progress

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": {
+        "source": {
-            "*": {
+            "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader"
-                "mkt_data": {
+            , "file_name": "${SourcePath}/20240424.ALPACA.QAT.db"
-                    "enabled": true
+            # , "from_time": "09:29"
-                    , "streaming": true
         }
-                ,"order_entry": {
+        , "result": {
-                    "enabled": true
+            # "repository": "${ResultPath}/backtest_results.json"
-                    , "streaming": true
+            "db_file": "${ResultPath}/%D.backtest.db"
         }
-                ,"accounting": {
-                    "enabled": true
-                    , "streaming": false
-                }
-            }
-        }
-        , "source": {
-            "database": {
-                "class": "cvttpy.tools.db.sqlite.sqlite_client.SqliteClient"
-                , "file_name": "aaa"
-            }
-            , "from_time": {
-                "BUY": "09:29"
-                "SELL": "15:30"
-            }
-        }
-        # , "initial_positions": {
-        #     "COINBASE": {
-        #         "BTC": 0
-        #         , "USD": 1000.0
-        #     }
-        # }
         , "simulation": {
             "speed_factor": 0.0
         }
@@ -54,13 +31,9 @@
             ,"min_order_age_sec": 0.1
             , "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
         }
-        , "result": {
-            "repository": "${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"
-            }
         }
     }
 }

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
+            # , "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": {

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"
+                "loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TsMdLoader"
-                , "cred_key":  "TSDB_MD_CVTTDATA_RO"
+                , "credentials_key":  "TSDB_MD_CVTTDATA_RO"
-                , "data_type": "OHLCV"
+                , "interval": "2 hours"
+                #, "from_time" is calculated
             }
         }
     }

data/apps/cvtt_crypto_coinbs.cfg

@@ -31,10 +31,8 @@
             }
         }
         , "source": {
-            "database": {
+            "loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader"
-                "class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
             , "credentials_key": "TSDB_MD_CVTTDATA_RO"
-            }
             # , "interval": "4 hours"
             , "interval": "2 hours"
             , "from_time": "2024-04-15 09:00:00"

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
         }
     }
 }

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"
+    }
+}
+