foxhunt/WAVE9_AGENT5_FEATURE_EXTRACTION_TEST_MAP.md

# Wave 9 Agent 5: Feature Extraction Test Infrastructure Map

**Mission**: Map all tests that validate feature extraction to ensure Wave D changes don't break existing functionality.

**Date**: 2025-10-20  
**Status**: ✅ COMPLETE  
**Test Files Identified**: 45+ test files with 150+ tests

---

## Executive Summary

This report provides a comprehensive map of all feature extraction tests across the Foxhunt codebase. These tests MUST continue passing after any changes to feature extraction logic during Wave 9 integration work.

### Critical Test Expectations

| Test Category | Feature Count | Key Validation |
|---|---|---|
| **Wave D Tests** | 225 features | Indices 201-224 are Wave D regime features |
| **Wave C Tests** | 201 features | Baseline feature set (pre-Wave D) |
| **Legacy Tests** | 256 features | Old format (being migrated) |
| **Model Input Tests** | 225 features | All 4 ML models accept 225-dim input |
| **Performance Tests** | N/A | <1ms/bar extraction target |

---

## 1. Core Feature Extraction Tests (ml/tests/)

### 1.1 Wave D Integration Tests (225 Features)

**PRIMARY TEST: `integration_wave_d_features.rs`**
- **Purpose**: End-to-end validation of 225-feature pipeline
- **Key Tests**:
  - `test_wave_d_configuration_complete()` - Validates FeatureConfig::wave_d() reports exactly 225 features
  - `test_wave_c_vs_wave_d_feature_diff()` - Validates Wave C (201) vs Wave D (225) difference = 24 features
  - `test_wave_d_feature_extraction_simulated()` - Extracts all 225 features from simulated data
  - `test_regime_features_update_on_breaks()` - Validates CUSUM features (201-210) respond to structural breaks
  - `test_feature_extraction_performance()` - Validates <1ms per bar target

**Feature Index Expectations**:
```rust
// From integration_wave_d_features.rs:164-171
if let Some((start, end)) = indices.wave_d_regime {
    assert_eq!(end - start, 24, "Wave D should add exactly 24 features");
    assert_eq!(start, 201, "Wave D features should start at index 201");
    assert_eq!(end, 225, "Wave D features should end at index 225");
}
```

**Wave D Feature Breakdown** (indices 201-224):
- **CUSUM Statistics** (201-210): 10 features
  - 201: cusum_s_plus_normalized
  - 202: cusum_s_minus_normalized
  - 203: cusum_break_indicator (0/1 flag)
  - 204: cusum_direction (+1/-1)
  - 205: cusum_time_since_break
  - 206: cusum_frequency
  - 207: cusum_positive_count
  - 208: cusum_negative_count
  - 209: cusum_intensity
  - 210: cusum_drift_ratio

- **ADX & Directional** (211-215): 5 features
  - 211: adx (0-100 range)
  - 212: plus_di
  - 213: minus_di
  - 214: dx
  - 215: trend_classification (-1/0/1)

- **Transition Probabilities** (216-220): 5 features
  - 216: regime_stability [0, 1]
  - 217: most_likely_next_regime (0/1/2)
  - 218: regime_entropy
  - 219: regime_expected_duration
  - 220: regime_change_probability [0, 1]

- **Adaptive Strategies** (221-224): 4 features
  - 221: position_multiplier [0.5, 1.5]
  - 222: stop_loss_multiplier [1.0, 3.0]
  - 223: regime_conditioned_sharpe
  - 224: risk_budget_utilization [0, 1]

### 1.2 Real Data Validation Tests (225 Features)

**Wave D E2E Tests (Real DBN Data)**:
1. `wave_d_e2e_es_fut_225_features_test.rs` - ES.FUT validation (500 bars)
   - Test: `test_es_fut_225_feature_extraction()`
   - Validates: (500 bars × 225 features) dimensions
   - Data: `test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn`

2. `wave_d_e2e_zn_fut_225_features_test.rs` - ZN.FUT validation
   - Test: `test_zn_fut_225_feature_extraction()`
   - Validates: DBN loader configured for 225 features
   - Data: `test_data/real/databento/ZN.FUT_ohlcv-1m_*.dbn`

3. `wave_d_e2e_6e_fut_225_features_test.rs` - 6E.FUT validation
   - Test: `test_6e_fut_225_feature_extraction()`
   - Data: `test_data/real/databento/6E.FUT_ohlcv-1m_2024-01-02_to_2024-01-31.dbn`

4. `wave_d_e2e_nq_fut_225_features_test.rs` - NQ.FUT validation
   - Test: `test_nq_fut_225_features_full_pipeline()`
   - Data: `test_data/real/databento/NQ.FUT_ohlcv-1m_2024-01-02.dbn`

### 1.3 ML Model Input Format Tests (225 Features)

**FILE: `wave_d_ml_model_input_test.rs`**
- **Purpose**: Validate all 4 ML models accept 225-feature input
- **Key Tests**:
  - `test_mamba2_input_format_225_features()` - [batch=32, seq_len=100, features=225]
  - `test_dqn_input_format_225_features()` - [batch=64, state_dim=225]
  - `test_ppo_input_format_225_features()` - observation_space=Box(225,)
  - `test_tft_input_format_225_features()` - 24 static + 201 time-varying = 225 total
  - `test_all_models_accept_225_features()` - Integration test for all 4 models
  - `test_dbn_loader_225_features()` - DbnSequenceLoader produces 225-feature tensors

**Critical Constant**:
```rust
const WAVE_D_FEATURE_COUNT: usize = 225;
const WAVE_C_FEATURE_COUNT: usize = 201;
```

### 1.4 Feature Extraction Performance Tests

**FILE: `performance_regression_tests.rs`**
- Test: `test_feature_extraction_time_regression()`
- Target: `feature_extraction_time_ms = 5.2ms` baseline
- Alert if: >10% regression (>5.7ms)

**FILE: `wave_d_profiling_test.rs`**
- Test: `test_feature_count_validation()`
- Validates: Exactly 225 features per bar
- Line 640: `assert_eq!(features.len(), 225, "Expected exactly 225 features");`

### 1.5 Normalization & Edge Case Tests

**FILE: `wave_d_normalization_integration_test.rs`**
- Test: `test_cusum_normalization()`
  - Validates: CUSUM features (201-210) are normalized
  - Assert: `assert_eq!(cusum_features.len(), 10, "CUSUM should produce 10 features");`

- Test: `test_adx_normalization()`
  - Validates: ADX features (211-215) are normalized
  - Assert: `assert_eq!(adx_features.len(), 5, "ADX should produce 5 features");`

**FILE: `wave_d_edge_cases_test.rs`**
- Test: `test_integration_all_extractors_with_nan_inputs()`
- Test: `test_integration_all_extractors_with_extreme_values()`
- Test: `test_integration_cold_start_all_extractors()`
- Test: `test_integration_zero_volatility_all_extractors()`

### 1.6 Legacy 256-Feature Tests (Being Migrated)

**FILE: `dbn_256_feature_validation.rs`**
- **Status**: Legacy format (pre-Wave D)
- Tests:
  - `test_es_fut_256_features()` - Line 328: `assert_eq!(report.feature_stats.len(), 256);`
  - `test_6e_fut_256_features()` - Line 362: `assert_eq!(report.feature_stats.len(), 256);`
  - `test_zn_fut_256_features()` - Line 415: `assert_eq!(report.feature_stats.len(), 256);`
  - `test_nq_fut_256_features()` - Similar validation

**FILE: `test_extract_256_dim_features.rs`**
- Test: `test_extract_256_dim_features()` - Line 44: `assert_eq!(features[0].len(), 225,` (FIXED to 225)
- Test: `test_feature_dimensions()` - Line 96: `assert_eq!(feature_vec.len(), 225, "Wrong feature dimension");`

---

## 2. SharedMLStrategy Tests (common/tests/)

**FILE: `test_sharedml_225_features.rs`**
- **Purpose**: Validate SharedMLStrategy extracts 225 features
- **Key Tests**:
  - `test_sharedml_extracts_225_features()` - Line 40: `assert_eq!(features.len(), 225,`
  - `test_feature_extraction_wave_d_breakdown()` - Validates Wave A (0-25), Wave B (26-35), Wave C (36-200), Wave D (201-224)

**Critical Assertion** (Line 101-105):
```rust
assert_eq!(
    features.len(),
    225,
    "Expected 225 total features (26 Wave A + 10 Wave B + 165 Wave C + 24 Wave D)"
);
```

**FILE: `shared_ml_strategy_integration_test.rs`**
- Test: `test_shared_ml_extract_features()`
- Validates: Feature extraction via SharedMLStrategy interface

**FILE: `ml_strategy_integration_tests.rs`**
- Test: `test_feature_extraction_integration()`
- Validates: ML strategy feature extraction pipeline

---

## 3. Regime-Specific Feature Tests (ml/tests/)

### 3.1 CUSUM Feature Tests

**FILE: `regime_cusum_features_test.rs`**
- Test: `test_cusum_features_indices_201_210()`
- Assert: `assert_eq!(result.len(), 10, "Should return exactly 10 features");`
- Validates: Features 201-210 (CUSUM statistics)

### 3.2 ADX Feature Tests

**FILE: `adx_features_test.rs`**
- Test: `test_adx_features_extraction()`
- Validates: Features 211-215 (ADX & Directional)
- Assert: ADX in range [0, 100]

**FILE: `regime_adx_features_test.rs`**
- Test: `test_adx_initial_state()` - Line 107: `assert_eq!(features.bar_count(), 0);`
- Test: `test_adx_update_after_30_bars()` - Line 142: `assert_eq!(features.bar_count(), 30);`

### 3.3 Transition Probability Tests

**FILE: `transition_probability_features_test.rs`**
- Test: `test_all_five_features_together()` - Line 237: `assert_eq!(result.len(), 5, "Should return exactly 5 features");`
- Validates: Features 216-220 (Regime transitions)

**Individual Feature Tests**:
- `test_stability_feature_216()` - Regime stability [0, 1]
- `test_most_likely_next_regime_feature_217()` - Next regime (0/1/2)
- `test_shannon_entropy_feature_218()` - Regime entropy
- `test_expected_duration_feature_219()` - Expected duration
- `test_change_probability_feature_220()` - Change probability [0, 1]

### 3.4 Adaptive Strategy Feature Tests

**FILE: `adaptive_es_fut_crisis_scenario_test.rs`**
- Test: `test_adaptive_features_finite_and_bounded()`
- Validates: Features 221-224 (Adaptive strategies)

---

## 4. Data Loader Tests

### 4.1 DBN Sequence Loader Tests

**FILE: `test_dbn_sequence_256_features.rs`**
- Test: `test_feature_dimension_256()` - Line 128: `assert_eq!(nan_count, 0, "Found {} NaN values in features", nan_count);`
- Test: `test_extract_features_dimension()`

**FILE: `dbn_feature_config_test.rs`**
- Test: `test_wave_a_26_features()` - Line 17: `assert_eq!(loader.feature_config.feature_count(), 26);`
- Test: `test_wave_b_36_features()` - Line 30: `assert_eq!(loader.feature_config.feature_count(), 36);`
- Test: `test_wave_c_65plus_features()` - Line 43: `assert!(loader.d_model >= 65, "Wave C should have 65+ features");`
- Test: `test_feature_config_counts()` - Line 69-72:
  ```rust
  assert_eq!(wave_a.feature_count(), 26, "Wave A should have 26 features");
  assert_eq!(wave_b.feature_count(), 36, "Wave B should have 36 features");
  ```

### 4.2 Feature Cache Tests

**FILE: `test_feature_cache_service.rs`**
- Test: `test_feature_extraction_validation()` - Line 153: `assert_eq!(features.len(), 50);`
- Test: `test_feature_matrix_validation()` - Line 228: `assert_eq!(matrix.feature_dim, 15);`

**FILE: `feature_cache_tests.rs`**
- Test: `test_extract_256_dim_features()`
- Test: `test_feature_dimensions()`
- Test: `test_parquet_read_features()`

---

## 5. Service Integration Tests

### 5.1 ML Training Service Tests

**FILE: `services/ml_training_service/tests/data_loader_integration.rs`**
- Test: `test_feature_extraction_dbn()`
- Validates: Feature extraction from DBN files

### 5.2 Trading Service Tests

**FILE: `services/trading_service/tests/feature_extraction_test.rs`**
- Test: `test_trading_service_feature_extraction()`
- Validates: Trading service can extract features

**FILE: `services/trading_service/tests/ml_paper_trading_e2e_test.rs`**
- Test: `test_ml_paper_trading_feature_pipeline()`
- Validates: End-to-end feature extraction in paper trading

### 5.3 Backtesting Service Tests

**FILE: `services/backtesting_service/tests/ml_strategy_backtest_test.rs`**
- Test: `test_backtest_feature_extraction()`
- Validates: Feature extraction during backtests

---

## 6. Multi-Symbol Consistency Tests

**FILE: `multi_symbol_tests.rs`**
- Test: `test_feature_consistency_across_symbols()` - Line 164
  - Validates: ES.FUT, NQ.FUT, 6E.FUT, ZN.FUT all produce consistent feature dimensions
  - Assert: `assert!(has_finite, "{} should have finite features", symbol);` (Line 217)

**FILE: `wave_d_multi_symbol_concurrent_test.rs`**
- Test: `test_feature_consistency_across_threads()` - Line 475
  - Validates: Concurrent feature extraction produces identical results
  - Assert: `assert_eq!(seq.features_extracted.len(), con.features_extracted.len());` (Line 219)

---

## 7. Streaming & Real-Time Tests

**FILE: `wave_d_realtime_streaming_test.rs`**
- Constant: `const FEATURE_COUNT: usize = 225;` (Line 53)
- Test: `test_realtime_225_feature_streaming()`
- Validates: 225 features extracted before next bar arrives

**FILE: `streaming_pipeline_edge_cases.rs`**
- Test: `test_zero_feature_dimension()` - Line 637: `assert!(result.is_err(), "Zero feature dimension should be rejected");`

---

## 8. Calibration & Quantization Tests

**FILE: `calibration_dataset_test.rs`**
- Test: `test_calibration_feature_count()` - Line 290
- Assert: `assert!(dataset.feature_count > 0, "Should have features");` (Lines 131, 404, 456)

**FILE: `tft_int8_calibration_dataset_test.rs`**
- Test: `test_extract_256_dim_features()` - Line 46
- Assert: `assert_eq!(feature_vec.len(), 60 * 256, "Feature vector size mismatch");` (Line 65)
- Assert: `assert!(feature_vec.iter().all(|x| x.is_finite()), "Features contain NaN or Inf");` (Line 74)

---

## 9. Meta-Labeling & TFT Tests

**FILE: `meta_labeling_primary_test.rs`**
- Test: `test_feature_extraction_integration()` - Line 160
- Assert: `assert_eq!(feature_vectors[0].len(), 225);` (Line 169)
- Assert: `assert_eq!(expected, 225);` (Line 334)

**FILE: `tft_tests.rs`**
- Test: `test_variable_selection_feature_importance()` - Line 215
- Assert: `assert_eq!(top_features.len(), 3);` (Line 234)

---

## 10. Microstructure Feature Tests

**FILE: `microstructure_tests.rs`**
- Test: `test_microstructure_integration_256_features()` - Line 305
- Assert: `assert_eq!(features[0].len(), 225);` (Line 327)
- Assert: `assert_eq!(features.len(), 50); // 100 bars - 50 warmup` (Line 326)

**FILE: `ml_readiness_validation_tests.rs`**
- Test: `test_feature_extraction()` - Line 65
- Assert: `assert_eq!(features.prices.len(), bars.len(), "Feature count mismatch");` (Line 72)

---

## Critical Test Expectations Summary

### Feature Count Assertions (MUST PASS)

| Test File | Line | Assertion | Feature Count |
|---|---|---|---|
| integration_wave_d_features.rs | 82 | `assert_eq!(config.feature_count(), WAVE_D_FEATURE_COUNT, ...)` | 225 |
| integration_wave_d_features.rs | 171 | `assert_eq!(end, 225, "Wave D features should end at index 225")` | 225 |
| test_sharedml_225_features.rs | 40 | `assert_eq!(features.len(), 225, ...)` | 225 |
| wave_d_ml_model_input_test.rs | 91 | `assert_eq!(dims[2], WAVE_D_FEATURE_COUNT, ...)` | 225 |
| wave_d_profiling_test.rs | 640 | `assert_eq!(features.len(), 225, "Expected exactly 225 features")` | 225 |
| meta_labeling_primary_test.rs | 169 | `assert_eq!(feature_vectors[0].len(), 225)` | 225 |
| microstructure_tests.rs | 327 | `assert_eq!(features[0].len(), 225)` | 225 |
| test_extract_256_dim_features.rs | 96 | `assert_eq!(feature_vec.len(), 225, "Wrong feature dimension")` | 225 |

### Wave D Feature Index Ranges (MUST VALIDATE)

| Feature Group | Index Range | Feature Count | Test Validation |
|---|---|---|---|
| CUSUM Statistics | 201-210 | 10 | `regime_cusum_features_test.rs:36` |
| ADX & Directional | 211-215 | 5 | `adx_features_test.rs:96` |
| Transition Probabilities | 216-220 | 5 | `transition_probability_features_test.rs:237` |
| Adaptive Strategies | 221-224 | 4 | `integration_wave_d_features.rs:222` |

### Performance Targets (MUST MEET)

| Metric | Target | Test File | Line |
|---|---|---|---|
| Feature extraction time | <1ms per bar | integration_wave_d_features.rs | 385 |
| Feature extraction time (baseline) | 5.2ms | performance_regression_tests.rs | 87 |
| Feature extraction time (alert) | <5.7ms (10% regression) | performance_regression_tests.rs | 292 |

### Data Quality Checks (MUST PASS)

| Check | Test File | Line |
|---|---|---|
| No NaN values | integration_wave_d_features.rs | 436 |
| No Inf values | integration_wave_d_features.rs | 437 |
| All finite values | dbn_256_feature_validation.rs | 565 |
| Feature ranges [-5, +5] | integration_wave_d_features.rs | 466 |
| ADX range [0, 100] | adx_features_test.rs | 96 |

---

## Test Execution Commands

### Run All Wave D Feature Tests
```bash
cargo test -p ml --test integration_wave_d_features
cargo test -p ml --test wave_d_ml_model_input_test
cargo test -p ml --test wave_d_e2e_es_fut_225_features_test
cargo test -p ml --test wave_d_e2e_zn_fut_225_features_test
cargo test -p ml --test wave_d_e2e_6e_fut_225_features_test
cargo test -p ml --test wave_d_e2e_nq_fut_225_features_test
```

### Run SharedML Tests
```bash
cargo test -p common --test test_sharedml_225_features
cargo test -p common --test shared_ml_strategy_integration_test
```

### Run Regime Feature Tests
```bash
cargo test -p ml --test regime_cusum_features_test
cargo test -p ml --test adx_features_test
cargo test -p ml --test transition_probability_features_test
```

### Run Performance Regression Tests
```bash
cargo test -p ml --test performance_regression_tests
cargo test -p ml --test wave_d_profiling_test
```

### Run Full Test Suite (All Feature Tests)
```bash
cargo test --workspace -- feature_extraction
cargo test --workspace -- 225_features
cargo test --workspace -- wave_d
```

---

## Impact Analysis: Changes to Feature Extraction

### High-Risk Changes (Will Break Many Tests)
1. **Changing feature count** (201 → 225 or 225 → X)
   - Breaks: 30+ tests with hardcoded `assert_eq!(features.len(), 225)`
   - Fix: Update `WAVE_D_FEATURE_COUNT` constant + all assertions

2. **Changing feature indices** (e.g., moving CUSUM from 201-210 to 210-219)
   - Breaks: All Wave D feature validation tests
   - Fix: Update `FeatureConfig::feature_indices()` + all index assertions

3. **Changing feature value ranges** (e.g., ADX from [0, 100] to [-1, 1])
   - Breaks: All normalization tests
   - Fix: Update range assertions in validation tests

### Medium-Risk Changes (Will Break Some Tests)
1. **Adding new Wave D features** (225 → 230)
   - Breaks: Feature count assertions (30+ tests)
   - Fix: Update `WAVE_D_FEATURE_COUNT` constant

2. **Changing feature normalization** (e.g., z-score to min-max)
   - Breaks: Normalization validation tests (10+ tests)
   - Fix: Update expected value ranges

3. **Changing warmup period** (currently 50 bars)
   - Breaks: Feature vector count assertions
   - Fix: Update `expected_vectors = total_bars - warmup` logic

### Low-Risk Changes (Should Not Break Tests)
1. **Performance optimizations** (as long as output is identical)
   - Should pass: All feature extraction tests
   - May fail: Performance regression tests (if slower)

2. **Refactoring extraction code** (no behavioral changes)
   - Should pass: All tests (if truly behavior-preserving)

3. **Adding new tests** (no changes to existing code)
   - Should pass: All existing tests

---

## Regression Prevention Checklist

Before merging any feature extraction changes, verify:

- [ ] All 225-feature tests pass (30+ tests)
- [ ] All Wave D E2E tests pass (4 symbols: ES.FUT, NQ.FUT, 6E.FUT, ZN.FUT)
- [ ] All ML model input tests pass (4 models: MAMBA-2, DQN, PPO, TFT)
- [ ] SharedMLStrategy tests pass (2+ tests)
- [ ] All regime feature tests pass (CUSUM, ADX, Transitions, Adaptive)
- [ ] Performance regression tests pass (<10% slowdown)
- [ ] No NaN/Inf values in extracted features
- [ ] Feature dimensions match expected ranges
- [ ] Multi-symbol consistency tests pass

---

## Test Files Reference (45 Files)

### ml/tests/ (35 files)
1. integration_wave_d_features.rs ⭐ PRIMARY
2. wave_d_ml_model_input_test.rs ⭐ CRITICAL
3. wave_d_e2e_es_fut_225_features_test.rs ⭐ E2E
4. wave_d_e2e_zn_fut_225_features_test.rs ⭐ E2E
5. wave_d_e2e_6e_fut_225_features_test.rs ⭐ E2E
6. wave_d_e2e_nq_fut_225_features_test.rs ⭐ E2E
7. wave_d_profiling_test.rs
8. wave_d_realtime_streaming_test.rs
9. wave_d_normalization_integration_test.rs
10. wave_d_edge_cases_test.rs
11. wave_d_multi_symbol_concurrent_test.rs
12. wave_d_latency_profiling_test.rs
13. regime_cusum_features_test.rs
14. adx_features_test.rs
15. regime_adx_features_test.rs
16. transition_probability_features_test.rs
17. adaptive_es_fut_crisis_scenario_test.rs
18. dbn_256_feature_validation.rs (LEGACY)
19. test_extract_256_dim_features.rs (LEGACY)
20. test_dbn_sequence_256_features.rs
21. dbn_feature_config_test.rs
22. test_feature_cache_service.rs
23. feature_cache_tests.rs
24. meta_labeling_primary_test.rs
25. ml_readiness_validation_tests.rs
26. performance_regression_tests.rs
27. multi_symbol_tests.rs
28. microstructure_tests.rs
29. streaming_pipeline_edge_cases.rs
30. calibration_dataset_test.rs
31. tft_int8_calibration_dataset_test.rs
32. tft_tests.rs
33. ensemble_integration_tests.rs
34. e2e_ensemble_integration.rs
35. model_validation_comprehensive.rs

### common/tests/ (3 files)
1. test_sharedml_225_features.rs ⭐ PRIMARY
2. shared_ml_strategy_integration_test.rs
3. ml_strategy_integration_tests.rs

### services/*/tests/ (5 files)
1. services/ml_training_service/tests/data_loader_integration.rs
2. services/trading_service/tests/feature_extraction_test.rs
3. services/trading_service/tests/ml_paper_trading_e2e_test.rs
4. services/backtesting_service/tests/ml_strategy_backtest_test.rs
5. data/tests/pipeline_integration.rs

### adaptive-strategy/tests/ (1 file)
1. regime_transition_tests.rs

### E2E tests/ (1 file)
1. tests/e2e/tests/ml_model_integration_tests.rs

---

## Recommendations for Wave 9 Integration

### 1. Run Test Suite Before Changes
```bash
cargo test --workspace -- feature_extraction > baseline_results.txt
cargo test --workspace -- 225_features >> baseline_results.txt
cargo test --workspace -- wave_d >> baseline_results.txt
```

### 2. After Changes, Run Regression Tests
```bash
cargo test --workspace -- feature_extraction > new_results.txt
diff baseline_results.txt new_results.txt
```

### 3. Focus on Critical Tests First
- Run `integration_wave_d_features.rs` (PRIMARY test)
- Run `test_sharedml_225_features.rs` (SharedML validation)
- Run `wave_d_ml_model_input_test.rs` (ML model compatibility)
- Run all 4 E2E tests (ES.FUT, NQ.FUT, 6E.FUT, ZN.FUT)

### 4. Monitor Performance Metrics
- Track feature extraction time (target: <1ms/bar)
- Monitor memory usage (target: <8KB/symbol)
- Validate throughput (target: 1000+ bars/sec)

### 5. Validate Data Quality
- Zero NaN values (strict requirement)
- Zero Inf values (strict requirement)
- Feature ranges within expected bounds
- All features are finite

---

## Status: ✅ READY FOR WAVE 9 INTEGRATION

This comprehensive test map provides:
- **45+ test files** covering feature extraction
- **150+ individual tests** validating 225-feature pipeline
- **30+ critical assertions** on feature count (225)
- **4 E2E tests** with real DBN data (ES.FUT, NQ.FUT, 6E.FUT, ZN.FUT)
- **Clear regression prevention checklist**
- **Performance targets** and validation commands

All tests are documented and ready for Wave 9 integration work.

---

**End of Report**