hjnormey/siloqy
Public Access
1
0
Fork 0
Code Issues 7 Pull Requests 2 Actions Packages Projects Releases Wiki Activity

VIOLET V3.4c review: fix mc_scale BLUE-parity bug + document re-derivation debt

Browse Source 
REVIEW of the V3.4c/d/e work (other agents) for BLUE-algo compliance found one
real bug and one architectural concern.

BUG FIXED — mc_scale derivation (live_blue_source.py):
The adapter mapped `mc_forewarner_latest.status == "ORANGE"` → 0.5. But BLUE's sizing
mc_scale is NOT the MC service's `status` label (that label, from mc_forewarner_flow.py,
uses GREEN<0.10/ORANGE<0.30/RED — observability only). The live trader re-derives the
haircut in begin_day (esf_alpha_orchestrator.py:956-962) from the SAME published fields
`catastrophic_prob` + `envelope_score` with DIFFERENT thresholds:
    mc_red    = cat>0.25 or env<-1.0
    mc_orange = (not mc_red) and (env<0 or cat>0.10)
    mc_scale  = 0.5 if mc_orange else 1.0
The two disagree (e.g. cat=0.05/env=-0.5 → label GREEN→1.0 but BLUE orange→0.5;
cat=0.28 → label ORANGE→0.5 but BLUE red→1.0). Rewrote `_derive_mc_scale` to mirror
begin_day exactly on the source fields. Per operator: there is genuine ambiguity over
which surface is "nominal" — we go with the SOURCE FIELDS + begin_day formula (the path
that actually drives BLUE's sizing); the ambiguity + decision are noted in the docstring.

TESTS — the old fixtures were complicit: they fed `{"status":"ORANGE"}`, a payload shape
BLUE never emits, so they "passed" against fiction. Replaced with BLUE's real payload
(`catastrophic_prob`/`envelope_score`) and added a parametrized formula test covering the
exact divergence cases the status-based code got wrong, plus missing/garbage-field neutral.
15 passed (live-HZ smoke deselected).

ARCHITECTURAL DEBT documented — VIOLET_BLUE_PARITY_STRUCTURAL_DIVERGENCE.md:
VIOLET imitates BLUE's computations in a DIFFERENT module/scope structure. Kernels are
WRAPPED (safe), but orchestration arithmetic (compose/regime/ob/strength/mc_scale) is
HAND-REPLICATED out of the monolithic NDAlphaEngine — making orderly, verifiable BLUE↔VIOLET
parity comparison and refactoring hard. Doc inventories every re-derivation with BLUE's
file:line authority, the drift risk, and mitigations (parity-pin tests; single canonical
surface per ambiguous factor; eventual DITAv2 Rust-backplane convergence). Pointer added to
live_blue_source.py's module docstring.

Also reviewed (no change needed): launcher launch_dolphin_violet.py is DARK-safe
(ObserveOnlyVenue + shadow gated default-OFF, no order path); shadow_live_factors.py glue
is correct; trade_slot_compare.py reimplements no BLUE algo. fb34431's launcher tests —
which the authoring agent never ran on the slow mount — pass (14 green).

violet-only; no shared-file edits.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Codex
2026-06-16 16:54:35 +02:00
parent 520d911722
commit 1415a65670
3 changed files with 171 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files

54
prod/clean_arch/violet/live_blue_source.py
View File

@@ -13,6 +13,18 @@ translates them into ``SizingFactors`` for the shadow path:
The remaining DC signal is left neutral here for now. It needs the same live
signal-history path BLUE uses and should be added as a separate mirror step.
PARITY DEBT (see prod/docs/VIOLET_BLUE_PARITY_STRUCTURAL_DIVERGENCE.md): this module
reconstructs BLUE's factors in a DIFFERENT file/scope structure than BLUE's monolithic
NDAlphaEngine (esf_alpha_orchestrator.py). Kernels here are WRAPPED (OBFeatureEngine,
AlphaSignalGenerator, VioletAssetSelector — single source of truth), but two derivations
are HAND-REPLICATED / surface-substituted and can drift silently from BLUE:
- ``_derive_mc_scale`` transcribes begin_day's mc thresholds (no pin to BLUE's fn);
- ``AlphaSignalGenerator()`` is built with BARE DEFAULTS, not BLUE's threaded params
(esf_alpha_orchestrator.py:180-191) — cosmetic only while dc_leverage_boost==1.0;
- boost/beta read the PUBLISHED ``acb_boost`` (acb_processor_service), not the trader's
``get_dynamic_boost_from_hz`` recompute — the two surfaces may differ.
Any change to BLUE's corresponding formula REQUIRES a matching change here + a test.
"""
from __future__ import annotations
@@ -72,13 +84,41 @@ def _read_hz_map(client: hazelcast.HazelcastClient, map_name: str, key: str) ->
return None
def _map_status_to_mc_scale(payload: Any) -> float:
def _derive_mc_scale(payload: Any) -> float:
"""Mirror BLUE ``begin_day``'s ``mc_scale`` EXACTLY (esf_alpha_orchestrator.py:956-962).
BLUE does NOT use the MC service's published ``status`` label for sizing — that label
(mc_forewarner_flow.py: GREEN<0.10 / ORANGE<0.30 / RED) is observability-only and uses
DIFFERENT thresholds from the engine. The live trader re-derives the size haircut from
the SAME published fields ``catastrophic_prob`` + ``envelope_score`` with the engine's
own thresholds:
mc_red = catastrophic_prob > 0.25 or envelope_score < -1.0
mc_orange = (not mc_red) and (envelope_score < 0 or catastrophic_prob > 0.10)
mc_scale = 0.5 if mc_orange else 1.0 # RED → 1.0 here; BLUE halts via regime_dd_halt
Reading ``status`` instead diverges (e.g. cat=0.05/env=-0.5 → publisher GREEN→1.0 but
BLUE orange→0.5).
AMBIGUITY (flagged 2026-06-16): the MC service's ``status`` and the engine's begin_day
thresholds genuinely disagree, and from OUTSIDE BLUE there is no way to know which is the
"nominal" intent — they are two independent threshold sets over the same numbers. We go
with the SOURCE FIELDS + begin_day formula because that is the path that actually drives
BLUE's live sizing (the published ``status`` is consumed only by the TUI/observability).
If BLUE's begin_day thresholds change, THIS must change with them. Operator confirmation
of the canonical surface is still desirable.
Missing/unparseable fields → neutral 1.0 (no haircut)."""
data = _jsonish(payload)
if isinstance(data, Mapping):
status = str(data.get("status", "")).upper()
else:
status = str(data).upper()
return 0.5 if status == "ORANGE" else 1.0
if not isinstance(data, Mapping):
return 1.0
cat = _coerce_float(data.get("catastrophic_prob"), None)
env = _coerce_float(data.get("envelope_score"), None)
if cat is None or env is None:
return 1.0
mc_red = cat > 0.25 or env < -1.0
mc_orange = (not mc_red) and (env < 0.0 or cat > 0.10)
return 0.5 if mc_orange else 1.0
def _extract_acb(payload: Any) -> tuple[float, float]:
@@ -302,7 +342,7 @@ def source_live_blue_sizing_factors(
acb_boost, acb_beta = _extract_acb(acb_raw)
mc_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "mc_forewarner_latest")
mc_scale = _map_status_to_mc_scale(mc_raw)
mc_scale = _derive_mc_scale(mc_raw)
scan_raw = _read_hz_map(client, "DOLPHIN_FEATURES", "latest_eigen_scan")
scan = scan_history.ingest_scan(scan_raw)

45
prod/clean_arch/violet/test_violet_live_blue_source.py
View File

@@ -14,6 +14,7 @@ from prod.clean_arch.violet.decision_engine import SizingFactors
from prod.clean_arch.violet.live_blue_source import (
HazelcastOBProvider,
LiveBlueScanHistory,
_derive_mc_scale,
source_live_blue_sizing_factors,
)
from prod.clean_arch.violet.alpha_wrappers import VioletAssetSelector
@@ -63,7 +64,7 @@ def test_hz_ob_provider_filters_and_parses_latest_payload():
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": 1.2, "beta": 0.3}),
"mc_forewarner_latest": json.dumps({"status": "ORANGE"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.15, "envelope_score": 0.5}),
"esof_latest": json.dumps({"advisory_score": 0.4}),
},
"DOLPHIN_STATE_BLUE": {"latest_nautilus": json.dumps({"posture": "restored"})},
@@ -107,7 +108,7 @@ def test_source_live_blue_sizing_factors_unit(monkeypatch):
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": 1.4, "beta": 0.2}),
"mc_forewarner_latest": json.dumps({"status": "ORANGE"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.15, "envelope_score": 0.5}),
"esof_latest": json.dumps({"advisory_score": 0.4}),
"latest_eigen_scan": json.dumps(
{
@@ -171,7 +172,7 @@ def test_source_live_blue_sizing_factors_preserves_skip_contradict(monkeypatch):
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": 1.4, "beta": 0.2}),
"mc_forewarner_latest": json.dumps({"status": "GREEN"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.02, "envelope_score": 0.9}),
"esof_latest": json.dumps({"advisory_score": 0.4}),
"latest_eigen_scan": json.dumps(
{
@@ -254,7 +255,7 @@ def test_live_blue_sequence_matches_blue_selector_and_dc_at_each_step(monkeypatc
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": 1.0, "beta": 0.0}),
"mc_forewarner_latest": json.dumps({"status": "GREEN"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.02, "envelope_score": 0.9}),
"esof_latest": json.dumps({"advisory_score": 0.3}),
"latest_eigen_scan": json.dumps({**scan, "target_asset": "BTCUSDT"}),
},
@@ -314,7 +315,7 @@ def test_live_blue_sequence_rejects_anomalous_values_without_poisoning_history(m
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": 1.0, "beta": 0.0}),
"mc_forewarner_latest": json.dumps({"status": "GREEN"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.02, "envelope_score": 0.9}),
"esof_latest": json.dumps({"advisory_score": 0.3}),
"latest_eigen_scan": json.dumps(scan),
},
@@ -351,7 +352,7 @@ def test_source_live_blue_sizing_factors_handles_anomalies(monkeypatch):
"bid_depth": [1, 1, 1, 1, 1], "ask_depth": [1, 1, 1, 1, 1]}
),
"acb_boost": json.dumps({"boost": -9, "beta": "bad"}),
"mc_forewarner_latest": json.dumps({"status": "GREEN"}),
"mc_forewarner_latest": json.dumps({"catastrophic_prob": 0.02, "envelope_score": 0.9}),
"esof_latest": "not json",
"latest_eigen_scan": json.dumps({"target_asset": "BTCUSDT", "assets": ["BTCUSDT"], "asset_prices": [0]}),
},
@@ -370,6 +371,38 @@ def test_source_live_blue_sizing_factors_handles_anomalies(monkeypatch):
assert res.selected_asset == "BTCUSDT"
@pytest.mark.parametrize(
"cat, env, expected",
[
# mc_orange (→0.5): not red, and (env<0 OR cat>0.10)
(0.15, 0.5, 0.5), # orange via cat>0.10
(0.05, -0.5, 0.5), # orange via env<0 — OLD status-code returned GREEN→1.0 (the bug)
(0.10, -0.001, 0.5), # orange via env<0 boundary (cat==0.10 not >0.10)
# red (→1.0 here; BLUE halts separately via regime_dd_halt)
(0.28, 0.5, 1.0), # red via cat>0.25 — OLD status-code: 0.28<0.30→ORANGE→0.5 (the bug)
(0.05, -1.5, 1.0), # red via env<-1.0
(0.30, -2.0, 1.0), # red via both
# ok (→1.0): not red, not orange
(0.05, 0.5, 1.0), # benign
(0.10, 0.0, 1.0), # cat==0.10 (not >0.10), env==0 (not <0) → ok
],
)
def test_derive_mc_scale_matches_blue_begin_day_formula(cat, env, expected):
payload = json.dumps({"catastrophic_prob": cat, "envelope_score": env, "status": "IGNORED"})
assert _derive_mc_scale(payload) == expected
def test_derive_mc_scale_neutral_when_fields_missing_or_garbage():
# The published `status` label must NOT be used — payloads lacking the source
# fields derive neutral (1.0), never a haircut from a stale/foreign label.
assert _derive_mc_scale(json.dumps({"status": "ORANGE"})) == 1.0
assert _derive_mc_scale(json.dumps({"catastrophic_prob": 0.15})) == 1.0 # missing env
assert _derive_mc_scale(json.dumps({"envelope_score": -0.5})) == 1.0 # missing cat
assert _derive_mc_scale("not json") == 1.0
assert _derive_mc_scale(None) == 1.0
assert _derive_mc_scale({"catastrophic_prob": "bad", "envelope_score": 0.5}) == 1.0
def test_live_hz_smoke_reads_current_state():
client = hazelcast.HazelcastClient(cluster_name="dolphin", cluster_members=["localhost:5701"])
try: