7b6641e038
Extends the reward inventory with a review pass that preserves the *ideas* behind behavioral terms while deleting the wrong-level mechanics. Gems (relocate, don't delete): - Probabilistic fill model (real physics, not shaping) → apply in both modes via shared Philox RNG + exploration_scale - Kelly-as-physics-constraint → hard position-size cap in trade_physics, not a soft reward - Path quality via per-step drawdown integration → no separate term, just run drawdown penalty every bar - Saboteur relocation → both modes, scaled by exploration_scale (training 1.0, validation 0.5, diagnostic 0.0) — avoids creating a new clean-vs- noisy mismatch in the opposite direction Pearls: - Sparse reward is fine if TD propagation works — diagnose before deleting micro_reward_scale; measure cov(Q(s_entry,a), trade_return) - Every behavioral term maps to one of four failure modes: double-count, misplaced physics, wrong-level regularization, or compensating for a downstream bug. None are semantically "neutral" shaping. Novel architectural moves: - Diagnostic-only entropy tracking (no reward, just HEALTH_DIAG logging) - Single exploration_scale scalar replacing all mode toggles (feedback_no_feature_flags compliant) - Layered reward with per-term budget caps — makes the train/val Sharpe gap computable instead of uncomputable magic - Q-target smoothing replacing reward_noise_scale (regularization at gradient level, not reward level) Updated disposition table: 4 DELETE, 2 MOVE, 2 RELOCATE-to-physics, 1 DIAGNOSE-then-DELETE, 4 delete-dead-plumbing. Three relocations (Kelly cap, saboteur scaling, Q-target smoothing) can land as independent PRs before the unified_env_kernel rewrite, shrinking Phase 2's change surface. 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.