malkhut(optim): vectorized reward + Ray parallel eval + VBT post-analysis

1. Vectorized reward path (cwm/core.py):
   - Wired up existing compute_reward_vectorized from numba_core (was unused!)
   - Eliminates FeatureVector dict allocation + Python dict lookups on hot path
   - Numba path used when _HAS_NUMBA=True, Python fallback otherwise
   - Bit-identical: same math operations, just via numba JIT

2. Ray-based parallel eval (training/ray_eval.py):
   - Industrial multi-core execution via Ray (used by OpenAI/Anyscale)
   - ray.put() stores params/scenarios in shared object store (no pickle per worker)
   - Each worker: own CWM + planner, zero shared state, no races
   - Bit-identical: same seed + same params = same results regardless of worker count
   - PolicyEvaluator.evaluate_candidate: new use_ray=True parameter

3. VBT post-analysis (training/vbt_analysis.py):
   - episodes_to_pnl_array, episodes_to_metrics (Sharpe, Sortino, VaR, win_rate, etc.)
   - cross_asset_comparison, parameter_sensitivity
   - format_metrics for human-readable output
   - Analysis tool only — runs AFTER engine produces results

4. numba_core.py: added missing 'import math' for compute_reward_vectorized

13 new tests: vectorized reward bit-identity, Ray determinism, Ray result fields,
VBT metrics structure, cross-asset comparison, parameter sensitivity, edge cases.
Total: 1178 tests, 50 files, all green, zero regressions.
This commit is contained in:
Codex
2026-07-12 23:56:16 +02:00
parent 4c30f664e3
commit c6b7a41bb4
6 changed files with 555 additions and 1 deletions

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@@ -46,6 +46,7 @@ try:
round_tick as _nb_round_tick,
round_lot as _nb_round_lot,
clip_lots as _nb_clip_lots,
compute_reward_vectorized,
)
_HAS_NUMBA = True
except ImportError:
@@ -587,6 +588,39 @@ class MinimalCryptoLOBCWM:
next_state: MarketWorldState,
params: FulfilmentPolicyParams,
) -> float:
if _HAS_NUMBA:
# Fast path: numba-optimized reward computation
# Extract values directly — avoids FeatureVector dict allocation
b = next_state.book
path = next_state.trade_path
pnl = path.pnl_bps if path else 0.0
toxicity = path.orderflow_toxicity if path else 0.0
churn = path.queue_churn_score if path else 0.0
time_in_loss = path.time_in_loss_s if path else 0.0
spread_bps = b.spread_bps if b.bids and b.asks else 0.0
inv_risk = self._inventory_risk(next_state)
tail_risk = self._tail_risk_proxy(next_state)
is_maker = (action.order_type and
action.order_type.value in ("POST_ONLY", "LIMIT"))
is_cross = action.kind.value == "CROSS_SPREAD"
is_cancel = action.kind.value in ("CANCEL", "CANCEL_REPLACE")
return compute_reward_vectorized(
pnl, toxicity, churn, time_in_loss, spread_bps,
inv_risk, tail_risk,
params.w_expected_pnl, params.w_adverse_selection,
params.w_inventory_risk, params.w_tail_loss, params.w_time_decay,
is_maker, prev_state.venue.maker_fee_bps,
is_cross, prev_state.venue.taker_fee_bps,
is_cancel, params.adverse_toxicity_cancel_threshold,
params.queue_churn_cancel_threshold,
params.w_queue_priority, params.w_adverse_selection,
)
# Fallback: Python path (no numba)
fv = self.feature_extractor.extract(next_state).values
pnl = fv.get("pnl_bps", 0.0)

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@@ -12,6 +12,7 @@ not dataclasses. The CWM calls these from its hot path.
"""
from __future__ import annotations
import math
import numpy as np
from numba import njit, prange