abd7e533bc
## Two architectural cleanups, both surfaced by the wgdc8 experiment ### Part 1: volume_bar_size in cache key Mirrors the imbalance_bar_threshold/ewma_alpha fix from `f7718b376`. The volume bar size constant (100 contracts/bar) was previously hardcoded and not in the fxcache key. Tuning it would have hit the same fossilization bug as imbalance_bar_threshold did pre-fix. Changes: - `Hyperparams.volume_bar_size: u64` field added (default 100, matches `DEFAULT_VOLUME_BAR_SIZE` for backwards compat). - TrainingProfile loader reads `volume_bar_size` TOML key. - `calculate_dbn_cache_key_full` signature 7 → 8 args. Hashed via `to_le_bytes()`. Test `test_cache_key_includes_volume_bar_size` added; passes alongside the 5 existing tests. - 4 callers updated atomically (per `feedback_no_partial_refactor`): `discover_and_load`, `data_loading.rs:146`, `train_baseline_rl.rs:599`, `precompute_features.rs:259,720`. - `data_loading.rs:279` now passes `self.hyperparams.volume_bar_size` to `build_volume_bars` instead of the hardcoded `DEFAULT_VOLUME_BAR_SIZE`. - New `--volume-bar-size` CLI arg on both binaries (default 100). - New Argo workflow params `volume-bar-size` (default "100") and `data-source` (default "mbp10") on both `train-template.yaml` and `train-multi-seed-template.yaml`. Threaded into precompute + trainer invocations. - `scripts/argo-train.sh` exposes `--volume-bar-size <n>` and `--data-source <s>` for ad-hoc overrides. ### Part 2: OFI front-month filter (latent bug fix) `crates/ml/examples/precompute_features.rs:539-557` (the OFI/VPIN/Kyle's Lambda computation branch when MBP-10 + trades data is available) was loading trades unfiltered for per-bar microstructure feature computation. The volume bar formation path filters front-month per-file (line 354), but the OFI path did not. Effect pre-fix: during contract rollover windows (e.g., ESZ24 → ESH25), OFI per-bar microstructure features included trades from BOTH contracts simultaneously, distorting VPIN, Kyle's Lambda, and trade imbalance signals. Severity in production: small (front-month dominates ES.FUT volume by 10-100×) but real and present in every prior MBP-10+trades production run. Fix: mirror the per-file `filter_front_month` call from the volume bar path. Volume bar formation and OFI computation now both see the same in-month trade tape. Added log line shows raw vs filtered count per file for transparency. ## Why bundled Both fixes touch trade-data plumbing in `precompute_features.rs` and the fxcache key contract. Per `feedback_no_partial_refactor`, related architectural cleanups land atomically. Both surfaced from the same wgdc8 audit; bundling avoids two cache-key-invalidating commits in sequence (each would force full fxcache regen). ## Compatibility - `volume_bar_size` defaults to 100 → existing wgdc7-equivalent runs reproduce, but with a *new* fxcache key (the f7718b376-era cache file is unreachable; harmless, can GC manually). - OFI fix is strictly more correct; no opt-out needed. Existing models trained on contaminated OFI features may show slight feature distribution drift on first cache regen — expected, not a regression. - `data_source = "ohlcv"` Argo param now possible; routes precompute through volume bar branch directly. wgdc8 experiment uses this to test bar resolution sensitivity at volume_bar_size=500 (5× DEFAULT). Tests: 6/6 feature_cache tests pass. Workspace + examples compile clean. Audit-doc: `docs/dqn-wire-up-audit.md` updated. 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.