6c1ab88507
Pre-fix: mbp10_to_imbalance_bars loaded ALL trades from MBP-10 .dbn files
without filtering by instrument_id, then fed them through ImbalanceBarSampler.
When the dominant ES contract rolls over (ESZ24 → ESH25 → ESM25), price
jumps appear at every rollover, failing the precompute_features.rs:371-376
price-continuity gate (3.5% jump rate vs 1% threshold). First observed on
workflow train-multi-seed-crb2k yesterday.
Fix: mirror the per-file front-month pattern from precompute_features.rs:347-365
(which uses filter_front_month on DbnTrade slices). Same logic applied to
Mbp10Trade — but Mbp10Trade didn't carry instrument_id, so:
- Added `instrument_id: u32` field to Mbp10Trade.
- Populated from `mbp10.hd.instrument_id` in extract_trades_from_dbn_file
(the production extraction path).
- Defaulted to 0 in extract_trades_from_snapshots (snapshot-diff path used by
tests; no per-record id available; backward-compatible — filter is a no-op
when all ids are 0).
- New filter_front_month_mbp10() helper that mirrors trades_loader's
filter_front_month exactly, just operating on Mbp10Trade.
- mbp10_to_imbalance_bars now applies filter_front_month_mbp10 per-file
in the extraction loop, identical to precompute_features.rs:347-365.
Compiles clean. Replaces tracing::debug! with tracing::info! at the per-file
log site to make the raw-vs-filtered count visible at production INFO level.
The wgdc8 commit 1aaf94306 (EWMA bypass via ImbalanceBarSampler::new) is
preserved — fixed-threshold semantics remain correct per
pearl_imbalance_bar_ewma_washes_out_configured_threshold. This fix is
orthogonal: front-month filter at the trade-tape level, EWMA bypass at the
sampler level. Both are needed for imbalance bars to produce sensible output.
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.