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fix(data): reject non-positive replayed levels - #130

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proerror77 merged 3 commits into
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codex/binance-verifier-positive-levels
Jul 18, 2026
Merged

proerror77 merged 3 commits into
mainfrom
codex/binance-verifier-positive-levels

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@proerror77

@proerror77 proerror77 commented Jul 18, 2026

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Change contract

Reject a Binance market-tape Verified handle when any final replayed bid or ask level has a non-positive price or quantity.

Out of scope

Dependency / merge order

None. This PR was originally stacked on #129; after #129 merged it was retargeted to main, updated, and revalidated at exact head cf0c3ac4152936a6a1b5a7b3aeef34ffecdb78f4.

Focused validation

  • Review budget: 1 changed file, +23/-0, below the 25-file / 750-line split threshold.
  • Red GitHub/Linux counterexample: run 29638627699 failed only non_positive_replayed_book_levels_never_return_a_verified_handle; the old verifier incorrectly returned a verified handle with a zero price or negative quantity in the final ask.
  • Green GitHub/Linux implementation run 29639050482 passed rustfmt and all focused verifier tests before the base update.
  • Exact-head GitHub/Linux focused run 29639171291 passed rustfmt and all verifier tests for cf0c3ac4152936a6a1b5a7b3aeef34ffecdb78f4.
  • Exact-head standard CI run 29639139992 passed Rust Workspace, Rust HFT Engine Fast Lane, production image/Kubernetes contract, and the repository security lanes.
  • Safety boundary preserved: zero-quantity diff deletion remains legal because validation applies only to the completed replayed book.

Rollout / rollback impact

Verifier-only fail-closed tightening. No runtime service changes. Rollback is reverting this PR; artifacts with non-positive final levels remain rejected while active.

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⚙️ Run configuration

Configuration used: defaults

Review profile: CHILL

Plan: Pro

Run ID: 0cecd7a7-f1b1-4ff7-ae6d-d4ae13e4f417

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Reviewing files that changed from the base of the PR and between e8b5506 and cf0c3ac.

📒 Files selected for processing (1)
  • rust_hft/data-pipelines/core/src/binance_market_tape_artifact.rs
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  • Commit unit tests in branch codex/binance-verifier-positive-levels

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@proerror77
proerror77 force-pushed the codex/binance-verifier-positive-levels branch from 8754a37 to 3c90f69 Compare July 18, 2026 09:14
@proerror77
proerror77 changed the base branch from codex/binance-verifier-snapshot-seed to main July 18, 2026 09:25
@proerror77
proerror77 marked this pull request as ready for review July 18, 2026 09:32
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coderabbitai Bot commented Jul 18, 2026

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@proerror77
proerror77 merged commit 097166c into main Jul 18, 2026
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@proerror77
proerror77 deleted the codex/binance-verifier-positive-levels branch July 19, 2026 04:27
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