7064c9269e
Two compounding bugs found via cluster diag at alpha-rl-gwmkf step 4083:
Fix C — reward-clamp writeback un-freeze:
rewards.clip_rate_ema = 0.9999 — essentially every win clamped to +1.
With R-multiple 43 trade outcomes ($7k avg win / $163 avg loss), V
regression saw identical targets for +$500 wins and +$42k wins; PPO
advantage lost magnitude signal; policy stagnated at qpa = -0.95.
Root cause: a 2026-05-24 "G.2" patch in rl_reward_clamp_controller.cu
added `(void) margin;` and froze WIN=1.0, LOSS=3.0 over concern that
simultaneously adapting clamp bounds + atom span could create a
positive feedback loop. Empirically refuted — MARGIN is bounded
[1.0, 5.0] and pos_max_ema is bounded by reward_scale × raw_PnL, so
WIN has natural structural ceiling. The freeze was over-conservative.
Restore the writeback: WIN = max(MIN_WIN, MARGIN × pos_max_ema),
LOSS = max(MIN_WIN, WIN × RATIO). Atom span Step 5 then follows via
the slow EWMA already in place.
Local b=128 1k smoke confirms:
clip_rate_ema: 0.9999 → 0.094 (target 5%, near hit)
WIN clamp: 1.0 → 245.6
V_max atom: 1.0 → 1929
qpa: -0.95 → +0.71 (Q and π aligned!)
mean_active: +$47k stays positive
Fix D — reset_session_state extends to per-batch buffers:
The 39efacf77 per-batch CMDP refactor added 4 device buffers but
reset_session_state() was only zeroing the 4 ISV summary slots. On
train→eval fold transition, eval inherited all the accumulated
dead/cooldown accounts from training — eval started with a poisoned
fleet.
reset_session_state now also memsets session_pnl_per_batch_d,
session_dd_triggered_per_batch_d, consec_loss_per_batch_d, and
cooldown_remaining_per_batch_d to zero. Plus also resets the new
RL_SESSION_PNL_WORST_INDEX slot.
Validation: 13/13 risk_stack_invariants pass, 20/20 trade_management
pass, integrated_trainer_smoke end-to-end passes.
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.