prod/config_service
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

20260312

Browse Source
This commit is contained in:
Cryptoval Trading Technologies
2026-03-12 00:38:01 +00:00
parent cf487995ca
commit 755d0a1e80
25 changed files with 1057 additions and 865 deletions
Download Patch File Download Diff File Expand all files Collapse all files
data/apps/pairs_trading/backtest.cfg
+47
View File
@@ -0,0 +1,47 @@
{
"refdata": {
"assets": @inc=http://@env{CONFIG_SERVICE}/refdata/assets
, "instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/instruments
, "exchange_instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/exchange_instruments
, "dynamic_instrument_exchanges": ["ALPACA"]
, "exchanges": @inc=http://@env{CONFIG_SERVICE}/refdata/exchanges
},
"market_data_loading": {
"CRYPTO": {
"data_directory": "./data/crypto",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "PAIR-",
},
"EQUITY": {
"data_directory": "./data/equity",
"db_table_name": "md_1min_bars",
"instrument_id_pfx": "STOCK-",
}
},
# ====== Funding ======
"funding_per_pair": 2000.0,
# ====== Model =======
"model": @inc=http://@env{CONFIG_SERVICE}/apps/pairs_trading/models/@env{MODEL_CONFIG}
# ====== Trading =======
"execution_price": {
"column": "vwap",
"shift": 1,
},
# ====== Stop Conditions ======
"stop_close_conditions": {
"profit": 2.0,
"loss": -0.5
}
# ====== End of Session Closeout ======
"close_outstanding_positions": true,
# "close_outstanding_positions": false,
"trading_hours": {
"timezone": "America/New_York",
"begin_session": "7:30:00",
"end_session": "18:30:00",
}
}
data/apps/pairs_trading/models/vecm-opt.cfg
+19
View File
@@ -0,0 +1,19 @@
{
"name": "VECM-OPTIMIZED",
"model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
"stat_model_price": "close", # "vwap"
"disequilibrium": {
# "open_trshld": 1.75,
# "close_trshld": 1.0
# Testing
"open_trshld": 0.75,
"close_trshld": 0.5
}
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
"min_training_size": 60,
"max_training_size": 150,
}
data/apps/pairs_trading/models/vecm.cfg
+18
View File
@@ -0,0 +1,18 @@
{
"name": "VECM",
"model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
"stat_model_price": "close", # "vwap"
"disequilibrium": {
# "open_trshld": 1.75,
# "close_trshld": 1.0
# Testing
"open_trshld": 0.75,
"close_trshld": 0.5
}
"training_size": 120,
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
}
data/apps/pairs_trading/pair_selector.cfg
+143
View File
@@ -0,0 +1,143 @@
{
"refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata
, "cvtt_base_url": "@env{CVTT_URL}"
, "interval_sec": 60
, "history_depth_hours": 2
, "api": {
"REST": {
"port": @env{PAIR_SELECTOR_REST_PORT}
}
}
# ====== Instruments =======
, "instruments": [
{
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-ADA-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-AVAX-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-BCH-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-BNB-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-BTC-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-DOGE-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-DOT-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-ETH-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-HBAR-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-LINK-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-LTC-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-SHIB-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-SOL-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-SUI-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-XLM-USDT"
}
, {
"exch_acct": "BNBSPOT"
, "instrument_id": "PAIR-XRP-USDT"
}
# {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-ADA-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-AVAX-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-BCH-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-BNB-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-BTC-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-DOGE-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-DOT-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-ETH-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-HBAR-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-LINK-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-LTC-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-SHIB-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-SOL-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-SUI-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-XLM-USD"
# }
# , {
# "exch_acct": "COINBASE_AT"
# , "instrument_id": "PAIR-XRP-USD"
# }
]
}
data/apps/pairs_trading/pair_selector_musvc.cfg
+65
View File
@@ -0,0 +1,65 @@
@var GLOBAL_CHANNEL_PREFIX=PROD_PAIR_SEL_MU
{
"refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata # tetsetraefafd
, "comm": @inc=http://@env{CONFIG_SERVICE}/apps/common/comm
# , "algos": @inc=http://@env{CONFIG_SERVICE}/apps/common/algos
# , "strategies": @inc=http://@env{CONFIG_SERVICE}/apps/common/strategies
# , "risk_strategies": @inc=http://@env{CONFIG_SERVICE}/apps/common/risk_strategies
# new communication settings
, "pubsub_settings": "@env{PUBSUB_SETTINGS_CONFIG_KEY}"
, "cache_settings": "@env{CACHE_SETTINGS_CONFIG_KEY}" # new
, "global_channel_prefix": ${GLOBAL_CHANNEL_PREFIX}
, "front_gateway": {
"app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.FRONT_GW.APP_STATUS"
, "api": {
"REST": {
"port": @env{FRONT_GATEWAY_REST_PORT},
"base_url": ["POST", "http://localhost:@env{FRONT_GATEWAY_REST_PORT}"]
}
}
, "musvc_peers": {
"pricer": true, # enable related client
"bookkeeper": false,
"trader": false
}
}
, "market_data_gateway": {
"app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.MD_GW.APP_STATUS"
, "exchanges_settings": {
"*": {
"mkt_data": {
"enabled": true
, "streaming": true
},
"order_entry": {
"enabled": false
, "streaming": false
},
"accounting": {
"enabled": false
, "streaming": false
},
},
}
, "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.MD_GW."
, "exchanges": [
"COINBASE_AT"
# , "BNBSPOT"
]
}
, "pricer": {
"app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.PXER.APP_STATUS"
, "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.PXER."
, "historical_md": {
"db": {
"cred_key": "TSDB-CLD32-PROD-OHLCV-DIRECT-RO"
}
, "enable_mda_recording": false # RO account is used
}
, "use_md_aggregate_cache": true
}
}
data/apps/pairs_trading/pair_trader.cfg
+16
View File
@@ -0,0 +1,16 @@
{
"refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata
, "cvtt_base_url": "@env{CVTT_URL}"
, "interval_sec": 60
, "history_depth_hours": 2
, "ti_config": {
# TODO
}
# ====== Model =======
, "model": @inc=http://@env{CONFIG_SERVICE}/apps/pairs_trading/models/@env{MODEL_CONFIG}
, "api": {
"REST": {
"port": @env{PAIR_TRADER_REST_PORT}
}
}
}