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Cryptoval Trading Technologies 2024-04-10 17:03:02 +01:00
parent 0c86192a58
commit 3aea35f424
5 changed files with 111 additions and 9 deletions
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7
data/apps/cvtt.cfg
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@ -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": {

60
data/apps/cvtt_eqt_alpaca.cfg
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@ -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
# "BTC": 0.1
"USD": 1000.0,
}
}
# --------------------------------------------------------------------
@ -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
}
}
}

17
data/apps/minimal_md.cfg Normal file
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@ -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"
}
}

6
data/apps/tests/listen_market_data.cfg
View File

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

30
data/refdata/exchanges.cfg
View File

@ -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"