target_dim expansion: adds raw_open (OHLCV) and mid_price_open
(MBP-10 midpoint at bar formation) to fxcache targets. FXCACHE_VERSION
2→3 for auto-rebuild. Legacy v2 files handled with close-price fallback.
Spec v5 adds 3 pearls:
- Bar duration encoding in Mamba2 (continuous-time SSM awareness)
- Order book center of mass from all 10 MBP-10 levels (aggression signal)
- Retrospective hold quality bonus (teaches exit timing)
Plus: Hold action (4th direction), DSR Sharpe EMA fix, counterfactual
magnitude/order sign fix, MFT mid-price mark-to-market.
OFI embed MLP now 18→10 (was 16→8). Mamba2 width SH2+10 (was SH2+8).
Attention width D+10 (was D+8).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Default was hardcoded as 64 in train_baseline_rl.rs and evaluate_baseline.rs,
overriding the config default of 32. Added num_quantiles=32 to production
config so it's explicit.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Removed: enforce_hold(), min_hold_bars from config/kernels/backtest.
Added: holding_cost_rate (inventory penalty), churn_threshold_bars +
churn_penalty_scale (graduated flip penalty) to reward in
experience_env_step and backtest kernels.
The model learns optimal hold timing from cost signals:
- Per-trade tx cost prevents churning (existing)
- Inventory penalty makes large positions expensive to hold
- Churn penalty graduates cost for rapid flips
- Temporal attention learns when holding cost > expected profit
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
bars_per_day was hardcoded 390 (1-minute candles) but we use MBP-10
imbalance bars (~7500/day). All Sharpe/Sortino/return annualization
was off by sqrt(7500/390) ≈ 4.4×.
Now computed from actual fxcache timestamps:
bars_per_day = total_bars / (trading_days from timestamp span)
Propagates to: val_Sharpe, train_Sharpe, financials, backtest evaluator.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
fxcache: OFI_DIM=20 (pub const), RECORD_F64_COUNT=66, 272 bytes/bar.
constructor: state_dim 74→86 (aligned 88) with OFI.
experience collector: ofi_dim detection 8→20.
All [f64; 8] → [f64; 20]. Existing 8 features preserved at 0-7.
New 12 features zero-padded until precompute is extended.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Replace 40-line inline fxcache discovery block in train_baseline_rl.rs
with a single call to ml::fxcache::discover_and_load(). precompute_features.rs
already uses correct symbol/data_source args — no changes needed there.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Adds `has_ofi: bool` to `FxCacheData` and the fxcache binary header
(stored in `reserved[0]`). Propagates through load_fxcache, write_fxcache,
all callers (precompute_features, train_baseline_rl, hyperopt dqn adapter),
existing roundtrip tests, and adds two new has_ofi-specific roundtrip tests.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Different instruments (ES.FUT vs NQ.FUT) and data source modes (ohlcv vs mbp10)
now produce distinct .fxcache keys, preventing silent overwrites and wrong-bar-type
loads at cache lookup time.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
The cache key in train_baseline_rl was computed from data_dir/symbol
(e.g. test_data/futures-baseline/ES.FUT) but precompute_features uses
data_dir (test_data/futures-baseline). Different paths → different keys
→ cache miss → OFI=false.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Normalize features once in precompute_features (single source of truth).
NormStats saved alongside .fxcache for inference denormalization.
Removed per-fold NormStats computation from train_baseline_rl, hyperopt
adapter, and smoketests — fxcache is pre-normalized, consumers use as-is.
NOTE: features still show raw price values (max=18000+) because
test_data/futures-baseline contains multiple symbols (ES, NQ, ZN, 6E)
mixed into one dataset. The feature extraction pipeline needs
investigation — log returns between different symbols produce garbage.
This is tracked as a separate task.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Fix 1 (HIGH): Ensemble trainers were created + data uploaded inside the
fold loop, causing redundant GPU uploads per fold per ensemble member.
Moved creation + init_from_fxcache before the fold loop; inside the loop
we now reuse trainers via set_training_range + reset_for_fold.
Fix 2 (MEDIUM): reset_for_fold cleared gpu_data = None, forcing re-upload
on every fold even though the full dataset was already GPU-resident via
init_from_fxcache. Removed the clearing — data stays on GPU across folds.
Fix 3 (LOW): train_fold_from_slices allocated a Vec<f64> per bar via
t.to_vec(). Added train_with_data_full_loop_slices that accepts
&[([f64; 42], [f64; 4])] — both are Copy stack types, zero heap alloc
per element. Added matching collect_gpu_experiences_slices and
run_training_steps_slices helpers.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Add PpoTrainer::train_from_slices(&[[f64; 42]]) that converts to
Vec<Vec<f32>> internally (PPO train() API requires ownership). Replace
the PPO fold loop in train_baseline_rl.rs: eliminates the OHLCVBar
construction shim and calls train_from_slices directly on fxcache
feature slices. Delete the standalone train_ppo_fold function entirely.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Adds DQNTrainer::train_fold_from_slices(&[[f64;42]], &[[f64;4]]) so the
fold loop in train_baseline_rl passes raw fxcache slices directly, without
the caller constructing any Vec<(FeatureVector, Vec<f64>)>. Removes
features_to_trainer_format_fast helper (no longer needed) and updates
train_dqn_fold to call the new method.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Rewrites the train_baseline_rl fold loop to eliminate per-fold waste:
- Data loading: fxcache -> fold index ranges from timestamps (no bar
reconstruction). DBN fallback builds FxCacheData in-place.
- DQN trainer created ONCE before fold loop, fxcache uploaded to GPU
ONCE via init_from_fxcache. Each fold uses set_training_range +
set_val_data_from_slices + reset_for_fold instead of recreating.
- Tokio runtime created ONCE (not per fold).
- Hyperparams construction extracted to build_dqn_hyperparams().
- Deleted: prepare_fold_data, FoldData type, prefetch thread,
DoubleBufferedLoader GPU staging, features_to_trainer_format (old).
- Added: generate_walk_forward_indices_from_timestamps (i64 ns
timestamps, O(log n) partition_point, no OHLCVBar dependency).
- Added: features_to_trainer_format_fast (fxcache targets directly).
- PPO compatibility preserved: constructs minimal OHLCVBars from
fxcache targets for train_ppo_fold (Task 6 will refactor).
- Ensemble mode preserved with per-member trainers for k>0.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- Print fxcache lookup key to diagnose cache miss on H100
- PREFETCH_K=16 (was usize::MAX causing 8M PER samples in one shot)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Epoch duration self-balances: bigger GPU → bigger auto-scaled batch →
fewer steps per epoch. The manual cap created 7 different values
(0, 8, 64, 100, 200, 300, 2000) across configs/tests/examples, making
behavior inconsistent between environments.
Removed from: DQNHyperparameters, training profiles (smoketest,
localdev, production), CLI args, Argo templates, hyperopt adapter,
all test overrides, supervised example.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
All VRAM-derived parameters (batch_size, gpu_n_episodes, buffer_size)
are auto-scaled — CLI overrides bypass this and cause inconsistent
behavior between local testing and production.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
gpu_n_episodes was manually overridden in GPU profiles, training configs,
test files, and hyperopt — all set to 0 or small fixed values that
bypassed the auto-scaling logic, causing a div-by-zero crash in
train_baseline_rl.
Now: single auto-scaling path via optimal_n_episodes() from VRAM/SM
count. No manual override field. Cap at 16384 (consistent with
AutoBatchSizer's 8192 cap pattern). Floor at 32 for small GPUs.
Removed gpu_n_episodes from:
- DQNHyperparameters, PpoHyperparameters structs
- All 4 GPU profiles (rtx3050, h100, a100, default)
- Training profiles (smoketest, localdev)
- ExperienceProfile struct + serde
- Hyperopt adapter
- All test overrides
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Sharpe calculation:
- Use per-trade returns (sum_returns/sum_sq_returns) instead of per-bar
step_returns. Per-bar Sharpe collapsed variance → bogus 19.75 with PF=0.03.
- Annualize by sqrt(trades_per_year) not sqrt(bars_per_year).
Batch sizing:
- Cap auto-computed batch_size at 8192 (VRAM ceiling of 2M is OOM limit, not
optimal RL batch).
- Add VRAM floor: batch_size < ceiling/4096 gets scaled UP (128 → 512 on H100).
- Only let hyperopt override batch_size when explicitly non-zero — preserve
profile's batch_size=0 auto-compute sentinel.
Replay buffer:
- Divide per_max_memory_bytes by 3.0 for regime heads (PER budget was 3x too
large, causing OOM cascade 74M → 37M → 18M → 9M → 4.6M).
- HER buffer uses original_buffer_size (pre-autosizer), not inflated 74M.
Q-value clipping:
- Wire hyperparams.q_clip_min/max to DQNConfig (was hardcoded ±500, production
TOML has ±50). Prevents Q-value overestimation ratio of 94.6x at epoch 2.
Training stability:
- Anti-LR warmup: skip first 5 epochs (early Sharpe unreliable from random
policy). Prevents bogus 3x LR boost at epoch 2.
- min_replay_size from profile (1000), not hyperopt batch_size (128).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- DAG: compile (ci-compile-cpu) + gpu-warmup → train (H100)
- Compiles from source targeting compute cap 90
- fxcache REQUIRED — fails if no .fxcache found
- Error chains printed with {:#} for full cause visibility
- Uses cargo-target-pvc for compile cache + sccache
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Each record now starts with an i64 timestamp (nanoseconds since epoch)
before the feature/target/OFI data. v1 records grow from 432 to 440
bytes, v2 from 112 to 120 bytes. The timestamp is always i64 even in
bf16 mode. train_baseline_rl reconstructs bars with real timestamps
instead of placeholders so the walk-forward windower can split by month.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Auto-discovers fxcache via env var or sibling directory. Falls back
to DBN loading if no cache found. Reconstructs aligned bars from
cached targets for walk-forward windowing.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Add --min-hold-bars CLI arg to train_baseline_rl and hyperopt_baseline_rl.
Wire through Argo workflow as parameter. Default 5 (TOML), override via
CLI for quick A/B experiments without config changes.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
train_baseline_rl now accepts --initial-capital (default $35K) matching
hyperopt. Argo compile-and-train passes the workflow parameter to the
train-best step. Both hyperopt and training now use consistent capital.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Noisy nets are now always on (mandatory feature since config unification).
Epsilon start always uses the noisy-nets-aware default (0.05).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Remove use_double_dqn, use_dueling, use_per, use_branching,
use_distributional, use_noisy_nets, use_huber_loss, and use_cql
from DQNConfig, DQNHyperparameters, and DqnParams structs.
These features are always enabled (Rainbow DQN standard). The boolean
flags were dead code — every constructor set them to true, and the
only code paths that set them to false were in tests that disabled
features for simplicity. With the fields removed, the features are
unconditionally active, eliminating ~490 lines of dead configuration.
Key changes:
- Struct field declarations removed from 3 core config structs
- Conditional branches (if use_X { ... } else { ... }) simplified:
dueling/branching/PER network creation is now unconditional
- Checkpoint metadata hardcodes "true" for backward compatibility
- Hyperopt search space index 11 (use_branching) fixed at 1.0
- TOML/YAML config files cleaned of removed fields
- Tests that toggled these flags updated or rewritten
45 files changed, -487 net lines. Zero new test failures.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
use_qr_dqn was a hacky toggle that gated the IQN dual-head behind
a num_atoms threshold. IQN is now always enabled when iqn_lambda > 0
(default 0.25). C51 remains the main loss; IQN is the auxiliary head
for CVaR risk quantification.
Removed use_qr_dqn from: DQNParams, DQNHyperparameters, fused_training,
hyperopt adapter, all tests, all examples.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Created config/gpu/{default,rtx3050,h100,a100}.toml with all GPU-specific
parameters: batch_size, num_atoms, buffer_size, hidden_dim_base,
replay_buffer_vram_fraction, gpu_n_episodes, gpu_timesteps_per_episode,
cuda_stack_bytes.
GpuProfile::load() auto-detects GPU by device name, falls back to
embedded defaults (include_str!). Override via FOXHUNT_GPU_PROFILE env.
Removed dead code:
- detect_vram_mb(), vram_scaled_hidden_dims(), vram_scaled_base_dim(),
resolve_hidden_dim_base() + 18 tests for these functions
All callers updated: train_baseline_rl, DQNTrainer constructor,
PPO trainer, smoke tests, pipeline tests.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Replace scattered VRAM-based if/else chains with a declarative TOML profile
system. GPU profiles (rtx3050, a100, h100, default) are selected by device
name and embedded at compile time via include_str! for zero-filesystem
fallback in CI/containers, with filesystem and env var overrides.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- DQN CLI --max-steps-per-epoch was only wired to PPO (bug: 1394 steps ran instead of 10)
- Added per-substep timing: sample/fused/guard breakdown per epoch
- Phase 1a results: PER sampling now 0.1ms/step (was ~100ms with CPU roundtrips)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- GpuTrainResult::gpu_tensor_to_cuda_slice: implement via CudaSlice::clone()
(was TODO returning hard error, blocking training guard loss readback)
- DQNAgentType::primary_dqn_mut(): new method returning &mut DQN for both
Standard and RegimeConditional variants
- FusedTrainingCtx: replace as_standard_mut() with primary_dqn_mut() at
all 3 call sites (EMA target update, IQN EMA, VarStore sync)
- fused_post_step/fused_post_step_no_ema/fused_post_step_gpu_bookkeeping:
delegate to primary_dqn_mut() instead of returning error for RegimeConditional
- train_baseline_rl: add error chain logging for fold failures
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- Query CU_DEVICE_ATTRIBUTE_MAX_SHARED_MEMORY_PER_BLOCK_OPTIN at runtime
instead of name-based heuristics for shared memory tile sizing
- Cap shmem at 48KB on consumer GPUs (< 164KB hardware max) — A100/H100
with 164KB+ use full opt-in, RTX 3050/4090 use safe 48KB default
- Dynamic C51 atom scaling: <8GB→11, <16GB→21, >=16GB→51 atoms
- Dynamic CUDA stack: 16KB for 11 atoms, 32KB for 21, 64KB for 51
- VRAM-aware GPU experience episodes: 16 episodes on <8GB (was 256)
- Bypass CUDA Graph when shmem > 48KB (direct kernel launch fallback)
- Remove .max(51) on num_atoms_max — use actual configured atom count
- Shared query_max_shmem_bytes() used by both trainer and collector
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
The fused DQN training kernel allocates DIST_SIZE(HIDDEN)*NUM_ATOMS
per-thread arrays on CUDA stack. With 51 atoms this needs ~52KB/thread
which exceeds stack limits on RTX 3050 (4GB). Scale atoms dynamically:
<8GB→11, <16GB→21, >=16GB→51 (matches smoke_test_real_data pattern).
Note: experience collector still compiles with atoms_max=51 hardcoded
(separate issue — needs collector kernel dim parameterization).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- Cast input to weight dtype in DQN residual, rmsnorm, noisy_layers
- Set use_gpu=true in QNetworkConfig defaults and all config sites
- Resolve BF16 boundary mismatches in attention, curiosity, branching,
distributional_dueling across ml-dqn
- GPU-resident regime ops with BF16 boundary casts, eliminate .expect() in CUDA paths
- Eliminate all Device::Cpu fallbacks — GPU-only across 10 ML crates
- PPO: cast logits to F32 before softmax, cast batch tensors to training dtype
- Gradient collapse detection for RegimeConditionalDQN
- Wire halt_grad_collapse from CUDA guard kernel to halt training
- Dead neuron detection uses active network VarMap + squeeze factored readback
- Increment gradient_logging_step in GPU PER path
- Gradient collapse warmup guards use original buffer_size
- Cap training steps per epoch + tracing migration
- Replace Tensor::all() with sum_all() for pinned Candle compatibility
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
CUBLAS_WORKSPACE_CONFIG and NVIDIA_TF32_OVERRIDE are set once at
startup before any threads or CUDA work begins. The unsafe block is
correct but triggers -W unsafe-code. Adding #[allow(unsafe_code)] at
the call site silences the warning while keeping the safety comment.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- gradient_utils: Add TensorId-based fallback when Var identity mismatch
causes 0/N vars to match GradStore (Candle Adam clones Arcs). Fallback
computes norm AND clips via insert_id. Throttled warning (1st + every
1000th). 7 unit tests including mismatch-actually-clips.
- monitoring: Track full 45-action factored space (5 exposure × 3 order
× 3 urgency). Fix validate_rewards false alarm on GPU path where single
aggregated mean_reward per epoch gives N=1 → std=0.
- trainer: GPU experience collection routes exposure actions through
route_action() for factored tracking instead of exposure-only counts.
Applied in both per-step and epoch-summary paths.
- train_baseline_rl: Auto-detect VRAM <8GB → disable GPU replay buffer
to prevent OOM on RTX 3050 Ti class GPUs.
- smoke_test_real_data: E2E DQN training test with 6 assertions (epoch
completion, loss decrease, finite losses, Q-value divergence, 45-action
space, finite gradient norms).
Validated: 1642 tests pass (ml=915, ml-core=311, ml-dqn=416), 0 clippy
warnings, baseline RL trains 10 epochs on CUDA with Sharpe +5.45.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
