cd82f9a4a0
Adds the two sweep axes that the spec's deployability grid needs but were missing from the kernels: Threshold gate (decision_policy.cu, both kernels): - New per-backtest `threshold_per_b` array kernel arg. - Pre-Kelly prelude: if max_h |alpha[h] - 0.5| * 2 < threshold[b], emit noop and return. Kept deterministic from alpha alone so the threshold pre-registration step (p60-p95 absolute calibration on a validation window, future P6) reflects exactly what gets gated in deployment. Per-fill cost integration (resting_orders.cu / apply_fill_to_pos): - apply_fill_to_pos signature grows three args: b, cost_per_lot_per_side_per_b, total_fees_per_b. Single insertion point at line 90. - After the close-leg realized_pnl math runs (so the gross unwind P&L is preserved), deduct fill_cost = filled_lots * cost_per_lot_per_side[b] from pos.realized_pnl AND accumulate into total_fees_per_b[b]. - Net-of-cost semantics: isv_kelly_update_on_close reads realized_pnl delta which is now net of cost — Kelly state learns from realistic return distribution. - All 3 apply_fill_to_pos call sites in step_resting_orders updated. order_match.cu's submit_market_immediate path is dead code in the post-P1 flow (everything routes through seed_inflight_limits_batched → step_resting_orders → apply_fill_to_pos) so not touched here. BatchedSimConfig + UniformSimParams + BacktestHarnessConfig gain threshold + cost_per_lot_per_side fields. All UniformSimParams constructors in tests and main.rs updated with defaults (0.0, 0.0 = gate disabled, frictionless). Regression: - threshold_gate_skips_low_conviction (p=0.51 + threshold=0.10 → noop) - threshold_gate_allows_high_conviction (p=0.8 + threshold=0.10 → buy 1+) - threshold_zero_is_passthrough (sanity) - All P1+P2+P3 tests continue to pass via the new ABI. cost_deducted_at_each_fill + kelly_state_sees_net_return end-to-end tests deferred — they require a full submit_market → fill → close sequence, which the production smoke exercises. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
54 lines
2.0 KiB
Rust
54 lines
2.0 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
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//! config across N backtests, all N must produce the same market_target
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//! decision (proves the per-backtest indexing reduces correctly to the
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//! pre-refactor scalar-broadcast semantics).
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//!
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//! Pair: the independence test (proving DIFFERENT per-backtest configs
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//! produce different outputs) lands alongside the P2 inflight-limits
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//! kernel where the read_first_inflight_arrival_ts helper exists.
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use anyhow::Result;
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use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
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use ml_core::device::MlDevice;
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#[test]
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#[ignore = "requires CUDA"]
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fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
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let dev = match MlDevice::cuda(0) {
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Ok(d) => d,
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Err(e) => {
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eprintln!("skipping: cuda device unavailable ({e})");
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return Ok(());
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}
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};
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let mut sim = LobSimCuda::new(8, &dev)?;
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sim.broadcast_alpha(&[0.8, 0.8, 0.8, 0.8, 0.8])?;
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let cfg = BatchedSimConfig::from_uniform(
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8,
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&UniformSimParams {
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target_annual_vol_units: 50.0,
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annualisation_factor: 825.0,
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max_lots: 5,
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latency_ns: 0,
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kelly_frac_floor: 0.20,
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sharpe_weight_floor: 0.10,
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threshold: 0.0,
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cost_per_lot_per_side: 0.0,
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},
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);
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sim.step_decision_with_latency(0, &cfg)?;
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let first = sim.read_market_target(0)?;
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for b in 1..8 {
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let got = sim.read_market_target(b)?;
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assert_eq!(
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got, first,
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"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
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);
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}
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// And the uniform-config result must equal the result we'd get from
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// a single-backtest sim (preserves pre-refactor behaviour).
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assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
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assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
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Ok(())
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}
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