From 5b7680f25a710995016e79c64797b6a80d790832 Mon Sep 17 00:00:00 2001 From: Cryptoval Trading Technologies Date: Fri, 10 May 2024 03:05:20 +0100 Subject: [PATCH] progress --- data/apps/algo_trade.cfg | 85 ++++---------------------------- data/apps/common/algos.cfg | 7 +-- data/apps/common/strategies.cfg | 7 +-- data/apps/cvtt_crypto_coinbs.cfg | 6 +-- data/apps/md_rec_monitor.cfg | 8 +-- data/apps/minimal_md_eqt.cfg | 23 +++++++++ 6 files changed, 46 insertions(+), 90 deletions(-) create mode 100644 data/apps/minimal_md_eqt.cfg diff --git a/data/apps/algo_trade.cfg b/data/apps/algo_trade.cfg index 7164bd0..1466fc5 100644 --- a/data/apps/algo_trade.cfg +++ b/data/apps/algo_trade.cfg @@ -1,6 +1,6 @@ @var CONFIG_SVC_HOST=cloud16.cvtt.vpn @var ResultPath=/tmp - +@var SourcePath=/home/oleg/develop/cvtt2/tmp { "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata , "redis": @inc=http://${CONFIG_SVC_HOST}:6789/apps/common/redis @@ -14,38 +14,15 @@ ] } , "backtest": { - "exchanges_settings": { - "*": { - "mkt_data": { - "enabled": true - , "streaming": true - } - ,"order_entry": { - "enabled": true - , "streaming": true - } - ,"accounting": { - "enabled": true - , "streaming": false - } - } + "source": { + "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader" + , "file_name": "${SourcePath}/20240424.ALPACA.QAT.db" + # , "from_time": "09:29" } - , "source": { - "database": { - "class": "cvttpy.tools.db.sqlite.sqlite_client.SqliteClient" - , "file_name": "aaa" - } - , "from_time": { - "BUY": "09:29" - "SELL": "15:30" - } + , "result": { + # "repository": "${ResultPath}/backtest_results.json" + "db_file": "${ResultPath}/%D.backtest.db" } - # , "initial_positions": { - # "COINBASE": { - # "BTC": 0 - # , "USD": 1000.0 - # } - # } , "simulation": { "speed_factor": 0.0 } @@ -54,13 +31,9 @@ ,"min_order_age_sec": 0.1 , "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER" } - , "result": { - "repository": "${ResultPath}/backtest_results.json" - , "db_file": "${ResultPath}/%T.backtest.db" - } } , "exchanges_settings": { - "ALPACA_SNDBX-MDPORTAL": { + "*": { "order_entry": { "enabled": true , "streaming": true @@ -73,46 +46,6 @@ "enabled": false , "streaming": false } - , "credentials_key": { - "read_only": "ALPACA_SANDBOX" - , "trade": "ALPACA_SANDBOX" - } - } - , "ALPACA_SNDBX-MDP-03": { - "order_entry": { - "enabled": true - , "streaming": true - }, - "mkt_data": { - "enabled": true - , "streaming": true - }, - "accounting": { - "enabled": false - , "streaming": false - } - , "credentials_key": { - "read_only": "ALPACA_SANDBOX" - , "trade": "ALPACA_SANDBOX" - } - } - , "COINBASE_AT-MDPORTAL": { - "order_entry": { - "enabled": true - , "streaming": true - }, - "mkt_data": { - "enabled": true - , "streaming": true - }, - "accounting": { - "enabled": false - , "streaming": false - } - , "credentials_key": { - "read_only": "COINBASE_ADV_RO" - , "trade": "COINBASE_ADV_TRD" - } } } } diff --git a/data/apps/common/algos.cfg b/data/apps/common/algos.cfg index a549662..9a433e7 100644 --- a/data/apps/common/algos.cfg +++ b/data/apps/common/algos.cfg @@ -24,12 +24,13 @@ "class": "cvttpy.trading.algos.twap.TwapAlgo" , "params": { "num_slices": 5 - , "duration_sec": 1500 # 25 min + , "duration_sec": 1500 # 25 min #overloaded by --duration , "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 + # , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick + , "marketable_stage_added_ticks": 0 + , "advance_on_slice_full_fill": true # default true }, } , "TRDALGO_ICEBERG01_ALPACA": { diff --git a/data/apps/common/strategies.cfg b/data/apps/common/strategies.cfg index 871442b..a2dd933 100644 --- a/data/apps/common/strategies.cfg +++ b/data/apps/common/strategies.cfg @@ -10,9 +10,10 @@ , "params": { "vwap_interval": "1 hour" , "hist_md_source": { - "class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient" - , "cred_key": "TSDB_MD_CVTTDATA_RO" - , "data_type": "OHLCV" + "loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TsMdLoader" + , "credentials_key": "TSDB_MD_CVTTDATA_RO" + , "interval": "2 hours" + #, "from_time" is calculated } } } diff --git a/data/apps/cvtt_crypto_coinbs.cfg b/data/apps/cvtt_crypto_coinbs.cfg index 3d3af7c..84db909 100644 --- a/data/apps/cvtt_crypto_coinbs.cfg +++ b/data/apps/cvtt_crypto_coinbs.cfg @@ -31,10 +31,8 @@ } } , "source": { - "database": { - "class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient" - , "credentials_key": "TSDB_MD_CVTTDATA_RO" - } + "loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader" + , "credentials_key": "TSDB_MD_CVTTDATA_RO" # , "interval": "4 hours" , "interval": "2 hours" , "from_time": "2024-04-15 09:00:00" diff --git a/data/apps/md_rec_monitor.cfg b/data/apps/md_rec_monitor.cfg index 567b390..b09b651 100644 --- a/data/apps/md_rec_monitor.cfg +++ b/data/apps/md_rec_monitor.cfg @@ -22,13 +22,13 @@ "tables": ["bnbfut.md_booktops"] , "exchange_id": "BNBFUT" , "instruments": ["PERP-BTC-USDT"] - , "threshold_sec": 15.0 + , "threshold_sec": 30.0 } , "BNBFUT-2": { "tables": ["bnbfut.md_trades"] , "exchange_id": "BNBFUT" , "instruments": ["PERP-BTC-USDT"] - , "threshold_sec": 15.0 + , "threshold_sec": 30.0 } , "BNBSPOT-1": { "tables": ["bnbspot.md_booktops"] @@ -46,13 +46,13 @@ "tables": ["coinbase.md_booktops"] , "exchange_id": "COINBASE" , "instruments": ["PAIR-BTC-USD"] - , "threshold_sec": 15.0 + , "threshold_sec": 30.0 } , "COINBASE-2": { "tables": ["coinbase.md_trades"] , "exchange_id": "COINBASE" , "instruments": ["PAIR-BTC-USD"] - , "threshold_sec": 15.0 + , "threshold_sec": 30.0 } } } diff --git a/data/apps/minimal_md_eqt.cfg b/data/apps/minimal_md_eqt.cfg new file mode 100644 index 0000000..73b54d5 --- /dev/null +++ b/data/apps/minimal_md_eqt.cfg @@ -0,0 +1,23 @@ +@var CONFIG_SVC_HOST=cloud16.cvtt.vpn +{ + "refdata": @inc=http://${CONFIG_SVC_HOST}:6789/refdata/refdata + , "calendar_session": { + "trading_hours_url": [ + "GET" + , "http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS&start={start}&end={end}" + ] + } + , "exchanges_settings": { + "*": { + "mkt_data": { + "enabled": true + , "streaming": true + }, + } + } + , "cvttcomm": { + "type": "redis" + , "redis_settings": "localhost" + } +} +