22e6ddbcac
Replaces the broken single-account + scale-mismatch slicing block in
alpha_rl_train.rs eval phase with proper per-account aggregation.
Pre-fix (cluster v11 alpha-rl-8ll7j, b=1024):
head_before_eval = sim.read_total_trade_count() // aggregate=1,203,376
all_records = sim.read_trade_records(0) // backtest 0 only, ≤1024
// 1.2M > 1024 → wrap branch fires → eval_records = ALL 1024 records
// from account 0, mixing train+eval trades
eval_summary: n_trades=1024 pnl=$61,513 wr=0.217 — MEANINGLESS
Post-fix (this commit, b=16 local smoke):
head_before_per_b = sim.read_per_backtest_trade_counts()
all_per_b = sim.read_trade_records_all()
// for each backtest: slice ring by per-account head_before vs head_after,
// handle wrap correctly, aggregate eval-only records
eval_summary: n_trades=226 pnl=$-41,137 wr=0.376
n_eval_trades_seen=226 (= captured) n_dropped=0 n_pre_eval_wrapped=0
Local smoke validation (b=16, 1k train + 250 eval, fold 1 ES.FUT all):
- n_trades jumped 58 → 226 (4× — confirms aggregation across 16 accts)
- per-account pre-eval heads: min=16 max=59 sum=596 (correct scale)
- n_eval_trades_seen == n_trades (no wrap at this scale)
- eval_summary.json gained 4 new fields:
n_eval_trades_seen, n_eval_trades_dropped,
n_pre_eval_trades_wrapped, b_size
Existing keys (n_trades, total_pnl_usd, profit_factor, sharpe_ann,
max_drawdown_usd, win_rate) preserved for downstream G8-gate / Argo
aggregator consumers (per spec §3).
Cluster validation pending Phase A cluster (alpha-rl-jz48s) completion
to avoid alpha_rl_train.rs branch conflict. After Phase A merges,
this fix can submit alongside.
Spec: docs/superpowers/specs/2026-05-31-eval-summary-trade-aggregation-design.md
Plan: docs/superpowers/plans/2026-05-31-eval-summary-trade-aggregation.md
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.