81a9319d84
Wave 3b (4320820ae) added a 6th window_lob_bars parameter to
GpuBacktestEvaluator::new and migrated 3 production lib call sites + 6
test call sites, but the lib-only `cargo check -p ml --features cuda`
validation didn't catch the 3 example-binary call sites in
evaluate_baseline.rs (lines 1344, 1641, 1802). Argo's ensure-binary
step compiles all 4 example binaries (hyperopt_baseline_rl,
train_baseline_rl, evaluate_baseline, precompute_features), and
evaluate_baseline failed with E0061 (wrong number of args).
This commit migrates all 3 sites to construct zero-OFI LobBar SoA
inline (eval-path lacks per-bar OFI features — same degradation
pattern as the PPO hyperopt adapter Wave 3b D4 resolution; OFI-impact
term degrades to 0 while commission + half-spread × position still
apply).
Validated: `cargo check -p ml --features cuda --all-targets` clean
(was --features cuda only before — now expanded to catch
example/test/bin compile-breaks).
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
ml
10-model ML ensemble for the Foxhunt HFT system, built on Candle v0.9.1.
Models
- DQN (Rainbow) — deep Q-network with prioritized replay, dueling heads, noisy nets
- PPO — proximal policy optimization with GAE, LSTM policies, clip-higher
- TFT — temporal fusion transformer for multi-horizon forecasting
- Mamba2 — state space model for sequence prediction
- Liquid Networks — biologically inspired networks for non-stationary data
- TLOB — transformer-based limit order book analysis
- KAN — Kolmogorov-Arnold networks
- xLSTM — extended LSTM architecture
- TGGN — temporal graph neural network
- Diffusion — diffusion-based generative model
Key Modules
ensemble— model ensemble coordination and confidence aggregationhyperopt— PSO-based hyperparameter optimization with per-model adapterstrainers— unified training loops (DQN, PPO, supervised)inference—InferenceAdaptertrait for predictioncheckpoint— model checkpointing and restorationevaluation— walk-forward evaluation pipeline
Usage
use ml::dqn::DQN;
use ml::ppo::PpoTrainer;