scaling factor
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use dbn::decode::dbn::Decoder;
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use dbn::decode::{DbnMetadata, DecodeRecordRef};
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use std::fs::File;
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use std::io::BufReader;
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fn main() -> Result<(), Box<dyn std::error::Error>> {
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let files = vec![
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"test_data/ES_FUT_180d.dbn",
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"test_data/6E_FUT_180d.dbn",
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"test_data/ZN_FUT_180d.dbn",
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];
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for file_path in files {
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println!("\n{}", "=".repeat(80));
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println!("📂 File: {}", file_path);
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println!("{}", "=".repeat(80));
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let file = File::open(file_path)?;
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let reader = BufReader::new(file);
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let mut decoder = Decoder::new(reader)?;
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let metadata = decoder.metadata();
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println!("Metadata:");
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println!(" Dataset: {:?}", metadata.dataset);
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println!(" Schema: {:?}", metadata.schema);
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println!(" Symbols: {:?}", metadata.symbols);
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println!(" SType In: {:?}", metadata.stype_in);
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println!(" SType Out: {:?}", metadata.stype_out);
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let mut count = 0;
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let mut prices_1e9 = Vec::new();
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let mut prices_1e_minus_9 = Vec::new();
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let mut prices_raw = Vec::new();
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loop {
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match decoder.decode_record_ref() {
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Ok(Some(record)) => {
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count += 1;
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let record_enum = record.as_enum()?;
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if let dbn::RecordRefEnum::Ohlcv(ohlcv) = record_enum {
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let close_raw = ohlcv.close;
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let close_1e9 = close_raw as f64 * 1e-9;
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let close_1e_minus_9 = close_raw as f64 / 1e9; // Alternative interpretation
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if count <= 5 {
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println!("\nRecord #{}", count);
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println!(" Raw i64: {:20} (0x{:016X})", close_raw, close_raw as u64);
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println!(" × 1e-9: {:20.10} (current implementation)", close_1e9);
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println!(" ÷ 1e9: {:20.10} (alternative)", close_1e_minus_9);
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println!(" As cents: {:20.2} (close_raw / 100.0)", close_raw as f64 / 100.0);
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println!(" As ticks: {:20.2} (close_raw / 4.0)", close_raw as f64 / 4.0);
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}
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prices_raw.push(close_raw);
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prices_1e9.push(close_1e9);
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prices_1e_minus_9.push(close_1e_minus_9);
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if count >= 100 {
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break;
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}
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}
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}
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Ok(None) => break,
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Err(e) => return Err(e.into()),
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}
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}
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if !prices_1e9.is_empty() {
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println!("\n📊 Statistics (first 100 OHLCV bars):");
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println!(" Raw i64 range: {} to {}",
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prices_raw.iter().min().unwrap(),
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prices_raw.iter().max().unwrap());
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println!(" × 1e-9 range: {:.6} to {:.6}",
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prices_1e9.iter().cloned().fold(f64::INFINITY, f64::min),
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prices_1e9.iter().cloned().fold(f64::NEG_INFINITY, f64::max));
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println!(" ÷ 1e9 range: {:.2} to {:.2}",
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prices_1e_minus_9.iter().cloned().fold(f64::INFINITY, f64::min),
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prices_1e_minus_9.iter().cloned().fold(f64::NEG_INFINITY, f64::max));
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// Check for negative raw values
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let negative_count = prices_raw.iter().filter(|&&x| x < 0).count();
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if negative_count > 0 {
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println!("\n ⚠️ WARNING: {} negative raw i64 values found! ({:.1}%)",
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negative_count,
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(negative_count as f64 / prices_raw.len() as f64) * 100.0);
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}
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}
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}
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Ok(())
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}
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