dc6a034a4c
Root-cause bug from C-audit of train-5wb4n magnitude-branch Q-saturation
(task #92). Forward kernel `c51_loss_batched` (c51_loss_kernel.cu
lines 736-752) applies per-atom advantage standardization for the
magnitude branch:
centered[j] = (adv[a_d,j] - a_mean[j]) / (a_std[j] + 1e-6) // d==1 only
combined[j] = value[j] + centered[j]
lp[j] = log_softmax(combined)
But the backward kernel `c51_grad_kernel` treated the forward as if
`combined[j] = value[j] + (adv[a_d,j] - a_mean[j])` — no a_std divisor.
That is chain-rule-inconsistent: the computed `d_combined / d_adv[a,j]`
is the gradient of a *different* loss than the one forward-pass'd.
Gradient points in the wrong direction relative to the actual loss
surface.
Fix: pass the magnitude-branch online advantage logits pointer
(`on_adv_logits_b1`) to the backward kernel. For each (b, j) in the
d==1 dueling-grad block, recompute a_std from the 3 advantage values
and multiply `grad_val *= 1/(a_std + 1e-6)`. Counterfactual magnitude
gradient (Hold samples) inherits the same factor automatically —
single correction point.
Approximation: treats a_std as constant w.r.t. advantage values (skips
`da_std/d_adv` chain-rule terms). This is the standard simplification
used in batch-norm with `track_running_stats=False`; produces the
dominant scale correction without the full Jacobian complexity.
Call site updates the single launch in `launch_c51_grad`. Kernel
signature guards on NULL for backward compatibility with any smoke-
test launcher that may not wire the argument; d==1 block falls back
to pre-fix behaviour (identity) in that case.
Part of task #92 fix triad. Previous commit d61aefe2b addressed the
balancer (safety-net fix). Next: IQL branch_scales floor for
direction-branch Hold/Flat per-sample starvation.
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.