a51fe0d30d
Phase 1: ML pipeline verification (checkpoint roundtrip tests, feature pipeline tests, DQN VarMap bug fix, deleted 585 lines dead code) Phase 2: Service production logic (real portfolio metrics, VaR positions, proto population, safetensors loading, shutdown handling) Phase 3: Backtesting & data (equity curve, DBN metadata, progress callbacks, cross-symbol validation, event filtering) Phase 4: ML crate TODOs (statrs t-distribution, quantization savings, safetensors header, microstructure features, 45-action masking, confidence EMA, AttentionMask) Phase 5: Infrastructure/cleanup (TLS/OCSP docs, compliance roadmap, metrics docs, regime features, execution roadmap, auth #[ignore], chaos docs) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Common Crate
Overview
The common crate provides a foundational set of shared types and utilities essential for building high-frequency trading applications within the Foxhunt ecosystem. It encapsulates core data structures, error handling patterns, and common helpers used across various components.
Features
- Market Data & Order Types: Defines standardized structs for market data (e.g.,
Tick,OrderBook) and various order types (e.g.,LimitOrder,MarketOrder). - High-Precision Time Utilities: Offers utilities for working with nanosecond-resolution timestamps and duration calculations critical for HFT.
- Robust Error Handling: Implements a custom
FoxhuntErrorenum andResulttype for consistent and traceable error management across the system. - Data Validation Helpers: Provides functions for validating common HFT parameters such as prices, quantities, and instrument IDs.
- Serialization/Deserialization: Includes helpers and derive macros for efficient data serialization (e.g., using
serde) for inter-process communication or persistence. - Instrument & Asset Definitions: Standardized types for defining trading instruments, assets, and exchanges.
Usage
use common::types::{Order, OrderSide, Price, Quantity, InstrumentId};
use common::errors::FoxhuntError;
fn create_limit_order(instrument: InstrumentId, price: Price, quantity: Quantity) -> Result<Order, FoxhuntError> {
if price.value() <= 0.0 || quantity.value() <= 0.0 {
return Err(FoxhuntError::ValidationError("Price and quantity must be positive".to_string()));
}
Ok(Order::new_limit(instrument, OrderSide::Buy, price, quantity))
}
let instrument = InstrumentId::new("BTCUSD".to_string());
let order = create_limit_order(instrument, Price::new(60000.0), Quantity::new(0.5));
println!("{:?}", order);
Testing
cargo test --package common
Documentation
Comprehensive API documentation is available at docs.rs/common.