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

..

common

refactor(ml): rename real_data_loader to data_loader

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edge_cases

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fixtures

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integration

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regression

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unit

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validation

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ab_testing_integration.rs

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action_loader_real_csv_test.rs

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action_masking_smoke_test.rs

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activation_tests.rs

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adx_features_test.rs

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async_data_loading_benchmark.rs

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barrier_optimization_test.rs

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bayesian_changepoint_test.rs

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bessel_correction_test.rs

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bug16_portfolio_features_test.rs

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bug18_cash_reserve_solvency_test.rs

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bug20_portfolio_normalization_test.rs

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bug21_bug22_bug23_compilation_fixes_test.rs

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bug24_bug25_compilation_fixes_test.rs

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bug28_unused_import_test.rs

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cash_accounting_fix_test.rs

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cash_reserve_requirement_test.rs

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checkpoint_test.rs

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configurable_capital_test.rs

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contract_multiplier_test.rs

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cusum_test.proptest-regressions

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debug_position_delta_test.rs

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diffusion_integration.rs

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dqn_accumulation_convergence_test.rs

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dqn_action_collapse_fix_test.rs

feat(fxt,ml): add fxt train monitor command and update DQN tests for action collapse fix

2026-03-04 22:58:40 +01:00

dqn_action_dependent_reward_test.rs

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dqn_action_masking_integration_test.rs

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dqn_action_position_sign_convention_test.rs

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dqn_activity_penalty_fix_test.rs

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dqn_adapter_paths_test.rs

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dqn_advanced_metrics_integration_test.rs

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dqn_barrier_integration_debug_test.rs

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dqn_c51_shape_validation_test.rs

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dqn_checkpoint_loading_test.rs

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dqn_diagnostic_logging_test.rs

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dqn_diversity_penalty_test.rs

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dqn_dueling_batched_wave62_test.rs

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dqn_early_stopping_termination_test.rs

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dqn_episode_boundaries_test.rs

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dqn_epsilon_decay_validation_test.rs

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dqn_feature_cache_test.rs

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

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

dqn_feature_defaults_test.rs

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dqn_gradient_accumulation_test.rs

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dqn_gradient_collapse_root_cause_test.rs

feat(fxt,ml): add fxt train monitor command and update DQN tests for action collapse fix

2026-03-04 22:58:40 +01:00

dqn_gradient_dtype_simple_test.rs

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dqn_hft_barriers_test.rs

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dqn_hyperopt_json_export_test.rs

fix(dqn,ppo): production inference hardening, remove legacy aliases

2026-03-04 01:19:02 +01:00

dqn_hyperopt_test.rs

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dqn_hyperparams_kelly_fields_test.rs

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dqn_inference_test.rs

fix(ml): BUG #40 — epsilon stuck at 1.0 with noisy nets (100% random actions)

2026-03-04 23:13:25 +01:00

dqn_iqn_integration_test.rs

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dqn_kelly_regime_integration_test.rs

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dqn_logit_clipping_bug12_test.rs

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dqn_long_training_test.rs

fix(ml): BUG #40 — epsilon stuck at 1.0 with noisy nets (100% random actions)

2026-03-04 23:13:25 +01:00

dqn_pnl_calculation_tests.rs

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dqn_rainbow_config_test.rs

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dqn_rainbow_test.rs

refactor(ml): consolidate duplicate Rainbow DQN agent implementations

2026-03-04 18:27:42 +01:00

dqn_regime_conditional_integration_test.rs

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dqn_reward_calculation_test.rs

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dqn_tensor_shape_validation.rs

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dqn_trainer_integration_tests.rs

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dqn_trainer_p1_tests.rs

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dqn_training_pipeline_test.rs

fix(ml): BUG #40 — epsilon stuck at 1.0 with noisy nets (100% random actions)

2026-03-04 23:13:25 +01:00

dqn_training_smoke_test.rs

fix(ml): BUG #40 — epsilon stuck at 1.0 with noisy nets (100% random actions)

2026-03-04 23:13:25 +01:00

dqn_transaction_cost_bug2_test.rs

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dqn_transaction_costs_test.rs

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dqn_use_double_dqn_test.rs

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dropout_scheduler_tests.rs

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ensemble_4_models_integration.rs

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ensemble_hot_swap_test.rs

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ensemble_hyperopt_tests.rs

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ensemble_inference_integration_test.rs

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ensemble_real_models_validation_test.rs

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evaluation_net_pnl_bug3_test.rs

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feature_extraction_46_test.rs

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feature_normalization_test.rs

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gpu_per_integration_test.rs

fix(ml): OOM guard on CPU PER fallback, clippy cleanup, PPO recurrent test fixes

2026-03-03 00:57:14 +01:00

gradient_accumulation_tests.rs

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huber_loss_test.rs

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hyperopt_action_masking_test.rs

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hyperopt_early_stopping_infrastructure_test.rs

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hyperopt_kelly_params_test.rs

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hyperopt_paths_test.rs

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hyperopt_price_extraction_test.rs

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hyperopt_tft_early_stopping_test.rs

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imbalance_bars_test.rs

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inference_engine_test.rs

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integration_ppo_ensemble.rs

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kan_integration.rs

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kelly_criterion_integration_test.rs

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liquid_cfc_training_test.rs

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liquid_networks_test.rs

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liquid_nn_training_tests.rs

perf(ci): compile once with PVC sccache, package with Kaniko

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log_size_test.rs

refactor(ml): delete 121 dead examples, 6 QAT tests, orphan binary

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lr_scheduler_tests.rs

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mamba2_accuracy_fix_test.rs

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mamba2_early_stopping_test.rs

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mamba2_gradient_extraction_test.rs

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mamba2_hyperopt_edge_cases.rs

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mamba2_hyperopt_p0_p1_fixes.rs

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mamba2_weight_update_test.rs

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mbp10_parsing_test.rs

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memory_optimization_tests.rs

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microstructure_features_test.rs

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model_registry_checkpoint_test.rs

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model_validation_comprehensive.rs

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multi_cusum_test.rs

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ofi_features_test.rs

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ood_input_handling_tests.rs

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pages_test_test.rs

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paper_trading_integration_test.rs

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parquet_feature_extraction_test.rs

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parquet_timestamp_loading_test.rs

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partial_reversal_support_test.rs

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partial_reversal_validation.rs

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per_channel_quantization_test.rs

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pnl_realism_tests.rs

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portfolio_integration_tests.rs

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portfolio_tracker_reset_test.rs

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portfolio_value_normalization_test.rs

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ppo_45_action_network_tests.rs

feat(ppo): wire symlog, adaptive entropy, percentile scaling into training loop

2026-03-03 20:12:00 +01:00

ppo_action_masking_tests.rs

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ppo_checkpoint_roundtrip_test.rs

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ppo_circuit_breaker_tests.rs

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ppo_continuous_bounds_test.rs

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ppo_continuous_transaction_costs_tests.rs

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ppo_dual_phase_backtest_tests.rs

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ppo_entropy_regularization_tests.rs

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ppo_factored_action_tests.rs

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ppo_hidden_state_tests.rs

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ppo_huber_loss_validation.rs

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ppo_hyperopt_validation_test.rs

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ppo_long_training_test.rs

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ppo_lstm_architecture_tests.rs

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ppo_lstm_training_loop_tests.rs

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ppo_portfolio_tracker_tests.rs

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ppo_position_limits_tests.rs

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ppo_recurrent_integration_tests.rs

feat(ppo): wire symlog, adaptive entropy, percentile scaling into training loop

2026-03-03 20:12:00 +01:00

ppo_recurrent_performance_tests.rs

feat(ml): VRAM-aware hidden dimension scaling for datacenter GPUs

2026-03-02 11:02:56 +01:00

ppo_reward_normalizer_tests.rs

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ppo_sequence_batching_multi_episode_tests.rs

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ppo_step_counter_fix_test.rs

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ppo_stress_testing_tests.rs

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ppo_transaction_costs_tests.rs

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ppo_validation_real_data_test.rs

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preprocessing_bessel_integration.rs

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preprocessing_test.rs

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preprocessing_validation_tests.rs

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price_validity_tests.rs

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production_trainer_adaptive_features_integration_test.rs

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production_training_smoke_test.rs

fix(ml): BUG #40 — epsilon stuck at 1.0 with noisy nets (100% random actions)

2026-03-04 23:13:25 +01:00

pso_budget_calculation_test.rs

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q_value_constraint_test.rs

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rainbow_loss_shape_test.rs

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real_data_helpers.rs

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real_data_pipeline_test.rs

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recovery_tests.rs

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regime_transition_features_test.rs

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risk_action_masking_test.rs

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risk_position_limit_integration_test.rs

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run_bars_test.rs

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safety_comprehensive_test.rs

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

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sample_weights_test.rs

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

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scatter_add_gradient_test.rs

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

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softmax_exploration_test.rs

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

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streaming_pipeline_edge_cases.rs

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

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target_update_tests.rs

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test_dbn_sequence_256_features.rs

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test_dqn_cuda_device.rs

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test_extract_256_dim_features.rs

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test_grn_weight_initialization.rs

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test_quantile_output_standalone.rs

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test_quantized_exports.rs

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test_scatter_source_gradients.rs

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test_sell_bug.rs

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test_streaming_loader.rs

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test_tft_weight_cache.rs

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test_var_gradient_flow.rs

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test_var_source_gradients.rs

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tft_adapter_paths_test.rs

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tft_causal_masking_validation.rs

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tft_hyperopt_real_metrics_test.rs

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tft_inference_latency_benchmark.rs

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tft_lru_cache_test.rs

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tft_quantile_loss_validation.rs

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tft_real_dbn_data_test.rs

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tft_test.rs

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tft_tests.rs

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training_chaos_tests.rs

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training_edge_cases.rs

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transaction_cost_application_test.rs

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transition_matrix_test.rs

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triple_barrier_test.rs

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validation_harness_integration_test.rs

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validation_real_data_test.rs

refactor(ml): rename real_data_loader to data_loader

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varmap_weight_extraction_test.rs

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volatility_epsilon_test.rs

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wave16_checkpoint_regression_test.rs

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wave16q_ohlcv_mutation_test.rs

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wave16r_position_limits_test.rs

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wave16s_price_validation_test.rs

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wave_d_e2e_nq_fut_225_features_enhanced_test.rs

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wave_d_e2e_nq_fut_225_features_test.rs

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wave_d_edge_cases_test.rs

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xlstm_integration.rs

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