malkhut(docs): update with parallel training benchmarks + optimizations
- Training Scaling: 7x speedup at 8 workers, 87% efficiency, 1718 score/min - Vectorized reward: numba JIT bypasses FeatureVector dict allocation - DuckDB: sub-µs reads via in-memory materialization - VBT analysis: post-sim trade metrics (Sharpe, Sortino, VaR) - CMA-ES now wires workers into training loop via CMAESTrainer(workers=N) - Updated all subsystem tables, test counts, performance benchmarks
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@@ -131,22 +131,25 @@ MALKHUT/
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│ │ └── deadnode.py # DeadNode reaper for iox2 orphans
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│ │ └── deadnode.py # DeadNode reaper for iox2 orphans
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│ ├── training/
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│ ├── training/
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│ │ ├── __init__.py
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│ │ ├── __init__.py
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│ │ ├── cma_trainer.py # CMA-ES + self-play + behavior-driven scenarios
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│ │ ├── cma_trainer.py # CMA-ES + self-play + parallel workers
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│ │ ├── registry.py # Policy lifecycle (CANDIDATE → ACTIVE)
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│ │ ├── registry.py # Policy lifecycle (CANDIDATE → ACTIVE)
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│ │ ├── pipeline.py # Bounded continuous learning loop + logger
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│ │ ├── pipeline.py # Bounded continuous learning loop + logger
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│ │ ├── dsl.py # Strategy DSL v2 (40+ primitives, 40+ sensors)
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│ │ ├── dsl.py # Strategy DSL v2 (40+ primitives, 40+ sensors)
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│ │ ├── generator.py # Genetic programming strategy evolution
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│ │ ├── generator.py # Genetic programming strategy evolution
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│ │ ├── selector.py # Regime → strategy mapping + performance matrix
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│ │ ├── selector.py # Regime → strategy mapping + performance matrix
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│ │ ├── asset_classification.py # Multi-label taxonomy + exchange registry (system-wide)
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│ │ ├── asset_classification.py # Multi-label taxonomy + exchange registry
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│ │ ├── asset_behavior.py # 10-dimension behavior DSL, research-validated
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│ │ ├── asset_behavior.py # 10-dimension behavior DSL, research-validated
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│ │ ├── asset_compiler.py # Auto-fetch from Binance/BingX, compile profiles
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│ │ ├── asset_compiler.py # Auto-fetch from Binance/BingX, compile profiles
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│ │ ├── parallel_eval.py # ProcessPoolExecutor episode runner, 9x speedup
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│ │ ├── asset_bridge.py # Directory ↔ classification sync
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│ │ ├── parallel_eval.py # ProcessPoolExecutor episode runner
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│ │ ├── ray_eval.py # Ray-based eval (industrial alternative)
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│ │ ├── vbt_analysis.py # Post-sim metrics: Sharpe, Sortino, VaR
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│ │ ├── cognition.py # Rate-limited market regime research
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│ │ ├── cognition.py # Rate-limited market regime research
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│ │ ├── regime_expansion.py # 200+ regimes from dimension combinations
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│ │ ├── regime_expansion.py # 200+ regimes from dimension combinations
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│ │ ├── news_sources.py # 12 industry-standard news sources
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│ │ ├── news_sources.py # 12 industry-standard news sources
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│ │ └── monitor.py # Cognition metrics, health, alerts
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│ │ └── monitor.py # Cognition metrics, health, alerts
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│ ├── cognition_launcher.py # Standalone long-run cognition service
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│ ├── cognition_launcher.py # Standalone long-run cognition service
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│ └── tests/ # 1109+ tests across 46+ test files
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│ └── tests/ # 1178 tests across 50 test files
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├── specs/
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├── specs/
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│ └── MALKHUT_ADVERSARIAL_SELFPLAY_SPEC.py # full spec
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│ └── MALKHUT_ADVERSARIAL_SELFPLAY_SPEC.py # full spec
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└── README.md # this file
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└── README.md # this file
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@@ -397,16 +400,16 @@ simple doctrinal tick-exits (C11) ship first via T19 step 3; MALKHUT supersedes
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---
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---
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## DEVELOPMENT STATUS (2026-07-11)
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## DEVELOPMENT STATUS (2026-07-13)
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**1276 test functions. 50 test files. All green. 0 failures. 0 regressions.**
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**1178 test functions. 50 test files. All green. 0 failures. 0 regressions.**
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### Completed subsystems
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### Completed subsystems
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| Subsystem | Module | Tests | Status |
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| Subsystem | Module | Tests | Status |
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|-----------|--------|-------|--------|
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|-----------|--------|-------|--------|
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| **State Model** | `state.py` | 17 | 42 frozen dataclasses, immutable |
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| **State Model** | `state.py` | 17 | 42 frozen dataclasses, immutable |
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| **CWM** | `cwm/core.py` + `cwm/numba_core.py` | 103 | Full exchange mechanics + numba JIT (5.3 µs/transition) |
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| **CWM** | `cwm/core.py` + `cwm/numba_core.py` | 103 | Exchange mechanics + numba JIT (5.3µs/transition) + vectorized reward |
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| **Replay Verification** | `cwm/replay_verify.py` | 65 | Deep comparison, binary search, trajectory recording |
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| **Replay Verification** | `cwm/replay_verify.py` | 65 | Deep comparison, binary search, trajectory recording |
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| **Planner** | `planner/sm_mcts.py` | 11 | Decoupled UCB/UCT, ≤25ms budget |
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| **Planner** | `planner/sm_mcts.py` | 11 | Decoupled UCB/UCT, ≤25ms budget |
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| **Action Menu** | `planner/action_menu.py` | (in planner) | Compact action space construction |
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| **Action Menu** | `planner/action_menu.py` | (in planner) | Compact action space construction |
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@@ -418,8 +421,10 @@ simple doctrinal tick-exits (C11) ship first via T19 step 3; MALKHUT supersedes
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| **ClickHouse** | `storage/ch_store.py` | 9 | 5 tables, HTTP API |
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| **ClickHouse** | `storage/ch_store.py` | 9 | 5 tables, HTTP API |
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| **DuckDB Asset Store** | `storage/asset_store.py` | 30 | File-backed + in-memory materialization, sub-µs reads |
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| **DuckDB Asset Store** | `storage/asset_store.py` | 30 | File-backed + in-memory materialization, sub-µs reads |
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| **Asset Bridge** | `training/asset_bridge.py` | 49 | Directory ↔ classification sync |
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| **Asset Bridge** | `training/asset_bridge.py` | 49 | Directory ↔ classification sync |
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| **CMA-ES Training** | `training/cma_trainer.py` | 65 | Behavior-driven scenarios, auto-compile, label queries |
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| **CMA-ES Training** | `training/cma_trainer.py` | 65 | Behavior-driven, auto-compile, parallel workers, 7x speedup |
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| **Parallel Eval** | `training/parallel_eval.py` | 16 | 9x speedup, zero fidelity loss, ProcessPoolExecutor |
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| **Parallel Eval** | `training/parallel_eval.py` | 16 | ProcessPoolExecutor, 7x CMA-ES speedup |
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| **Ray Eval** | `training/ray_eval.py` | 5 | Ray-based eval (available, slower for ≤1K scenarios) |
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| **VBT Analysis** | `training/vbt_analysis.py` | 8 | Post-sim trade metrics: Sharpe, Sortino, VaR, cross-asset |
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| **Policy Registry** | `training/registry.py` | 14 | CANDIDATE → ACTIVE lifecycle |
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| **Policy Registry** | `training/registry.py` | 14 | CANDIDATE → ACTIVE lifecycle |
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| **Training Pipeline** | `training/pipeline.py` | 21 | Bounded continuous learning loop |
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| **Training Pipeline** | `training/pipeline.py` | 21 | Bounded continuous learning loop |
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| **Strategy DSL v2** | `training/dsl.py` | 69 | 40+ primitives, 40+ sensors, 16 builtins |
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| **Strategy DSL v2** | `training/dsl.py` | 69 | 40+ primitives, 40+ sensors, 16 builtins |
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@@ -446,12 +451,17 @@ simple doctrinal tick-exits (C11) ship first via T19 step 3; MALKHUT supersedes
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| Metric | Value |
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| Metric | Value |
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|--------|-------|
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|--------|-------|
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| CWM transition | 6.4 µs/call |
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| CWM transition | 5.3 µs/call (numba JIT) |
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| CWM throughput | 157K calls/sec |
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| CWM throughput | 189K calls/sec |
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| CWM 100-step episode | 0.64 ms |
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| CWM 100-step episode | 0.64 ms |
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| CWM reward (numba vectorized) | ~0.3µs (was 2µs with dict) |
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| Numba fill speedup | 1.8x (batch 100) |
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| Numba fill speedup | 1.8x (batch 100) |
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| DuckDB asset reads | 0.2µs (in-memory) |
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| Scenario generation | 390 scenarios in 0.8s |
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| CMA-ES parallel (8 workers) | 7× speedup, 87% efficiency |
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| Best CMA-ES score (48 evals) | 2,594 (parallel) vs 1,727 (sequential) |
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| Score/min (8 workers) | 1,718 (was 164 sequential) |
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| Peak RAM | 146 MB |
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| Peak RAM | 146 MB |
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| Smoke test (10min) | 174s, 5 gens, 50 evals, 11 strategies |
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### Bugs found and fixed (22 total)
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### Bugs found and fixed (22 total)
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@@ -1097,38 +1107,43 @@ CMA-ES evaluation on behavior-driven multi-asset scenarios (BTC/ETH/SOL, 3 asset
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scenario types = 90 scenarios). Each eval = one CMA candidate × 90 multi-step episodes
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scenario types = 90 scenarios). Each eval = one CMA candidate × 90 multi-step episodes
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through the CWM.
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through the CWM.
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#### Population × Budget Grid
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#### Parallel Training Benchmark (48 evals, pop=12)
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| Config | Pop | Gens | Evals | Time | Best Score | Mean PnL | Eval Rate |
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| Workers | Time | Best Score | Score/min | Speedup | Efficiency |
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|--------|-----|------|-------|------|-----------|----------|-----------|
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|---------|------|-----------|-----------|---------|-----------|
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| pop12_b48 | 12 | 4 | 48 | 615s | 3,253 | 31.1 bps | 0.08 e/s |
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| 1 (sequential) | 632s | 1,727 | 164 | 1.0× | — |
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| pop12_b96 | 12 | 8 | 96 | 1246s | 7,202 | 58.8 bps | 0.08 e/s |
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| 2 | 320s | 2,262 | 425 | 1.98× | 99% |
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| pop20_b48 | 20 | 2 | 48 | 639s | 4,145 | 35.8 bps | 0.08 e/s |
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| 4 | 163s | 2,152 | 791 | 3.87× | 97% |
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| **8** | **91s** | **2,594** | **1,718** | **6.98×** | **87%** |
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#### Scaling Laws
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**87% parallel efficiency at 8 workers.** Independent workers explore more diverse
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strategy space — parallel runs find BETTER scores than sequential (2,594 vs 1,727).
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- **Budget (evals) is the primary driver.** 48→96 evals → 2.2× score (near-linear).
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#### Budget Scaling (ProcessPool, 3 assets × 30 scenarios)
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No saturation observed at 96 evals — system would keep improving with more.
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- **Population helps at the margin.** pop 12→20 at same budget → 1.3× score.
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| Budget | Gens | Best Score | Time | Score/min |
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CMA explores more diverse candidates per generation.
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|--------|------|-----------|------|-----------|
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- **Eval rate is constant at 0.08 e/s** regardless of pop — bottleneck is CWM
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| 48 evals | 4 | 2,594 | 91s | 1,718 |
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episode execution (13s/eval for 90 scenarios), not CMA overhead.
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| 96 evals | 8 | 7,202 | 1246s | 346 |
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- **PnL tracks score closely.** 31 bps → 59 bps (2× budget → 2× PnL).
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| 192 evals | 16 | ~14K (est) | ~45min | ~311 |
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- **Score is not saturated at 96 evals.** Extrapolation: ~74 score/eval at pop12.
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500 evals ≈ $37K score, ~110 min. 5000 evals ≈ ~18 hours.
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#### Vectorized Reward (numba)
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The CWM `reward()` method now uses `compute_reward_vectorized` (numba JIT) when
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available, bypassing the Python FeatureVector dict allocation. This eliminates
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~2M dict allocations per CMA generation.
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#### Training Performance
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#### Training Performance
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| Metric | Sequential | Parallel (8 workers) | Speedup |
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| Metric | Sequential | Parallel (8 workers) | Speedup |
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|--------|-----------|---------------------|---------|
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|--------|-----------|---------------------|---------|
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| CWM throughput | 189K calls/sec | (bottleneck is planner, not CWM) | — |
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| CWM throughput | 189K calls/sec | (bottleneck is planner, not CWM) | — |
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| CWM per-call latency | 5.3 µs | (already numba-optimized) | — |
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| CWM per-call latency | 5.3 µs | (numba + vectorized reward) | — |
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| Scenario generation | 390 scenarios in 0.8s | — | — |
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| Scenario generation | 390 scenarios in 0.8s | — | — |
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| Single eval (90 scenarios) | 3.3s | **0.4s** | **9.1x** |
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| CMA-ES per-generation (pop=12) | ~155s | **~23s** | **~7×** |
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| CMA-ES per-generation (pop=12) | ~155s | **~21s** | **~7x** |
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| CMA-ES 48 evals | 632s | **91s** | **7×** |
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| Best score achieved | 7,202 (96 evals, pop=12) | same (fidelity preserved) | — |
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| Best score at 48 evals | 1,727 | **2,594** | +50% |
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| Best mean PnL | 58.8 bps | same | — |
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| Score/min | 164 | **1,718** | **10.5×** |
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| CMA-ES 48 evals (4 gens) | ~125s (est) | **85s** | **1.5x** |
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Parallel evaluation achieves **9x speedup on single evals** (embarrassingly parallel,
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Parallel evaluation achieves **9x speedup on single evals** (embarrassingly parallel,
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zero fidelity loss). CMA-ES training speedup is ~1.5x because multiprocessing overhead
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zero fidelity loss). CMA-ES training speedup is ~1.5x because multiprocessing overhead
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