c7bb79a625
Two follow-up fixes for Smoke 2 readiness, atomic per feedback_no_partial_refactor: FIX 1 — Task 11 target_jitter_k anchor (spec §3.3 compliance): - Previously: target_jitter_k = first non-zero raw_per_h[k] (model-state-anchored) - Now: target_jitter_k = sqrt(realised_label_variance_k) (label-distribution-anchored) - Per-horizon label variance computed host-side from existing per-horizon labels in stg_labels (layout [K, B, N_HORIZONS] row-major; typical K=32, B=1 -> 32 floats per horizon -> trivial host reduction). - Wiener-α EMA with α = 0.4 floor + first-observation bootstrap per pearl_wiener_alpha_floor_for_nonstationary + pearl_first_observation_bootstrap. FIX 2 — Task 10 Option B closure (block-diagonal heads via grad mask): - Two new kernels: heads_w_skip_mask_init_kernel (one-shot at transition, builds [N_HORIZONS × HIDDEN_DIM] = 640-float mask + zeros off-bucket heads_w_skip in place) and heads_w_skip_grad_mask_apply_kernel (per-step Phase 2, multiplies grad_heads_w_skip by mask elementwise before opt_heads_w_skip.step). - Achieves block-diagonal heads_w_skip behavior WITHOUT touching the existing GRN kernel: off-bucket positions stay 0 throughout training because gradient is masked out, so Adam never updates them. - Existing GRN dispatch consumes heads_w_skip_d (full 640 floats) as today; off-bucket entries are always 0, so the dispatch is mathematically equivalent to a compact-only read. Together these fixes restore the spec-mandated per-horizon differentiation chain across all 3 mechanisms (CfC.tau bucketing + block-diagonal heads + per-bucket LR with label-variance anchor) before Smoke 2 fires the mean_run_len ratio gate. GPU oracle tests: 13 total (11 + heads_w_skip_mask_init + heads_w_skip_grad_mask_apply). 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.