Files

jgrusewski 8a87f302c0 feat(ml): re-enable OFI features from MBP-10 order book data

Wire 8 OFI features (OFI L1/L5, depth imbalance, VPIN, Kyle's lambda,
bid/ask slopes, trade imbalance) through the DQN training pipeline:

- Add mbp10_data_dir config field to DQNHyperparameters
- Dynamic state_dim: 43 (no OFI) or 51 (with OFI) based on config
- Compute OFI per bar during data loading, store on trainer
- Pass OFI features through regime_features slot in TradingState
- Configurable MBP-10 path with recursive .dbn/.dbn.zst discovery
- Add zstd auto-detection to DbnParser::parse_mbp10_file()
- Add --mbp10-data-dir CLI flag to train_baseline_rl
- Fix hardcoded [f64; 51] → FeatureVector51 ([f64; 40]) across
  examples, walk_forward, GPU memory profile, and test fixtures
- Fix stale state_dim=51 in dqn_config_2025() and DQN tests

2747 tests pass, 0 failures.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

2026-03-07 13:00:07 +01:00

benches

perf: eliminate heap-alloc Decimal→float casts across 19 files (36 instances)

2026-02-28 02:29:04 +01:00

data

refactor: restructure repo — crates/, bin/, testing/ layout

2026-02-25 11:56:00 +01:00

src

feat(ml): re-enable OFI features from MBP-10 order book data

2026-03-07 13:00:07 +01:00

tests

cleanup: delete 92 scattered .md files and .serena artifacts

2026-03-01 22:42:36 +01:00

Cargo.toml

fix(deps): unify workspace dependency versions and clean up CI

2026-02-27 20:52:06 +01:00

README.md

docs: create/update README.md for all 17 crates

2026-03-01 22:47:39 +01:00

README.md

data

Market data ingestion, broker integration, and feature extraction.

Providers

Databento — historical and real-time market data via DBN format
Benzinga — news and fundamentals feed

Broker Integrations

IB TWS — Interactive Brokers TWS/Gateway socket connection
ICMarkets — FIX 4.4 protocol integration

Key Modules

brokers — broker adapters (IB TWS, ICMarkets FIX)
providers — data provider clients (Databento, Benzinga)
parquet_persistence — Parquet read/write for tick and bar data
replay — market data replay for backtesting
training_pipeline — data preparation for ML model training
features — technical indicator and feature computation
validation — data quality checks and schema validation

Cargo Features

Feature	Default	Description
`databento`	yes	Databento provider support
`benzinga`	yes	Benzinga provider support
`icmarkets`	yes	ICMarkets FIX 4.4 integration
`redis-cache`	no	Redis caching layer
`ib`	no	Interactive Brokers adapter
`mock`	no	Mock providers for testing