b5530b551b
Three sequenced architectural capacity additions to push h6000 AUC
from current ~0.72-0.74 cross-fold plateau toward ≥0.78 deployment
target. Each phase independently deployable + measurable.
Phase 1 — Per-horizon specialisation (~1.5hr code):
- LayerNorm between Mamba2 trunk and CfC K-loop (with backward
+ per-row param-grad reduction kernel; no atomicAdd).
- 2-layer GELU MLP heads [hidden=128 → mid=64 → 1] per horizon;
ISV lambda integrates into the trunk-grad component of head
backward. Tasks 1.1-1.8 fully detailed (kernel source +
integration + numerical grad check + smoke + deploy).
Phase 2A — Decision-stride sampling (~1.5hr code):
- User-prioritised lever. Yield every S-th snapshot per training
sequence; K=64 with stride=4 covers 256 ticks of context for
the same compute as 64 ticks at stride=1. Mamba2's dt_s scalar
becomes stride-aware. Tasks 2A.1-2A.5 fully detailed (loader
refactor + test + CLI plumbing + synthetic smoke + deploy).
Phase 2B — 2-stack Mamba2 (~2hr code, sketch):
- Two Mamba2Block instances; forward chain
snap_feat → mamba2_l1 → LN → mamba2_l2 → LN → CfC.
- Acceptance criteria + key implementation notes documented;
bite-sized tasks elaborated when Phase 1+2A results land.
Phase 3 — Attention pool over Mamba2 K-positions (~4-6hr code,
sketch):
- Replace CfC's zero-init initial state with an attention-
pooled context vector over all K Mamba2 outputs. Design
decision documented (Option A: attention sets initial state,
preserving CfC's recurrent path).
Cross-phase deployment loop documented: fold-1 smoke → 3-fold
CV → per-fold comparison + isv-snapshot trajectory archive.
Honors `superpowers:writing-plans` skill: exact file paths,
complete code in every step, exact commands with expected output,
TDD-style steps, frequent commits, no placeholders in Phase 1
tasks. Self-review pass complete.
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.