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Cryptoval Trading Technologies 2023-11-27 23:23:29 +00:00
parent c0400ba7bf
commit 050a7406b5
5 changed files with 183 additions and 54 deletions
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16
data/apps/cvtt.cfg
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@ -32,10 +32,10 @@
, "source": {
"database": {
"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
, "credentials_key": "TSDB_COINBS_3"
, "credentials_key": "TSDB_MD_CV1"
}
"interval": "1 hour"
, "from_time": "2023-11-08 02:00:00"
, "from_time": "2023-11-19 01:00:00"
}
, "initial_positions": {
"COINBASE": {
@ -43,9 +43,14 @@
, "USD": 1000.0
}
}
, "simulation": {
"speed_factor": 0.0
}
, "execution": {
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
}
}
# --------------------------------------------------------------------
@ -67,6 +72,9 @@
}
}
, "trading_pos_diff_pct_trigger": 10.0
, "trading_depth": {
"BTC": 0.001
}
}
# --------------------------------------------------------------------
"executor": {
@ -122,8 +130,8 @@
, "database": {
"positions_table": "cvtt_positions"
, "credentials_key": {
"write": "CVTT_DB_01"
, "read_only": "CVTT_DB_01"
"write": "CVTT_TRD_DB_02"
, "read_only": "CVTT_TRD_DB_02"
}
}
, "positions": {

82
data/apps/md_recorder.cfg
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@ -1,4 +1,4 @@
@var WINDOW_SIZE_SEC=2592000 # 30 days
@var CONFIG_SVC_HOST=cloud16.cvtt.vpn
{
"md_recorder": {
@ -10,65 +10,53 @@
, "database": "coinbase"
}
}
, "trades_tbl": "md_trades"
, "booktop_tbl": "md_booktops"
, "booksnap_tbl": "md_booksnaps"
, "flush_interval_sec": 0.5
, "prune_interval_sec": 3600
, "collections": {
"__dummy__": null
, "COINBASE": {
"instruments": {
"PAIR-BTC-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
# "BOOK_DEPTH": 3600
}
, "PAIR-ETH-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
# "BOOK_DEPTH": null
}
, "PAIR-LTC-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-XRP-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
"PAIR-BTC-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-ETH-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USD": ["TRADES", "BOOK_TOP"]
}
, "tables": {
"trades": "coinbase.md_trades"
, "booktops": "coinbase.md_booktops"
, "booksnaps": "coinbase.md_booksnaps"
}
}
, "BNBSPOT": {
"instruments": {
"PAIR-BTC-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
"PAIR-BTC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-ETH-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-USDT-USD": ["TRADES", "BOOK_TOP"]
}
, "PAIR-ETH-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
, "tables": {
"trades": "bnbspot.md_trades"
, "booktops": "bnbspot.md_booktops"
, "booksnaps": "bnbspot.md_booksnaps"
}
, "PAIR-LTC-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-XRP-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-USDT-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
, "BNBFUT": {
"instruments": {
"PERP-BTC-USDT": ["TRADES", "BOOK_TOP"]
, "PERP-ETH-USDT": ["TRADES", "BOOK_TOP"]
}
, "tables": {
"trades": "bnbfut.md_trades"
, "booktops": "bnbfut.md_booktops"
, "booksnaps": "bnbfut.md_booksnaps"
}
}
}
}
# ----------------------------------
, "refdata": @inc=http://cloud11.cvtt.vpn:6789/refdata/refdata
, "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata
, "exchanges_settings": {
"COINBASE_AT": {
"order_entry": {
@ -84,7 +72,21 @@
, "streaming": false
}
}
"BNBSPOT": {
, "BNBSPOT": {
"order_entry": {
"enabled": false
, "streaming": false
},
"mkt_data": {
"enabled": true
, "streaming": true
},
"accounting": {
"enabled": false
, "streaming": false
}
}
, "BNBFUT": {
"order_entry": {
"enabled": false
, "streaming": false

103
data/apps/md_recorder_old.cfg Normal file
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@ -0,0 +1,103 @@
@var WINDOW_SIZE_SEC=2592000 # 30 days
@var CONFIG_SVC_HOST=cloud16.cvtt.vpn
{
"md_recorder": {
"db": {
"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
, "connect": {
"host": "cryptoval1.cvtt.vpn"
, "port": 5432
, "database": "coinbase"
}
}
, "trades_tbl": "md_trades" # D_E_P_R_E_C_A_T_E_D
, "booktop_tbl": "md_booktops" # D_E_P_R_E_C_A_T_E_D
, "booksnap_tbl": "md_booksnaps" # D_E_P_R_E_C_A_T_E_D
, "flush_interval_sec": 0.5
, "prune_interval_sec": 3600
, "collections": {
"__dummy__": null
, "COINBASE": {
"instruments": {
"PAIR-BTC-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
# "BOOK_DEPTH": 3600
}
, "PAIR-ETH-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
# "BOOK_DEPTH": null
}
, "PAIR-LTC-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-XRP-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
}
}
, "BNBSPOT": {
"instruments": {
"PAIR-BTC-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-ETH-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-LTC-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-XRP-USDT": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
, "PAIR-USDT-USD": {
"TRADES": ${WINDOW_SIZE_SEC},
"BOOK_TOP": ${WINDOW_SIZE_SEC},
}
}
}
}
}
# ----------------------------------
, "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata
, "exchanges_settings": {
"COINBASE_AT": {
"order_entry": {
"enabled": false
, "streaming": true
},
"mkt_data": {
"enabled": true
, "streaming": true
},
"accounting": {
"enabled": false
, "streaming": false
}
}
"BNBSPOT": {
"order_entry": {
"enabled": false
, "streaming": false
},
"mkt_data": {
"enabled": true
, "streaming": true
},
"accounting": {
"enabled": false
, "streaming": false
}
}
}
}

15
data/apps/tests/listen_market_data.cfg Normal file
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@ -0,0 +1,15 @@
@var CONFIG_DIR=/home/oleg/develop/cvtt2/cvttpy/config_examples
@var CONFIG_SVC_HOST=cloud16.cvtt.vpn
{
"exchanges_settings": {
"*": {
"mkt_data": {
"enabled": true
, "streaming": true
},
}
}
, "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata
}

9
data/refdata/refdata.cfg
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@ -1,6 +1,7 @@
@var CONFIG_SVC_HOST=cloud16.cvtt.vpn
{
"assets": @inc=http://cloud11.cvtt.vpn:6789/refdata/assets
, "instruments": @inc=http://cloud11.cvtt.vpn:6789/refdata/instruments
, "exchanges": @inc=http://cloud11.cvtt.vpn:6789/refdata/exchanges
, "exchange_instruments": @inc=http://cloud11.cvtt.vpn:6789/refdata/exchange_instruments
"assets": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/assets
, "instruments": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/instruments
, "exchanges": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/exchanges
, "exchange_instruments": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/exchange_instruments
}