dc76d205eb
Per spec §3.2 + §3.3 and pearl_adam_normalizes_loss_weights.
Controller B (post-Adam τ projection):
- tau_clamp_kernel added to bucket_transition_kernels.cu
- Each channel's τ clamped to its bucket's IQR_widened range after every
Adam step on tau_all_d. Bypasses Adam's m/sqrt(v) normalization
(loss-weight modulation would have been a no-op per the pearl).
Controller C (per-bucket LR multiplier on heads_w_skip):
- heads_lr_multiplier_scale_kernel added.
- Per-step: snapshot heads_w_skip_d (DtoD) before opt_heads_w_skip.step,
run Adam, then rescale the per-horizon delta by
lr_mult_k = 1.0 / (1.0 + smoothness_ratio_k).
- smoothness_ratio_k = max(0, jitter_ema_k - target_jitter_k) /
max(target_jitter_k, target_jitter_k / 16)
with the ε_floor max-with-floor pattern per
pearl_blend_formulas_must_have_permanent_floor.
- target_jitter_k sentinel-bootstrapped from first non-zero raw
smoothness loss per pearl_first_observation_bootstrap.
- jitter EMA shadowed via mapped-pinned smoothness_jitter_ema_host_d
(DtoD captured in graph; host reads after end-of-step sync); host
writes lr_mult_per_horizon_staging (mapped-pinned); next step's
captured-graph rescale kernel reads via dev_ptr.
Scope reduction (Task 11): Controller C scales ONLY heads_w_skip_d
per-horizon (N_HORIZONS × HIDDEN_DIM = 640 contiguous floats, per-horizon
stride HIDDEN_DIM). Other heads weights (w1, w2, w_gate, w_main) stay
unscaled because they're entangled in the GRN gate/main computation and
rescaling them would require additional per-bucket scoping out of Task 11
scope. Revisit if Smoke 2 fails per feedback_no_quickfixes.
Both controllers active Phase 2 only; no-op in Phase 1.
GPU oracle tests: 9 total (7 existing + tau_clamp + lr_multiplier_scale).
All 33 ml-alpha lib tests pass.
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.