1ca034e22f
Strategy (recursive Leaf | Ensemble | Portfolio | RegimeSwitch) +
StrategyConfig (horizon_idx + sizing_policy + sl_tp_rules +
max_concurrent_lots). Strategy::default_for(max_lots) returns the v1
default: per-horizon adaptive Ensemble with WeightedByRealizedSharpe
aggregator. No static horizon mask — capital auto-shifts via per-horizon
ISV-Kelly recent_sharpe weights (see spec §5 + §6).
Strategy::flatten() walks the tree → linear bytecode Program
(repr(C) Pod Instruction { op, arg0, arg1, arg2 }, 8 bytes/instruction)
for upload to device-global memory at slot blockIdx.x. RegimeSwitch
emits BranchIfRegime chains with arg2 patched to the post-child jump
offset.
Tests cover: 5-horizon default tree shape, flatten output for default
+ single-leaf + 2-leaf Portfolio (verifying ApplyConflict op emission),
Instruction layout size pin (8 bytes), LatencyConfig default 100ms
(IBKR+Scaleway baseline), Empirical wrap-around + empty case,
Decomposed summation.
IsvKellyStateHost host-mirror of cuda IsvKellyState (24 bytes, Pod)
defined in policy::sizing for warm-start file I/O in later commits.
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.