25f43a4268
Two new kernels in cuda/decision_policy.cu:
decision_policy_default — alpha[N_HORIZONS] × per-horizon IsvKellyState
→ market target. Per-horizon Kelly fraction × signal magnitude × ISV-cap
(target_annual_vol / sqrt(realised_return_var × annualisation_factor)),
aggregated via WeightedByRealizedSharpe (weights = max(0, recent_sharpe)
/ Σ; auto-shifts capital toward empirically winning horizons per spec §5
+ §6). No floor — sub-1-lot intents become no-op. Round-to-nearest on
the final lot count to dodge an f32-truncation off-by-one where
0.8(f32) * 0.75 * 5.0 ≈ 2.99999976 → trunc-int 2.
isv_kelly_update_on_close — for every horizon flagged in
closed_horizon_mask[b], updates pnl_ema_{win,loss} via Wiener-α (floor
0.4 per pearl_wiener_alpha_floor_for_nonstationary), win_rate_ema,
Welford-ish realised_return_var, and the recent_sharpe composite.
First-observation bootstrap (per pearl_first_observation_bootstrap):
sentinel n_trades_seen=0 → direct EMA replacement, no zero-bias warmup.
The full bytecode VM from spec §6 is NOT in this commit — the default
policy is hardcoded in the kernel as the path Strategy::default_for()
already produces. Bytecode plumbing in src/policy/mod.rs stays put for
v2 expansion (custom RegimeSwitch / Portfolio compositions).
IsvKellyState struct added to lob_state.cuh (24 bytes per horizon × 5
per backtest); host mirror IsvKellyStateHost from C3 cast-compatible
via bytemuck::Pod. LobSimCuda gains broadcast_alpha + step_decision +
read_isv_kelly + write_isv_kelly (warm-start). step_decision chains:
decision_policy → merge_open_mask → submit_market_immediate
→ pnl_track_step → host close-detect → isv_kelly_update_on_close.
PRE-submit pos/pnl/mask snapshots feed the host close-detection;
captured via three small DtoH copies (cold path, 24 bytes × n_backtests).
decision_alpha_buy_close fixture: warm-start h4 with positive Kelly
state (n=50, recent_sharpe=1.0), broadcast alpha[4]=0.9 → buy 3 lots
@ ask top 5500.00. Snapshot moves to bid 5505.00, broadcast alpha[4]=0.1
→ sell 3 lots → close at +15 P&L. Verify ISV-Kelly h4: n_trades 50→51
exactly, others unchanged. PASS — all 6 Ring 1 fixtures green on RTX 3050.
Out-of-scope for this commit (defer to follow-ups, per plan trim notes):
- stop_trigger / oco_one_cancels_other / submission_overflow fixtures
(need resting-order LimitSlot[32] machinery deferred from C5)
- Bytecode VM dispatch (RegimeSwitch / Portfolio compositions)
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.