e968f4ded9
Wave 3a half of the val-cost-streams refactor (3b host-side wire-up
follows). Atomically migrates the kernel-side contracts; 5 launchers
remain orphan transiently awaiting 3b production callers.
Baseline kernels (1.4):
- 4 baseline_*_kernel signatures gain 'out: float*' parameter writing
per-window [mean, std, raw_sharpe] (matches 1.1.b sharpe_per_bar shape)
- ISV writes to slots 409, 410, 412, 416 removed entirely
(per-window output is correct for WindowMetrics consumption;
ISV-scalar writes were spec scaffolding for a single-fold-aggregate
version that 1.4.b's per-window contract supersedes)
- 4 ISV slot constants removed from sp15_isv_slots.rs
- state_reset_registry: NO entries to remove (verified via grep —
the 4 slots never had registry entries / dispatch arms in the first
place; they were single-fold-aggregate scalars defaulted at every
fold start by the constructor-write that initialises the ISV bus).
Task 4 from the dispatch is a no-op; the
every_fold_and_soft_reset_entry_has_dispatch_arm regression test
continues to pass unchanged.
- 4 oracle tests migrated to output-buffer assertion
- layout_fingerprint_seed string updated (4 retired entries removed,
4 trunk-shared entries retained; layout-break-class change)
New action_decoding_helpers.cuh:
- Extracts factored_action_to_dir_idx + factored_action_to_position
__device__ helpers (the latter is a higher-level position state-
machine helper not previously available)
- Mirrors trade_physics.cuh::decode_direction_4b semantics exactly so
on-policy and counterfactual paths agree on factored-action meaning
- Single source of truth for action→direction→position mapping;
consumers #include the header
New position_history_derivation_kernel.cu (post-loop derivation for
cost_net_sharpe consumer in Wave 3b):
- Reads actions_history_buf, reconstructs per-bar position_history
(-1/0/+1), side_ind (1.0 on position change), rt_ind (1.0 on
transition-to-flat from non-flat) via sequential walk (single
block per window, no atomicAdd per feedback_no_atomicadd)
- New launcher launch_sp15_position_history_derivation in
gpu_dqn_trainer.rs
- New cubin manifest entry in build.rs
- 1 oracle test covering 8-bar Short→Hold→Long→Hold→Flat→Long→Flat→
Short sequence; expected position/side_ind/rt_ind triples match
hand-computed values
Atomic per feedback_no_partial_refactor for the ISV-contract change
(every consumer of slots 409/410/412/416 migrated in this commit; their
consumers were the 4 oracle tests, all migrated). The orphan launcher
transient state for the 5 baselines + derivation kernel is explicitly
the 3a/3b split point — production callers land in 3b's
GpuBacktestEvaluator::new constructor signature change.
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.