dc8c37e11e
Per-event Wiener-α=0.4 EMA on |Δmid| with first-observation bootstrap. Floor source for the SL/trail-distance controller (spec §6). Thread 0 of the broadcast-snapshot kernel handles the update per backtest; threads 1..9 still handle the 10 level writes. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
59 lines
2.2 KiB
Plaintext
59 lines
2.2 KiB
Plaintext
// book_update.cu — MBP-10 snapshot apply.
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//
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// Replaces the per-block book state with the broadcast snapshot. The
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// full top-10 image overwrites the previous state (MBP-10 semantics).
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// One block per backtest; thread tid handles one of 10 levels per side
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// (10 threads used out of 32 in the warp; remainder idle).
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//
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// Per feedback_no_atomicadd.md: no atomics — single-writer per level.
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// Per spec §2: same snapshot broadcast to every backtest in v1.
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#include "lob_state.cuh"
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// Books are laid out [n_backtests, 4 fields × 10 levels].
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// Field order: bid_px, bid_sz, ask_px, ask_sz (one contiguous Book per backtest).
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extern "C" __global__ void book_update_apply_snapshot(
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const float* __restrict__ bid_px_in, // [10] — broadcast
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const float* __restrict__ bid_sz_in, // [10]
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const float* __restrict__ ask_px_in, // [10]
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const float* __restrict__ ask_sz_in, // [10]
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Book* __restrict__ books_out, // [n_backtests]
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float* __restrict__ prev_mid, // [n_backtests]
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float* __restrict__ atr_mid_ema, // [n_backtests]
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int n_backtests
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) {
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int b = blockIdx.x;
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int tid = threadIdx.x;
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if (b >= n_backtests) return;
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if (tid < 10) {
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Book& bk = books_out[b];
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bk.bid_px[tid] = bid_px_in[tid];
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bk.bid_sz[tid] = bid_sz_in[tid];
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bk.ask_px[tid] = ask_px_in[tid];
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bk.ask_sz[tid] = ask_sz_in[tid];
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}
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// Thread 0 handles per-backtest ATR-EMA update against the broadcast mid.
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if (tid == 0) {
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const float mid = 0.5f * (bid_px_in[0] + ask_px_in[0]);
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const float prev = prev_mid[b];
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if (prev == 0.0f) {
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// First-observation bootstrap (pearl_first_observation_bootstrap).
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prev_mid[b] = mid;
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// atr_mid_ema stays 0 until event 2.
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} else {
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const float delta = fabsf(mid - prev);
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const float ema = atr_mid_ema[b];
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if (ema == 0.0f) {
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// First non-zero delta: replace directly.
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atr_mid_ema[b] = delta;
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} else {
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// Wiener-α=0.4 EMA (pearl_wiener_alpha_floor_for_nonstationary).
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atr_mid_ema[b] = 0.4f * delta + 0.6f * ema;
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}
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prev_mid[b] = mid;
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}
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}
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}
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