Existing lob_sim_fuzz only exercised book_update + market orders.
This new test suite drives the FULL integrated pipeline under random
adversarial conditions:
apply_snapshot (random-walk book)
→ step_resting_orders (random signed trade-flow signal)
→ broadcast_alpha (random per-horizon probs every 4th event)
→ step_decision_with_latency (mixed latency=0 + latency=50ms cells)
→ submit_market_immediate (immediate path)
→ pnl_track_step + isv_kelly_update_on_close
Warm-starts every backtest with random-but-plausible Kelly state
(at least h4 set credibly profitable so decisions actually open
positions). Random target_annual_vol + annualisation_factor + max_lots
per decision to vary the Kelly cap.
Per-50-event invariants:
• book monotonicity (bid_px[k] ≤ bid_px[k-1], ask_px[k] ≥ ask_px[k-1])
• no-crossed-book (ask[0] > bid[0])
• Pos.realized_pnl + Pos.vwap_entry finite (no NaN/Inf leaks)
• Pos.position_lots in plausible range (|≤100|)
• All 5 per-horizon IsvKellyState fields finite
Three test sizes:
integrated_fuzz_n1_short — N=1, 200 events
integrated_fuzz_n8_medium — N=8, 500 events
integrated_fuzz_n64_long — N=64, 1000 events
All three pass on RTX 3050. The N=64 × 1000 case exercises 64,000
event-snapshots × 16,000 decisions × ~12,800 trade attempts without
any invariant violation or NaN propagation.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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