566e8bcb0a
Critical review surfaced 11 actionable issues in the v1 spec; 10 fixed inline (#11 — legacy-comparison test — dropped per user decision since empirical legacy behavior is already known: n_trades=0). Performance: 1. expf → piecewise-linear ramp (~5× cheaper on GPU, no transcendental in the hot path). Operationally equivalent: monotonic, saturating, midpoint at K. Side-benefit: pure max-confidence at cold-start (sq=0 instead of sigmoid's 11.9% leakage). 2. Single fused per-horizon pass replaces the two-loop sketch. 3. Tier 2 scope narrowed to decision_policy_default ONLY. The bytecode VM (decision_policy_program) stays unchanged — runs only for custom strategy experiments, never in production policy. Halves Tier 2's surface area + test cost. 4. __device__ helpers cbsw_signal_quality + cbsw_weight introduced for single source of truth. Correctness bugs (silently present in v1 sketch, would have shipped): 5. strong_h and sq_min_active initializers added (were referenced before init in the per-horizon loop). 6. Attribution mask at cold-start was setting all 5 bits because every w[h] >= floor > 1e-9; trades would pollute ALL horizons' recent_sharpe. Fix: binary split — at sq_min_active < 0.5 attribute only to strong_h; at mature, attribute per weights > floor + epsilon. 7. sq_min was "min over h", which permanently locked the aggregator into cold-start mode if any horizon never gets attributed (e.g., h6000-only-trading regime). Fix: sq_min_active = min over h with n_trades_seen > 0; cold horizons don't gate maturity. 8. Opposing-horizons case now correctly fires on the strongest single horizon at cold-start (piecewise-linear sq=0 → pure max-conf), with explicit design-choice note explaining why this conservatism trade- off favors firing. Spec hygiene: 9. Rate validation committed to a measurement gate (Q2 ev/s ≥ 95% of Q1 ev/s) instead of back-of-envelope estimate. 10. Kernel ABI explicitly stated as unchanged → feedback_no_partial_ refactor compliance is trivial at the kernel boundary. 12. Tier 1's use_cold_start_stopgap field is DROPPED in Q2 atomically (not orphaned), and DoD checklist includes a grep-zero gate for feedback_no_legacy_aliases compliance. Risks updated: removed the sigmoid-narrowing risk (irrelevant now); added register-pressure risk with the rate-gate mitigation; added explicit "cold-start may lose on noisy trades" risk with empirical escalation path (bump kelly_floor 0.20 → 0.40 if Q2 smoke shows large negative PnL). Math walk-throughs rewritten for piecewise-linear (different numbers at cold-start): cold = pure max-conf, mature = pure weighted-sharpe, clean separation at sq_min_active threshold. Awaiting review of the revised spec before writing-plans dispatch. 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.