17e453a1d5
Phase 3B-Y gated PopArt reward normalization (slot 793 = 0) but left the V-correction kernel running unconditionally. Mid-cluster diagnostic (alpha-rl-k9lz9 step 77, ~80 min into Phase 3C): catastrophic pnl bleed (-$6.3M cum) driven by V-head unit mismatch. ## Mechanism * `rl_popart_normalize` running mean/sigma stats keep updating even when the rewards-write path is gated (so re-enabling produces sensible values mid-session). With rewards in raw pnl-units, sigma grew to ~2,666 in 77 cluster steps. * `rl_popart_v_correct` unconditionally applies v_pred = (sigma_old/sigma_new)·v_pred + (mean_old-mean_new)/sigma_new every step — scaling V outputs against a running statistic that no longer matches the V regression target. * Net effect: V predictions scaled toward zero while V regression target was raw pnl-units → broken V → broken Bellman Q-target → broken π via Q-distill → catastrophic policy. ## Fix Add a short-circuit at the top of rl_popart_v_correct: ```c if (isv[RL_POPART_NORMALIZE_ENABLED_INDEX] <= 0.5f) return; ``` When normalization is off (slot 793 = 0), V is being trained against raw returns and needs no correction. The popart calibration machinery is bypassed end-to-end. ## Verification * Build clean (1m46s incremental). * FOXHUNT_USE_MULTI_HEAD_POLICY=0/1 ./scripts/determinism-check.sh --quick: both exit 0 (200 rows match, rel-tol=1e-05). ## Discovery sequence * Phase 2A-E cluster ran for 2h53m with shaped_reward=+$201M / pnl=-$330M (Phase 5 shaping anti-aligned) * Phase 3B+Y disabled Phase 5 shaping + PopArt normalize + hindsight * Phase 3C cluster (b=1024) at step 77 showed pnl=-$6.3M already * Diagnosis: V-correction running against stale sigma created unit mismatch that broke V regression chain * This fix is the natural companion to Phase 3B-Y's gate Co-Authored-By: Claude Opus 4.7 <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.