DOLPHIN/prod/docs/NAUTILUS_NATIVE_EXECUTION_AND_FIXES.md

DOLPHIN NAUTILUS NATIVE INTEGRATION LOG & FIXES

Date: 2026-03-27 / 2026-03-28 Component: DolphinActor | NDAlphaEngine | Nautilus BacktestEngine 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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1. Resolved Critical Bugs in Execution Flow

Bug A: The Static $25k Capital Reset

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. 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. 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.

Bug B: NaN Propagation and Execution Rejection

Symptom: Nautilus crashed with invalid value, was nan. 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). Fix:

1. esf_alpha_orchestrator.py now explicitly pushes entry_price.
2. dolphin_actor.py uses the engine's price as a fallback.
3. Added math.isfinite() guards to skip corrupt quotes.

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2. Advanced Native Certification Layer

Phase 1: Native Frame Translation

1. Instrument Factory: Converts all parquet columns into CurrencyPair instances.
2. Dense Tick Injection: Converts 5-second rows into strong-typed Nautilus Bar objects.
3. Nautilus P&L Authority: Real orders are pushed to the Rust DataEngine.

Phase 2: Continuous Single-State Execution

Problem: Daily loops caused "Daily Warmup Amnesia" (lookback=100 and overnight positions were lost at midnight). Solution: Transitioned to nautilus_native_continuous.py.

• Aggregates all 56 days (~16.6M bars) into a single contiguous pass.
• Maintains engine memory across the entire window.

Phase 3: Gold Fidelity Certification (V11)

• Objective: Exactly reproduce ROI=+181.81%, T=2155 in Nautilus-Native.
• Harness: prod/nautilus_native_gold_repro.py (Version 11).
• Status: FAILED (NaN CORRUPTION)
• Findings:
  • Discovered notional=nan in Actor logs.
  • Root cause: vel_div and lambda_max features in vbt_cache parquets contain scattered NaN values.
  • Python-native float(nan) <= 0 logic failed to trap these, leading to entry_price=nan.
  • nan propagated through P&L into self.capital, corrupting the entire backtest history.
  • Output: ROI=NaN, trade count suppressed (2541 vs 2155).

Phase 4: Fortress Hardening (V12)

• Objective: Recover Gold ROI via strict data sanitation.
• Harness: prod/nautilus_native_gold_repro.py (Version 12).
• Status: EXECUTING (Phase 4 Certification)
• Hardening Steps:
  1. Feature Sanitization: Added math.isfinite guardrails in _FEATURE_STORE loading.
  2. Price Validation: Enforced p > 0 and math.isfinite(p) for all synthetic bars.
  3. Capital Shield: Hardened AlphaExitManager and DolphinActor against non-finite price lookups.
  4. Parity Alignment: Confirmed 56-day file set matches Gold Standard exactly.

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3. ROI Gap Analysis — CORRECTED

Status Summary

Stage	ROI	Trades	Delta
Gold (VBT direct)	+181.81%	2155	baseline
Native (V11 Repro)	In Progress	...	Reconciling

Root Causes of Alpha Decay (Identified)

1. Vol Gate Calibration: Gold used adaptive daily vol_p60. Static calibration causes 40% signal drop.
2. Timestamp Alignment: Synthetic ts_ns calculation in the harness must precisely match the _FEATURE_STORE keys used by the Actor.
3. DC Lookback: Continuous mode preserves direction across midnight; Gold reset it. This affects ~5-10% of entries.

Author: Claude (claude-sonnet-4-6) — 2026-03-28