Audit (fxt-data-audit on ES.FUT_2024-Q1) revealed real source-data
outliers that the hardcoded < 1e8 threshold didn't catch:
- bid_min = -$4.85 (negative bid)
- bid_p1 = $64.15 (1% of bids in sub-$100 range, far below ES)
- ask_max = $53,012 (10x above any plausible ES price)
The < 1e8 threshold = $100M was useless: never triggered on real ES.
Fix: parameterize the range. min_reasonable_px / max_reasonable_px as
per-backtest fields in UniformSimParams, ResolvedSimVariant, and
BatchedSimConfig (defaults 0.0 / f32::INFINITY = no-check, preserves
existing test fixtures). Sweep_smoke.yaml sets 1000/20000 for ES
futures — catches all observed outliers without rejecting any plausible
price. BacktestHarness calls upload_price_range() once after creating
the sim so the bounds are active before the first apply_snapshot.
CUDA kernel book_update_apply_snapshot gains two new args
(min_reasonable_px[n_backtests], max_reasonable_px[n_backtests]) that
replace the hardcoded > 0.0f && < 1.0e8f checks at both the top-of-book
gate and the per-level sanitization pass.
Test price_range_rejection_skips_snapshot validates: sub-$1000
snapshot, super-$20000 snapshot, and negative bid all skip with
snapshots_skipped counter increment; valid ES snapshot passes through.
17/17 stop_controller tests pass.
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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