ab4b7c64cb
Builds a second-stage MLP that takes [mamba_logit, 6 Block-S features] as input (7 dims) and learns the joint alpha-and-regime score in one calibrated output. Trains on the cal half of val (same 50/50 split as Platt/isotonic so all comparisons are on the same held-out test bars). Architecture: 7 → hidden_dim → 1 sigmoid, GELU activation, BCE-with-logits loss, AdamW. Uses the existing GPU-native `MlpModel` from crates/ml-alpha/src/mlp.rs — same primitives used for the Phase 1c MLP baseline. No CPU compute on the hot path (per feedback_cpu_is_read_only); all weights, activations, gradients, optimizer state on GPU; host writes the input matrix to a pinned buffer once per batch via GpuTensor::from_host. The Block-S columns are z-score normalised using cal-half statistics (then applied to the full val matrix) before training; mamba_logit is left raw since it's already close to standard-normal scale via the Mamba's natural calibration (see pearl_mamba_sss_state_yields_native_calibration). After training, reports stacker held-out accuracy + AUC + Brier + log-loss, plus stratified accuracy by Block-S feature so we can see whether the stacker absorbed the regime conditioning (uniform accuracy across quintiles) or just sharpened the Q4-gate (still elevated in Q4). Why this matters for production deployment per pearl_mamba_inherits_regime_structure: - Single calibrated score for conformal coverage gating downstream - Retrainable when market regimes drift - Captures interactions between regime features that a static threshold AND can't (e.g., spread-Q4 only when book is balanced) - Replaces the planned Phase 1d.3 dual-head architecture with a smaller stacked-generalisation approach (no separate regime classifier) Co-Authored-By: Claude Opus 4.7 <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.