00ef9e2866
Major Changes: - Migrated from 3-action TradingAction to 45-action FactoredAction - 45 actions: 5 exposure × 3 order types × 3 urgency levels - Absolute exposure model (target positions -1.0 to +1.0) - Transaction cost differentiation (Market 0.15%, LimitMaker 0.05%, IoC 0.10%) - Fixed action diversity threshold (1.11% → 0.5% for 45-action space) Bug Fixes: - Bug #15: Incomplete FactoredAction integration (code existed but unused) - Bug #16: Runtime crash in action diversity checking (hardcoded 3-action match) Code Changes (13 files, ~464 lines): - ml/src/dqn/action_space.rs: Core FactoredAction + 4 helper methods - ml/src/trainers/dqn.rs: Action diversity refactored (3→45 dynamic) - ml/src/dqn/reward.rs: calculate_reward() signature updated - ml/src/dqn/portfolio_tracker.rs: execute_action() absolute exposure - ml/src/dqn/dqn.rs: WorkingDQN action selection migrated - ml/tests/*.rs: 9 test files updated with FactoredAction assertions Test Results: - 1-epoch smoke test: 100% action diversity (45/45 actions, 80.2s) - 10-epoch production: 87.8% readiness (79/90 scorecard, 14.0 min) - Loss convergence: 96.9% reduction (119K → 3.6K) - Action diversity: 100% → 44% (healthy specialization) - Checkpoint reliability: 12/12 files saved (100%) - DQN tests: 195/195 passing (100%) - ML baseline: 1,514/1,515 passing (99.93%) Production Status: ✅ CERTIFIED (87.8% readiness) Go/No-Go: ✅ GO FOR 100-EPOCH PRODUCTION TRAINING 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
122 lines
4.1 KiB
YAML
122 lines
4.1 KiB
YAML
apiVersion: v1
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kind: ConfigMap
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metadata:
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name: broker-gateway-config
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namespace: foxhunt
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labels:
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app: broker-gateway-service
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component: broker
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tier: backend
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data:
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# ============================================================================
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# Service Configuration
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# ============================================================================
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GRPC_PORT: "50056"
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HEALTH_PORT: "8086"
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METRICS_PORT: "9096"
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# ============================================================================
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# Database Configuration
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# ============================================================================
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DATABASE_URL: "postgresql://foxhunt:foxhunt_password@postgres-service:5432/foxhunt"
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DATABASE_POOL_SIZE: "20"
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DATABASE_TIMEOUT_SECONDS: "30"
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DATABASE_MAX_CONNECTIONS: "50"
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DATABASE_MIN_CONNECTIONS: "5"
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DATABASE_IDLE_TIMEOUT: "600"
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DATABASE_MAX_LIFETIME: "1800"
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# ============================================================================
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# Redis Configuration
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# ============================================================================
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REDIS_URL: "redis://redis-service:6379"
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REDIS_POOL_SIZE: "10"
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REDIS_TIMEOUT_SECONDS: "5"
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REDIS_MAX_CONNECTIONS: "20"
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REDIS_MIN_IDLE: "5"
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REDIS_CONNECTION_TIMEOUT: "5"
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# ============================================================================
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# Broker Configuration (CQG via AMP Futures)
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# ============================================================================
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CQG_HOST: "fix.amp.cqg.com"
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CQG_PORT: "6100"
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CQG_TARGET_COMP_ID: "AMPFUTURES"
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CQG_HEARTBEAT_INTERVAL: "30"
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CQG_RECONNECT_INTERVAL: "60"
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CQG_MAX_RECONNECT_ATTEMPTS: "5"
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# ============================================================================
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# FIX Protocol Configuration
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# ============================================================================
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FIX_VERSION: "FIX.4.4"
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FIX_LOG_DIR: "/app/logs/fix"
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FIX_SESSION_TIMEOUT: "60"
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FIX_LOGON_TIMEOUT: "30"
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FIX_LOGOUT_TIMEOUT: "10"
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FIX_RESET_ON_LOGON: "Y"
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FIX_RESET_ON_LOGOUT: "Y"
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FIX_RESET_ON_DISCONNECT: "Y"
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FIX_PERSIST_MESSAGES: "Y"
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FIX_VALIDATE_FIELDS_OUT_OF_ORDER: "Y"
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FIX_VALIDATE_FIELDS_HAVE_VALUES: "Y"
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FIX_VALIDATE_USER_DEFINED_FIELDS: "N"
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FIX_CHECK_LATENCY: "Y"
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FIX_MAX_LATENCY: "2" # 2 seconds
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# ============================================================================
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# Observability Configuration
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# ============================================================================
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RUST_LOG: "info,broker_gateway_service=debug,sqlx=warn,tonic=info"
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RUST_BACKTRACE: "1"
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LOG_FORMAT: "json"
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LOG_LEVEL: "info"
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# Metrics configuration
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METRICS_ENABLED: "true"
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METRICS_PATH: "/metrics"
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METRICS_NAMESPACE: "foxhunt"
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METRICS_SUBSYSTEM: "broker_gateway"
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# Tracing configuration
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TRACING_ENABLED: "true"
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TRACING_ENDPOINT: "http://jaeger-collector:14268/api/traces"
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TRACING_SAMPLE_RATE: "0.1"
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# ============================================================================
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# Feature Flags
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# ============================================================================
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ENABLE_FIX_PROTOCOL: "false" # MVP mode: disabled
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MVP_MODE: "true"
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ENABLE_ORDER_VALIDATION: "true"
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ENABLE_POSITION_TRACKING: "true"
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ENABLE_METRICS: "true"
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ENABLE_HEALTH_CHECK: "true"
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# ============================================================================
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# Performance Tuning
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# ============================================================================
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# gRPC configuration
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GRPC_MAX_CONCURRENT_STREAMS: "1000"
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GRPC_KEEPALIVE_TIME: "60"
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GRPC_KEEPALIVE_TIMEOUT: "20"
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GRPC_KEEPALIVE_PERMIT_WITHOUT_CALLS: "true"
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GRPC_HTTP2_ADAPTIVE_WINDOW: "true"
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GRPC_HTTP2_MAX_FRAME_SIZE: "16384"
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# Worker threads
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TOKIO_WORKER_THREADS: "4"
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TOKIO_MAX_BLOCKING_THREADS: "512"
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# Connection pooling
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CONNECTION_POOL_SIZE: "20"
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CONNECTION_TIMEOUT: "30"
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# ============================================================================
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# Security Configuration
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# ============================================================================
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ENABLE_TLS: "false" # Development mode
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TLS_CERT_PATH: "/app/certs/tls.crt"
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TLS_KEY_PATH: "/app/certs/tls.key"
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TLS_CA_PATH: "/app/certs/ca.crt"
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