0ad5dc8b42
Implements backtest_gather_kernel.cu (gather_states) which reads directly from the pre-uploaded features buffer and live portfolio state on GPU, eliminating the large GPU→CPU download of the full features buffer that the old gather_states() path performed each step (n_windows×max_len×feat_dim floats, e.g. 134 MB for 8 windows × 100k steps × 42 features). The new path: kernel writes [n_windows, state_dim] into states_buf, then only that tiny buffer (~1.5 KB for 8×48) is downloaded to create the Candle tensor — a ~100,000x reduction in per-step data transfer. Wiring changes in GpuBacktestEvaluator: - Added GATHER_PTX OnceLock + compile_gather_ptx() - Added gather_kernel (CudaFunction) and states_buf (CudaSlice<f32>) fields - Added portfolio_dim field (always 3, validated in gather_states()) - Allocates states_buf = n_windows * (feature_dim + 3) in new() - gather_states() now launches kernel then downloads small output buffer - metrics download updated to 10 floats/window (Task 13 extended metrics) - Added 3 new tests: gather PTX compilation, portfolio_dim validation, state_dim calculation; all 10 gpu_backtest tests pass Co-Authored-By: Claude Opus 4.6 <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.