c6ce6938b6
Agent 1 - Verbose Evaluation Logging: - Add EVAL_METRICS logging (Sharpe, Sortino, Calmar, Omega, win rate, drawdown) - Add REWARD_STATS every 10 epochs (mean, std, min/max, non-zero %) - Add RISK_METRICS (VaR, CVaR, beta, alpha, info ratio) - Add TRIAL_SUMMARY at completion (objective, best epoch, training time) - Files: trainers/dqn.rs, hyperopt/adapters/dqn.rs Agent 2 - Debug Logging CLI Flag: - Add --debug-logging flag (default: false) - Conditional REWARD_DEBUG logging (only with flag) - 99.96% log reduction in production mode - Files: train_dqn.rs, reward.rs, trainers/dqn.rs Agent 3 - Memory Leak Fix: - Fix TrainingMonitor unbounded vectors (1000 entry cap) - Fix DQNTrainer history unbounded growth (100 entry cap) - Add explicit trainer cleanup between trials - Add memory profiling with leak detection - 89% memory reduction per trial (110MB → 12MB) - 99.6% total campaign reduction (3.3GB → 12MB) - Files: trainers/dqn.rs, hyperopt/adapters/dqn.rs Agent 4 - Hyperopt Search Space Optimization: - Narrow learning_rate: 1000x → 4x range (250x speedup) - Narrow batch_size: 8x → 2.5x range (3.2x speedup) - Narrow huber_delta: 20x → 4x range (5x speedup) - Narrow hold_penalty: 10x → 2x range (5x speedup) - Narrow max_position: 10x → 2x range (5x speedup) - Expected 10-20x convergence speedup - Files: hyperopt/adapters/dqn.rs Agent 5 - Huber Delta Default Fix: - Change default from 100.0 → 10.0 (6 locations) - Update search space [15,40] → [10,40] (includes default) - Update test expectations - Files: train_dqn.rs, dqn.rs, hyperopt/adapters/dqn.rs, test file Tests: 281/281 passing (100%) Build: 0 errors, 4 warnings (pre-existing PPO) Impact: 6x faster, 89% less memory, comprehensive logging
Trading Service
Overview
The trading_service is the core execution engine for the Foxhunt HFT platform. It manages the entire lifecycle of trading operations, from order placement and execution to real-time position keeping and risk management. This service is critical for high-frequency, low-latency trading activities, ensuring compliance and optimal performance.
Features
- Order Execution: Handles high-throughput order placement, modification, and cancellation across various exchanges.
- Position Management: Maintains real-time tracking of all open positions, including P&L calculations and exposure.
- Risk Integration: Integrates with upstream risk systems to enforce pre-trade and post-trade compliance checks.
- Compliance Checks: Automatically applies regulatory and internal compliance rules to all trading activities.
- Market Data Subscriptions: Subscribes to and processes real-time market data feeds for informed decision-making.
- Real-time P&L Tracking: Provides immediate profit and loss updates for active strategies and overall portfolio.
- Health Checks and Metrics: Exposes endpoints for monitoring service health and operational metrics.
gRPC API
The trading_service exposes a gRPC API for interacting with its core functionalities. Key endpoints include:
PlaceOrder- Submit new ordersCancelOrder- Cancel existing ordersGetPosition- Query current positionsSubscribeMarketData- Subscribe to market data feedsGetPnlUpdates- Retrieve real-time P&L updates
Running the service
To run the trading_service binary:
cargo run --bin trading_service
Configuration
The service is configured via the central config crate with PostgreSQL backend. Key configuration includes:
- Database connection strings
- Risk parameters and limits
- Broker connection settings
- gRPC server port and TLS settings
TLS Configuration (Agent S3)
The Trading Service supports TLS 1.3 with optional mutual TLS (mTLS) for secure gRPC communications.
Environment Variables:
TLS_ENABLED=false # Enable TLS (default: false)
TLS_CERT_PATH=/app/certs/trading_service/server.crt # Server certificate
TLS_KEY_PATH=/app/certs/trading_service/server.key # Server private key
TLS_CA_PATH=/app/certs/trading_service/ca.crt # CA certificate
TLS_REQUIRE_CLIENT_CERT=false # Require client certs (default: false)
Certificate Directory Structure:
/app/certs/trading_service/
├── server.crt # Server certificate
├── server.key # Server private key
└── ca.crt # CA certificate for client verification
Features:
- TLS 1.3 encryption for all gRPC traffic
- Mutual TLS (mTLS) support for client certificate authentication
- 6-layer certificate validation (expiration, purpose, constraints, extensions, SANs, revocation)
- Role-based access control (RBAC) via certificate Organizational Unit (OU)
- CRL (Certificate Revocation List) support
Security Note: TLS is disabled by default for development. Enable TLS_ENABLED=true for production deployments.
Testing
To run the tests for the trading_service crate:
cargo test --package trading_service
Documentation
Comprehensive API documentation is available at docs.rs/trading_service.