progress

data/apps/research/mkt_simulator.cfg

@@ -0,0 +1,106 @@
+@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
+@var SQLITE_DIR=/home/oleg/tmp/sqlite
+
+{
+    "refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
+    , "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis
+    , "redis_settings": "localhost"
+    , "simulation": {
+        "speed_factor": 0.0,
+        "time_events_interval_ms": 0
+    }
+    , "market_simulator" : {
+        "market_data": {
+            "sources": [
+                # {
+                #     "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
+                #     , "file_name": "${SQLITE_DIR}/20240906.COIN.1min.db"
+                #     , "table_name": "md_1min_bars"
+                #     , "columns": [
+                #                     "tstamp"
+                #                     , "tstamp_ns as tm"            # must have tm for DataFrame
+                #                     , "tstamp_ns as local_time_ns" # must have for simrunner
+                #                     , "exchange_id"
+                #                     , "instrument_id"
+                #                     , "open"
+                #                     , "high"
+                #                     , "low"
+                #                     , "close"
+                #                     , "volume"
+                #                     , "vwap"
+                #                     , "num_trades"
+                #                 ]
+                #     , "time_column": "tstamp"
+                #     , "exchange_id": "ALPACA"
+                #     , "instruments": ["STOCK-COIN"]
+                #     , "md_type": "HIST_BAR"
+                # }
+                {
+                    "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
+                    , "credentials_key": "TSDB_MD_CVTTDATA_RO"
+                    , "interval": "2 hours"
+                    , "from_time": "2024-10-03 09:00:00"
+                    , "exchange_id": "COINBASE"
+                    , "instruments": ["PAIR-BTC-USD"]
+                    , "md_type": "TRADES"
+                    , "table_name": "coinbase.md_trades"
+                    , "columns": [
+                        "time",
+                        "local_time_ns",
+                        "exchange_ts_ns",
+                        "exchange_id",
+                        "instrument_id",
+                        "price",
+                        "quantity",
+                        "taker_side",
+                        "'TRD' as type",
+                    ]
+                    , "time_column": "time"
+                }
+                , {
+                    "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
+                    , "credentials_key": "TSDB_MD_CVTTDATA_RO"
+                    , "interval": "2 hours"
+                    , "from_time": "2024-10-03 09:00:00"
+                    , "exchange_id": "COINBASE"
+                    , "instruments": ["PAIR-BTC-USD"]
+                    , "md_type": "BOOK_TOP"
+                    , "table_name": "coinbase.md_booktops"
+                    , "columns": [
+                        "time",
+                        "local_time_ns",
+                        "exchange_id",
+                        "instrument_id",
+                        "bid_price",
+                        "bid_quantity",
+                        "ask_price",
+                        "ask_quantity",
+                        "'BT' as type",
+                    ]
+                    , "time_column": "time"
+                }
+            ],
+            "api": {
+                "web_socket": {
+                    "url": "ws://localhost:8080/ws"
+                }
+            }
+        }
+        , "accounting": {
+            "initial_positions": {
+                "COINBASE": {
+                    "BTC": 0
+                    , "USD": 1000.0
+                }
+            }
+        }
+        , "order_entry": {
+            "execution": {
+                "top_only": true
+                ,"min_order_age_sec": 0.1
+                , "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
+                # , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
+            }
+        }
+    }
+}

data/refdata/exchanges.cfg

@@ -419,6 +419,16 @@
             , "channel_prefix": "MD_ALPACA_03"
         }
     }
+    , "MARKET_SIMULATOR": {
+        "exchange_id":          "MARKET_SIMULATOR"
+        , "name":               "Market Simulator"
+        , "type":               "SIM"
+
+        , "mktdata" : {
+            "class":  "cvttpy.exchanges.mkt_simulator.mkt_data.MktSimMdClientFeed"
+            "ws_url": "ws://localhost:8080/ws"
+        }
+    }
     # ---------------------------- O
     , "OKX": {
         "exchange_id":          "OKX"