1f6a8436d3
Fundamental shift: reward optimizes Sharpe ratio contribution per trade instead of directional PnL magnitude. Targets Sharpe 5+ via many small consistent gains (spread capture, execution quality) instead of few large directional bets. DSR implementation (Moody & Saffell, 2001): - Per-episode EMA statistics in portfolio state slots [3]-[5] - DSR = (B*R - 0.5*A*R²) / (B - A²)^1.5 at trade completion - 10-trade warmup, clamped [-5, +5] - w_dsr=5.0 (primary reward signal) Reward hierarchy restructured: - DSR: 5.0 (NEW — primary, rewards Sharpe consistency) - Directional PnL: 2.0 (was 10.0 — demoted to secondary) - Order credit: 1.0 (was 0.1 — spread capture amplified 10×) - Urgency credit: 0.5 (was 0.1 — fill quality amplified 5×) - Inventory penalty: -0.005×|pos|/max_pos per bar (NEW) - Dense micro-reward: 0.0 (removed — noisy direction signal) Expected: WinRate increases (many small spread captures), per-trade variance decreases, Sharpe rises from consistency not prediction. Co-Authored-By: Claude Opus 4.6 (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.