b8966fb1a6
Migrates target_annual_vol_units, annualisation_factor, max_lots, latency_ns, kelly_frac_floor, sharpe_weight_floor from scalar-broadcast kernel args to per-backtest device arrays via BatchedSimConfig. Atomic contract change per feedback_no_partial_refactor — kernel + sim + harness + all 3 existing test files migrate in this commit. - crates/ml-backtesting/src/sim.rs → sim/mod.rs (directory module) - crates/ml-backtesting/src/sim/batched_config.rs (NEW): BatchedSimConfig + UniformSimParams + validate(). from_uniform rebuilds the legacy uniform-broadcast behaviour at n=1 (smoke/fixtures). from_grid lands in P6 for the 140-variant sweep packing. - LobSimCuda gains 6 per-backtest device buffers (target_annual_vol_units_d, annualisation_factor_d, max_lots_d, latency_ns_d, kelly_frac_floor_d, sharpe_weight_floor_d). step_decision_with_latency uploads from BatchedSimConfig each call; both decision kernel launches now pass per-backtest array pointers. - decision_policy_default + decision_policy_program: scalar args become const float* / const int* per_b arrays; first lines of each kernel index by `b` into the arrays. Behaviour preserved at n=1 uniform. - dispatch_latent_market_orders: reads latency per-backtest from &BatchedSimConfig (host loop stays for P1; P2 replaces with kernel). - step_decision_with_latency now ALWAYS dispatches through the latency path; when cfg.latency_ns[b]=0 the in-flight slot's arrival_ts equals current_ts and gets promoted immediately on next snapshot. Eliminates the if/else branch and consolidates the launch path. - harness.rs: BacktestHarness gains a sim_config field, built via BatchedSimConfig::from_uniform at new() from the harness cfg's scalar fields. The run loop passes &self.sim_config to step_decision_with_latency. Regression coverage: - parallel_sim_correctness::parallel_sim_equivalence_with_uniform_config — n=8 with uniform config produces 8 bit-identical market_targets (proves per-backtest indexing reduces correctly). - Existing decision_floor_coldstart tests (3) all pass through the new ABI — proves cold-start floor + variance-cap gate behaviour preserved. - parallel_sim_independence_per_backtest deferred to P2 (needs read_first_inflight_arrival_ts helper that depends on LimitSlot layout). Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
52 lines
1.9 KiB
Rust
52 lines
1.9 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
|
|
//! config across N backtests, all N must produce the same market_target
|
|
//! decision (proves the per-backtest indexing reduces correctly to the
|
|
//! pre-refactor scalar-broadcast semantics).
|
|
//!
|
|
//! Pair: the independence test (proving DIFFERENT per-backtest configs
|
|
//! produce different outputs) lands alongside the P2 inflight-limits
|
|
//! kernel where the read_first_inflight_arrival_ts helper exists.
|
|
|
|
use anyhow::Result;
|
|
use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
|
|
use ml_core::device::MlDevice;
|
|
|
|
#[test]
|
|
#[ignore = "requires CUDA"]
|
|
fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
|
|
let dev = match MlDevice::cuda(0) {
|
|
Ok(d) => d,
|
|
Err(e) => {
|
|
eprintln!("skipping: cuda device unavailable ({e})");
|
|
return Ok(());
|
|
}
|
|
};
|
|
let mut sim = LobSimCuda::new(8, &dev)?;
|
|
sim.broadcast_alpha(&[0.8, 0.8, 0.8, 0.8, 0.8])?;
|
|
let cfg = BatchedSimConfig::from_uniform(
|
|
8,
|
|
&UniformSimParams {
|
|
target_annual_vol_units: 50.0,
|
|
annualisation_factor: 825.0,
|
|
max_lots: 5,
|
|
latency_ns: 0,
|
|
kelly_frac_floor: 0.20,
|
|
sharpe_weight_floor: 0.10,
|
|
},
|
|
);
|
|
sim.step_decision_with_latency(0, &cfg)?;
|
|
let first = sim.read_market_target(0)?;
|
|
for b in 1..8 {
|
|
let got = sim.read_market_target(b)?;
|
|
assert_eq!(
|
|
got, first,
|
|
"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
|
|
);
|
|
}
|
|
// And the uniform-config result must equal the result we'd get from
|
|
// a single-backtest sim (preserves pre-refactor behaviour).
|
|
assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
|
|
assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
|
|
Ok(())
|
|
}
|