f9b57f4c18
New `fxt-backtest sweep --grid <yaml> --out <dir>` subcommand: iterates
over a grid of Run configs, writes each cell's artifacts to
<out>/<cell_name>/, then automatically invokes the existing aggregate
path to produce aggregate.parquet + pareto_frontier.json at the root.
All cells run sequentially on the same GPU (single-machine). For
cluster fan-out the underlying mechanism is the same — Argo can wrap
this binary in a workflow that runs each cell as a separate pod
(left as infra-side work for a follow-up commit; the binary's
contract is the same).
Sweep grid YAML schema:
base: # defaults applied to every cell unless overridden
data: ...
n_parallel: ...
decision_stride: ...
latency_ns: ...
target_annual_vol_units: ...
annualisation_factor: ...
max_lots: ...
max_events: ...
seed: ...
checkpoint: ... # optional — load real trained weights
cells:
- name: cell_a
decision_stride: 1 # override base
- name: cell_b
latency_ns: 250000000
...
Each SweepCell may override any subset of fields; unset fields fall
back to base defaults. --max-cells gates the run for smoke-testing
large grids.
Adds an example grid at config/ml/sweep_decision_stride_example.yaml
that re-runs the decision_stride ∈ {1, 2, 4, 8} sweep deferred from
the original plan (task #202).
Closes #201 (sweep tool). #202 (first decision_stride sweep) is now
executable end-to-end via the example grid.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
29 lines
787 B
TOML
29 lines
787 B
TOML
[package]
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name = "fxt-backtest"
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version.workspace = true
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edition.workspace = true
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rust-version.workspace = true
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authors.workspace = true
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license.workspace = true
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repository.workspace = true
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homepage.workspace = true
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documentation.workspace = true
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publish.workspace = true
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keywords.workspace = true
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categories.workspace = true
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description = "Real-LOB GPU backtest CLI (run + sweep aggregator)"
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[dependencies]
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ml-backtesting = { path = "../../crates/ml-backtesting" }
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ml-alpha = { path = "../../crates/ml-alpha" }
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ml-core.workspace = true
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anyhow.workspace = true
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clap = { workspace = true, features = ["derive", "env"] }
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serde = { workspace = true, features = ["derive"] }
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serde_yaml.workspace = true
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tracing.workspace = true
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tracing-subscriber.workspace = true
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[lints]
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workspace = true
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