Optimize runtime numba kernel x2 times

.gitignore

@@ -30,4 +30,5 @@ ENV/
 Thumbs.db
 
 upgrade/
-benchmarks/
+benchmarks/
+.local_arbitrage_sandboxes/

benchmarks/phase12_arbitrage_cert.json

@@ -0,0 +1,154 @@
+{
+  "status": "pass",
+  "sandbox_path": "/root/bobby/pool_alpha/quantbt/.local_arbitrage_sandboxes/binance_basis_arb",
+  "basis": {
+    "event_final_equity": 91362.95065353338,
+    "vectorized_final_equity": 91362.95065353338,
+    "order_count": 828,
+    "fill_count": 828,
+    "fee_total": 3429.5969336746557,
+    "funding_total": 17.731103806709445,
+    "audit": {
+      "status": "pass",
+      "passed": true,
+      "tolerance": 1e-09,
+      "engine": "event_v1_basis_arbitrage",
+      "backend": "native_event",
+      "arb_id": "PHASE12_BTC_PERP_QUARTERLY",
+      "arb_type": "basis",
+      "missing_reports": [],
+      "checks": {
+        "has_required_reports": true,
+        "package_pnl_residual_ok": true,
+        "leg_pnl_reconciles_to_package": true,
+        "fees_reconcile": true,
+        "target_symbols_match": true,
+        "final_target_flat": true,
+        "final_position_flat": true
+      },
+      "max_abs_package_pnl_residual": 2.6261659513693303e-11,
+      "max_abs_leg_vs_package_pnl_diff": 0.0,
+      "max_abs_fee_residual": 4.547473508864641e-13,
+      "final_gross_target_units": 0.0,
+      "final_gross_position_units": 8.881784197001252e-16,
+      "target_symbols": [
+        "perpetual",
+        "quarterly"
+      ],
+      "result_symbols": [
+        "perpetual",
+        "quarterly"
+      ],
+      "order_count": 828,
+      "fill_count": 828,
+      "rejection_count": 0
+    },
+    "parity": {
+      "status": "pass",
+      "passed": true,
+      "tolerance": 1e-09,
+      "event_engine": "event_v1_basis_arbitrage",
+      "vectorized_engine": "units_v2_basis_arbitrage",
+      "checks": {
+        "equity_matches": true,
+        "positions_match": true,
+        "target_units_match": true,
+        "package_residuals_ok": true
+      },
+      "max_abs_equity_diff": 1.4551915228366852e-11,
+      "max_abs_position_diff": 4.440892098500626e-16,
+      "max_abs_target_unit_diff": 0.0,
+      "max_abs_package_residual": 2.6261659513693303e-11
+    }
+  },
+  "stat_pair": {
+    "event_final_equity": 98806.77550546748,
+    "vectorized_final_equity": 98806.77550546748,
+    "accounting_parity_passed": true,
+    "parity": {
+      "status": "fail",
+      "passed": false,
+      "tolerance": 1e-09,
+      "event_engine": "event_v1_stat_arb_pair",
+      "vectorized_engine": "units_v2_stat_arb_pair",
+      "checks": {
+        "equity_matches": true,
+        "positions_match": true,
+        "target_units_match": true,
+        "package_residuals_ok": false
+      },
+      "max_abs_equity_diff": 0.0,
+      "max_abs_position_diff": 0.0,
+      "max_abs_target_unit_diff": 0.0,
+      "max_abs_package_residual": null
+    }
+  },
+  "index_basket": {
+    "status": "pass",
+    "passed": true,
+    "parity": {
+      "status": "pass",
+      "passed": true,
+      "tolerance": 1e-09,
+      "event_engine": "event_v1_index_basket",
+      "vectorized_engine": "units_v2_index_basket",
+      "checks": {
+        "equity_matches": true,
+        "positions_match": true,
+        "target_units_match": true,
+        "package_residuals_ok": true
+      },
+      "max_abs_equity_diff": 0.0,
+      "max_abs_position_diff": 0.0,
+      "max_abs_target_unit_diff": 0.0,
+      "max_abs_package_residual": 1.1126211063583469e-11
+    }
+  },
+  "schema_only": {
+    "status": "pass",
+    "passed": true,
+    "probes": {
+      "cross_exchange": {
+        "native_event": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "CrossExchangeArbSpec requires a specialized Phase G+ engine"
+        },
+        "native_vectorized": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "CrossExchangeArbSpec requires a specialized Phase G+ engine"
+        }
+      },
+      "triangular": {
+        "native_event": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "TriangularArbSpec requires a specialized Phase G+ engine"
+        },
+        "native_vectorized": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "TriangularArbSpec requires a specialized Phase G+ engine"
+        }
+      },
+      "options_vol": {
+        "native_event": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "OptionsVolArbSpec requires a specialized Phase G+ engine"
+        },
+        "native_vectorized": {
+          "rejected": true,
+          "error": "NotImplementedError",
+          "message": "OptionsVolArbSpec requires a specialized Phase G+ engine"
+        }
+      }
+    }
+  },
+  "nautilus": {
+    "status": "pass",
+    "orders": 828,
+    "fills": 828
+  }
+}

benchmarks/phase12_arbitrage_cert.md

@@ -0,0 +1,23 @@
+# Phase 12A Arbitrage Production Certification
+
+Status: **pass**
+Sandbox path: `/root/bobby/pool_alpha/quantbt/.local_arbitrage_sandboxes/binance_basis_arb`
+
+## Basis Perp-Quarterly
+
+- Event final equity: `91362.950654`
+- Vectorized final equity: `91362.950654`
+- Max equity diff: `1.4551915228366852e-11`
+- Audit status: `pass`
+- Orders: `828`
+- Fills: `828`
+- Fees: `3429.596934`
+- Funding: `17.731104`
+
+## Other Certification Checks
+
+- Stat pair accounting parity: `True`
+- Stat pair package-residual report: `False`
+- Index basket package smoke: `pass`
+- Schema-only guardrails: `pass`
+- Nautilus package parity: `pass`

benchmarks/phase12_benchmark_nautilus_cert.json

@@ -0,0 +1,52 @@
+{
+  "status": "pass",
+  "benchmark_followup": {
+    "status": "pass",
+    "rows": 2000,
+    "symbols": 6,
+    "bar_symbols": 12000,
+    "repeats": 3,
+    "stages": {
+      "full_facade_seconds": 0.08143977168947458,
+      "prepared_reuse_facade_seconds": 0.07379568073277672,
+      "array_preparation_seconds": 0.010897138544047872,
+      "pure_numba_kernel_seconds": 0.00021187355741858482,
+      "report_construction_estimate_seconds": 0.07033075958800812,
+      "prepared_reuse_speedup": 1.1035845307041487,
+      "array_preparation_share_pct": 13.380610379898986,
+      "pure_kernel_share_pct": 0.26015981261151755,
+      "report_construction_share_pct": 86.35922980748948
+    },
+    "notes": "Prepared-array cache targets WFO/service loops. Pure Numba kernel remains separated from pandas normalization and report construction."
+  },
+  "all_or_none_basket": {
+    "status": "pass",
+    "input_orders": 2,
+    "accepted_orders": 0,
+    "rejected_orders": 2,
+    "package_status": [
+      "rejected"
+    ],
+    "depth_model": "ohlcv_volume_cap"
+  },
+  "nautilus_portfolio": {
+    "status": "pass",
+    "validation_status": "pass",
+    "checks": {
+      "input_mode_is_portfolio_matrix": true,
+      "target_units_match": true,
+      "order_count_matches_target_transitions": true,
+      "fills_do_not_exceed_orders": true,
+      "positions_within_tolerance": true,
+      "final_equity_within_tolerance": true
+    },
+    "equity_tolerance": 1.0,
+    "position_tolerance": 0.005,
+    "expected_order_count": 14,
+    "nautilus_orders": 14,
+    "nautilus_fills": 14,
+    "final_equity_diff": 0.00784839857078623,
+    "max_abs_position_diff": 0.004
+  },
+  "cython_cpp_recommendation": "Cython/C++ is not justified yet; optimize cached array preparation and report construction first."
+}

benchmarks/phase12_benchmark_nautilus_cert.md

@@ -0,0 +1,37 @@
+# Phase 12B Benchmark And Nautilus Portfolio Certification
+
+Status: **pass**
+
+## Benchmark Follow-Up
+
+- Bars: `2000`
+- Symbols: `6`
+- Repeats: `3`
+- Full facade seconds: `0.081440`
+- Prepared reuse facade seconds: `0.073796`
+- Prepared reuse speedup: `1.104x`
+- Array preparation seconds: `0.010897`
+- Pure Numba kernel seconds: `0.000212`
+- Report construction residual seconds: `0.070331`
+- Pure kernel share: `0.26%`
+
+## Nautilus Portfolio
+
+- Status: `pass`
+- Validation status: `pass`
+- Equity tolerance profile: `1.0`
+- Position tolerance profile: `0.005`
+- Final equity diff: `0.00784839857078623`
+- Max position diff: `0.004`
+
+## All-Or-None Basket
+
+- Status: `pass`
+- Input orders: `2`
+- Accepted orders: `0`
+- Rejected orders: `2`
+- Depth model: `ohlcv_volume_cap`
+
+## Cython/C++ Decision
+
+Cython/C++ is not justified yet; optimize cached array preparation and report construction first.