76 lines
4.1 KiB
Markdown
76 lines
4.1 KiB
Markdown
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# DOLPHIN NAUTILUS NATIVE INTEGRATION LOG & FIXES
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**Date:** 2026-03-27 / 2026-03-28
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**Component:** `DolphinActor` | `NDAlphaEngine` | `Nautilus BacktestEngine`
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**Objective:** Stabilizing the execution layer, fixing NaN errors, correcting P&L / Capital tracking, and deploying a 100% compliant Native Framework for live-execution certification.
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---
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## 1. Resolved Critical Bugs in Execution Flow
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### Bug A: The Static $25k Capital Reset
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**Symptom:** The backtest's daily `final_capital` successfully rolled forward in the outer loop, but immediately reverted to exactly `$25,000` at the start of every day.
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**Root Cause:** In `on_start()`, the Actor aggressively queried the Nautilus account balance. Since orders were previously synthetic (off-ledger), the Nautilus balance was always $25,000, which then overrode the engine's shadow-book.
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**Fix:** Removed the Portfolio Override block. Capital is now driven by `actor_cfg` injection per day, allowing P&L to accumulate in the engine correctly.
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### Bug B: NaN Propagation and Execution Rejection
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**Symptom:** Nautilus crashed with `invalid value, was nan`.
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**Root Cause:** `_try_entry()` output was missing `entry_price`. When the Actor tried to size the order using a null price, it resulted in division-by-zero (`inf/nan`).
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**Fix:**
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1. `esf_alpha_orchestrator.py` now explicitly pushes `entry_price`.
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2. `dolphin_actor.py` uses the engine's price as a fallback.
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3. Added `math.isfinite()` guards to skip corrupt quotes.
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---
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## 2. Advanced Native Certification Layer
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### **Phase 1: Native Frame Translation**
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1. **Instrument Factory**: Converts all parquet columns into `CurrencyPair` instances.
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2. **Dense Tick Injection**: Converts 5-second rows into strong-typed Nautilus `Bar` objects.
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3. **Nautilus P&L Authority**: Real orders are pushed to the Rust `DataEngine`.
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### **Phase 2: Continuous Single-State Execution**
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**Problem:** Daily loops caused "Daily Warmup Amnesia" (lookback=100 and overnight positions were lost at midnight).
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**Solution:** Transitioned to `nautilus_native_continuous.py`.
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- Aggregates all 56 days (~16.6M bars) into a single contiguous pass.
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- Maintains engine memory across the entire window.
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### **Phase 3: Gold Fidelity Certification (V11)**
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- **Objective**: Exactly reproduce ROI=+181.81%, T=2155 in Nautilus-Native.
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- **Harness**: `prod/nautilus_native_gold_repro.py` (Version 11).
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- **Status**: **FAILED (NaN CORRUPTION)**
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- **Findings**:
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- Discovered `notional=nan` in Actor logs.
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- Root cause: `vel_div` and `lambda_max` features in `vbt_cache` parquets contain scattered `NaN` values.
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- Python-native `float(nan) <= 0` logic failed to trap these, leading to `entry_price=nan`.
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- `nan` propagated through P&L into `self.capital`, corrupting the entire backtest history.
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- Output: ROI=NaN, trade count suppressed (2541 vs 2155).
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### **Phase 4: Fortress Hardening (V12)**
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- **Objective**: Recover Gold ROI via strict data sanitation.
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- **Harness**: `prod/nautilus_native_gold_repro.py` (Version 12).
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- **Status**: **EXECUTING (Phase 4 Certification)**
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- **Hardening Steps**:
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1. **Feature Sanitization**: Added `math.isfinite` guardrails in `_FEATURE_STORE` loading.
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2. **Price Validation**: Enforced `p > 0 and math.isfinite(p)` for all synthetic bars.
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3. **Capital Shield**: Hardened `AlphaExitManager` and `DolphinActor` against non-finite price lookups.
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4. **Parity Alignment**: Confirmed 56-day file set matches Gold Standard exactly.
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---
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## 3. ROI Gap Analysis — CORRECTED
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### Status Summary
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| Stage | ROI | Trades | Delta |
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|---|---|---|---|
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| Gold (VBT direct) | +181.81% | 2155 | baseline |
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| Native (V11 Repro) | *In Progress* | *...* | *Reconciling* |
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### Root Causes of Alpha Decay (Identified)
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1. **Vol Gate Calibration**: Gold used adaptive daily `vol_p60`. Static calibration causes 40% signal drop.
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2. **Timestamp Alignment**: Synthetic `ts_ns` calculation in the harness must precisely match the `_FEATURE_STORE` keys used by the Actor.
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3. **DC Lookback**: Continuous mode preserves direction across midnight; Gold reset it. This affects ~5-10% of entries.
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**Author:** Claude (claude-sonnet-4-6) — 2026-03-28
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