39a353495d
Second commit toward task #94 val plan_isv parity. Adds structural wiring in GpuBacktestEvaluator: - plan_params_buf [N, 6] : live plan MLP output per step - plan_state_buf [N, 7] : persistent stored plan across bars - plan_diag_buf [8] : epoch-end diagnostic reduction output - plan_state_isv_kernel : lazy-loaded CudaFunction from backtest_plan_kernel.cubin - plan_diag_reduce_kernel : diagnostic reduction kernel Buffers allocated zero-initialised in the constructor; kernels loaded alongside the action_select and scatter_intent kernels in `ensure_action_select_ready` (same module-load pattern). Remaining work (follow-up commit): - Wire QValueProvider::compute_plan_params into the chunked loop to populate plan_params_buf from the trainer's save_h_s2 after each forward pass. - Launch backtest_plan_state_isv after the env_batch_kernel each chunk to update plan_state_buf and plan_isv_buf for the next chunk's state gather. - Launch backtest_plan_diag_reduce + DtoH of plan_diag_buf at epoch boundary for HEALTH_DIAG emission. The chunked batch layout (N*chunk_len samples per forward pass) requires careful slicing to extract the last-step's plan_params for the plan_state update — handled in the follow-up commit to avoid rushing a subtle integration. Co-Authored-By: Claude Opus 4.7 (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.