progress

2024-05-01 19:22:21 +01:00
parent 920831523a
commit 7a173c54fb
27 changed files with 475 additions and 232 deletions
@@ -0,0 +1,47 @@
+{
+    "TRDALGO_001": {
+        "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.TwapAlgo"
+        , "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_COINBS": {
+        "class": "cvttpy.trading.algos.twap.TwapAlgo"
+        , "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
+        },
+    }
+    , "TRDALGO_ICEBERG01_ALPACA": {
+        "class": "cvttpy.trading.algos.twap.TwapAlgo"
+        , "params": {
+            "num_slices":                     5
+            , "duration_sec":              1500  # 25 min
+            , "max_order_usd":              1000.
+            , "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
+        },
+    }
+}