a86fba2b1d
After done_flags[w]=1 (capital floor breach), backtest_env_step
early-returns without writing actions_history_buf for remaining slots
in [done_step, max_len). The prior zero-init decoded those slots as
Short Quarter Market Normal (action 0) via `dir = 0/27 = 0` and
inflated val_dir_dist's Short bucket / active_frac to a measurement
artifact masking real model behaviour.
Two-part fix:
1. `gpu_backtest_evaluator.rs::reset_evaluation_state`: replace
`memset_zeros` for actions_history_buf with
`cuMemsetD32Async(0xFFFFFFFFu32)` writing -1 sentinel. The Rust
readers already filter `if a < 0 { continue; }` so unwritten slots
are skipped correctly post-fix.
2. `backtest_metrics_kernel.cu`: add `if (act < 0) continue;` after
reading actions_history. The reduce-side metrics
(buy_count/sell_count/hold_count → active_frac/dir_entropy +
bnd_* trade-boundary detection) now consistently skip unwritten
slots. step_returns at those slots are still zero-init (correct)
so summing them with r=0 is a no-op.
Empirical impact (local 3-fold × 5-epoch smoke, RTX 3050 Ti):
val_dir_dist Short: 81-84% → 13-29% (matches val_picked within 5pp)
active_frac: 87-91% → 31-50%
dir_entropy: 0.57 → 0.83-1.02
The pre-fix "val-Flat-collapse" / "Short-collapse" pathology that
motivated substantial subsequent investigation (incl. the 4-plan
distributional-RL Thompson rollout draft) was largely a measurement
artifact from this bug surfacing differently before vs after the
Kelly cap fix (`0c9d1ee39`). Pre-Kelly the Kelly cap clamped most
Long/Short → Flat → actions_history was densely written with Flat
encoding → 80% Flat reading (real Kelly pathology + small artifact).
Post-Kelly the picks survive but the poor smoke-trained model
breaches capital floor often → many unwritten Short slots → 83%
Short reading (pure artifact). With both fixes, val_dir_dist now
reflects real model behaviour.
Audit entry updated in docs/dqn-wire-up-audit.md.
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.