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Tags:
economics
quantitative-finance
causal-inference
macroeconomics
housing-economics
market-microstructure
License:
| """Outcome-blind development authority for the frozen four-session M8 L2 study. | |
| This module is the only stage allowed to fit L2 regime thresholds, select a | |
| model, or fit final model state. Its public producer accepts exactly the train | |
| and validation session paths. The held-out sessions are represented only by | |
| their predeclared calendar coordinates and cannot be supplied to this API. | |
| Publication is fail closed. Complete train/validation sessions produce the | |
| eight-child ``LOCKED`` authority. A verified insufficient development session | |
| instead produces a checksummed ``NOT_CREATED`` authority without opening any | |
| economic rows. Both variants reserve without overwrite and write their exact | |
| terminal marker last. Held-out evaluation may restore only ``LOCKED`` state; | |
| it must never call a fit or update API. | |
| """ | |
| from __future__ import annotations | |
| import hashlib | |
| import json | |
| import math | |
| import os | |
| import shutil | |
| import stat | |
| from collections.abc import Mapping | |
| from dataclasses import asdict, dataclass | |
| from datetime import UTC, datetime | |
| from pathlib import Path, PurePosixPath | |
| from typing import Any, Literal, Protocol, cast | |
| import polars as pl | |
| import pyarrow.parquet as pq # type: ignore[import-untyped] | |
| import microstructure.m8_l2_inputs as _l2_inputs_module | |
| from microstructure.config import ModelConfig | |
| from microstructure.m8_l2_analysis_config import ( | |
| M8L2AnalysisConfig, | |
| M8L2AnalysisEndpoint, | |
| load_m8_l2_analysis_config, | |
| ) | |
| from microstructure.m8_l2_capture import ( | |
| M8L2SessionBundle, | |
| current_m8_l2_runtime_fingerprint_sha256, | |
| verify_m8_l2_session_bundle, | |
| ) | |
| from microstructure.m8_l2_config import ( | |
| M8_L2_PROTOCOL_SHA256, | |
| M8L2StudyConfig, | |
| load_m8_l2_config, | |
| ) | |
| from microstructure.provenance import ( | |
| ImportOriginError, | |
| assert_project_module_origins, | |
| git_source_tree_sha256, | |
| sha256_file, | |
| strict_git_state, | |
| ) | |
| from microstructure.research.l2_multidate import ( | |
| L2EndpointSpec, | |
| L2ObservedInterval, | |
| L2RegimeFit, | |
| apply_l2_regimes, | |
| build_l2_endpoint_frames, | |
| fit_l2_regime_thresholds, | |
| l2_model_feature_columns, | |
| ) | |
| from microstructure.research.multidate import ( | |
| AnalysisLock, | |
| FinalFittedState, | |
| LockedSelection, | |
| select_multidate_model, | |
| ) | |
| _LOCK_SCHEMA_VERSION = "m8-l2-development-lock-v1" | |
| _NOT_CREATED_SCHEMA_VERSION = "m8-l2-development-not-created-v1" | |
| _CHILD_SCHEMA_VERSION = "m8-l2-development-child-lock-v1" | |
| _REGIME_SCHEMA_VERSION = "m8-l2-regime-thresholds-v1" | |
| _EXECUTION_REFERENCE_SCHEMA_VERSION = "m8-l2-execution-reference-v1" | |
| _INVENTORY_SCHEMA_VERSION = "m8-l2-development-inventory-v1" | |
| _LOCKED_MARKER = "_LOCKED" | |
| _LOCKED_BYTES = b"locked\n" | |
| _NOT_CREATED_MARKER = "_NOT_CREATED" | |
| _NOT_CREATED_BYTES = b"not-created\n" | |
| _CHECKSUMS_NAME = "CHECKSUMS.sha256" | |
| _INVENTORY_NAME = "inventory.json" | |
| _AGGREGATE_NAME = "development_lock.json" | |
| _AGGREGATE_DIGEST_NAME = "development_lock.sha256" | |
| _MAX_JSON_BYTES = 16 * 1024 * 1024 | |
| _MAX_COMPARISON_BYTES = 64 * 1024 * 1024 | |
| _GIB = 1024**3 | |
| # The 16 GiB host envelope is split into disjoint producer workspaces. These | |
| # are admission limits, not telemetry thresholds: metadata/row-count bounds are | |
| # checked before the costly builders and the materialized result is checked | |
| # immediately after every allocation boundary. | |
| _MAX_DEVELOPMENT_RAW_BYTES = 2 * _GIB | |
| _MAX_DEVELOPMENT_CAUSAL_BYTES = 4 * _GIB | |
| _MAX_SELECTION_WORKSPACE_BYTES = 2 * _GIB | |
| _CAUSAL_ENDPOINT_ROW_UPPER_BYTES = 4 * 1024 | |
| _SELECTION_NUMPY_VECTOR_COUNT = 12 | |
| _EXPECTED_DEVELOPMENT = (("2026-08-10", "train"), ("2026-08-11", "validation")) | |
| _EXPECTED_HELDOUT = ( | |
| ("2026-08-12", "primary_test"), | |
| ("2026-08-13", "replication_test"), | |
| ) | |
| _EARLIEST_LOCK_TIME = datetime(2026, 8, 11, 15, 0, tzinfo=UTC) | |
| _LOCK_DEADLINE = datetime(2026, 8, 12, 14, 0, tzinfo=UTC) | |
| class M8L2DevelopmentError(RuntimeError): | |
| """Raised when development fitting or lock publication must fail closed.""" | |
| class ProducerSourceIdentity: | |
| commit: str | |
| source_tree_sha256: str | |
| dirty: bool | |
| def to_dict(self) -> dict[str, object]: | |
| return asdict(self) | |
| class L2DevelopmentChildLock: | |
| symbol: str | |
| endpoint: str | |
| path: Path | |
| sha256: str | |
| selection_lock_sha256: str | |
| fitted_state_sha256: str | |
| class L2DevelopmentLockResult: | |
| root: Path | |
| aggregate_path: Path | |
| aggregate_sha256: str | |
| marker_path: Path | |
| created_at_utc: str | |
| children: tuple[L2DevelopmentChildLock, ...] | |
| status: Literal["LOCKED", "NOT_CREATED"] = "LOCKED" | |
| reason_codes: tuple[str, ...] = () | |
| # Neutral public name for the LOCKED | NOT_CREATED union. The historical | |
| # alias remains available because the pre-capture CLI already exposes lock- | |
| # named arguments and both variants intentionally share that authority slot. | |
| L2DevelopmentAuthorityResult = L2DevelopmentLockResult | |
| class _LoadedSymbolFrames(Protocol): | |
| book_observations: pl.DataFrame | |
| depth_deltas: pl.DataFrame | |
| intervals: tuple[L2ObservedInterval, ...] | |
| class _FileAuthority(Protocol): | |
| manifest_sha256: str | |
| checksums_sha256: str | |
| def to_dict(self) -> dict[str, object]: ... | |
| class _ExpectedFileAuthority(Protocol): | |
| def manifest_sha256(self) -> str: ... | |
| def checksums_sha256(self) -> str: ... | |
| class _CampaignIdentity(Protocol): | |
| campaign_authority_sha256: str | |
| runtime_commit: str | |
| runtime_source_tree_sha256: str | |
| runtime_fingerprint_sha256: str | |
| runtime_dirty: bool | |
| def to_dict(self) -> dict[str, object]: ... | |
| class _VerifiedInput(Protocol): | |
| root: Path | |
| session_id: str | |
| session_date: str | |
| role: str | |
| config_sha256: str | |
| config_source_sha256: str | |
| file_authority: _FileAuthority | |
| campaign_identity: _CampaignIdentity | |
| symbols: Mapping[str, object] | |
| access_phase: str | |
| development_lock_sha256: str | None | |
| def load_symbol_frames(self, symbol: str) -> _LoadedSymbolFrames: ... | |
| class L2DevelopmentInputVerifier(Protocol): | |
| def __call__( | |
| self, | |
| bundle_dir: str | Path, | |
| *, | |
| expected_config: M8L2StudyConfig, | |
| expected_date: str, | |
| expected_role: str, | |
| expected_file_authority: object | None = None, | |
| expected_campaign: object | None = None, | |
| ) -> _VerifiedInput: ... | |
| def _frame_bytes(frame: pl.DataFrame) -> int: | |
| """Return Polars' owned-buffer estimate as an integer byte count.""" | |
| return int(frame.estimated_size("b")) | |
| def _loaded_bytes(value: _LoadedSymbolFrames) -> int: | |
| # Intervals are tiny fixed dataclasses, but charging one KiB each keeps the | |
| # admission proof conservative even if a malformed authority has many. | |
| return ( | |
| _frame_bytes(value.book_observations) | |
| + _frame_bytes(value.depth_deltas) | |
| + len(value.intervals) * 1024 | |
| ) | |
| def _require_memory_budget(observed: int, maximum: int, label: str) -> None: | |
| if observed < 0 or observed > maximum: | |
| raise M8L2DevelopmentError( | |
| f"{label} exceeds the fail-closed memory budget ({observed} > {maximum} bytes)" | |
| ) | |
| def _parquet_metadata_bytes(root: Path, artifact: object, label: str) -> tuple[int, int]: | |
| """Read only Parquet metadata, through a no-follow descriptor, before load.""" | |
| relative = getattr(artifact, "relative_path", None) | |
| claimed_rows = getattr(artifact, "rows", None) | |
| if not isinstance(relative, str) or not isinstance(claimed_rows, int): | |
| raise M8L2DevelopmentError(f"{label} lacks bounded Parquet metadata authority") | |
| safe = _safe_relative(relative) | |
| path = root / safe | |
| flags = os.O_RDONLY | getattr(os, "O_NOFOLLOW", 0) | getattr(os, "O_CLOEXEC", 0) | |
| try: | |
| descriptor = os.open(path, flags) | |
| before = os.fstat(descriptor) | |
| if not stat.S_ISREG(before.st_mode): | |
| raise M8L2DevelopmentError(f"{label} is not a regular Parquet file") | |
| with os.fdopen(descriptor, "rb", closefd=True) as handle: | |
| parquet = pq.ParquetFile(handle) | |
| metadata = parquet.metadata | |
| rows = int(metadata.num_rows) | |
| uncompressed = sum( | |
| int(metadata.row_group(index).total_byte_size) | |
| for index in range(metadata.num_row_groups) | |
| ) | |
| after = os.fstat(handle.fileno()) | |
| if (before.st_dev, before.st_ino, before.st_size, before.st_mtime_ns) != ( | |
| after.st_dev, | |
| after.st_ino, | |
| after.st_size, | |
| after.st_mtime_ns, | |
| ): | |
| raise M8L2DevelopmentError(f"{label} changed during memory admission") | |
| except M8L2DevelopmentError: | |
| raise | |
| except (OSError, ValueError, TypeError) as error: | |
| raise M8L2DevelopmentError(f"cannot inspect {label} memory metadata") from error | |
| if rows != claimed_rows or rows < 1 or uncompressed < 1: | |
| raise M8L2DevelopmentError(f"{label} Parquet metadata differs from its authority") | |
| return uncompressed, rows | |
| def _preflight_symbol_raw(value: _VerifiedInput, symbol: str) -> tuple[int, int] | None: | |
| """Return (raw bytes, book rows) without opening column payloads. | |
| Production verifier objects always expose the two verified artifact | |
| descriptors. The ``None`` branch exists only for injected test loaders; | |
| those remain protected by the immediate post-load budget check. | |
| """ | |
| descriptor = value.symbols.get(symbol) | |
| books = getattr(descriptor, "book_observations", None) | |
| deltas = getattr(descriptor, "depth_deltas", None) | |
| if books is None or deltas is None: | |
| return None | |
| book_bytes, book_rows = _parquet_metadata_bytes( | |
| value.root, books, f"{value.session_date} {symbol} book observations" | |
| ) | |
| delta_bytes, _ = _parquet_metadata_bytes( | |
| value.root, deltas, f"{value.session_date} {symbol} depth deltas" | |
| ) | |
| return book_bytes + delta_bytes, book_rows | |
| def _causal_build_upper_bytes(book_rows: int, endpoint_count: int) -> int: | |
| if book_rows < 0 or endpoint_count < 1: | |
| raise M8L2DevelopmentError("invalid row count for causal-memory admission") | |
| return book_rows * endpoint_count * _CAUSAL_ENDPOINT_ROW_UPPER_BYTES | |
| def _selection_workspace_upper_bytes( | |
| train: pl.DataFrame, | |
| validation: pl.DataFrame, | |
| *, | |
| feature_count: int, | |
| ) -> int: | |
| """Bound selection copies and NumPy arrays before entering the fitter. | |
| ``select_multidate_model`` materializes a full-width date concat, eligible | |
| filters/splits, and two sets of float64 feature matrices. Four full-width | |
| equivalents plus feature/target/probability vectors is deliberately above | |
| that live set and therefore rejects before NumPy can exceed its 2 GiB slot. | |
| """ | |
| if feature_count < 1: | |
| raise M8L2DevelopmentError("selection memory admission requires model features") | |
| rows = train.height + validation.height | |
| full_width_copies = 4 * (_frame_bytes(train) + _frame_bytes(validation)) | |
| numpy_bytes = rows * (feature_count * 8 * 2 + _SELECTION_NUMPY_VECTOR_COUNT * 8) | |
| return full_width_copies + numpy_bytes | |
| def _utc_now() -> datetime: | |
| return datetime.now(UTC) | |
| def _producer_source_identity(project_root: Path) -> ProducerSourceIdentity: | |
| before = strict_git_state(project_root) | |
| source_tree_sha256 = git_source_tree_sha256(project_root) | |
| after = strict_git_state(project_root) | |
| if before != after: | |
| raise M8L2DevelopmentError("Git identity changed during development source snapshot") | |
| return ProducerSourceIdentity( | |
| commit=before.commit, | |
| source_tree_sha256=source_tree_sha256, | |
| dirty=before.dirty, | |
| ) | |
| def _load_input_verifier() -> L2DevelopmentInputVerifier: | |
| return cast( | |
| L2DevelopmentInputVerifier, | |
| _l2_inputs_module.verify_m8_l2_development_input, | |
| ) | |
| def _assert_development_import_origins(project_root: Path) -> None: | |
| try: | |
| assert_project_module_origins( | |
| project_root, | |
| "microstructure.m8_l2_development", | |
| _l2_inputs_module, | |
| "microstructure.m8_l2_analysis_config", | |
| "microstructure.research.l2_multidate", | |
| "microstructure.research.multidate", | |
| ) | |
| except ImportOriginError as error: | |
| raise M8L2DevelopmentError( | |
| "development producer has a foreign or mixed import origin" | |
| ) from error | |
| def _canonical_json_bytes(value: Mapping[str, object]) -> bytes: | |
| try: | |
| return ( | |
| json.dumps( | |
| dict(value), | |
| sort_keys=True, | |
| separators=(",", ":"), | |
| ensure_ascii=True, | |
| allow_nan=False, | |
| ) | |
| + "\n" | |
| ).encode("ascii") | |
| except (TypeError, ValueError) as error: | |
| raise M8L2DevelopmentError("development authority is not canonical finite JSON") from error | |
| def _decode_json_bytes(raw: bytes, label: str) -> dict[str, Any]: | |
| def reject_duplicates(pairs: list[tuple[str, Any]]) -> dict[str, Any]: | |
| result: dict[str, Any] = {} | |
| for key, value in pairs: | |
| if key in result: | |
| raise M8L2DevelopmentError(f"{label} repeats key {key!r}") | |
| result[key] = value | |
| return result | |
| def reject_constant(value: str) -> object: | |
| raise M8L2DevelopmentError(f"{label} contains forbidden constant {value}") | |
| try: | |
| decoded = json.loads( | |
| raw, | |
| object_pairs_hook=reject_duplicates, | |
| parse_constant=reject_constant, | |
| ) | |
| except M8L2DevelopmentError: | |
| raise | |
| except (UnicodeDecodeError, json.JSONDecodeError) as error: | |
| raise M8L2DevelopmentError(f"{label} is not valid UTF-8 JSON") from error | |
| if not isinstance(decoded, dict) or not all(type(key) is str for key in decoded): | |
| raise M8L2DevelopmentError(f"{label} must be a JSON object") | |
| return cast(dict[str, Any], decoded) | |
| def _safe_relative(value: str) -> str: | |
| candidate = PurePosixPath(value) | |
| if ( | |
| not value | |
| or candidate.is_absolute() | |
| or ".." in candidate.parts | |
| or value != candidate.as_posix() | |
| ): | |
| raise M8L2DevelopmentError(f"unsafe development-lock relative path {value!r}") | |
| return value | |
| def _relative(path: Path, root: Path) -> str: | |
| try: | |
| return path.relative_to(root).as_posix() | |
| except ValueError as error: | |
| raise M8L2DevelopmentError("development artifact escapes its lock root") from error | |
| def _fsync_directory(path: Path) -> None: | |
| descriptor = os.open(path, os.O_RDONLY | getattr(os, "O_DIRECTORY", 0)) | |
| try: | |
| os.fsync(descriptor) | |
| finally: | |
| os.close(descriptor) | |
| def _write_bytes(path: Path, raw: bytes) -> None: | |
| path.parent.mkdir(parents=True, exist_ok=True) | |
| flags = os.O_WRONLY | os.O_CREAT | os.O_EXCL | |
| if hasattr(os, "O_NOFOLLOW"): | |
| flags |= os.O_NOFOLLOW | |
| descriptor = os.open(path, flags, 0o644) | |
| try: | |
| view = memoryview(raw) | |
| while view: | |
| written = os.write(descriptor, view) | |
| if written < 1: | |
| raise OSError("short write while publishing development authority") | |
| view = view[written:] | |
| os.fsync(descriptor) | |
| finally: | |
| os.close(descriptor) | |
| _fsync_directory(path.parent) | |
| def _write_json(path: Path, payload: Mapping[str, object]) -> str: | |
| raw = _canonical_json_bytes(payload) | |
| _write_bytes(path, raw) | |
| return hashlib.sha256(raw).hexdigest() | |
| def _read_regular(path: Path, *, label: str, maximum: int) -> bytes: | |
| try: | |
| metadata = path.lstat() | |
| except OSError as error: | |
| raise M8L2DevelopmentError(f"cannot stat {label}") from error | |
| if not stat.S_ISREG(metadata.st_mode): | |
| raise M8L2DevelopmentError(f"{label} must be a regular file") | |
| if metadata.st_size > maximum: | |
| raise M8L2DevelopmentError(f"{label} exceeds its bounded verification size") | |
| flags = os.O_RDONLY | |
| if hasattr(os, "O_NOFOLLOW"): | |
| flags |= os.O_NOFOLLOW | |
| descriptor = os.open(path, flags) | |
| try: | |
| opened = os.fstat(descriptor) | |
| if not stat.S_ISREG(opened.st_mode) or (opened.st_dev, opened.st_ino) != ( | |
| metadata.st_dev, | |
| metadata.st_ino, | |
| ): | |
| raise M8L2DevelopmentError(f"{label} changed during verification") | |
| chunks: list[bytes] = [] | |
| remaining = maximum + 1 | |
| while remaining > 0: | |
| chunk = os.read(descriptor, min(1024 * 1024, remaining)) | |
| if not chunk: | |
| break | |
| chunks.append(chunk) | |
| remaining -= len(chunk) | |
| raw = b"".join(chunks) | |
| if len(raw) > maximum: | |
| raise M8L2DevelopmentError(f"{label} exceeds its bounded verification size") | |
| if os.fstat(descriptor).st_size != len(raw): | |
| raise M8L2DevelopmentError(f"{label} changed during verification") | |
| return raw | |
| except OSError as error: | |
| raise M8L2DevelopmentError(f"cannot read {label}") from error | |
| finally: | |
| os.close(descriptor) | |
| def _read_json(path: Path, label: str) -> tuple[dict[str, Any], bytes]: | |
| raw = _read_regular(path, label=label, maximum=_MAX_JSON_BYTES) | |
| return _decode_json_bytes(raw, label), raw | |
| def _reject_symlink_components(path: Path) -> None: | |
| requested = path.absolute() | |
| current = Path(requested.anchor) | |
| for part in requested.parts[1:]: | |
| current /= part | |
| if not current.exists() and not current.is_symlink(): | |
| continue | |
| if current.is_symlink(): | |
| raise M8L2DevelopmentError(f"development-lock path contains symlink {current}") | |
| def _walk_regular(root: Path) -> dict[str, Path]: | |
| result: dict[str, Path] = {} | |
| pending = [root] | |
| while pending: | |
| directory = pending.pop() | |
| try: | |
| entries = sorted(os.scandir(directory), key=lambda item: item.name) | |
| except OSError as error: | |
| raise M8L2DevelopmentError("cannot enumerate development-lock inventory") from error | |
| for entry in entries: | |
| path = Path(entry.path) | |
| relative = _relative(path, root) | |
| if entry.is_symlink(): | |
| raise M8L2DevelopmentError( | |
| f"development-lock inventory contains symlink {relative}" | |
| ) | |
| if entry.is_dir(follow_symlinks=False): | |
| pending.append(path) | |
| elif entry.is_file(follow_symlinks=False): | |
| result[relative] = path | |
| else: | |
| raise M8L2DevelopmentError( | |
| f"development-lock inventory contains non-regular entry {relative}" | |
| ) | |
| return dict(sorted(result.items())) | |
| def _validate_source(identity: ProducerSourceIdentity) -> None: | |
| if identity.dirty: | |
| raise M8L2DevelopmentError("L2 development locking requires a clean Git source tree") | |
| if len(identity.commit) != 40 or any( | |
| char not in "0123456789abcdef" for char in identity.commit | |
| ): | |
| raise M8L2DevelopmentError("producer Git commit is not a lowercase 40-character SHA-1") | |
| if len(identity.source_tree_sha256) != 64 or any( | |
| char not in "0123456789abcdef" for char in identity.source_tree_sha256 | |
| ): | |
| raise M8L2DevelopmentError("producer source-tree identity is not a lowercase SHA-256") | |
| def _revalidate_configs( | |
| capture_config: M8L2StudyConfig, | |
| analysis_config: M8L2AnalysisConfig, | |
| ) -> tuple[M8L2StudyConfig, M8L2AnalysisConfig]: | |
| try: | |
| capture = load_m8_l2_config(capture_config.path) | |
| analysis = load_m8_l2_analysis_config(analysis_config.path) | |
| except (OSError, ValueError) as error: | |
| raise M8L2DevelopmentError( | |
| "frozen L2 configuration authority cannot be reloaded" | |
| ) from error | |
| if capture != capture_config or analysis != analysis_config: | |
| raise M8L2DevelopmentError("in-memory L2 configuration differs from exact frozen bytes") | |
| if ( | |
| analysis.study.capture_config_source_sha256 != capture.source_sha256 | |
| or analysis.study.capture_protocol_sha256 != M8_L2_PROTOCOL_SHA256 | |
| or analysis.study.symbols != capture.study.symbols | |
| or analysis.study.seed != capture.study.seed | |
| ): | |
| raise M8L2DevelopmentError("capture and analysis contracts do not share one frozen study") | |
| coordinates = tuple((item.date.isoformat(), item.role) for item in capture.sessions) | |
| if coordinates != (*_EXPECTED_DEVELOPMENT, *_EXPECTED_HELDOUT): | |
| raise M8L2DevelopmentError("capture calendar differs from the frozen four-session study") | |
| if ( | |
| analysis.study.training_role != "train" | |
| or analysis.study.selection_role != "validation" | |
| or analysis.study.primary_endpoint_role != "primary_test" | |
| or analysis.study.replication_endpoint_role != "replication_test" | |
| ): | |
| raise M8L2DevelopmentError("analysis roles differ from the frozen four-session study") | |
| return capture, analysis | |
| def _campaign_dict(value: _CampaignIdentity) -> dict[str, object]: | |
| payload = value.to_dict() | |
| expected = { | |
| "campaign_authority_sha256", | |
| "runtime_commit", | |
| "runtime_source_tree_sha256", | |
| "runtime_fingerprint_sha256", | |
| "runtime_dirty", | |
| } | |
| if set(payload) != expected: | |
| raise M8L2DevelopmentError("development input campaign identity is malformed") | |
| return payload | |
| def _campaign_from_session_bundle(bundle: M8L2SessionBundle) -> _CampaignIdentity: | |
| manifest, raw = _read_json(bundle.manifest_path, "development session manifest") | |
| if hashlib.sha256(raw).hexdigest() != bundle.manifest_sha256: | |
| raise M8L2DevelopmentError("development session manifest authority changed") | |
| authority = manifest.get("authority") | |
| if not isinstance(authority, Mapping): | |
| raise M8L2DevelopmentError("development session campaign authority is malformed") | |
| try: | |
| value = _l2_inputs_module.L2CampaignRuntimeIdentity( | |
| campaign_authority_sha256=str(authority["campaign_authority_sha256"]), | |
| runtime_commit=str(authority["runtime_commit"]), | |
| runtime_source_tree_sha256=str(authority["runtime_source_tree_sha256"]), | |
| runtime_fingerprint_sha256=str(authority["runtime_fingerprint_sha256"]), | |
| runtime_dirty=authority.get("runtime_dirty") is not False, | |
| ) | |
| except (KeyError, TypeError, ValueError) as error: | |
| raise M8L2DevelopmentError("development session campaign authority is malformed") from error | |
| return cast(_CampaignIdentity, value) | |
| def _session_file_authority(bundle: M8L2SessionBundle) -> dict[str, object]: | |
| return { | |
| "manifest_sha256": bundle.manifest_sha256, | |
| "checksums_sha256": sha256_file(bundle.checksum_path), | |
| } | |
| def _verify_expected_session_file_authorities( | |
| bundles: tuple[M8L2SessionBundle, ...], | |
| expected: Mapping[str, _ExpectedFileAuthority] | None, | |
| ) -> None: | |
| """Bind control-only session files to caller-held digests without opening Parquet.""" | |
| if expected is None: | |
| return | |
| expected_dates = {value[0] for value in _EXPECTED_DEVELOPMENT} | |
| if set(expected) != expected_dates: | |
| raise M8L2DevelopmentError( | |
| "expected development session authority set must contain exactly Aug8 and Aug9" | |
| ) | |
| for bundle in bundles: | |
| authority = expected[bundle.session_date] | |
| if ( | |
| bundle.manifest_sha256 != authority.manifest_sha256 | |
| or sha256_file(bundle.checksum_path) != authority.checksums_sha256 | |
| ): | |
| raise M8L2DevelopmentError(f"caller-held {bundle.role} session file authority changed") | |
| def _development_session_claim(bundle: M8L2SessionBundle) -> dict[str, object]: | |
| return { | |
| "date": bundle.session_date, | |
| "role": bundle.role, | |
| "status": bundle.status, | |
| "session_id": bundle.session_id, | |
| "file_authority": _session_file_authority(bundle), | |
| "reason_codes": list(bundle.reason_codes), | |
| } | |
| def _not_created_reasons( | |
| bundles: tuple[M8L2SessionBundle, M8L2SessionBundle], | |
| ) -> tuple[str, ...]: | |
| return tuple( | |
| sorted( | |
| { | |
| f"DEVELOPMENT_SESSION_INSUFFICIENT::{bundle.role}::{reason}" | |
| for bundle in bundles | |
| if bundle.status != "COMPLETE" | |
| for reason in (bundle.reason_codes or ("SESSION_INSUFFICIENT_DATA",)) | |
| } | |
| ) | |
| ) | |
| def _file_authority_dict(value: _FileAuthority) -> dict[str, object]: | |
| payload = value.to_dict() | |
| if set(payload) != {"manifest_sha256", "checksums_sha256"}: | |
| raise M8L2DevelopmentError("development input file authority is malformed") | |
| return payload | |
| def _verify_input_descriptor( | |
| value: _VerifiedInput, | |
| bundle: M8L2SessionBundle, | |
| *, | |
| capture: M8L2StudyConfig, | |
| expected_date: str, | |
| expected_role: str, | |
| ) -> None: | |
| if ( | |
| value.root.absolute() != bundle.root.absolute() | |
| or value.session_id != bundle.session_id | |
| or value.session_date != expected_date | |
| or value.role != expected_role | |
| or value.config_sha256 != capture.hash | |
| or value.config_source_sha256 != capture.source_sha256 | |
| or value.access_phase != "development" | |
| or value.development_lock_sha256 is not None | |
| or tuple(value.symbols) != capture.study.symbols | |
| or value.file_authority.manifest_sha256 != bundle.manifest_sha256 | |
| ): | |
| raise M8L2DevelopmentError("verified development input descriptor changed its authority") | |
| def _endpoint_specs(analysis: M8L2AnalysisConfig) -> tuple[L2EndpointSpec, ...]: | |
| result: list[L2EndpointSpec] = [] | |
| windows = set(analysis.features.rolling_windows) | |
| for item in analysis.endpoints: | |
| impact_window = ( | |
| item.horizon_value if item.domain == "event" else item.nominal_event_block_width | |
| ) | |
| if impact_window not in windows: | |
| impact_window = min(windows, key=lambda value: abs(value - impact_window)) | |
| result.append( | |
| L2EndpointSpec( | |
| name=item.name, | |
| domain=item.domain, | |
| horizon_value=item.horizon_value, | |
| horizon_unit=item.unit, | |
| paired_block_events=item.paired_block_width if item.domain == "event" else None, | |
| paired_block_milliseconds=( | |
| item.paired_block_width if item.domain == "clock" else None | |
| ), | |
| impact_ofi_window=impact_window, | |
| ) | |
| ) | |
| return tuple(result) | |
| def _model_config(capture: M8L2StudyConfig) -> ModelConfig: | |
| return ModelConfig( | |
| selection_metric=capture.models.selection_metric, | |
| logistic_c_values=capture.models.logistic_c_values, | |
| tree_max_depth_values=capture.models.tree_max_depth_values, | |
| tree_min_samples_leaf=capture.models.tree_min_samples_leaf, | |
| ) | |
| def _finite_unique(frame: pl.DataFrame, column: str, label: str) -> float: | |
| if column not in frame.columns: | |
| raise M8L2DevelopmentError(f"execution reference lacks {column}") | |
| values = [float(value) for value in frame.get_column(column).drop_nulls().unique().to_list()] | |
| if len(values) != 1 or not math.isfinite(values[0]) or values[0] <= 0.0: | |
| raise M8L2DevelopmentError(f"{label} must be one consistent positive finite value") | |
| return values[0] | |
| def _execution_reference( | |
| symbol: str, | |
| train: pl.DataFrame, | |
| validation: pl.DataFrame, | |
| analysis: M8L2AnalysisConfig, | |
| ) -> dict[str, object]: | |
| train_ready = train.filter(pl.col("feature_ready")).drop_nulls( | |
| ["mid_price", "bid_quantity", "ask_quantity", "tick_size", "lot_size"] | |
| ) | |
| validation_ready = validation.filter(pl.col("feature_ready")).drop_nulls( | |
| ["tick_size", "lot_size"] | |
| ) | |
| if train_ready.is_empty() or validation_ready.is_empty(): | |
| raise M8L2DevelopmentError("execution reference requires feature-ready development rows") | |
| tick = _finite_unique(train_ready, "tick_size", "train tick size") | |
| lot = _finite_unique(train_ready, "lot_size", "train lot size") | |
| if ( | |
| _finite_unique(validation_ready, "tick_size", "validation tick size") != tick | |
| or _finite_unique(validation_ready, "lot_size", "validation lot size") != lot | |
| ): | |
| raise M8L2DevelopmentError("tick/lot size changes between development sessions") | |
| midpoint = train_ready.get_column("mid_price").median() | |
| executable_depth = train_ready.select( | |
| pl.min_horizontal("bid_quantity", "ask_quantity").alias("executable_l1_depth") | |
| ) | |
| depth_q05 = executable_depth.get_column("executable_l1_depth").quantile( | |
| 0.05, interpolation="linear" | |
| ) | |
| if not isinstance(midpoint, (int, float)) or not isinstance(depth_q05, (int, float)): | |
| raise M8L2DevelopmentError("execution reference statistics are unavailable") | |
| reference_mid = float(midpoint) | |
| reference_depth = float(depth_q05) | |
| if not math.isfinite(reference_mid) or reference_mid <= 0.0: | |
| raise M8L2DevelopmentError("train median mid price is not positive and finite") | |
| if not math.isfinite(reference_depth) or reference_depth <= 0.0: | |
| raise M8L2DevelopmentError("train q05 executable L1 depth is not positive and finite") | |
| raw_quantity = min( | |
| analysis.execution.order_notional_usd / reference_mid, | |
| analysis.execution.max_l1_participation * reference_depth, | |
| ) | |
| quantity_lots = math.floor(raw_quantity / lot + 1e-12) | |
| reference_quantity = quantity_lots * lot | |
| if quantity_lots < 1 or not math.isfinite(reference_quantity): | |
| raise M8L2DevelopmentError("frozen execution reference rounds below one lot") | |
| return { | |
| "schema_version": _EXECUTION_REFERENCE_SCHEMA_VERSION, | |
| "artifact_kind": "train_only_execution_reference", | |
| "symbol": symbol, | |
| "fit_date": "2026-08-10", | |
| "fit_role": "train", | |
| "reference_price_statistic": analysis.execution.reference_price_statistic, | |
| "reference_depth_statistic": analysis.execution.reference_depth_statistic, | |
| "reference_mid_price": reference_mid, | |
| "reference_l1_depth_q05": reference_depth, | |
| "tick_size": tick, | |
| "lot_size": lot, | |
| "tick_lot_consistency_roles": ["train", "validation"], | |
| "order_notional_usd": analysis.execution.order_notional_usd, | |
| "max_l1_participation": analysis.execution.max_l1_participation, | |
| "unrounded_reference_quantity": raw_quantity, | |
| "reference_quantity_lots": quantity_lots, | |
| "reference_quantity": reference_quantity, | |
| "rounding_policy": "floor_to_whole_lot", | |
| "quantity_policy": analysis.execution.reference_quantity_policy, | |
| "train_feature_ready_rows": train_ready.height, | |
| } | |
| def _regime_payload(fitted: L2RegimeFit, analysis: M8L2AnalysisConfig) -> dict[str, object]: | |
| return { | |
| "schema_version": _REGIME_SCHEMA_VERSION, | |
| "artifact_kind": "train_only_l2_regime_thresholds", | |
| "analysis_config_source_sha256": analysis.source_sha256, | |
| **fitted.to_dict(), | |
| } | |
| def _endpoint_payload(endpoint: M8L2AnalysisEndpoint) -> dict[str, object]: | |
| return { | |
| "name": endpoint.name, | |
| "domain": endpoint.domain, | |
| "horizon_value": endpoint.horizon_value, | |
| "horizon_unit": endpoint.unit, | |
| "paired_block_width": endpoint.paired_block_width, | |
| "paired_block_unit": endpoint.paired_block_unit, | |
| "nominal_event_block_width": endpoint.nominal_event_block_width, | |
| } | |
| def _frame_sha256(frame: pl.DataFrame) -> str: | |
| digest = hashlib.sha256() | |
| schema = [(name, str(dtype)) for name, dtype in frame.schema.items()] | |
| digest.update(json.dumps(schema, separators=(",", ":")).encode()) | |
| row_hashes = frame.hash_rows(seed=0, seed_1=1, seed_2=2, seed_3=3) | |
| for chunk in row_hashes.get_chunks(): | |
| digest.update(chunk.to_numpy().astype("<u8", copy=False).tobytes(order="C")) | |
| digest.update(str(frame.height).encode()) | |
| return digest.hexdigest() | |
| def _write_parquet(path: Path, frame: pl.DataFrame) -> str: | |
| path.parent.mkdir(parents=True, exist_ok=True) | |
| if path.exists() or path.is_symlink(): | |
| raise M8L2DevelopmentError(f"refusing to overwrite development artifact {path}") | |
| frame.write_parquet(path, compression="zstd", statistics=True) | |
| descriptor = os.open(path, os.O_RDONLY) | |
| try: | |
| os.fsync(descriptor) | |
| finally: | |
| os.close(descriptor) | |
| _fsync_directory(path.parent) | |
| return sha256_file(path) | |
| def _child_payload( | |
| *, | |
| root: Path, | |
| symbol: str, | |
| endpoint: M8L2AnalysisEndpoint, | |
| selection: LockedSelection, | |
| selection_path: Path, | |
| state_path: Path, | |
| comparison_path: Path, | |
| comparison_file_sha256: str, | |
| regime_path: Path, | |
| regime_sha256: str, | |
| execution_path: Path, | |
| execution_sha256: str, | |
| capture: M8L2StudyConfig, | |
| analysis: M8L2AnalysisConfig, | |
| producer: ProducerSourceIdentity, | |
| train_input: _VerifiedInput, | |
| validation_input: _VerifiedInput, | |
| ) -> dict[str, object]: | |
| return { | |
| "schema_version": _CHILD_SCHEMA_VERSION, | |
| "artifact_kind": "m8_l2_symbol_endpoint_development_lock", | |
| "symbol": symbol, | |
| "endpoint": _endpoint_payload(endpoint), | |
| "capture_config_sha256": capture.hash, | |
| "capture_config_source_sha256": capture.source_sha256, | |
| "analysis_config_sha256": analysis.hash, | |
| "analysis_config_source_sha256": analysis.source_sha256, | |
| "producer_source_identity": producer.to_dict(), | |
| "development_inputs": [ | |
| { | |
| "date": train_input.session_date, | |
| "role": train_input.role, | |
| "session_id": train_input.session_id, | |
| "file_authority": _file_authority_dict(train_input.file_authority), | |
| }, | |
| { | |
| "date": validation_input.session_date, | |
| "role": validation_input.role, | |
| "session_id": validation_input.session_id, | |
| "file_authority": _file_authority_dict(validation_input.file_authority), | |
| }, | |
| ], | |
| "campaign_identity": _campaign_dict(train_input.campaign_identity), | |
| "selection_policy": "eight_candidates_fit_train_only_selected_validation_log_loss", | |
| "final_fit_policy": ( | |
| "selected_specification_and_independent_historical_prior_fit_once_on_" | |
| "train_plus_validation_before_aggregate_lock" | |
| ), | |
| "candidate_count": selection.validation_comparison.height, | |
| "selected_model": selection.selected_model, | |
| "selection_lock_path": _relative(selection_path, root), | |
| "selection_lock_sha256": selection.lock.sha256, | |
| "final_fitted_state_path": _relative(state_path, root), | |
| "final_fitted_state_sha256": selection.fitted_state.sha256, | |
| "validation_comparison_path": _relative(comparison_path, root), | |
| "validation_comparison_file_sha256": comparison_file_sha256, | |
| "validation_comparison_frame_sha256": _frame_sha256(selection.validation_comparison), | |
| "validation_comparison_rows": selection.validation_comparison.height, | |
| "regime_thresholds_path": _relative(regime_path, root), | |
| "regime_thresholds_sha256": regime_sha256, | |
| "execution_reference_path": _relative(execution_path, root), | |
| "execution_reference_sha256": execution_sha256, | |
| "development_frame_sha256": selection.development_frame_sha256, | |
| "test_rows_accessed": False, | |
| "heldout_fit_or_update_allowed": False, | |
| } | |
| def _write_child( | |
| *, | |
| root: Path, | |
| symbol: str, | |
| endpoint: M8L2AnalysisEndpoint, | |
| selection: LockedSelection, | |
| regime_path: Path, | |
| regime_sha256: str, | |
| execution_path: Path, | |
| execution_sha256: str, | |
| capture: M8L2StudyConfig, | |
| analysis: M8L2AnalysisConfig, | |
| producer: ProducerSourceIdentity, | |
| train_input: _VerifiedInput, | |
| validation_input: _VerifiedInput, | |
| ) -> L2DevelopmentChildLock: | |
| base = root / "models" / symbol.lower() / endpoint.name | |
| selection_path = base / "selection_lock.json" | |
| state_path = base / "final_fitted_state.json" | |
| comparison_path = base / "validation_comparison.parquet" | |
| _write_bytes(selection_path, selection.lock.payload_json.encode("ascii") + b"\n") | |
| _write_bytes(state_path, selection.fitted_state.payload_json.encode("ascii") + b"\n") | |
| comparison_file_sha = _write_parquet(comparison_path, selection.validation_comparison) | |
| child_payload = _child_payload( | |
| root=root, | |
| symbol=symbol, | |
| endpoint=endpoint, | |
| selection=selection, | |
| selection_path=selection_path, | |
| state_path=state_path, | |
| comparison_path=comparison_path, | |
| comparison_file_sha256=comparison_file_sha, | |
| regime_path=regime_path, | |
| regime_sha256=regime_sha256, | |
| execution_path=execution_path, | |
| execution_sha256=execution_sha256, | |
| capture=capture, | |
| analysis=analysis, | |
| producer=producer, | |
| train_input=train_input, | |
| validation_input=validation_input, | |
| ) | |
| child_path = base / "child_lock.json" | |
| child_sha = _write_json(child_path, child_payload) | |
| return L2DevelopmentChildLock( | |
| symbol=symbol, | |
| endpoint=endpoint.name, | |
| path=child_path, | |
| sha256=child_sha, | |
| selection_lock_sha256=selection.lock.sha256, | |
| fitted_state_sha256=selection.fitted_state.sha256, | |
| ) | |
| def _reserve_destination(path: Path) -> Path: | |
| _reject_symlink_components(path.parent) | |
| path.parent.mkdir(parents=True, exist_ok=True) | |
| _reject_symlink_components(path.parent) | |
| try: | |
| path.mkdir(mode=0o755) | |
| except FileExistsError as error: | |
| raise M8L2DevelopmentError( | |
| f"development-lock destination already exists; overwrite is forbidden: {path}" | |
| ) from error | |
| _fsync_directory(path.parent) | |
| return path | |
| def _publish_inventory( | |
| root: Path, | |
| *, | |
| artifact_kind: str = "m8_l2_development_lock_inventory", | |
| ) -> None: | |
| files = _walk_regular(root) | |
| if ( | |
| _LOCKED_MARKER in files | |
| or _NOT_CREATED_MARKER in files | |
| or _CHECKSUMS_NAME in files | |
| or _INVENTORY_NAME in files | |
| ): | |
| raise M8L2DevelopmentError("terminal inventory files were published out of order") | |
| inventory_entries = [ | |
| { | |
| "path": relative, | |
| "sha256": sha256_file(path), | |
| "bytes": path.stat().st_size, | |
| } | |
| for relative, path in files.items() | |
| ] | |
| _write_json( | |
| root / _INVENTORY_NAME, | |
| { | |
| "schema_version": _INVENTORY_SCHEMA_VERSION, | |
| "artifact_kind": artifact_kind, | |
| "files": inventory_entries, | |
| }, | |
| ) | |
| checksum_files = _walk_regular(root) | |
| lines = [f"{sha256_file(path)} {relative}\n" for relative, path in checksum_files.items()] | |
| _write_bytes(root / _CHECKSUMS_NAME, "".join(lines).encode("ascii")) | |
| def _validate_lock_time(now: datetime) -> str: | |
| if now.tzinfo is None: | |
| raise M8L2DevelopmentError("development lock clock must be timezone-aware") | |
| observed = now.astimezone(UTC) | |
| if observed < _EARLIEST_LOCK_TIME: | |
| raise M8L2DevelopmentError("development lock cannot precede validation session completion") | |
| if observed >= _LOCK_DEADLINE: | |
| raise M8L2DevelopmentError("development lock deadline has passed") | |
| return observed.isoformat().replace("+00:00", "Z") | |
| def _validate_runtime_campaign( | |
| producer: ProducerSourceIdentity, | |
| train_input: _VerifiedInput, | |
| validation_input: _VerifiedInput, | |
| ) -> None: | |
| train_campaign = _campaign_dict(train_input.campaign_identity) | |
| validation_campaign = _campaign_dict(validation_input.campaign_identity) | |
| if train_campaign != validation_campaign: | |
| raise M8L2DevelopmentError("development sessions have different campaign identities") | |
| expected = { | |
| "runtime_commit": producer.commit, | |
| "runtime_source_tree_sha256": producer.source_tree_sha256, | |
| "runtime_dirty": False, | |
| } | |
| if any(train_campaign.get(name) != value for name, value in expected.items()): | |
| raise M8L2DevelopmentError( | |
| "development producer source differs from the frozen capture campaign" | |
| ) | |
| if ( | |
| train_campaign.get("runtime_fingerprint_sha256") | |
| != current_m8_l2_runtime_fingerprint_sha256() | |
| ): | |
| raise M8L2DevelopmentError( | |
| "development producer runtime differs from the frozen capture campaign" | |
| ) | |
| def _validate_not_created_context( | |
| *, | |
| capture: M8L2StudyConfig, | |
| producer: ProducerSourceIdentity, | |
| bundles: tuple[M8L2SessionBundle, M8L2SessionBundle], | |
| ) -> _CampaignIdentity: | |
| campaigns = tuple(_campaign_from_session_bundle(bundle) for bundle in bundles) | |
| if _campaign_dict(campaigns[0]) != _campaign_dict(campaigns[1]): | |
| raise M8L2DevelopmentError("development sessions have different campaign identities") | |
| campaign = _campaign_dict(campaigns[0]) | |
| if ( | |
| campaign.get("runtime_commit") != producer.commit | |
| or campaign.get("runtime_source_tree_sha256") != producer.source_tree_sha256 | |
| or campaign.get("runtime_dirty") is not False | |
| ): | |
| raise M8L2DevelopmentError( | |
| "development producer source differs from the frozen capture campaign" | |
| ) | |
| if campaign["runtime_fingerprint_sha256"] != current_m8_l2_runtime_fingerprint_sha256(): | |
| raise M8L2DevelopmentError( | |
| "development producer runtime differs from the frozen capture campaign" | |
| ) | |
| for bundle, coordinate in zip(bundles, _EXPECTED_DEVELOPMENT, strict=True): | |
| if (bundle.session_date, bundle.role) != coordinate: | |
| raise M8L2DevelopmentError("development session has the wrong frozen coordinate") | |
| if bundle.status not in {"COMPLETE", "INSUFFICIENT_DATA"}: | |
| raise M8L2DevelopmentError("development session has an unsupported terminal status") | |
| if not _not_created_reasons(bundles): | |
| raise M8L2DevelopmentError( | |
| "NOT_CREATED development authority requires an insufficient development session" | |
| ) | |
| if capture.sessions[0].date.isoformat() != bundles[0].session_date: | |
| raise M8L2DevelopmentError("development capture calendar changed") | |
| return campaigns[0] | |
| def _publish_not_created_development( | |
| *, | |
| capture: M8L2StudyConfig, | |
| analysis: M8L2AnalysisConfig, | |
| bundles: tuple[M8L2SessionBundle, M8L2SessionBundle], | |
| lock_dir: str | Path, | |
| expected_session_file_authorities: Mapping[str, _ExpectedFileAuthority] | None, | |
| ) -> L2DevelopmentAuthorityResult: | |
| project_root = capture.path.parent.parent.resolve() | |
| producer = _producer_source_identity(project_root) | |
| _validate_source(producer) | |
| campaign = _validate_not_created_context( | |
| capture=capture, | |
| producer=producer, | |
| bundles=bundles, | |
| ) | |
| _validate_lock_time(_utc_now()) | |
| root = _reserve_destination(Path(lock_dir).absolute()) | |
| marker = root / _NOT_CREATED_MARKER | |
| reasons = _not_created_reasons(bundles) | |
| try: | |
| created_at = _validate_lock_time(_utc_now()) | |
| payload: dict[str, object] = { | |
| "schema_version": _NOT_CREATED_SCHEMA_VERSION, | |
| "artifact_kind": "m8_l2_development_authority_not_created", | |
| "status": "NOT_CREATED", | |
| "study": analysis.study.name, | |
| "created_at_utc": created_at, | |
| "must_precede_utc": _LOCK_DEADLINE.isoformat().replace("+00:00", "Z"), | |
| "capture_config_sha256": capture.hash, | |
| "capture_config_source_sha256": capture.source_sha256, | |
| "capture_protocol_sha256": analysis.study.capture_protocol_sha256, | |
| "analysis_config_sha256": analysis.hash, | |
| "analysis_config_source_sha256": analysis.source_sha256, | |
| "producer_source_identity": producer.to_dict(), | |
| "campaign_identity": _campaign_dict(campaign), | |
| "development_inputs": [_development_session_claim(bundle) for bundle in bundles], | |
| "reason_codes": list(reasons), | |
| "children": [], | |
| "heldout_declarations": [ | |
| {"date": date_value, "role": role} for date_value, role in _EXPECTED_HELDOUT | |
| ], | |
| "heldout_access": { | |
| "paths_received": False, | |
| "file_hashes_received": False, | |
| "row_counts_received": False, | |
| "economic_rows_opened": False, | |
| "model_fit_or_update_after_lock": False, | |
| }, | |
| "claims": { | |
| "cross_symbol_pooling": False, | |
| "p_values": False, | |
| "significance": False, | |
| "capacity": False, | |
| "realized_execution": False, | |
| "profitability": False, | |
| }, | |
| } | |
| aggregate_path = root / _AGGREGATE_NAME | |
| aggregate_sha = _write_json(aggregate_path, payload) | |
| _write_bytes( | |
| root / _AGGREGATE_DIGEST_NAME, | |
| f"{aggregate_sha} {_AGGREGATE_NAME}\n".encode("ascii"), | |
| ) | |
| _publish_inventory( | |
| root, | |
| artifact_kind="m8_l2_development_not_created_inventory", | |
| ) | |
| _fsync_directory(root) | |
| _validate_lock_time(_utc_now()) | |
| final_capture, final_analysis = _revalidate_configs(capture, analysis) | |
| final_producer = _producer_source_identity(project_root) | |
| repeated = tuple( | |
| verify_m8_l2_session_bundle(bundle.root, expected_config=capture) for bundle in bundles | |
| ) | |
| _verify_expected_session_file_authorities(repeated, expected_session_file_authorities) | |
| if ( | |
| final_capture != capture | |
| or final_analysis != analysis | |
| or final_producer != producer | |
| or repeated != bundles | |
| ): | |
| raise M8L2DevelopmentError( | |
| "development config/source/session authority changed before publication" | |
| ) | |
| repeated_campaign = _validate_not_created_context( | |
| capture=capture, | |
| producer=producer, | |
| bundles=repeated, | |
| ) | |
| if _campaign_dict(repeated_campaign) != _campaign_dict(campaign): | |
| raise M8L2DevelopmentError("development campaign changed before publication") | |
| _assert_development_import_origins(project_root) | |
| _validate_lock_time(_utc_now()) | |
| _write_bytes(marker, _NOT_CREATED_BYTES) | |
| _fsync_directory(root) | |
| return L2DevelopmentLockResult( | |
| root=root, | |
| aggregate_path=aggregate_path, | |
| aggregate_sha256=aggregate_sha, | |
| marker_path=marker, | |
| created_at_utc=created_at, | |
| children=(), | |
| status="NOT_CREATED", | |
| reason_codes=reasons, | |
| ) | |
| except Exception: | |
| if not marker.exists(): | |
| shutil.rmtree(root, ignore_errors=True) | |
| _fsync_directory(root.parent) | |
| raise | |
| def lock_m8_l2_development( | |
| capture_config: M8L2StudyConfig, | |
| analysis_config: M8L2AnalysisConfig, | |
| train_bundle_path: str | Path, | |
| validation_bundle_path: str | Path, | |
| lock_dir: str | Path, | |
| *, | |
| input_loader: L2DevelopmentInputVerifier | None = None, | |
| expected_session_file_authorities: Mapping[str, _ExpectedFileAuthority] | None = None, | |
| ) -> L2DevelopmentAuthorityResult: | |
| """Publish LOCKED state or a typed NOT_CREATED development authority.""" | |
| project_root = capture_config.path.parent.parent.resolve() | |
| _assert_development_import_origins(project_root) | |
| capture, analysis = _revalidate_configs(capture_config, analysis_config) | |
| train_requested = Path(train_bundle_path) | |
| validation_requested = Path(validation_bundle_path) | |
| if train_requested.absolute() == validation_requested.absolute(): | |
| raise M8L2DevelopmentError("train and validation must be distinct frozen session paths") | |
| try: | |
| train_bundle = verify_m8_l2_session_bundle(train_requested, expected_config=capture) | |
| validation_bundle = verify_m8_l2_session_bundle( | |
| validation_requested, expected_config=capture | |
| ) | |
| except Exception as error: | |
| raise M8L2DevelopmentError("development session bundle verification failed") from error | |
| bundles = (train_bundle, validation_bundle) | |
| _verify_expected_session_file_authorities(bundles, expected_session_file_authorities) | |
| for bundle, (expected_date, expected_role) in zip(bundles, _EXPECTED_DEVELOPMENT, strict=True): | |
| if bundle.session_date != expected_date or bundle.role != expected_role: | |
| raise M8L2DevelopmentError( | |
| f"development input must be COMPLETE {expected_date} {expected_role} " | |
| "or the matching terminal INSUFFICIENT_DATA authority" | |
| ) | |
| if any(bundle.status != "COMPLETE" for bundle in bundles): | |
| return _publish_not_created_development( | |
| capture=capture, | |
| analysis=analysis, | |
| bundles=bundles, | |
| lock_dir=lock_dir, | |
| expected_session_file_authorities=expected_session_file_authorities, | |
| ) | |
| project_root = capture.path.parent.parent.resolve() | |
| producer = _producer_source_identity(project_root) | |
| _validate_source(producer) | |
| verifier = input_loader if input_loader is not None else _load_input_verifier() | |
| try: | |
| train_input = verifier( | |
| train_bundle.root, | |
| expected_config=capture, | |
| expected_date="2026-08-10", | |
| expected_role="train", | |
| ) | |
| validation_input = verifier( | |
| validation_bundle.root, | |
| expected_config=capture, | |
| expected_date="2026-08-11", | |
| expected_role="validation", | |
| expected_campaign=train_input.campaign_identity, | |
| ) | |
| except Exception as error: | |
| raise M8L2DevelopmentError("development input authority verification failed") from error | |
| _verify_input_descriptor( | |
| train_input, | |
| train_bundle, | |
| capture=capture, | |
| expected_date="2026-08-10", | |
| expected_role="train", | |
| ) | |
| _verify_input_descriptor( | |
| validation_input, | |
| validation_bundle, | |
| capture=capture, | |
| expected_date="2026-08-11", | |
| expected_role="validation", | |
| ) | |
| _validate_runtime_campaign(producer, train_input, validation_input) | |
| # Refuse to begin expensive development fitting outside the declared lock | |
| # window. The deadline is checked again immediately before publishing the | |
| # aggregate authority because fitting all eight candidates can itself cross | |
| # the held-out boundary. | |
| _validate_lock_time(_utc_now()) | |
| destination = Path(lock_dir).absolute() | |
| root = _reserve_destination(destination) | |
| marker_path = root / _LOCKED_MARKER | |
| try: | |
| endpoint_specs = _endpoint_specs(analysis) | |
| endpoint_config = {item.name: item for item in analysis.endpoints} | |
| declared_test_dates = tuple(value[0] for value in _EXPECTED_HELDOUT) | |
| children: list[L2DevelopmentChildLock] = [] | |
| execution_claims: list[dict[str, object]] = [] | |
| regime_claims: list[dict[str, object]] = [] | |
| for symbol in capture.study.symbols: | |
| train_admission = _preflight_symbol_raw(train_input, symbol) | |
| validation_admission = _preflight_symbol_raw(validation_input, symbol) | |
| if train_admission is not None and validation_admission is not None: | |
| admitted_raw = train_admission[0] + validation_admission[0] | |
| _require_memory_budget( | |
| admitted_raw, | |
| _MAX_DEVELOPMENT_RAW_BYTES, | |
| f"{symbol} train+validation raw Parquet admission", | |
| ) | |
| _require_memory_budget( | |
| _causal_build_upper_bytes( | |
| train_admission[1] + validation_admission[1], len(endpoint_specs) | |
| ), | |
| _MAX_DEVELOPMENT_CAUSAL_BYTES, | |
| f"{symbol} eight-frame causal build admission", | |
| ) | |
| train_loaded = train_input.load_symbol_frames(symbol) | |
| _require_memory_budget( | |
| _loaded_bytes(train_loaded), | |
| _MAX_DEVELOPMENT_RAW_BYTES, | |
| f"{symbol} train raw materialization", | |
| ) | |
| validation_loaded = validation_input.load_symbol_frames(symbol) | |
| _require_memory_budget( | |
| _loaded_bytes(train_loaded) + _loaded_bytes(validation_loaded), | |
| _MAX_DEVELOPMENT_RAW_BYTES, | |
| f"{symbol} train+validation raw materialization", | |
| ) | |
| if train_admission is None or validation_admission is None: | |
| _require_memory_budget( | |
| _causal_build_upper_bytes( | |
| train_loaded.book_observations.height | |
| + validation_loaded.book_observations.height, | |
| len(endpoint_specs), | |
| ), | |
| _MAX_DEVELOPMENT_CAUSAL_BYTES, | |
| f"{symbol} eight-frame causal build admission", | |
| ) | |
| train_frames = build_l2_endpoint_frames( | |
| train_loaded.book_observations, | |
| train_loaded.depth_deltas, | |
| train_loaded.intervals, | |
| study_date="2026-08-10", | |
| study_role="train", | |
| feature_windows=analysis.features.rolling_windows, | |
| volatility_window=analysis.features.volatility_window, | |
| clock_max_state_age_ms=analysis.features.clock_max_state_age_ms, | |
| endpoints=endpoint_specs, | |
| ) | |
| _require_memory_budget( | |
| sum(_frame_bytes(frame) for frame in train_frames.values()), | |
| _MAX_DEVELOPMENT_CAUSAL_BYTES, | |
| f"{symbol} train causal frames", | |
| ) | |
| validation_frames = build_l2_endpoint_frames( | |
| validation_loaded.book_observations, | |
| validation_loaded.depth_deltas, | |
| validation_loaded.intervals, | |
| study_date="2026-08-11", | |
| study_role="validation", | |
| feature_windows=analysis.features.rolling_windows, | |
| volatility_window=analysis.features.volatility_window, | |
| clock_max_state_age_ms=analysis.features.clock_max_state_age_ms, | |
| endpoints=endpoint_specs, | |
| ) | |
| _require_memory_budget( | |
| sum(_frame_bytes(frame) for frame in train_frames.values()) | |
| + sum(_frame_bytes(frame) for frame in validation_frames.values()), | |
| _MAX_DEVELOPMENT_CAUSAL_BYTES, | |
| f"{symbol} eight accumulated causal frames", | |
| ) | |
| first_endpoint = analysis.endpoints[0].name | |
| regime = fit_l2_regime_thresholds( | |
| train_frames[first_endpoint], | |
| lower_quantile=( | |
| analysis.regimes.quantile_numerators[0] / analysis.regimes.quantile_denominator | |
| ), | |
| upper_quantile=( | |
| analysis.regimes.quantile_numerators[1] / analysis.regimes.quantile_denominator | |
| ), | |
| volatility_column=analysis.regimes.feature, | |
| ) | |
| regime_path = root / "references" / symbol.lower() / "regime_thresholds.json" | |
| regime_sha = _write_json(regime_path, _regime_payload(regime, analysis)) | |
| train_reference_frame = apply_l2_regimes(train_frames[first_endpoint], regime) | |
| validation_reference_frame = apply_l2_regimes(validation_frames[first_endpoint], regime) | |
| execution_path = root / "references" / symbol.lower() / "execution_reference.json" | |
| execution_sha = _write_json( | |
| execution_path, | |
| _execution_reference( | |
| symbol, | |
| train_reference_frame, | |
| validation_reference_frame, | |
| analysis, | |
| ), | |
| ) | |
| del train_reference_frame, validation_reference_frame | |
| execution_claims.append( | |
| { | |
| "symbol": symbol, | |
| "path": _relative(execution_path, root), | |
| "sha256": execution_sha, | |
| } | |
| ) | |
| regime_claims.append( | |
| { | |
| "symbol": symbol, | |
| "path": _relative(regime_path, root), | |
| "sha256": regime_sha, | |
| } | |
| ) | |
| for endpoint in analysis.endpoints: | |
| modeled_train = apply_l2_regimes(train_frames[endpoint.name], regime) | |
| modeled_validation = apply_l2_regimes(validation_frames[endpoint.name], regime) | |
| feature_columns = l2_model_feature_columns( | |
| modeled_train, windows=analysis.features.rolling_windows | |
| ) | |
| if feature_columns != analysis.features.model_feature_columns: | |
| raise M8L2DevelopmentError( | |
| "generated L2 feature ladder differs from frozen analysis contract" | |
| ) | |
| if ( | |
| l2_model_feature_columns( | |
| modeled_validation, windows=analysis.features.rolling_windows | |
| ) | |
| != feature_columns | |
| ): | |
| raise M8L2DevelopmentError("validation feature ladder differs from train") | |
| _require_memory_budget( | |
| _selection_workspace_upper_bytes( | |
| modeled_train, | |
| modeled_validation, | |
| feature_count=len(feature_columns), | |
| ), | |
| _MAX_SELECTION_WORKSPACE_BYTES, | |
| f"{symbol} {endpoint.name} selection scratch/NumPy admission", | |
| ) | |
| selection = select_multidate_model( | |
| (modeled_train, modeled_validation), | |
| _model_config(capture), | |
| feature_columns=feature_columns, | |
| declared_test_dates=declared_test_dates, | |
| seed=analysis.study.seed, | |
| calibration_bins=analysis.calibration.bins, | |
| target="future_mid_up", | |
| calibration_fraction=capture.models.calibration_fraction, | |
| bootstrap_draws=analysis.bootstrap.samples, | |
| block_width_events=endpoint.nominal_event_block_width, | |
| ) | |
| if selection.validation_comparison.height != 8: | |
| raise M8L2DevelopmentError( | |
| "frozen L2 model ladder must contain exactly eight candidates" | |
| ) | |
| children.append( | |
| _write_child( | |
| root=root, | |
| symbol=symbol, | |
| endpoint=endpoint_config[endpoint.name], | |
| selection=selection, | |
| regime_path=regime_path, | |
| regime_sha256=regime_sha, | |
| execution_path=execution_path, | |
| execution_sha256=execution_sha, | |
| capture=capture, | |
| analysis=analysis, | |
| producer=producer, | |
| train_input=train_input, | |
| validation_input=validation_input, | |
| ) | |
| ) | |
| # Child publication retains only canonical JSON/Parquet and | |
| # compact digests; no endpoint frame or fitted scratch is | |
| # allowed to leak into the next coordinate. | |
| del selection, modeled_train, modeled_validation | |
| # The next symbol begins with no raw/causal locals from this one. | |
| del train_loaded, validation_loaded, train_frames, validation_frames, regime | |
| expected_children = tuple( | |
| (symbol, endpoint.name) | |
| for symbol in capture.study.symbols | |
| for endpoint in analysis.endpoints | |
| ) | |
| if tuple((item.symbol, item.endpoint) for item in children) != expected_children: | |
| raise M8L2DevelopmentError("development child-lock set is incomplete or reordered") | |
| created_at = _validate_lock_time(_utc_now()) | |
| aggregate_payload: dict[str, object] = { | |
| "schema_version": _LOCK_SCHEMA_VERSION, | |
| "artifact_kind": "m8_l2_outcome_blind_development_lock", | |
| "study": analysis.study.name, | |
| "created_at_utc": created_at, | |
| "must_precede_utc": _LOCK_DEADLINE.isoformat().replace("+00:00", "Z"), | |
| "capture_config_sha256": capture.hash, | |
| "capture_config_source_sha256": capture.source_sha256, | |
| "capture_protocol_sha256": analysis.study.capture_protocol_sha256, | |
| "analysis_config_sha256": analysis.hash, | |
| "analysis_config_source_sha256": analysis.source_sha256, | |
| "producer_source_identity": producer.to_dict(), | |
| "campaign_identity": _campaign_dict(train_input.campaign_identity), | |
| "development_inputs": [ | |
| { | |
| "date": train_input.session_date, | |
| "role": train_input.role, | |
| "session_id": train_input.session_id, | |
| "file_authority": _file_authority_dict(train_input.file_authority), | |
| }, | |
| { | |
| "date": validation_input.session_date, | |
| "role": validation_input.role, | |
| "session_id": validation_input.session_id, | |
| "file_authority": _file_authority_dict(validation_input.file_authority), | |
| }, | |
| ], | |
| "children": [ | |
| { | |
| "symbol": item.symbol, | |
| "endpoint": item.endpoint, | |
| "path": _relative(item.path, root), | |
| "sha256": item.sha256, | |
| "selection_lock_sha256": item.selection_lock_sha256, | |
| "final_fitted_state_sha256": item.fitted_state_sha256, | |
| } | |
| for item in children | |
| ], | |
| "regime_thresholds": regime_claims, | |
| "execution_references": execution_claims, | |
| "fit_policy": ( | |
| "regimes_fit_Aug8_only; candidates_fit_Aug8_only_and_select_Aug9_only; " | |
| "selected_and_prior_fit_once_on_Aug8_plus_Aug9_before_lock" | |
| ), | |
| "heldout_declarations": [ | |
| {"date": date_value, "role": role} for date_value, role in _EXPECTED_HELDOUT | |
| ], | |
| "heldout_access": { | |
| "paths_received": False, | |
| "file_hashes_received": False, | |
| "row_counts_received": False, | |
| "economic_rows_opened": False, | |
| "model_fit_or_update_after_lock": False, | |
| }, | |
| "claims": { | |
| "cross_symbol_pooling": False, | |
| "p_values": False, | |
| "significance": False, | |
| "capacity": False, | |
| "realized_execution": False, | |
| "profitability": False, | |
| }, | |
| } | |
| aggregate_path = root / _AGGREGATE_NAME | |
| aggregate_sha = _write_json(aggregate_path, aggregate_payload) | |
| _write_bytes( | |
| root / _AGGREGATE_DIGEST_NAME, | |
| f"{aggregate_sha} {_AGGREGATE_NAME}\n".encode("ascii"), | |
| ) | |
| _publish_inventory(root) | |
| _fsync_directory(root) | |
| # The terminal marker itself is the durable publication boundary. A | |
| # lock that finished hashing just after the deadline must not become an | |
| # authority merely because its expensive work began in time. | |
| _validate_lock_time(_utc_now()) | |
| final_capture, final_analysis = _revalidate_configs(capture, analysis) | |
| final_producer = _producer_source_identity(project_root) | |
| if final_capture != capture or final_analysis != analysis or final_producer != producer: | |
| raise M8L2DevelopmentError( | |
| "development config/source authority changed before lock publication" | |
| ) | |
| if ( | |
| _campaign_dict(train_input.campaign_identity).get("runtime_fingerprint_sha256") | |
| != current_m8_l2_runtime_fingerprint_sha256() | |
| ): | |
| raise M8L2DevelopmentError("development runtime changed before lock publication") | |
| repeated_bundles = tuple( | |
| verify_m8_l2_session_bundle(bundle.root, expected_config=capture) for bundle in bundles | |
| ) | |
| if repeated_bundles != bundles: | |
| raise M8L2DevelopmentError( | |
| "development session authority changed before lock publication" | |
| ) | |
| _verify_expected_session_file_authorities( | |
| repeated_bundles, | |
| expected_session_file_authorities, | |
| ) | |
| _assert_development_import_origins(project_root) | |
| _validate_lock_time(_utc_now()) | |
| _write_bytes(marker_path, _LOCKED_BYTES) | |
| _fsync_directory(root) | |
| return L2DevelopmentLockResult( | |
| root=root, | |
| aggregate_path=aggregate_path, | |
| aggregate_sha256=aggregate_sha, | |
| marker_path=marker_path, | |
| created_at_utc=created_at, | |
| children=tuple(children), | |
| ) | |
| except Exception: | |
| if not marker_path.exists(): | |
| shutil.rmtree(root, ignore_errors=True) | |
| _fsync_directory(root.parent) | |
| raise | |
| def _parse_checksums(raw: bytes) -> dict[str, str]: | |
| try: | |
| text = raw.decode("ascii") | |
| except UnicodeDecodeError as error: | |
| raise M8L2DevelopmentError("development checksums are not ASCII") from error | |
| result: dict[str, str] = {} | |
| for line in text.splitlines(keepends=True): | |
| if not line.endswith("\n") or len(line) < 67 or line[64:66] != " ": | |
| raise M8L2DevelopmentError("development checksum line is malformed") | |
| digest, relative = line[:64], line[66:-1] | |
| if len(digest) != 64 or any(char not in "0123456789abcdef" for char in digest): | |
| raise M8L2DevelopmentError("development checksum digest is malformed") | |
| relative = _safe_relative(relative) | |
| if relative in result: | |
| raise M8L2DevelopmentError("development checksum path is duplicated") | |
| result[relative] = digest | |
| if not result or list(result) != sorted(result): | |
| raise M8L2DevelopmentError("development checksum authority is empty or unordered") | |
| return result | |
| def _exact_keys(payload: Mapping[str, Any], expected: set[str], label: str) -> None: | |
| if set(payload) != expected: | |
| raise M8L2DevelopmentError(f"{label} keys differ from the exact schema") | |
| def _verify_reference_claims( | |
| root: Path, | |
| aggregate: Mapping[str, Any], | |
| analysis: M8L2AnalysisConfig, | |
| ) -> None: | |
| execution = aggregate.get("execution_references") | |
| regimes = aggregate.get("regime_thresholds") | |
| if not isinstance(execution, list) or not isinstance(regimes, list): | |
| raise M8L2DevelopmentError("aggregate reference claims are malformed") | |
| for label, claims, schema in ( | |
| ("execution", execution, _EXECUTION_REFERENCE_SCHEMA_VERSION), | |
| ("regime", regimes, _REGIME_SCHEMA_VERSION), | |
| ): | |
| if len(claims) != len(analysis.study.symbols): | |
| raise M8L2DevelopmentError(f"aggregate {label} reference set is incomplete") | |
| for symbol, raw_claim in zip(analysis.study.symbols, claims, strict=True): | |
| if not isinstance(raw_claim, Mapping) or set(raw_claim) != {"symbol", "path", "sha256"}: | |
| raise M8L2DevelopmentError(f"aggregate {label} reference claim is malformed") | |
| if raw_claim["symbol"] != symbol: | |
| raise M8L2DevelopmentError(f"aggregate {label} reference order changed") | |
| relative = _safe_relative(str(raw_claim["path"])) | |
| payload, raw = _read_json(root / relative, f"{label} reference") | |
| if hashlib.sha256(raw).hexdigest() != raw_claim["sha256"]: | |
| raise M8L2DevelopmentError(f"aggregate {label} reference hash changed") | |
| if payload.get("schema_version") != schema or payload.get("symbol") != symbol: | |
| raise M8L2DevelopmentError(f"aggregate {label} reference semantics changed") | |
| if _canonical_json_bytes(cast(Mapping[str, object], payload)) != raw: | |
| raise M8L2DevelopmentError(f"aggregate {label} reference is not canonical JSON") | |
| if label == "execution" and ( | |
| payload.get("reference_price_statistic") | |
| != analysis.execution.reference_price_statistic | |
| or payload.get("reference_depth_statistic") | |
| != analysis.execution.reference_depth_statistic | |
| or payload.get("quantity_policy") != analysis.execution.reference_quantity_policy | |
| ): | |
| raise M8L2DevelopmentError("execution reference differs from analysis contract") | |
| def _restore_child( | |
| root: Path, | |
| claim: Mapping[str, Any], | |
| *, | |
| capture: M8L2StudyConfig, | |
| analysis: M8L2AnalysisConfig, | |
| aggregate: Mapping[str, Any], | |
| ) -> L2DevelopmentChildLock: | |
| _exact_keys( | |
| claim, | |
| { | |
| "symbol", | |
| "endpoint", | |
| "path", | |
| "sha256", | |
| "selection_lock_sha256", | |
| "final_fitted_state_sha256", | |
| }, | |
| "aggregate child claim", | |
| ) | |
| child_path = root / _safe_relative(str(claim["path"])) | |
| child, child_raw = _read_json(child_path, "development child lock") | |
| if hashlib.sha256(child_raw).hexdigest() != claim["sha256"]: | |
| raise M8L2DevelopmentError("development child-lock SHA-256 changed") | |
| _exact_keys( | |
| child, | |
| { | |
| "schema_version", | |
| "artifact_kind", | |
| "symbol", | |
| "endpoint", | |
| "capture_config_sha256", | |
| "capture_config_source_sha256", | |
| "analysis_config_sha256", | |
| "analysis_config_source_sha256", | |
| "producer_source_identity", | |
| "development_inputs", | |
| "campaign_identity", | |
| "selection_policy", | |
| "final_fit_policy", | |
| "candidate_count", | |
| "selected_model", | |
| "selection_lock_path", | |
| "selection_lock_sha256", | |
| "final_fitted_state_path", | |
| "final_fitted_state_sha256", | |
| "validation_comparison_path", | |
| "validation_comparison_file_sha256", | |
| "validation_comparison_frame_sha256", | |
| "validation_comparison_rows", | |
| "regime_thresholds_path", | |
| "regime_thresholds_sha256", | |
| "execution_reference_path", | |
| "execution_reference_sha256", | |
| "development_frame_sha256", | |
| "test_rows_accessed", | |
| "heldout_fit_or_update_allowed", | |
| }, | |
| "development child lock", | |
| ) | |
| endpoint_by_name = {item.name: item for item in analysis.endpoints} | |
| symbol = str(claim["symbol"]) | |
| endpoint_name = str(claim["endpoint"]) | |
| endpoint = endpoint_by_name.get(endpoint_name) | |
| if endpoint is None: | |
| raise M8L2DevelopmentError("development child names an unknown endpoint") | |
| if ( | |
| child.get("schema_version") != _CHILD_SCHEMA_VERSION | |
| or child.get("artifact_kind") != "m8_l2_symbol_endpoint_development_lock" | |
| or child.get("symbol") != symbol | |
| or child.get("endpoint") != _endpoint_payload(endpoint) | |
| or child.get("capture_config_sha256") != capture.hash | |
| or child.get("capture_config_source_sha256") != capture.source_sha256 | |
| or child.get("analysis_config_sha256") != analysis.hash | |
| or child.get("analysis_config_source_sha256") != analysis.source_sha256 | |
| or child.get("producer_source_identity") != aggregate.get("producer_source_identity") | |
| or child.get("development_inputs") != aggregate.get("development_inputs") | |
| or child.get("campaign_identity") != aggregate.get("campaign_identity") | |
| or child.get("candidate_count") != 8 | |
| or child.get("test_rows_accessed") is not False | |
| or child.get("heldout_fit_or_update_allowed") is not False | |
| ): | |
| raise M8L2DevelopmentError("development child-lock contract changed") | |
| selection_relative = _safe_relative(str(child["selection_lock_path"])) | |
| selection_raw = _read_regular( | |
| root / selection_relative, label="selection lock", maximum=_MAX_JSON_BYTES | |
| ) | |
| if not selection_raw.endswith(b"\n"): | |
| raise M8L2DevelopmentError("selection lock lacks canonical newline") | |
| selection_text = selection_raw[:-1].decode("ascii") | |
| selection = AnalysisLock.restore(selection_text, str(child["selection_lock_sha256"])) | |
| if selection.sha256 != claim["selection_lock_sha256"]: | |
| raise M8L2DevelopmentError("child selection lock differs from aggregate") | |
| if _canonical_json_bytes(cast(Mapping[str, object], selection.payload())) != selection_raw: | |
| raise M8L2DevelopmentError("selection lock is not canonical JSON") | |
| state_relative = _safe_relative(str(child["final_fitted_state_path"])) | |
| state_raw = _read_regular(root / state_relative, label="fitted state", maximum=_MAX_JSON_BYTES) | |
| if not state_raw.endswith(b"\n"): | |
| raise M8L2DevelopmentError("fitted state lacks canonical newline") | |
| state = FinalFittedState.restore( | |
| state_raw[:-1].decode("ascii"), str(child["final_fitted_state_sha256"]) | |
| ) | |
| if state.sha256 != claim["final_fitted_state_sha256"]: | |
| raise M8L2DevelopmentError("child fitted state differs from aggregate") | |
| selection_payload = selection.payload() | |
| if ( | |
| selection_payload.get("final_fitted_state_sha256") != state.sha256 | |
| or selection_payload.get("final_fitted_state") != state.payload() | |
| or selection_payload.get("development_frame_sha256") | |
| != child.get("development_frame_sha256") | |
| or selection_payload.get("selected_candidate", {}).get("name") | |
| != child.get("selected_model") | |
| or selection_payload.get("test_rows_accessed_during_selection") is not False | |
| or selection_payload.get("declared_test_dates") != [value[0] for value in _EXPECTED_HELDOUT] | |
| ): | |
| raise M8L2DevelopmentError("child selection and fitted-state authorities disagree") | |
| comparison_relative = _safe_relative(str(child["validation_comparison_path"])) | |
| comparison_path = root / comparison_relative | |
| comparison_raw = _read_regular( | |
| comparison_path, label="validation comparison", maximum=_MAX_COMPARISON_BYTES | |
| ) | |
| if hashlib.sha256(comparison_raw).hexdigest() != child["validation_comparison_file_sha256"]: | |
| raise M8L2DevelopmentError("validation comparison file hash changed") | |
| try: | |
| comparison = pl.read_parquet(comparison_path) | |
| except Exception as error: | |
| raise M8L2DevelopmentError("validation comparison cannot be restored") from error | |
| if ( | |
| comparison.height != child["validation_comparison_rows"] | |
| or comparison.height != 8 | |
| or _frame_sha256(comparison) != child["validation_comparison_frame_sha256"] | |
| or _frame_sha256(comparison) != selection_payload.get("validation_comparison_sha256") | |
| or comparison.filter(pl.col("selected_on_validation")).height != 1 | |
| ): | |
| raise M8L2DevelopmentError("validation comparison differs from child selection lock") | |
| return L2DevelopmentChildLock( | |
| symbol=symbol, | |
| endpoint=endpoint_name, | |
| path=child_path, | |
| sha256=str(claim["sha256"]), | |
| selection_lock_sha256=selection.sha256, | |
| fitted_state_sha256=state.sha256, | |
| ) | |
| def _verify_not_created_aggregate( | |
| *, | |
| capture: M8L2StudyConfig, | |
| analysis: M8L2AnalysisConfig, | |
| train_bundle_path: str | Path, | |
| validation_bundle_path: str | Path, | |
| root: Path, | |
| marker_path: Path, | |
| aggregate_path: Path, | |
| aggregate_sha: str, | |
| aggregate: Mapping[str, Any], | |
| ) -> L2DevelopmentAuthorityResult: | |
| _exact_keys( | |
| aggregate, | |
| { | |
| "schema_version", | |
| "artifact_kind", | |
| "status", | |
| "study", | |
| "created_at_utc", | |
| "must_precede_utc", | |
| "capture_config_sha256", | |
| "capture_config_source_sha256", | |
| "capture_protocol_sha256", | |
| "analysis_config_sha256", | |
| "analysis_config_source_sha256", | |
| "producer_source_identity", | |
| "campaign_identity", | |
| "development_inputs", | |
| "reason_codes", | |
| "children", | |
| "heldout_declarations", | |
| "heldout_access", | |
| "claims", | |
| }, | |
| "NOT_CREATED development authority", | |
| ) | |
| if ( | |
| aggregate.get("schema_version") != _NOT_CREATED_SCHEMA_VERSION | |
| or aggregate.get("artifact_kind") != "m8_l2_development_authority_not_created" | |
| or aggregate.get("status") != "NOT_CREATED" | |
| or aggregate.get("study") != analysis.study.name | |
| or aggregate.get("must_precede_utc") != _LOCK_DEADLINE.isoformat().replace("+00:00", "Z") | |
| or aggregate.get("capture_config_sha256") != capture.hash | |
| or aggregate.get("capture_config_source_sha256") != capture.source_sha256 | |
| or aggregate.get("capture_protocol_sha256") != analysis.study.capture_protocol_sha256 | |
| or aggregate.get("analysis_config_sha256") != analysis.hash | |
| or aggregate.get("analysis_config_source_sha256") != analysis.source_sha256 | |
| or aggregate.get("children") != [] | |
| or aggregate.get("heldout_declarations") | |
| != [{"date": value[0], "role": value[1]} for value in _EXPECTED_HELDOUT] | |
| or aggregate.get("heldout_access") | |
| != { | |
| "paths_received": False, | |
| "file_hashes_received": False, | |
| "row_counts_received": False, | |
| "economic_rows_opened": False, | |
| "model_fit_or_update_after_lock": False, | |
| } | |
| or aggregate.get("claims") | |
| != { | |
| "cross_symbol_pooling": False, | |
| "p_values": False, | |
| "significance": False, | |
| "capacity": False, | |
| "realized_execution": False, | |
| "profitability": False, | |
| } | |
| ): | |
| raise M8L2DevelopmentError("NOT_CREATED development contract changed") | |
| created_raw = aggregate.get("created_at_utc") | |
| if type(created_raw) is not str: | |
| raise M8L2DevelopmentError("NOT_CREATED creation time is malformed") | |
| try: | |
| created = datetime.fromisoformat(created_raw.replace("Z", "+00:00")) | |
| except ValueError as error: | |
| raise M8L2DevelopmentError("NOT_CREATED creation time is malformed") from error | |
| if not _EARLIEST_LOCK_TIME <= created < _LOCK_DEADLINE: | |
| raise M8L2DevelopmentError( | |
| "NOT_CREATED creation time is outside the frozen development window" | |
| ) | |
| producer_payload = aggregate.get("producer_source_identity") | |
| if not isinstance(producer_payload, Mapping): | |
| raise M8L2DevelopmentError("NOT_CREATED producer identity is malformed") | |
| producer = _producer_source_identity(capture.path.parent.parent.resolve()) | |
| _validate_source(producer) | |
| if producer.to_dict() != producer_payload: | |
| raise M8L2DevelopmentError( | |
| "current producer source differs from NOT_CREATED development authority" | |
| ) | |
| try: | |
| bundles = ( | |
| verify_m8_l2_session_bundle(train_bundle_path, expected_config=capture), | |
| verify_m8_l2_session_bundle(validation_bundle_path, expected_config=capture), | |
| ) | |
| except Exception as error: | |
| raise M8L2DevelopmentError( | |
| "external NOT_CREATED development sessions no longer verify" | |
| ) from error | |
| for bundle, coordinate in zip(bundles, _EXPECTED_DEVELOPMENT, strict=True): | |
| if (bundle.session_date, bundle.role) != coordinate: | |
| raise M8L2DevelopmentError("external NOT_CREATED development coordinate changed") | |
| claims = aggregate.get("development_inputs") | |
| if claims != [_development_session_claim(bundle) for bundle in bundles]: | |
| raise M8L2DevelopmentError("external NOT_CREATED development session authority changed") | |
| campaigns = tuple(_campaign_from_session_bundle(bundle) for bundle in bundles) | |
| if _campaign_dict(campaigns[0]) != _campaign_dict(campaigns[1]) or _campaign_dict( | |
| campaigns[0] | |
| ) != aggregate.get("campaign_identity"): | |
| raise M8L2DevelopmentError("NOT_CREATED campaign identity changed") | |
| campaign = _campaign_dict(campaigns[0]) | |
| if ( | |
| campaign.get("runtime_commit") != producer.commit | |
| or campaign.get("runtime_source_tree_sha256") != producer.source_tree_sha256 | |
| or campaign.get("runtime_dirty") is not False | |
| ): | |
| raise M8L2DevelopmentError("NOT_CREATED source and campaign identities disagree") | |
| reasons = _not_created_reasons(bundles) | |
| if not reasons or aggregate.get("reason_codes") != list(reasons): | |
| raise M8L2DevelopmentError("NOT_CREATED typed reasons changed") | |
| return L2DevelopmentLockResult( | |
| root=root, | |
| aggregate_path=aggregate_path, | |
| aggregate_sha256=aggregate_sha, | |
| marker_path=marker_path, | |
| created_at_utc=created_raw, | |
| children=(), | |
| status="NOT_CREATED", | |
| reason_codes=reasons, | |
| ) | |
| def verify_m8_l2_development_lock( | |
| capture_config: M8L2StudyConfig, | |
| analysis_config: M8L2AnalysisConfig, | |
| train_bundle_path: str | Path, | |
| validation_bundle_path: str | Path, | |
| lock_dir: str | Path, | |
| *, | |
| expected_lock_sha256: str | None = None, | |
| ) -> L2DevelopmentAuthorityResult: | |
| """Strictly restore either development authority and its external sessions.""" | |
| capture, analysis = _revalidate_configs(capture_config, analysis_config) | |
| root = Path(lock_dir).absolute() | |
| _reject_symlink_components(root) | |
| try: | |
| if not stat.S_ISDIR(root.lstat().st_mode): | |
| raise M8L2DevelopmentError("development lock is not a regular directory") | |
| except OSError as error: | |
| raise M8L2DevelopmentError("development lock directory is unavailable") from error | |
| files = _walk_regular(root) | |
| terminal_names = [name for name in (_LOCKED_MARKER, _NOT_CREATED_MARKER) if name in files] | |
| if len(terminal_names) != 1: | |
| raise M8L2DevelopmentError("development authority requires exactly one terminal marker") | |
| terminal_name = terminal_names[0] | |
| marker_path = root / terminal_name | |
| expected_marker = _LOCKED_BYTES if terminal_name == _LOCKED_MARKER else _NOT_CREATED_BYTES | |
| if _read_regular(marker_path, label="development marker", maximum=32) != expected_marker: | |
| raise M8L2DevelopmentError("development authority marker bytes differ") | |
| if _CHECKSUMS_NAME not in files or _INVENTORY_NAME not in files: | |
| raise M8L2DevelopmentError("development lock lacks checksum/inventory authority") | |
| checksums = _parse_checksums( | |
| _read_regular(root / _CHECKSUMS_NAME, label="development checksums", maximum=1_000_000) | |
| ) | |
| if set(files) != set(checksums) | {_CHECKSUMS_NAME, terminal_name}: | |
| raise M8L2DevelopmentError("physical development inventory differs from checksums") | |
| for relative, expected_digest in checksums.items(): | |
| if sha256_file(root / relative) != expected_digest: | |
| raise M8L2DevelopmentError(f"development checksum mismatch for {relative}") | |
| inventory, inventory_raw = _read_json(root / _INVENTORY_NAME, "development inventory") | |
| _exact_keys(inventory, {"schema_version", "artifact_kind", "files"}, "inventory") | |
| expected_inventory_kind = ( | |
| "m8_l2_development_lock_inventory" | |
| if terminal_name == _LOCKED_MARKER | |
| else "m8_l2_development_not_created_inventory" | |
| ) | |
| if ( | |
| inventory.get("schema_version") != _INVENTORY_SCHEMA_VERSION | |
| or inventory.get("artifact_kind") != expected_inventory_kind | |
| or _canonical_json_bytes(cast(Mapping[str, object], inventory)) != inventory_raw | |
| ): | |
| raise M8L2DevelopmentError("development inventory authority changed") | |
| inventory_entries = inventory.get("files") | |
| expected_inventory = [ | |
| { | |
| "path": relative, | |
| "sha256": checksums[relative], | |
| "bytes": (root / relative).stat().st_size, | |
| } | |
| for relative in checksums | |
| if relative != _INVENTORY_NAME | |
| ] | |
| if inventory_entries != expected_inventory: | |
| raise M8L2DevelopmentError("development inventory entries are not exact") | |
| aggregate_path = root / _AGGREGATE_NAME | |
| aggregate, aggregate_raw = _read_json(aggregate_path, "aggregate development lock") | |
| aggregate_sha = hashlib.sha256(aggregate_raw).hexdigest() | |
| if expected_lock_sha256 is not None and aggregate_sha != expected_lock_sha256: | |
| raise M8L2DevelopmentError("aggregate development lock differs from expected SHA-256") | |
| if checksums.get(_AGGREGATE_NAME) != aggregate_sha: | |
| raise M8L2DevelopmentError("checksums do not bind the aggregate development lock") | |
| digest_raw = _read_regular( | |
| root / _AGGREGATE_DIGEST_NAME, | |
| label="aggregate development digest", | |
| maximum=256, | |
| ) | |
| if digest_raw != f"{aggregate_sha} {_AGGREGATE_NAME}\n".encode("ascii"): | |
| raise M8L2DevelopmentError("aggregate development digest sidecar changed") | |
| if _canonical_json_bytes(cast(Mapping[str, object], aggregate)) != aggregate_raw: | |
| raise M8L2DevelopmentError("aggregate development lock is not canonical JSON") | |
| if terminal_name == _NOT_CREATED_MARKER: | |
| return _verify_not_created_aggregate( | |
| capture=capture, | |
| analysis=analysis, | |
| train_bundle_path=train_bundle_path, | |
| validation_bundle_path=validation_bundle_path, | |
| root=root, | |
| marker_path=marker_path, | |
| aggregate_path=aggregate_path, | |
| aggregate_sha=aggregate_sha, | |
| aggregate=aggregate, | |
| ) | |
| _exact_keys( | |
| aggregate, | |
| { | |
| "schema_version", | |
| "artifact_kind", | |
| "study", | |
| "created_at_utc", | |
| "must_precede_utc", | |
| "capture_config_sha256", | |
| "capture_config_source_sha256", | |
| "capture_protocol_sha256", | |
| "analysis_config_sha256", | |
| "analysis_config_source_sha256", | |
| "producer_source_identity", | |
| "campaign_identity", | |
| "development_inputs", | |
| "children", | |
| "regime_thresholds", | |
| "execution_references", | |
| "fit_policy", | |
| "heldout_declarations", | |
| "heldout_access", | |
| "claims", | |
| }, | |
| "aggregate development lock", | |
| ) | |
| if ( | |
| aggregate.get("schema_version") != _LOCK_SCHEMA_VERSION | |
| or aggregate.get("artifact_kind") != "m8_l2_outcome_blind_development_lock" | |
| or aggregate.get("study") != analysis.study.name | |
| or aggregate.get("must_precede_utc") != _LOCK_DEADLINE.isoformat().replace("+00:00", "Z") | |
| or aggregate.get("capture_config_sha256") != capture.hash | |
| or aggregate.get("capture_config_source_sha256") != capture.source_sha256 | |
| or aggregate.get("capture_protocol_sha256") != analysis.study.capture_protocol_sha256 | |
| or aggregate.get("analysis_config_sha256") != analysis.hash | |
| or aggregate.get("analysis_config_source_sha256") != analysis.source_sha256 | |
| or aggregate.get("heldout_declarations") | |
| != [{"date": value[0], "role": value[1]} for value in _EXPECTED_HELDOUT] | |
| or aggregate.get("heldout_access") | |
| != { | |
| "paths_received": False, | |
| "file_hashes_received": False, | |
| "row_counts_received": False, | |
| "economic_rows_opened": False, | |
| "model_fit_or_update_after_lock": False, | |
| } | |
| ): | |
| raise M8L2DevelopmentError("aggregate development contract changed") | |
| created_raw = aggregate.get("created_at_utc") | |
| if type(created_raw) is not str: | |
| raise M8L2DevelopmentError("aggregate creation time is malformed") | |
| try: | |
| created = datetime.fromisoformat(created_raw.replace("Z", "+00:00")) | |
| except ValueError as error: | |
| raise M8L2DevelopmentError("aggregate creation time is malformed") from error | |
| if not _EARLIEST_LOCK_TIME <= created < _LOCK_DEADLINE: | |
| raise M8L2DevelopmentError("aggregate creation time is outside the frozen lock window") | |
| producer_payload = aggregate.get("producer_source_identity") | |
| if not isinstance(producer_payload, Mapping): | |
| raise M8L2DevelopmentError("aggregate producer identity is malformed") | |
| producer = _producer_source_identity(capture.path.parent.parent.resolve()) | |
| _validate_source(producer) | |
| if producer.to_dict() != producer_payload: | |
| raise M8L2DevelopmentError("current producer source differs from development lock") | |
| input_claims = aggregate.get("development_inputs") | |
| if not isinstance(input_claims, list) or len(input_claims) != 2: | |
| raise M8L2DevelopmentError("aggregate development-input set is malformed") | |
| verifier = _load_input_verifier() | |
| verified_inputs: list[_VerifiedInput] = [] | |
| expected_campaign: object | None = None | |
| for bundle_path, expected_coordinate, claim in zip( | |
| (train_bundle_path, validation_bundle_path), | |
| _EXPECTED_DEVELOPMENT, | |
| input_claims, | |
| strict=True, | |
| ): | |
| if not isinstance(claim, Mapping) or set(claim) != { | |
| "date", | |
| "role", | |
| "session_id", | |
| "file_authority", | |
| }: | |
| raise M8L2DevelopmentError("aggregate development-input claim is malformed") | |
| try: | |
| from microstructure.m8_l2_inputs import L2SessionFileAuthority | |
| raw_authority = cast(Mapping[str, Any], claim["file_authority"]) | |
| file_authority = L2SessionFileAuthority( | |
| manifest_sha256=str(raw_authority["manifest_sha256"]), | |
| checksums_sha256=str(raw_authority["checksums_sha256"]), | |
| ) | |
| value = verifier( | |
| bundle_path, | |
| expected_config=capture, | |
| expected_date=expected_coordinate[0], | |
| expected_role=expected_coordinate[1], | |
| expected_file_authority=file_authority, | |
| expected_campaign=expected_campaign, | |
| ) | |
| except Exception as error: | |
| raise M8L2DevelopmentError( | |
| "external development-input authority no longer verifies" | |
| ) from error | |
| if ( | |
| value.session_id != claim["session_id"] | |
| or _file_authority_dict(value.file_authority) != claim["file_authority"] | |
| ): | |
| raise M8L2DevelopmentError("external development-input claim changed") | |
| verified_inputs.append(value) | |
| expected_campaign = value.campaign_identity | |
| if _campaign_dict(verified_inputs[0].campaign_identity) != aggregate.get( | |
| "campaign_identity" | |
| ) or _campaign_dict(verified_inputs[1].campaign_identity) != aggregate.get("campaign_identity"): | |
| raise M8L2DevelopmentError("external campaign identity differs from development lock") | |
| children_raw = aggregate.get("children") | |
| if not isinstance(children_raw, list): | |
| raise M8L2DevelopmentError("aggregate child-lock set is malformed") | |
| expected_children = tuple( | |
| (symbol, endpoint.name) | |
| for symbol in capture.study.symbols | |
| for endpoint in analysis.endpoints | |
| ) | |
| if len(children_raw) != len(expected_children): | |
| raise M8L2DevelopmentError("aggregate child-lock set is incomplete") | |
| children: list[L2DevelopmentChildLock] = [] | |
| for expected_child, raw_claim in zip(expected_children, children_raw, strict=True): | |
| if ( | |
| not isinstance(raw_claim, Mapping) | |
| or (raw_claim.get("symbol"), raw_claim.get("endpoint")) != expected_child | |
| ): | |
| raise M8L2DevelopmentError("aggregate child-lock order changed") | |
| children.append( | |
| _restore_child( | |
| root, | |
| cast(Mapping[str, Any], raw_claim), | |
| capture=capture, | |
| analysis=analysis, | |
| aggregate=aggregate, | |
| ) | |
| ) | |
| _verify_reference_claims(root, aggregate, analysis) | |
| return L2DevelopmentLockResult( | |
| root=root, | |
| aggregate_path=aggregate_path, | |
| aggregate_sha256=aggregate_sha, | |
| marker_path=marker_path, | |
| created_at_utc=created_raw, | |
| children=tuple(children), | |
| ) | |
| __all__ = [ | |
| "L2DevelopmentAuthorityResult", | |
| "L2DevelopmentChildLock", | |
| "L2DevelopmentInputVerifier", | |
| "L2DevelopmentLockResult", | |
| "M8L2DevelopmentError", | |
| "ProducerSourceIdentity", | |
| "lock_m8_l2_development", | |
| "verify_m8_l2_development_lock", | |
| ] | |