progress

data/apps/cvtt.cfg

@@ -9,7 +9,7 @@
         # , "redis_settings": "localhost"
         , "redis_settings": "cloud17"
     }
-
+    , "session_type": "PERMANENT"
     , "books": {
         "CVTT_BK01": {}
     }
@@ -37,7 +37,7 @@
             }
             # , "interval": "4 hours"
             , "interval": "6 hours"
-            , "from_time": "2024-02-01 09:00:00"
+            , "from_time": "2024-03-01 09:00:00"
         }
         , "initial_positions": {
             "COINBASE": {
@@ -64,7 +64,6 @@
         "app_channel": "TRDR"    active_exchanges_: str
 
         , "is_short_allowed": false
-        , "algo": "TRDALGO_001"
         , "exchanges_settings": {
             "COINBASE_AT": {
                 "mkt_data": {
@@ -112,8 +111,6 @@
     # --------------------------------------------------------------------
     , "quant": {
         "app_channel": "QUANT"
-        # , "strategy": "CVTT_QST001"
-        , "strategy": "VWAP001"
 
         , "strategies": {
             "CVTT_QST001": {

data/apps/cvtt_eqt_alpaca.cfg

@@ -9,7 +9,13 @@
         "type": "redis"
         , "redis_settings": "cvtt-prod-02"
     }
-
+    , "session_type": "CALENDAR"
+    , "calendar": {
+        "trading_hours_url": [
+            "GET"
+            , "http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS&start={start}&end={end}"
+        ]
+    }
     , "books": {
         "ALPACA_BK02": {}
     }
@@ -18,7 +24,6 @@
         "app_channel": "TRDR"    active_exchanges_: str
 
         , "is_short_allowed": false
-        , "algo": "TRDALGO_001"
         , "exchanges_settings": {
             "*": {
                 "mkt_data": {
@@ -32,11 +37,39 @@
                 "class": "cvttpy.trading.algos.simple.SimpleTradingAlgo"
                 , "params": {}
             }
+            , "TRDALGO_MOOMOC_01": {
+                "class": "cvttpy.trading.algos.moo_moc.MooMocTradingAlgo"
+                , "params": {
+                },
+            }
+            , "TRDALGO_TWAP01": {
+                "class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
+                , "params": {
+                    "num_slices":                     5
+                    , "duration_sec":              1500  # 25 min
+                    , "max_order_usd":              100
+                    , "passive_stage_t1":           0.4  # join BBO, the rest is aggressive
+                    , "aggressive_stage_t2":        0.4
+                    , "aggressivity_scale":  [0.5, 1.0]  # 0.5 = mid, 1.0= BBO-1 tick
+                    , "marketable_stage_added_ticks": 0
+                },
+            }
+            , "TRDALGO_ICEBERG01": {
+                "class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
+                , "params": {
+                    "num_slices":                     5
+                    , "duration_sec":              1500  # 25 min
+                    , "max_order_usd":              100
+                    , "passive_stage_t1":             0
+                    , "aggressive_stage_t2":          0
+                    , "aggressivity_scale":  [0.5, 1.0]  # 0.5 = mid, 1.0= BBO-1 tick
+                    , "marketable_stage_added_ticks":   0
+                },
+            }
         }
         , "trading_pos_diff_pct_trigger": 10.0
         , "trading_depth": {
-            "BTC": 0.001
+            "USD": 1000.0,
-            # "BTC": 0.1
         }
     }
     # --------------------------------------------------------------------
@@ -79,6 +112,24 @@
                     , "trade": "ALPACA_SANDBOX"
                 }
             }
+            , "ALPACA_SNDBX-MDPORTAL": {
+                "order_entry": {
+                    "enabled": true
+                    , "streaming": true
+                },
+                "mkt_data": {
+                    "enabled": false
+                    , "streaming": false
+                },
+                "accounting": {
+                    "enabled": false
+                    , "streaming": false
+                }
+                , "credentials_key": {
+                    "read_only": "ALPACA_SANDBOX"
+                    , "trade": "ALPACA_SANDBOX"
+                }
+            }
         }
     }
     # --------------------------------------------------------------------
@@ -108,6 +159,7 @@
             , "DAILY_STOCK_001": {
                 "class": "cvttpy.trading.strategies.daily_stocks_strat.DailyStocksStrategy"
                 , "params": {
+                    "liquidate_at": "15:45" # EDT Time
                 }
             }
         }

data/apps/minimal_md.cfg

@@ -0,0 +1,17 @@
+@var CONFIG_SVC_HOST=cloud16.cvtt.vpn
+{
+    "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata
+    "exchanges_settings": {
+        "*": {
+            "mkt_data": {
+                "enabled": true
+                , "streaming": true
+            },
+        }
+    }
+    , "cvttcomm": {
+        "type": "redis"
+        , "redis_settings": "localhost"
+    }
+}
+

data/apps/tests/listen_market_data.cfg

@@ -10,6 +10,12 @@
                 , "streaming": true
             },
         }
+        , "ALPACA-MD-REST-ONLY": {
+            "mkt_data": {
+                "enabled": true
+                , "streaming": false
+            },
+        }
     }
     , "cvttcomm": {
         "type": "redis"

data/refdata/exchanges.cfg

@@ -30,7 +30,10 @@
             # , "ws_url": ["WSS", "wss://stream.data.alpaca.markets/v2/sip"]
             , "ws_url": ["WSS", "wss://stream.data.alpaca.markets/v2/iex"]
             , "REST": {
+                "hist_md_bars": ["GET", "https://data.alpaca.markets/v2/stocks/bars"]
+                , "latest_trade": ["GET", "https://data.alpaca.markets/v2/stocks/{symbol}/trades/latest"]
             }
+
         }
         , "accounting": {
             "class":  "cvttpy.exchanges.alpaca.account.AlpacaAccounting"
@@ -64,6 +67,12 @@
         }
         , "mktdata" : {
             "class":     "cvttpy.exchanges.proxies.md_portal_clnt.mkt_data.MktDataPortalFeed"
+
+            # allow direct REST requests
+            , "REST": {
+                "hist_md_bars": ["GET", "https://data.alpaca.markets/v2/stocks/bars"]
+                , "latest_trade": ["GET", "https://data.alpaca.markets/v2/stocks/{symbol}/trades/latest"]
+            }
         }
         , "accounting": {
             "class":  "cvttpy.exchanges.alpaca.account.AlpacaAccounting"
@@ -75,6 +84,27 @@
             }
         }
     }
+    , "ALPACA-MD-REST-ONLY": {
+        # https://docs.alpaca.markets/reference/
+        "exchange_id":          "ALPACA"
+         , "name":               "Alpaca Trading"
+        , "type":               "EQUITY"
+
+        , "cred_key":  "ALPACA_SANDBOX"
+
+        , "order_entry": {
+        }
+        , "mktdata" : {
+            "class":           "cvttpy.exchanges.alpaca.mkt_data.AlpacaStockFeed"
+
+            , "REST": {
+                "hist_md_bars": ["GET", "https://data.alpaca.markets/v2/stocks/bars"]
+                , "latest_trade": ["GET", "https://data.alpaca.markets/v2/stocks/{symbol}/trades/latest"]
+            }
+        }
+        , "accounting": {
+        }
+    }
     # ---------------------- B
     , "BNBSPOT": {
         "exchange_id":          "BNBSPOT"