1a3bcf97b8
Per train-multi-seed-pfh9n post-mortem: observed_hold_rate climbed 0.25 → 0.52 across training while cost penalty (~0.006) was 100× smaller than per-bar reward magnitudes (popart=0.97, cf=0.65). Hold action was effectively free, allowing Q(Hold) to dominate via structural low-variance bias. Fix: scale Hold cost adaptively. ISV[HOLD_COST_SCALE_INDEX=461] tracks: scale = clamp(1.0 + 24.0 × max(0, observed - target) / max(target, 0.01), 1.0, 25.0) Effective cost at 100% overrun (observed=2× target): 0.006 × 25 = 0.15, competitive with per-bar reward magnitudes (~0.01-0.1). At/below target: scale = 1.0 (no extra penalty). Pearl-A bootstrap + Welford slow EMA (α=0.05). Mirrors T1's MIN_HOLD_TEMPERATURE pattern (same input signals: ISV[382] observed, ISV[381] target). Producer: hold_cost_scale_update_kernel.cu — single-thread cold-path, per-epoch boundary, AFTER MIN_HOLD_TEMPERATURE in training_loop.rs. Consumer migration (atomic per feedback_no_partial_refactor): 3 sites in experience_kernels.cu — segment_complete branch (line ~3089), per-bar positioned-Hold branch (line ~3553), per-bar flat-Hold branch (line ~3617). Cold-start fallback: scale=1.0 when slot ≤ 0 or out-of-bounds (bit-identical pre-Phase-2 cost magnitude). ISV_TOTAL_DIM: 461 → 462. Behavioral tests (5/5 PASS on RTX 3050): - sp16_phase2_hold_cost_scale_climbs_with_overrun - sp16_phase2_hold_cost_scale_at_target_is_one - sp16_phase2_hold_cost_scale_under_target_is_one - sp16_phase2_hold_cost_scale_bounds_clamp - sp16_phase2_hold_cost_scale_pearl_a_bootstrap Regression: SP14 oracle suite 30/30 PASS, SP15 phase 1 oracle suite 36/36 PASS. Instrumentation: HEALTH_DIAG[N]: hold_cost_scale_diag obs/tgt/norm/scale. Per feedback_isv_for_adaptive_bounds + feedback_no_partial_refactor. 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.