0c8b4b5608
Source migration: - crates/ml-backtesting/src/lob/mod.rs:5 + policy/mod.rs:18: local const N_HORIZONS 5→3 via re-export from ml_alpha::heads::N_HORIZONS (single source of truth across crates) - crates/ml-backtesting/src/sim/mod.rs:1751,1773,1784: [IsvKellyStateHost; 5] array literals → ; N_HORIZONS] - crates/ml-backtesting/cuda/lob_state.cuh:9: #define N_HORIZONS 5→3 (this triggers cubin rebuild of decision_policy + 4 other ml-backtesting kernels that #include this header) Test migration (8 test files + 2 JSON fixtures): - threshold_and_cost.rs, decision_floor_coldstart.rs, parallel_sim_ correctness.rs, stop_controller.rs (37+10+1 broadcast_alpha calls), lob_sim_integrated_fuzz.rs, lob_sim_fixtures.rs: hardcoded [f32; 5] alpha-probs and [IsvKellyStateHost; 5] arrays → N_HORIZONS-sized via std::array::from_fn or [v; N_HORIZONS] literals - trainer_parity.rs:34 + ring3_replay.rs:47: horizons literal [30,100,300,1000,6000] → ml_alpha::heads::HORIZONS - fixtures/decision_alpha_buy_close.json + decision_program_h4_only.json: 5-element warm_start_isv_kelly / alpha_probs / expected_isv_kelly_after trimmed to 3 elements; active horizon relocated to N_HORIZONS-1 Library lib-test rewrite (per pearl_tests_must_prove_not_lock_observations): - crates/ml-backtesting/src/policy/mod.rs:197-233: lib tests default_strategy_has_5_horizon_leaves + ..._flattens_to_5_emits... renamed to N_HORIZONS-parametric form (observed-value 5 and 7 were bug-locks). cargo check -p ml-backtesting --all-targets: clean. cargo test -p ml-backtesting --lib: 33 passed. cargo test -p ml-backtesting --tests (non-CUDA, non-fixture-data): 2 passed, 53 ignored (CUDA-gated or FOXHUNT_TEST_DATA-gated). 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.