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proerror77 merged 2 commits into from
Jul 23, 2026
Merged

collector: gate CEX L2 continuity evidence #265

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10f8711
feat(collector): gate CEX L2 continuity evidence (#224)
Jul 23, 2026
2bf102f
fix(collector): keep LOB gate inputs fail-closed (#224)
Jul 23, 2026
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74 changes: 68 additions & 6 deletions deployment/aliyun/host-rust-lob-shadow-gate.sh
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Original file line number Diff line number Diff line change
Expand Up @@ -611,7 +611,7 @@ verify_oss_round_trips() {
local actual_digest bytes agg_trade_count manifest_agg_trade_count gap_ns
local previous_end_ns=0
local round_trips='[]'
local -a strict_verifier_args=()
local -a strict_verifier_args=(--require-lob-continuity)

manifest_uris "$market" "$listing" >"$uris"
: >"$candidates"
Expand Down Expand Up @@ -640,11 +640,47 @@ verify_oss_round_trips() {
start_ns=$(jq -er '.start_received_at_ns' "$manifest")
end_ns=$(jq -er '.end_received_at_ns' "$manifest")
((end_ns < gate_started_ns)) && continue
jq -e \
jq -e --arg session_id "${observed_session[$market]}" \
'.schema == "binance.market_tape.v1"
and .trade_summary_contract == "binance.aggregate_trade_summary.v1"
and (.trade_summaries | type) == "object"
and (.trade_summaries | length) > 0
and .lob_continuity.contract == "binance.lob_continuity.v1"
and .lob_continuity.capture_session_id == $session_id
Comment on lines +648 to +649

@chatgpt-codex-connector chatgpt-codex-connector Bot Jul 23, 2026

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P1 Badge Pass session_id to the LOB manifest jq check

For every manifest whose end time reaches the gate window, this second jq invocation references $session_id without defining it. The --arg session_id on the earlier discovery invocation is local to that separate process, so jq exits with '$session_id is not defined' and the production shadow gate always takes the failure path before verifying any OSS segments. Add the argument to this invocation or combine the checks.

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@proerror77 proerror77 Jul 23, 2026

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Fixed in 2bf102f: the session argument is now bound on the same jq invocation that evaluates the LOB continuity contract, with a focused regression assertion.

and (.lob_continuity.reconnect_boundary | type) == "boolean"
and .lob_continuity.sequence_gaps == 0
and .lob_continuity.source_time_rollbacks == 0
and .lob_continuity.declared_symbol_count == (.symbols | length)
and .lob_continuity.covered_symbol_count == (.symbols | length)
and .lob_continuity.missing_symbols == []
and (.lob_continuity.symbols | type) == "object"
and (.lob_continuity.symbols | length) == (.symbols | length)
and all(.lob_continuity.symbols[];
.snapshot_seed_count > 0
and .diff_count > 0
and .checkpoint_count > 0
and (.first_update_id | type) == "number"
and (.last_update_id | type) == "number"
and .last_update_id >= .first_update_id
and (.first_source_time_ms | type) == "number"
and (.last_source_time_ms | type) == "number"
and .last_source_time_ms >= .first_source_time_ms
and (.first_received_at_ns | type) == "number"
and (.last_received_at_ns | type) == "number"
and .last_received_at_ns >= .first_received_at_ns
and (.min_source_latency_ms | type) == "number"
and (.max_source_latency_ms | type) == "number"
and .min_source_latency_ms >= -1000
and .max_source_latency_ms <= 30000
and .max_source_latency_ms >= .min_source_latency_ms
and (.min_bid_levels | type) == "number"
and (.max_bid_levels | type) == "number"
and .min_bid_levels > 0
and .max_bid_levels >= .min_bid_levels
and (.min_ask_levels | type) == "number"
and (.max_ask_levels | type) == "number"
and .min_ask_levels > 0
and .max_ask_levels >= .min_ask_levels)
and (.event_types.agg_trade | type) == "number"
and .event_types.agg_trade == (.event_types.agg_trade | floor)
and .event_types.agg_trade > 0' \
Expand Down Expand Up @@ -740,16 +776,36 @@ verify_oss_round_trips() {
--argjson gap_from_previous_ns "$gap_ns" \
--argjson bytes "$bytes" \
--argjson agg_trade_count "$agg_trade_count" \
'{manifest_uri:$manifest_uri,data_uri:$data_uri,success_uri:$success_uri,sha256:$sha256,
--slurpfile manifest "$manifest_path" \
'($manifest[0].lob_continuity) as $lob_continuity
| {manifest_uri:$manifest_uri,data_uri:$data_uri,success_uri:$success_uri,sha256:$sha256,
manifest_sha256:$manifest_sha256,gap_from_previous_ns:$gap_from_previous_ns,
start_received_at_ns:$start_received_at_ns,end_received_at_ns:$end_received_at_ns,bytes:$bytes,
agg_trade_count:$agg_trade_count}')
agg_trade_count:$agg_trade_count,
lob_capture_session_id:$lob_continuity.capture_session_id,
lob_reconnect_boundary:$lob_continuity.reconnect_boundary,
lob_sequence_gaps:$lob_continuity.sequence_gaps,
lob_source_time_rollbacks:$lob_continuity.source_time_rollbacks,
lob_declared_symbol_count:$lob_continuity.declared_symbol_count,
lob_covered_symbol_count:$lob_continuity.covered_symbol_count,
lob_min_source_latency_ms:([$lob_continuity.symbols[].min_source_latency_ms] | min),
lob_max_source_latency_ms:([$lob_continuity.symbols[].max_source_latency_ms] | max),
lob_min_bid_levels:([$lob_continuity.symbols[].min_bid_levels] | min),
lob_min_ask_levels:([$lob_continuity.symbols[].min_ask_levels] | min)}')
round_trips=$(jq -cn --argjson values "$round_trips" --argjson value "$round_trip" \
'$values + [$value]')
done < <(sort -n -k1,1 "$candidates")

"$candidate_binary" "${strict_verifier_args[@]}" >/dev/null \
|| die "$market strict aggregate-trade summary readback failed"
|| die "$market strict aggregate-trade and LOB continuity readback failed"

jq -e --arg session_id "${observed_session[$market]}" '
(map(select(.lob_reconnect_boundary)) | length) == 1
and .[0].lob_reconnect_boundary == true
and all(.[1:][].lob_reconnect_boundary; . == false)
and all(.[].lob_capture_session_id; . == $session_id)' \
<<<"$round_trips" >/dev/null \
|| die "$market LOB evidence crosses a capture-session boundary"

printf '%s\n' "$round_trips"
}
Expand Down Expand Up @@ -794,6 +850,12 @@ for market in "${markets[@]}"; do
memory_peak_bytes:$memory_peak_bytes,memory_max_bytes:$memory_max_bytes,
health_sha256:$health_sha256,
strict_trade_summary_readback:true,
strict_lob_continuity_readback:true,
lob_reconnect_boundaries:([$oss_round_trips[].lob_reconnect_boundary] | map(select(.)) | length),
min_lob_source_latency_ms:([$oss_round_trips[].lob_min_source_latency_ms] | min),
max_lob_source_latency_ms:([$oss_round_trips[].lob_max_source_latency_ms] | max),
min_lob_bid_levels:([$oss_round_trips[].lob_min_bid_levels] | min),
min_lob_ask_levels:([$oss_round_trips[].lob_min_ask_levels] | min),
max_segment_gap_ns:([$oss_round_trips[].gap_from_previous_ns] | max),
oss_roundtrips:($oss_round_trips | length),
agg_trade_segments:($oss_round_trips | length),
Expand All @@ -815,7 +877,7 @@ if [[ $test_only == true ]] || ((duration_seconds < REQUIRED_DURATION_SECONDS));
fi

jq -n \
--arg schema monday.rust_lob_shadow_gate.v2 \
--arg schema monday.rust_lob_shadow_gate.v3 \
--arg candidate_sha256 "$candidate_sha" \
--arg candidate_binary "$candidate_binary" \
--arg deployment_bundle_sha256 "$deployment_bundle_sha256" \
Expand Down
77 changes: 74 additions & 3 deletions deployment/aliyun/rust-lob-shadow-gate-policy.jq
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Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
.schema == "monday.rust_lob_shadow_gate.v2"
. as $gate
| .schema == "monday.rust_lob_shadow_gate.v3"
and .candidate_sha256 == $candidate_sha256
and .deployment_bundle_sha256 == $deployment_bundle_sha256
and .deployment_source_revision == $deployment_source_revision
Expand Down Expand Up @@ -37,6 +38,18 @@ and (.markets.spot.agg_trade_count | type) == "number"
and .markets.spot.agg_trade_count == (.markets.spot.agg_trade_count | floor)
and .markets.spot.agg_trade_count > 0
and .markets.spot.strict_trade_summary_readback == true
and .markets.spot.strict_lob_continuity_readback == true
and (.markets.spot.lob_reconnect_boundaries | type) == "number"
and .markets.spot.lob_reconnect_boundaries == 1
and (.markets.spot.min_lob_source_latency_ms | type) == "number"
and .markets.spot.min_lob_source_latency_ms >= -1000
and (.markets.spot.max_lob_source_latency_ms | type) == "number"
and .markets.spot.max_lob_source_latency_ms <= 30000
and .markets.spot.max_lob_source_latency_ms >= .markets.spot.min_lob_source_latency_ms
and (.markets.spot.min_lob_bid_levels | type) == "number"
and .markets.spot.min_lob_bid_levels > 0
and (.markets.spot.min_lob_ask_levels | type) == "number"
and .markets.spot.min_lob_ask_levels > 0
and (.markets.spot.max_segment_gap_ns | type) == "number"
and .markets.spot.max_segment_gap_ns == (.markets.spot.max_segment_gap_ns | floor)
and .markets.spot.max_segment_gap_ns >= 0
Expand All @@ -59,9 +72,32 @@ and all(.markets.spot.oss_roundtrip_evidence[];
and .end_received_at_ns >= .start_received_at_ns
and (.agg_trade_count | type) == "number"
and .agg_trade_count == (.agg_trade_count | floor)
and .agg_trade_count > 0)
and .agg_trade_count > 0
and .lob_capture_session_id == $gate.markets.spot.session_id
and (.lob_reconnect_boundary | type) == "boolean"
and .lob_sequence_gaps == 0
and .lob_source_time_rollbacks == 0
and .lob_declared_symbol_count == $gate.markets.spot.symbol_count
and .lob_covered_symbol_count == $gate.markets.spot.symbol_count
and (.lob_min_source_latency_ms | type) == "number"
and .lob_min_source_latency_ms >= -1000
and (.lob_max_source_latency_ms | type) == "number"
and .lob_max_source_latency_ms <= 30000
and .lob_max_source_latency_ms >= .lob_min_source_latency_ms
and (.lob_min_bid_levels | type) == "number"
and .lob_min_bid_levels > 0
and (.lob_min_ask_levels | type) == "number"
and .lob_min_ask_levels > 0)
and (.markets.spot.oss_roundtrip_evidence as $round_trips
| $round_trips[0].gap_from_previous_ns == 0
and $round_trips[0].lob_reconnect_boundary == true
and all($round_trips[1:][].lob_reconnect_boundary; . == false)
and .markets.spot.lob_reconnect_boundaries
== ([$round_trips[].lob_reconnect_boundary] | map(select(.)) | length)
and .markets.spot.min_lob_source_latency_ms == ([$round_trips[].lob_min_source_latency_ms] | min)
and .markets.spot.max_lob_source_latency_ms == ([$round_trips[].lob_max_source_latency_ms] | max)
and .markets.spot.min_lob_bid_levels == ([$round_trips[].lob_min_bid_levels] | min)
and .markets.spot.min_lob_ask_levels == ([$round_trips[].lob_min_ask_levels] | min)
and .markets.spot.max_segment_gap_ns == ([$round_trips[].gap_from_previous_ns] | max)
and all(range(1; ($round_trips | length));
$round_trips[.].start_received_at_ns >= $round_trips[. - 1].end_received_at_ns
Expand Down Expand Up @@ -96,6 +132,18 @@ and (.markets.usdm.agg_trade_count | type) == "number"
and .markets.usdm.agg_trade_count == (.markets.usdm.agg_trade_count | floor)
and .markets.usdm.agg_trade_count > 0
and .markets.usdm.strict_trade_summary_readback == true
and .markets.usdm.strict_lob_continuity_readback == true
and (.markets.usdm.lob_reconnect_boundaries | type) == "number"
and .markets.usdm.lob_reconnect_boundaries == 1
and (.markets.usdm.min_lob_source_latency_ms | type) == "number"
and .markets.usdm.min_lob_source_latency_ms >= -1000
and (.markets.usdm.max_lob_source_latency_ms | type) == "number"
and .markets.usdm.max_lob_source_latency_ms <= 30000
and .markets.usdm.max_lob_source_latency_ms >= .markets.usdm.min_lob_source_latency_ms
and (.markets.usdm.min_lob_bid_levels | type) == "number"
and .markets.usdm.min_lob_bid_levels > 0
and (.markets.usdm.min_lob_ask_levels | type) == "number"
and .markets.usdm.min_lob_ask_levels > 0
and (.markets.usdm.max_segment_gap_ns | type) == "number"
and .markets.usdm.max_segment_gap_ns == (.markets.usdm.max_segment_gap_ns | floor)
and .markets.usdm.max_segment_gap_ns >= 0
Expand All @@ -118,9 +166,32 @@ and all(.markets.usdm.oss_roundtrip_evidence[];
and .end_received_at_ns >= .start_received_at_ns
and (.agg_trade_count | type) == "number"
and .agg_trade_count == (.agg_trade_count | floor)
and .agg_trade_count > 0)
and .agg_trade_count > 0
and .lob_capture_session_id == $gate.markets.usdm.session_id
and (.lob_reconnect_boundary | type) == "boolean"
and .lob_sequence_gaps == 0
and .lob_source_time_rollbacks == 0
and .lob_declared_symbol_count == $gate.markets.usdm.symbol_count
and .lob_covered_symbol_count == $gate.markets.usdm.symbol_count
and (.lob_min_source_latency_ms | type) == "number"
and .lob_min_source_latency_ms >= -1000
and (.lob_max_source_latency_ms | type) == "number"
and .lob_max_source_latency_ms <= 30000
and .lob_max_source_latency_ms >= .lob_min_source_latency_ms
and (.lob_min_bid_levels | type) == "number"
and .lob_min_bid_levels > 0
and (.lob_min_ask_levels | type) == "number"
and .lob_min_ask_levels > 0)
and (.markets.usdm.oss_roundtrip_evidence as $round_trips
| $round_trips[0].gap_from_previous_ns == 0
and $round_trips[0].lob_reconnect_boundary == true
and all($round_trips[1:][].lob_reconnect_boundary; . == false)
and .markets.usdm.lob_reconnect_boundaries
== ([$round_trips[].lob_reconnect_boundary] | map(select(.)) | length)
and .markets.usdm.min_lob_source_latency_ms == ([$round_trips[].lob_min_source_latency_ms] | min)
and .markets.usdm.max_lob_source_latency_ms == ([$round_trips[].lob_max_source_latency_ms] | max)
and .markets.usdm.min_lob_bid_levels == ([$round_trips[].lob_min_bid_levels] | min)
and .markets.usdm.min_lob_ask_levels == ([$round_trips[].lob_min_ask_levels] | min)
and .markets.usdm.max_segment_gap_ns == ([$round_trips[].gap_from_previous_ns] | max)
and all(range(1; ($round_trips | length));
$round_trips[.].start_received_at_ns >= $round_trips[. - 1].end_received_at_ns
Expand Down
45 changes: 41 additions & 4 deletions deployment/aliyun/test-rust-lob-control-plane.sh
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Expand Up @@ -25,7 +25,15 @@ grep -Fq 'strict_verifier_args+=' "$GATE"
grep -Fq -- '--verify-segment' "$GATE"
grep -Fq -- '--segment-content-sha256' "$GATE"
grep -Fq -- '--segment-manifest-sha256' "$GATE"
grep -Fq -- '--require-lob-continuity' "$GATE"
grep -Fq '"$candidate_binary" "${strict_verifier_args[@]}"' "$GATE"
grep -Fq '.lob_continuity.contract == "binance.lob_continuity.v1"' "$GATE"
grep -Fq 'jq -e --arg session_id "${observed_session[$market]}"' "$GATE"
grep -Fq -- '--slurpfile manifest "$manifest_path"' "$GATE"
if grep -Fq -- '--argjson lob_continuity' "$GATE"; then
printf 'shadow gate passes the full-catalog LOB summary through argv\n' >&2
exit 1
fi
grep -Fq 'manifest changed between discovery and readback' "$GATE"
grep -Fq 'manifest_sha256:$manifest_sha256' "$GATE"

Expand Down Expand Up @@ -69,22 +77,40 @@ market_json=$(jq -cn \
session_id:"session-1",oss_roundtrips:2,
agg_trade_segments:2,agg_trade_count:2,
strict_trade_summary_readback:true,
strict_lob_continuity_readback:true,lob_reconnect_boundaries:1,
min_lob_source_latency_ms:0,max_lob_source_latency_ms:0,
min_lob_bid_levels:1,min_lob_ask_levels:1,
max_segment_gap_ns:0,
oss_roundtrip_evidence:[
{success_uri:"oss://bucket/part-1.jsonl.zst._SUCCESS",sha256:$catalog,manifest_sha256:$catalog,
gap_from_previous_ns:0,start_received_at_ns:100,end_received_at_ns:200,agg_trade_count:1},
gap_from_previous_ns:0,start_received_at_ns:100,end_received_at_ns:200,agg_trade_count:1,
lob_capture_session_id:"session-1",lob_reconnect_boundary:true,lob_sequence_gaps:0,
lob_source_time_rollbacks:0,lob_declared_symbol_count:1200,lob_covered_symbol_count:1200,
lob_min_source_latency_ms:0,lob_max_source_latency_ms:0,
lob_min_bid_levels:1,lob_min_ask_levels:1},
{success_uri:"oss://bucket/part-2.jsonl.zst._SUCCESS",sha256:$catalog,manifest_sha256:$catalog,
gap_from_previous_ns:0,start_received_at_ns:200,end_received_at_ns:300,agg_trade_count:1}
gap_from_previous_ns:0,start_received_at_ns:200,end_received_at_ns:300,agg_trade_count:1,
lob_capture_session_id:"session-1",lob_reconnect_boundary:false,lob_sequence_gaps:0,
lob_source_time_rollbacks:0,lob_declared_symbol_count:1200,lob_covered_symbol_count:1200,
lob_min_source_latency_ms:0,lob_max_source_latency_ms:0,
lob_min_bid_levels:1,lob_min_ask_levels:1}
]}')
usdm_market=$(jq -c '
.symbol_count = 500
| .snapshot_ready_count = 500
| .oss_roundtrip_evidence |= map(
.lob_declared_symbol_count = 500 | .lob_covered_symbol_count = 500)' \
<<<"$market_json")
jq -n \
--arg artifact "$artifact" \
--arg bundle "$bundle" \
--arg source "$source_revision" \
--argjson market "$market_json" \
'{schema:"monday.rust_lob_shadow_gate.v2",candidate_sha256:$artifact,
--argjson usdm_market "$usdm_market" \
'{schema:"monday.rust_lob_shadow_gate.v3",candidate_sha256:$artifact,
deployment_bundle_sha256:$bundle,deployment_source_revision:$source,
passed:true,production_eligible:true,checks_passed:true,duration_seconds:3600,
markets:{spot:$market,usdm:($market + {symbol_count:500,snapshot_ready_count:500})}}' \
markets:{spot:$market,usdm:$usdm_market}}' \
>"$tmp_dir/gate.json"

jq -e \
Expand All @@ -103,6 +129,17 @@ if jq -e \
exit 1
fi

jq '.markets.spot.oss_roundtrip_evidence[1].lob_capture_session_id = "session-2"' \
"$tmp_dir/gate.json" >"$tmp_dir/mixed-lob-session.json"
if jq -e \
--arg candidate_sha256 "$artifact" \
--arg deployment_bundle_sha256 "$bundle" \
--arg deployment_source_revision "$source_revision" \
-f "$POLICY" "$tmp_dir/mixed-lob-session.json" >/dev/null; then
printf 'gate policy accepted LOB evidence across a reconnect boundary\n' >&2
exit 1
fi

jq '.markets.spot.oss_roundtrip_evidence[1] |=
(.start_received_at_ns = 90000000300
| .end_received_at_ns = 90000000400
Expand Down
30 changes: 25 additions & 5 deletions deployment/aliyun/test-rust-lob-release-adoption.sh
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Original file line number Diff line number Diff line change
Expand Up @@ -143,26 +143,46 @@ setup_fixture() {
catalog_sha256:"dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
session_id:"shadow-session",oss_roundtrips:2,
agg_trade_segments:2,agg_trade_count:2,
strict_trade_summary_readback:true,max_segment_gap_ns:0,
strict_trade_summary_readback:true,strict_lob_continuity_readback:true,
lob_reconnect_boundaries:1,
min_lob_source_latency_ms:0,max_lob_source_latency_ms:0,
min_lob_bid_levels:1,min_lob_ask_levels:1,max_segment_gap_ns:0,
oss_roundtrip_evidence:[
{success_uri:"oss://bucket/part-1.jsonl.zst._SUCCESS",
sha256:"dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
manifest_sha256:"eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee",
gap_from_previous_ns:0,start_received_at_ns:100,end_received_at_ns:200,agg_trade_count:1},
gap_from_previous_ns:0,start_received_at_ns:100,end_received_at_ns:200,agg_trade_count:1,
lob_capture_session_id:"shadow-session",lob_reconnect_boundary:true,
lob_sequence_gaps:0,lob_source_time_rollbacks:0,
lob_declared_symbol_count:1200,lob_covered_symbol_count:1200,
lob_min_source_latency_ms:0,lob_max_source_latency_ms:0,
lob_min_bid_levels:1,lob_min_ask_levels:1},
{success_uri:"oss://bucket/part-2.jsonl.zst._SUCCESS",
sha256:"ffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffff",
manifest_sha256:"9999999999999999999999999999999999999999999999999999999999999999",
gap_from_previous_ns:0,start_received_at_ns:200,end_received_at_ns:300,agg_trade_count:1}
gap_from_previous_ns:0,start_received_at_ns:200,end_received_at_ns:300,agg_trade_count:1,
lob_capture_session_id:"shadow-session",lob_reconnect_boundary:false,
lob_sequence_gaps:0,lob_source_time_rollbacks:0,
lob_declared_symbol_count:1200,lob_covered_symbol_count:1200,
lob_min_source_latency_ms:0,lob_max_source_latency_ms:0,
lob_min_bid_levels:1,lob_min_ask_levels:1}
]}')
usdm_market=$(jq -c '
.symbol_count = 500
| .snapshot_ready_count = 500
| .oss_roundtrip_evidence |= map(
.lob_declared_symbol_count = 500 | .lob_covered_symbol_count = 500)' \
<<<"$market")
jq -n \
--arg artifact "$CANDIDATE_SHA256" \
--arg bundle "$DEPLOYMENT_BUNDLE_SHA256" \
--arg source "$DEPLOYMENT_SOURCE_REVISION" \
--argjson market "$market" \
'{schema:"monday.rust_lob_shadow_gate.v2",candidate_sha256:$artifact,
--argjson usdm_market "$usdm_market" \
'{schema:"monday.rust_lob_shadow_gate.v3",candidate_sha256:$artifact,
deployment_bundle_sha256:$bundle,deployment_source_revision:$source,
passed:true,production_eligible:true,checks_passed:true,duration_seconds:3600,
markets:{spot:$market,usdm:($market + {symbol_count:500,snapshot_ready_count:500})}}' \
markets:{spot:$market,usdm:$usdm_market}}' \
>"$gate_dir/gate.json"
(cd "$gate_dir" && sha256sum gate.json >PASSED.sha256)
now_ns=$(($(date +%s) * 1000000000))
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