475101054d
Adds 12 new `SL_*_GROUP_BEGIN/END` macros to `state_layout.cuh` covering the 6 feature groups (market/ofi/tlob/mtf/portfolio/plan_isv), plus `SL_NUM_FEATURE_GROUPS=6` and `SL_MAX_FEATURE_GROUP_DIM=42` (= largest group dim, MARKET_DIM). Six new `static_assert`s anchor each group dim ≤ max and confirm contiguity / start-at-zero / end-at-padding invariants. Rust mirror in `crates/ml-core/src/state_layout.rs` exposes: - `SL_NUM_FEATURE_GROUPS` - `SL_MAX_FEATURE_GROUP_DIM` - `FEATURE_GROUP_RANGES: [(usize, usize); 6]` (half-open `[begin, end)`, `plan_isv` ends at `PADDING_START` — padding is not a group) - `FEATURE_GROUP_NAMES: [&str; 6]` Three `const _: () = assert!(...)` blocks validate (1) first range starts at 0, (2) last range ends at `PADDING_START`, (3) every adjacent pair satisfies `ranges[g].end == ranges[g+1].begin` (no gaps), (4) every group dim ≤ `SL_MAX_FEATURE_GROUP_DIM`. Group dims at this commit: market=42, ofi=32, tlob=16, mtf=16, portfolio=8, plan_isv=7 — total 121 = `PADDING_START`. Prerequisite for Plan 4 Task 1B (E.1 Variable Selection Network — pre-trunk per-group softmax-over-groups gating), Task 5 Mode B (per-group ISV diagnostics), and Task 4 follow-on (group-aware encoder interface). Additive only — ZERO production callers in this commit. No new module / kernel / ISV slot / param tensor / Orphan row. No fingerprint change (group ranges are derivable from existing `SL_*_START` constants and contribute no new structural-hash invariant). cargo check clean at 11 warnings (workspace baseline preserved); cargo build compiles all kernel cubins (state_layout.cuh edit triggers full kernel rebuild — no compile errors). Audit doc: 1 new entry under "Plan 4 Task 1A". 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.