fix(polymarket): reject deltas older than snapshot

[proerror77]

Change contract

Reject a Polymarket price-change delta whose source timestamp is older than the latest authenticated full-book snapshot before it can mutate cached depth. Closes #444.

This is a small, already-specified behavior correction, so a separate PRD is unnecessary; issue #444 is the scoped contract.

Out of scope

ACK Job creation or retry; collector deployment or cutover; evidence compilation; ResearchSnapshot; evaluator/MCTS; Paper, Shadow, or Live.

Dependency or merge order

Based on main bbd9405724fc00fcf825990311d99497b8fa6f93 after #442. Merge this PR before any separately authorized #313 acquisition attempt.

Focused validation

• Red proof before the fix: first_price_change_older_than_a_full_snapshot_is_skipped failed because the first stale delta was applied.
• cargo test --locked -p ploy-market-data --features live first_price_change_older_than_a_full_snapshot_is_skipped
• cargo test --locked -p ploy-market-data --features live (146 passed)
• cargo fmt -p ploy-market-data -- --check
• git diff --check
• Two-axis Standards/Spec review: no remaining findings.

Rollout and rollback impact

Recorder parsing only. Rollback restores the previous fail-closed reconnect behavior; no stored artifact is rewritten or deleted.

Summary by CodeRabbit

• Bug Fixes

  • Improved handling of stale market data updates.
  • Outdated price changes are now consistently ignored when a newer order-book snapshot is available.
  • Prevented older updates from incorrectly modifying cached market depth or triggering unnecessary time-order errors.

• Documentation

  • Updated migration tracking to include validation for outdated initial price-change updates.

[coderabbitai]

No actionable comments were generated in the recent review. 🎉

ℹ️ Recent review info

⚙️ Run configuration

Configuration used: defaults

Review profile: CHILL

Plan: Pro Plus

Run ID: 44e14051-8a7b-4f46-b278-f85d596a07a5

📥 Commits

Reviewing files that changed from the base of the PR and between bbd9405 and ad52683.

📒 Files selected for processing (2)

• rust_hft/prediction-markets/crates/ploy-market-data/src/feeds.rs
• rust_hft/prediction-markets/tasks/todo.md

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📝 Walkthrough

Walkthrough

The CLOB price-change path now skips deltas older than the current full-book snapshot before applying updates. Its regression test covers an uninitialized last_timestamp, and the migration tracker records the validation requirement.

Changes

CLOB staleness handling

Layer / File(s)	Summary
Stale delta filtering rust_hft/prediction-markets/crates/ploy-market-data/src/feeds.rs	Older snapshot-relative price changes are skipped unconditionally; remaining per-level timestamp checks retain backward-time error handling.
Regression validation and tracker update rust_hft/prediction-markets/crates/ploy-market-data/src/feeds.rs, rust_hft/prediction-markets/tasks/todo.md	The test verifies that a stale BUY update does not create a bid when last_timestamp is not initialized, and the tracker records the corresponding validation rule.

Estimated code review effort: 2 (Simple) | ~10 minutes

Possibly related issues

• proerror77/monday issue 441: Both changes adjust market_updates_from_price_change to ignore stale same-token CLOB deltas instead of treating them as errors.

Possibly related PRs

• proerror77/monday#35: Both modify CLOB market_updates_from_price_change filtering and batch-processing semantics.
• proerror77/monday#238: Both modify timestamp-based staleness and backward-time handling in market_updates_from_price_change.

🚥 Pre-merge checks | ✅ 5

✅ Passed checks (5 passed)

Check name	Status	Explanation
Title check	✅ Passed	The title clearly names the main behavior change: rejecting stale deltas older than the snapshot.
Description check	✅ Passed	The description covers the change, scope, merge order, validation, and rollback; only the optional scope-exception section is omitted.
Linked Issues check	✅ Passed	The code change and regression test match #444 by skipping deltas older than the authenticated snapshot while preserving other late-delta handling.
Out of Scope Changes check	✅ Passed	The diff is limited to the requested parsing fix, its regression test, and a related tracker note; no unrelated code changes are present.
Docstring Coverage	✅ Passed	No functions found in the changed files to evaluate docstring coverage. Skipping docstring coverage check.

✨ Finishing Touches

📝 Generate docstrings

• Create stacked PR
• Commit on current branch

🧪 Generate unit tests (beta)

• Create PR with unit tests
• Commit unit tests in branch codex/polymarket-snapshot-stale-delta-444

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