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Full project import for the self-hosted code hosting (https://code.aifunny.ltd/gavindiaz/my-NexusTradingForexBot.git). Includes the live-freshness + scaler-hash fixes for the permanent STALE dashboard (tick_pipeline now_utc stamps; infer_probabilities computes model_input_hash on the actual scaled 70D tensor), the data-fetch default-path fix, the g29 web-auth test fixes, and a Chinese user manual (使用手册.md) for the web dashboard. Scratch diagnostic scripts (check*.py, contain a live web-auth token) and the .kilo/ agent-worktree directory are gitignored, not committed. Co-Authored-By: Claude Code <noreply@anthropic.com>
55 lines
2.6 KiB
Markdown
55 lines
2.6 KiB
Markdown
---
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title: Data Flow — Tick to Decision
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description: The canonical data path from a broker tick to an audited trading decision, with every contract boundary.
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lang: en
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---
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# Data Flow — from tick to decision
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This is the canonical path (from `agents/skill.md` §4). Every arrow is a
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contract boundary.
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```text
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TickData (MT5 / paper / gateway)
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→ ScalpFeatureEngine.to_tensor_input()
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50D base (scalp_v1 · FEATURE_NAMES · [-3,+3] · finite)
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→ assemble_70d / build_70d_vector()
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70D canonical: Base 0..49 | News 10D 50..59 | Liquidity 10D 60..69
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→ InferenceContractValidator
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scaler dim == feature dim · schema hash · finite · bounds
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→ ScalpNet → 4 logits (NO_TRADE / BUY / SELL / WAIT) → confidence gate 0.35
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→ regime_classifier (Regime Guardian)
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→ signals/policy + rule_matrix (~30 rules, TTL 5s cache)
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→ RiskEngine.calculate_dynamic_volume() + evaluate_proposal()
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free-margin 20% clamp · tier caps · HARD_MAX_LOTS
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→ OrderManager (60-scenario router · 11 position states ·
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MAX_TOTAL_EXPOSURE=1 · 30s re-quote lock · 1.0×ATR drift)
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→ broker (IMT5Port adapter: Win32 IPC / ZMQ / paper)
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→ accounting (TradeOutcome / ACCOUNT_SNAPSHOT) → AuditRepository (queued, WAL)
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→ web SSE/WebSocket + Telegram (read-only) + experience/research/shadow
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```
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## Contract boundaries in the flow
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| Boundary | Enforced by | Failure mode |
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| :--- | :--- | :--- |
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| feature dim / ordering | schema registry + `schema_contract` hash | loud rejection (`FEATURE_CONTRACT_MISMATCH`), never silent padding |
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| scaler ↔ features | `InferenceContractValidator` | `SCALER_MISMATCH` blocks inference |
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| confidence semantics | policy gate measures trained-class directional share (CHG-0042) | miscalibrated confidence cannot masquerade as direction |
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| sizing limits | `RiskEngine` + OrderManager clamps | order refused |
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| order authority | ports/adapters isolation + INV-002 | research/learning components physically cannot place orders |
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| persistence | `AuditRepository` background writer | hot path never blocks (INV-001) |
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## Hot-path discipline (INV-001)
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The tick pipeline performs **zero synchronous I/O**: no DB queries, no
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training, no network on the tick path. Bar aggregation and broker snapshots
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are cached off-path; news context is cache-only.
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## Assembly rules for the 70D block
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Missing sub-blocks require **explicit neutral vectors** (`FEATURE_DISABLED`) —
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silent fabrication is forbidden; unavailable features block
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(`FEATURE_UNAVAILABLE`). Reordering features changes the schema hash, which
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invalidates models — by design.
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