c03cf9aa38
Audit (fxt-data-audit on ES.FUT_2024-Q1) revealed real source-data outliers that the hardcoded < 1e8 threshold didn't catch: - bid_min = -$4.85 (negative bid) - bid_p1 = $64.15 (1% of bids in sub-$100 range, far below ES) - ask_max = $53,012 (10x above any plausible ES price) The < 1e8 threshold = $100M was useless: never triggered on real ES. Fix: parameterize the range. min_reasonable_px / max_reasonable_px as per-backtest fields in UniformSimParams, ResolvedSimVariant, and BatchedSimConfig (defaults 0.0 / f32::INFINITY = no-check, preserves existing test fixtures). Sweep_smoke.yaml sets 1000/20000 for ES futures — catches all observed outliers without rejecting any plausible price. BacktestHarness calls upload_price_range() once after creating the sim so the bounds are active before the first apply_snapshot. CUDA kernel book_update_apply_snapshot gains two new args (min_reasonable_px[n_backtests], max_reasonable_px[n_backtests]) that replace the hardcoded > 0.0f && < 1.0e8f checks at both the top-of-book gate and the per-level sanitization pass. Test price_range_rejection_skips_snapshot validates: sub-$1000 snapshot, super-$20000 snapshot, and negative bid all skip with snapshots_skipped counter increment; valid ES snapshot passes through. 17/17 stop_controller tests pass. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
57 lines
2.1 KiB
Rust
57 lines
2.1 KiB
Rust
//! P1 regression test: per-backtest sim parameter arrays. With uniform
|
|
//! config across N backtests, all N must produce the same market_target
|
|
//! decision (proves the per-backtest indexing reduces correctly to the
|
|
//! pre-refactor scalar-broadcast semantics).
|
|
//!
|
|
//! Pair: the independence test (proving DIFFERENT per-backtest configs
|
|
//! produce different outputs) lands alongside the P2 inflight-limits
|
|
//! kernel where the read_first_inflight_arrival_ts helper exists.
|
|
|
|
use anyhow::Result;
|
|
use ml_backtesting::sim::{BatchedSimConfig, LobSimCuda, UniformSimParams};
|
|
use ml_core::device::MlDevice;
|
|
|
|
#[test]
|
|
#[ignore = "requires CUDA"]
|
|
fn parallel_sim_equivalence_with_uniform_config() -> Result<()> {
|
|
let dev = match MlDevice::cuda(0) {
|
|
Ok(d) => d,
|
|
Err(e) => {
|
|
eprintln!("skipping: cuda device unavailable ({e})");
|
|
return Ok(());
|
|
}
|
|
};
|
|
let mut sim = LobSimCuda::new(8, &dev)?;
|
|
sim.broadcast_alpha(&[0.8, 0.8, 0.8, 0.8, 0.8])?;
|
|
let cfg = BatchedSimConfig::from_uniform(
|
|
8,
|
|
&UniformSimParams {
|
|
target_annual_vol_units: 50.0,
|
|
annualisation_factor: 825.0,
|
|
max_lots: 5,
|
|
latency_ns: 0,
|
|
kelly_frac_floor: 0.20,
|
|
sharpe_weight_floor: 0.10,
|
|
threshold: 0.0,
|
|
cost_per_lot_per_side: 0.0,
|
|
max_hold_ns: 0,
|
|
min_reasonable_px: 0.0,
|
|
max_reasonable_px: f32::INFINITY,
|
|
},
|
|
);
|
|
sim.step_decision_with_latency(0, &cfg)?;
|
|
let first = sim.read_market_target(0)?;
|
|
for b in 1..8 {
|
|
let got = sim.read_market_target(b)?;
|
|
assert_eq!(
|
|
got, first,
|
|
"backtest {b} differs from backtest 0 under uniform config: {got:?} vs {first:?}"
|
|
);
|
|
}
|
|
// And the uniform-config result must equal the result we'd get from
|
|
// a single-backtest sim (preserves pre-refactor behaviour).
|
|
assert_eq!(first.0, 0, "uniform config with p_h=0.8 should produce a buy; got side={}", first.0);
|
|
assert!(first.1 >= 1, "uniform-config size {} < 1", first.1);
|
|
Ok(())
|
|
}
|