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Cryptoval Trading Technologies
2026-05-23 00:11:01 +00:00
parent 5c84c99cb9
commit 80e29056da
2 changed files with 0 additions and 237 deletions
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data/apps/pairs_trading/backtest.cfg
-47
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@@ -1,47 +0,0 @@
{
"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/stat_pair_selector.cfg
-190
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{
"refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata
# "app_name": "STAT_PAIR_SELECTOR-TST",
"app_name": "@env{APP_NAME}"
"app_type": "STAT_PAIR_SELECTOR"
, "interval_sec": 60
, "history_depth_hours": 26
, "rerun_interval": 300
, "model": {
"model_class": "cvttpy_apps.apps.stat_pairs.lib.models.VECMModel"
, "stat_model_price": "close"
, "training_window_hours": 2
}
, "instrument_validation": {
"market_data_sufficiency": {
"maximum_gap_size": "2.0%",
"maximum_data_missing": "20.0%"
}
}
, "mr_evaluation": {
"mr_speed_tau": 60
, "stationarity_pvalue_max": 0.05
, "stability_window": 360
, "stability_step": 60
, "stability_sensitivity": 0.5
, "score_weights": {
"speed": 0.3
, "stationarity": 0.4
, "stability": 0.3
}
, "warnings_marks": {
"stationarity": 0.3
"stability": 0.3
}
}
, "cvtt_fgw": {
"REST": {
# "base_url": "http://cld32-tester.cvtt.vpn:23456",
"base_url": "@env{FGW_BASE_URL}",
"endpoints": {
"register": ["POST", "/app_register"]
"heartbeat": ["GET", "/app_hb"],
"md_history": ["POST", "/md_summary"]
},
},
}
, "api": {
"REST": {
"host": @env{PAIR_SELECTOR_REST_HOST}
, "port": @env{PAIR_SELECTOR_REST_PORT}
, "proto": "http"
}
}
# ====== Instruments =======
, "instruments": [
{
"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"
}
# =====================================================================
# {
# "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"
# }
]
}