a85f38e97a
Three orthogonal fixes for residual issues in smoke stx9p (97 zero sentinels, 85 i32::MAX sentinels, 840/1024 over-60s holds): Fix 1 — zero-sentinel residue (px > 0): - Per-level sanitization in apply_snapshot_kernel only checked sz > 0. - A book level with px=0, sz>0 passed → walk_* computed total_cost=0 → avg_px=0 → vwap_entry=0. Trade record reported entry_px=0. - Add px > 0.0f to bid_ok/ask_ok conditions. Fix 2 — i32::MAX upper bound (px < 1e8): - Post-Bug-D (1e9 nanoprice scaling) some boundary events carried prices larger than any plausible instrument. Saturating cast to i32 produced the 21474836 sentinel even when isfinite() passed. - Add px < 1.0e8f upper bound to per-level AND top-of-book validation. Fix 3 — session-gap force-close: - max_hold check fires at decision_stride frequency, but during weekend halts no events advance current_ts → max_hold never fires until next session. Result: 49h holds in stx9p (840/1024 over 60s threshold). - Detect ts gap > 1 hour in resting_orders_step. If position is open, zero position_lots directly. pnl_track_step's existing close branch emits the TradeRecord on the next call. No synthetic P&L added — records show realised_pnl from whatever was accumulated before the gap (honest: cannot fill across a halt). - New per-backtest last_event_ts_d slot tracks the previous event ts. - Test session_gap_force_closes_open_positions: 2-hour ts jump after open verifies force-flat fires and exactly 1 TradeRecord is emitted. All 16 stop_controller tests pass. All 5 decision_floor_coldstart pass. 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.