research: project verified Binance tapes

[proerror77]

Change contract

Add a research-only projection from the private typed VerifiedBinanceMarketTape into governed research updates, source clocks, and LOB snapshots, with source-time buckets anchored to the requested history start and replay visibility retained at received_at.

Out of scope

• Polymarket projection or aggregation
• Snapshot assembly
• Audit generation
• CLI or harness wiring
• Runtime, execution, or deployment changes

Dependency or merge order

• Base: main
• Depends on: ci(prediction): scope rustfmt to nested workspace members #138 (merged), feat(market-data): aggregate verified Polymarket evidence #136 (merged)
• Merge order: this PR before the verified artifact audit and snapshot adapter consumers

Focused validation

• Focused Linux proof: https://github.com/proerror77/monday/actions/runs/29651421612
• Exact-head Prediction Markets CI: https://github.com/proerror77/monday/actions/runs/29652171329
• Exact-head Security & Quality: https://github.com/proerror77/monday/actions/runs/29652171331
• Scope: 12 files and 748 non-generated changed lines, below the 750-line split guardrail
• Counterexamples and trust checks:
  • source-time spot and LOB buckets match the canonical history_start-anchored loader even for unaligned windows
  • AggTrade replays before SpotPrice at equal received_at
  • equal-time book events merge atomically before one sample
  • no LOB sample appears before a verified source clock
  • missing spot, AggTrade, or LOB surfaces fail closed
  • the projection source and every new path dependency manifest are bound into the governed policy identity and freshness graph
• Review: 0 unresolved threads; prior spec and standards reviews reported no remaining findings

Rollout / rollback impact

Research-only library and policy-identity change. Roll forward by consuming this private typed projection in the next focused audit/snapshot PRs. Roll back by reverting this PR only; collectors, runtime deployment, live execution, and production ECS are unchanged.

[coderabbitai]

📝 Walkthrough

Walkthrough

Adds a public verified Binance market-tape projection API that validates windows, produces deterministic trade updates and sampled order-book snapshots, preserves source clocks, and exposes result counts. It also updates local dependency wiring, policy snapshots, dependency fingerprints, and research task tracking.

Changes

Verified Binance research projection

Layer / File(s)	Summary
Dependency and policy inputs rust_hft/prediction-markets/crates/ploy-research/Cargo.toml, rust_hft/prediction-markets/crates/ploy-research/prediction-policy-dependencies.*, rust_hft/prediction-markets/config/research_missions/*, rust_hft/prediction-markets/tasks/todo.md	Adds the local data dependency and refreshes policy snapshot, Linux dependency fingerprint, mission examples, and completed task tracking.
Projection API and window validation rust_hft/prediction-markets/crates/ploy-research/src/lib.rs, rust_hft/prediction-markets/crates/ploy-research/src/verified_binance_projection.rs	Exports the verified Binance projection API, validates inputs and tape coverage, and constructs projection results with source clocks and surface counts.
Trade and order-book projection rust_hft/prediction-markets/crates/ploy-research/src/verified_binance_projection.rs	Buckets trades into deterministic updates, replays and samples order-book events into depth metrics, preserves applicable source timestamps, and tests ordering, merging, staleness, and coverage failures.

Estimated code review effort: 4 (Complex) | ~45 minutes

Sequence Diagram(s)

sequenceDiagram
  participant Caller
  participant ProjectionAPI
  participant VerifiedTape
  participant TradeProjector
  participant BookProjector
  Caller->>ProjectionAPI: submit symbol, window, and cadence
  ProjectionAPI->>VerifiedTape: validate verified coverage
  ProjectionAPI->>TradeProjector: project spot and aggregate trades
  ProjectionAPI->>BookProjector: replay and sample LOB events
  TradeProjector-->>ProjectionAPI: market updates and source clocks
  BookProjector-->>ProjectionAPI: sampled LOB snapshots
  ProjectionAPI-->>Caller: return verified research projection

Loading

Possibly related PRs

• proerror77/monday#104: Introduces the validated Binance market-tape contracts and clock invariants used by this projection.
• proerror77/monday#131: Exposes replay sequencing and checkpoint events used for LOB projection.
• proerror77/monday#133: Adds a related end-to-end path for projecting verified Binance artifacts into research outputs.

🚥 Pre-merge checks | ✅ 5

✅ Passed checks (5 passed)

Check name	Status	Explanation
Docstring Coverage	✅ Passed	No functions found in the changed files to evaluate docstring coverage. Skipping docstring coverage check.
Linked Issues check	✅ Passed	Check skipped because no linked issues were found for this pull request.
Out of Scope Changes check	✅ Passed	Check skipped because no linked issues were found for this pull request.
Title check	✅ Passed	The title clearly summarizes the main change: projecting verified Binance tapes into research outputs.
Description check	✅ Passed	The description covers the required contract, out-of-scope items, dependencies, validation, and rollback details.

✨ 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/binance-verified-research-projection

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[coderabbitai]

Actionable comments posted: 1

🤖 Prompt for all review comments with AI agents

Verify each finding against current code. Fix only still-valid issues, skip the
rest with a brief reason, keep changes minimal, and validate.

Inline comments:
In
`@rust_hft/prediction-markets/crates/ploy-research/src/verified_binance_projection.rs`:
- Around line 88-99: Update the construction path for
VerifiedBinanceResearchProjection to validate spot_prices, aggregate_trades, and
lob_snapshots before returning Ok; fail closed with an appropriate error
whenever any required surface is empty. Add a regression test covering each
empty-surface case and confirming projection creation is rejected.

🪄 Autofix (Beta)

Fix all unresolved CodeRabbit comments on this PR:

• Push a commit to this branch (recommended)
• Create a new PR with the fixes

---

ℹ️ Review info

⚙️ Run configuration

Configuration used: defaults

Review profile: CHILL

Plan: Pro

Run ID: 65534565-cd79-4d31-82ef-962f17d64c6b

📥 Commits

Reviewing files that changed from the base of the PR and between b1d6a2b and 0e53632.

⛔ Files ignored due to path filters (1)

• rust_hft/prediction-markets/Cargo.lock is excluded by !**/*.lock

📒 Files selected for processing (8)

• rust_hft/prediction-markets/config/research_missions/polymarket-btc-5m.example.json
• rust_hft/prediction-markets/config/research_missions/polymarket-sol-5m.example.json
• rust_hft/prediction-markets/crates/ploy-research/Cargo.toml
• rust_hft/prediction-markets/crates/ploy-research/prediction-policy-dependencies.linux.sha256
• rust_hft/prediction-markets/crates/ploy-research/prediction-policy-dependencies.linux.txt
• rust_hft/prediction-markets/crates/ploy-research/src/lib.rs
• rust_hft/prediction-markets/crates/ploy-research/src/verified_binance_projection.rs
• rust_hft/prediction-markets/tasks/todo.md

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