d725b77031
B-4 multiplicative cap (1.5/step) and additive cap (0.05) failed math gap: 1. Multiplicative cap: 1.5^N grows unboundedly over many steps. zh96b confirmed avg_win peak still $40,911 (B-4) vs $44,821 (B-3) — only 9% reduction at peak despite 12× reduction at early steps. 2. Additive cap on wr_ema: 0.05 > natural Wiener step at α=0.05 (max 0.035 from p=0.3 to obs=1.0). Cap NEVER engages → no-op. Fundamental math: per-step rate-caps CANNOT bound EMA convergence to E[X]. For sustained observations, ema → X regardless of any per-step rate-cap (EMA's natural property). B-5 ASYMMETRIC WIENER-α — provably biased estimator for Kelly safety: avg_win: alpha = (step_avg > prev) ? α_slow : α_fast avg_loss: alpha = (step_avg > prev) ? α_fast : α_slow // mirror wr_ema: alpha = (step_wr > prev) ? α_slow : α_fast With α_slow=0.001, α_fast=0.05: EMA_N (sustained X in slow direction) = X × (1 - 0.999^N) N=100: ema = 9.5% × X N=200: 18% N=500: 39% N=1000: 63% For avg_win: $40k sustained → ema reaches only $3,800 by step 100 (vs B-4's $40k peak). Provably biased low → Kelly's b̂ underestimated → smaller f_safe by construction. For wr_ema: 100% wr sustained from prev=0.3 → reaches 0.87 in N=694 steps (vs prior cascade in 140 steps). Asymmetry direction chosen per-EMA for Kelly safety: - avg_win: slow up (skeptical of wins), fast down (correct quickly) - avg_loss: fast up (admit losses), slow down (slow to forget pessimism) - wr_ema: slow up (skeptical of high WR), fast down Single new ISV slot: RL_EMA_ALPHA_SLOW_INDEX = 0.001. Replaces B-4's RL_WR_EMA_MAX_DELTA_INDEX (same slot 721, repurposed). Removed: B-4 cap logic from both kernels (multiplicative + additive). Single uniform asymmetric-alpha rule. Cleaner than B-4 patchwork. Math validation prediction: avg_win peak should be ≤ $5k (vs B-4's $40k); wr_ema peak should be ≤ 0.50 (vs B-4's 0.88). 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.