025554afcd
Cluster smoke 88dbp (post-Fix-S1.19 parameterized price range) still produces 97 zero + 85 i32::MAX sentinel entry_px values despite source data being fully filtered. Sentinels originate in kernel arithmetic paths post-sanitization, not from book input. Adds 6 per-backtest u32 counters incremented at NaN-producing sites: - nan_avg_px: avg_px = total_cost/filled_lots -> NaN/Inf - nan_realised: (avg_px - vwap_entry) * dir * unwind -> NaN/Inf - nan_realized_pnl: pos.realized_pnl becomes non-finite after += or -= - zero_vwap_at_open: pnl_track open branch saw vwap_entry == 0 - saturated_vwap_at_open: pnl_track open saw |vwap_entry| > 21M or NaN/Inf - defensive_exit_clamp: pnl_track close defensive clamp fired Each counter printed at end of smoke via nan_counters: log line. apply_fill_to_pos (resting_orders.cu) gains 3 counter args; NaN-producing paths return early WITHOUT propagating into pos state. pnl_track_step gains 3 counter args. All call sites threaded through sim/mod.rs launches. NanCounters struct + read_nan_counters() accessor added to LobSimCuda. Unit test nan_counters_initialize_to_zero confirms zero-init and accessor compile. 18/18 stop_controller, 5/5 decision_floor_coldstart pass. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Foxhunt
Production HFT trading system in Rust.
Architecture
The workspace contains 32 crates organized as follows:
Core Libraries (16)
| Crate | Purpose |
|---|---|
trading_engine |
Order processing, FIX 4.4, IB TWS, SIMD, RDTSC timing |
risk |
VaR, Kelly, circuit breakers, kill switches, compliance |
risk-data |
Risk data types and shared structures |
trading-data |
Trading data types |
ml |
DQN Rainbow, PPO, TFT, Mamba2, ensemble inference |
ml-data |
ML data types and feature definitions |
data |
Market data ingestion and storage |
backtesting |
Replay engine, strategy tester |
adaptive-strategy |
Ensemble execution, microstructure analysis |
common |
Shared types, resilience, error handling |
storage |
S3 and local model storage |
model_loader |
Model serialization and loading |
market-data |
Market data feed handlers |
database |
PostgreSQL access layer (SQLx) |
config |
Configuration management |
tli |
CLI commands and tooling |
Services (8)
| Service | Purpose |
|---|---|
backtesting_service |
gRPC backtesting service |
broker_gateway_service |
FIX routing, broker connectivity |
trading_service |
Core trading operations |
ml_training_service |
Model training orchestration |
data_acquisition_service |
Market data acquisition |
trading_agent_service |
Autonomous trading agents |
api_gateway |
gRPC API gateway with auth |
web-gateway |
Axum REST + WebSocket gateway |
Frontend
web-dashboard/ -- React 19 + TypeScript + Vite + TradingView charts.
Building
# Check compilation (no PostgreSQL required)
SQLX_OFFLINE=true cargo check --workspace
# Run tests for a specific crate
SQLX_OFFLINE=true cargo test -p <crate> --lib
# Clippy
SQLX_OFFLINE=true cargo clippy --workspace
ML Models
Four production model architectures on Candle v0.9.1 with CUDA:
- DQN Rainbow -- Deep Q-Network with prioritized replay, dueling heads, noisy nets
- PPO -- Proximal Policy Optimization with GAE and LSTM policies
- TFT -- Temporal Fusion Transformer for multi-horizon forecasting
- Mamba2 -- State space model for sequence prediction
Each model has a standalone trainer and a UnifiedTrainable adapter for the hyperopt pipeline.
Infrastructure
- Git: Gitea at
git.fxhnt.ai(Tailscale-only), Scaleway DEV1-S - Observability: OpenTelemetry OTLP (env
OTEL_EXPORTER_OTLP_ENDPOINT) - Database: PostgreSQL with SQLx offline mode for CI
License
Proprietary. All rights reserved.