bdc5cb8bb2
P0a smoke (train-67gqb on f934ea171) returned PARTIAL: aux_dir_acc climbed
0.149 → 0.483 in 10 epochs (signal exists), but val_win_rate stuck at 0.4638
and observed_hold_rate climbed to 0.479 despite controller saturating at
2.4× base. Two findings drive P0b:
(1) aux_w=0.05 (SP11-era clamp) starves the aux head of gradient. Replace
inverted formula at training_loop.rs SP11 site with deficit+stagnation:
deficit = max(0, target - short_ema)
improve = max(0, short_ema - long_ema)
stag = (deficit > 0.005) ? clamp(1 - improve/deficit, 0, 1) : 0
aux_w = base × (1 + 5 × deficit) × (1 - 0.7 × stag),
clamped [0.3×base, 3.0×base]
base 0.05 → 0.5 (10× lift). Stagnation decay prevents permanent
destabilisation in data-limited case. Formula extracted as host helper
`compute_aux_w_p0b(target, short, long)` for unit-test coverage.
(2) HOLD_COST_BASE=0.001 was too weak — max cost 0.005/bar × 30-bar hold =
0.15 cumulative vs ±5-10 reward range = <3% of magnitude. Lift to 0.005
(max 0.025/bar × 30 bars = 0.75 cumulative ≈ 10-15% of capped reward).
Genuinely deters lazy Hold without crippling MFT use. Constructor
static-init unchanged: it still writes the (now-lifted) HOLD_COST_BASE
constant to slot 380 at fold boundary.
Per pearl_event_driven_reward_density_alignment tension already addressed
in P0a spec; the lift doesn't change the architecture, just the calibration.
Per feedback_isv_for_adaptive_bounds: base/gain/decay/floor/ceil are
numerical anchors; target/short/long EMAs read from ISV.
Tests: 3 new unit tests for controller formula (aux_w_at_target_returns_base,
aux_w_stagnation_decays_to_floor, aux_w_improving_amplifies_above_base).
14 SP13 GPU oracle tests + 14 SP12 reward-math tests still green; no kernel
changes.
Audit-doc updated with P0b section per Invariant 7.
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.