progress
This commit is contained in:
Cryptoval Trading Technologies
@@ -1,10 +1,13 @@
|
||||
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
|
||||
@var SQLITE_DIR=/home/oleg/tmp/sqlite
|
||||
|
||||
@var DATE="20241114"
|
||||
# @var FROM_TIME="2024-11-14 13:30:00"
|
||||
# @var INTERVAL="18 minutes"
|
||||
# @var INTERVAL="5 minutes"
|
||||
@var DATA_DIR=/home/coder/project/data
|
||||
|
||||
@var MD_WS_PORT=10180
|
||||
@var OE_WS_PORT=10181
|
||||
@var OE_REST_PORT=10182
|
||||
@var ACCT_REST_PORT=10083
|
||||
|
||||
@var DATE=20241114
|
||||
|
||||
{
|
||||
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
|
||||
@@ -29,75 +32,70 @@
|
||||
"sources": [
|
||||
{
|
||||
"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
|
||||
, "file_name": "${SQLITE_DIR}/20240906.COIN.1min.db"
|
||||
, "table_name": "md_1min_bars"
|
||||
, "columns": [
|
||||
"tstamp"
|
||||
, "tstamp_ns as tm" # must have tm for DataFrame
|
||||
, "tstamp_ns as local_time_ns" # must have for simrunner
|
||||
, "exchange_id"
|
||||
, "instrument_id"
|
||||
, "open"
|
||||
, "high"
|
||||
, "low"
|
||||
, "close"
|
||||
, "volume"
|
||||
, "vwap"
|
||||
, "num_trades"
|
||||
]
|
||||
, "time_column": "tstamp"
|
||||
, "file_name": "${DATA_DIR}/eqty/${DATE}.alpaca_sim_md.db"
|
||||
, "exchange_id": "ALPACA"
|
||||
, "instruments": ["STOCK-COIN"]
|
||||
, "md_type": "HIST_BAR"
|
||||
, "instruments": ["STOCK-COIN", "STOCK-CAN"]
|
||||
, "md_types": {
|
||||
"TRADES": {
|
||||
"table_name": "md_trades"
|
||||
, "columns": [
|
||||
"tstamp"
|
||||
, "tstamp_ns as tm" # required column
|
||||
, "tstamp_ns as exchange_ts_ns"
|
||||
, "tstamp_ns as local_time_ns"
|
||||
, "exchange_id"
|
||||
, "instrument_id"
|
||||
, "exch as exchange_code"
|
||||
, "px as price"
|
||||
, "qty as quantity"
|
||||
, "'' as taker_side" # get from condition (?)
|
||||
, "trade_id"
|
||||
, "condition"
|
||||
, "tape"
|
||||
]
|
||||
, "time_column": "tstamp"
|
||||
}
|
||||
, "BOOK_TOP": {
|
||||
"table_name": "md_quotes"
|
||||
, "columns": [
|
||||
"tstamp"
|
||||
, "tstamp_ns as tm" # required column
|
||||
, "tstamp_ns as local_time_ns"
|
||||
, "exchange_id"
|
||||
, "instrument_id"
|
||||
, "bid_exch as bid_exchange_code"
|
||||
, "ask_exch as ask_exchange_code"
|
||||
, "bid_px as bid_price"
|
||||
, "bid_qty as bid_quantity"
|
||||
, "ask_px as ask_price"
|
||||
, "ask_qty as ask_quantity"
|
||||
]
|
||||
, "time_column": "tstamp"
|
||||
}
|
||||
# , "HIST_BAR": {
|
||||
# "table_name": "md_1min_bars"
|
||||
# , "columns": [
|
||||
# "tstamp"
|
||||
# , "tstamp_ns as tm" # must have tm for DataFrame
|
||||
# , "tstamp_ns as local_time_ns" # must have for simrunner
|
||||
# , "exchange_id"
|
||||
# , "instrument_id"
|
||||
# , "open"
|
||||
# , "high"
|
||||
# , "low"
|
||||
# , "close"
|
||||
# , "volume"
|
||||
# , "vwap"
|
||||
# , "num_trades"
|
||||
# ]
|
||||
# , "time_column": "tstamp"
|
||||
# }
|
||||
}
|
||||
}
|
||||
# {
|
||||
# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
|
||||
# , "credentials_key": "TSDB_MD_CVTTDATA_RO"
|
||||
# , "interval": ${INTERVAL}
|
||||
# , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
|
||||
# , "exchange_id": "COINBASE"
|
||||
# , "instruments": ["PAIR-BTC-USD"]
|
||||
# , "md_type": "TRADES"
|
||||
# , "table_name": "coinbase.md_trades"
|
||||
# , "columns": [
|
||||
# "time",
|
||||
# "local_time_ns",
|
||||
# "exchange_ts_ns",
|
||||
# "exchange_id",
|
||||
# "instrument_id",
|
||||
# "price",
|
||||
# "quantity",
|
||||
# "taker_side",
|
||||
# "'TRD' as type",
|
||||
# ]
|
||||
# , "time_column": "time"
|
||||
# }
|
||||
# , {
|
||||
# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
|
||||
# , "credentials_key": "TSDB_MD_CVTTDATA_RO"
|
||||
# , "interval": ${INTERVAL}
|
||||
# , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
|
||||
# , "exchange_id": "COINBASE"
|
||||
# , "instruments": ["PAIR-BTC-USD"]
|
||||
# , "md_type": "BOOK_TOP"
|
||||
# , "table_name": "coinbase.md_booktops"
|
||||
# , "columns": [
|
||||
# "time",
|
||||
# "local_time_ns",
|
||||
# "exchange_id",
|
||||
# "instrument_id",
|
||||
# "bid_price",
|
||||
# "bid_quantity",
|
||||
# "ask_price",
|
||||
# "ask_quantity",
|
||||
# "'BT' as type",
|
||||
# ]
|
||||
# , "time_column": "time"
|
||||
# }
|
||||
# ]
|
||||
]
|
||||
, "api": {
|
||||
"web_socket": {
|
||||
"url": "ws://localhost:8080/ws"
|
||||
"url": "ws://localhost:${MD_WS_PORT}/ws"
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -109,32 +107,32 @@
|
||||
, "pricing_method": "BY_MKT_TRD_PRICE_BY_TRADE"
|
||||
|
||||
, "short_sale_allowed": false
|
||||
, "fee_schedule": {
|
||||
"taker_fee_rate": 0.006
|
||||
"maker_fee_rate": 0.004
|
||||
, "fee_schedule": { # ALPACA -
|
||||
"taker_fee_rate": 0.0
|
||||
"maker_fee_rate": 0.0
|
||||
}
|
||||
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
|
||||
}
|
||||
, "api": {
|
||||
"web_socket": {
|
||||
"url": "ws://localhost:8180/ws"
|
||||
"url": "ws://localhost:${OE_WS_PORT}/ws"
|
||||
}
|
||||
, "REST": {
|
||||
"port": 8181
|
||||
"new_order_url": ["POST", "http://localhost:8181/order"]
|
||||
, "cancel_order_url": ["POST", "http://localhost:8181/cancel"]
|
||||
, "cancel_all_url": ["POST", "http://localhost:8181/cancel_all"]
|
||||
, "open_orders_url": ["GET", "http://localhost:8181/open_orders"]
|
||||
, "order_status_url": ["GET", "http://localhost:8181/order_status"]
|
||||
"port": ${OE_REST_PORT}
|
||||
"new_order_url": ["POST", "http://localhost:${OE_REST_PORT}/order"]
|
||||
, "cancel_order_url": ["POST", "http://localhost:${OE_REST_PORT}/cancel"]
|
||||
, "cancel_all_url": ["POST", "http://localhost:${OE_REST_PORT}/cancel_all"]
|
||||
, "open_orders_url": ["GET", "http://localhost:${OE_REST_PORT}/open_orders"]
|
||||
, "order_status_url": ["GET", "http://localhost:${OE_REST_PORT}/order_status"]
|
||||
}
|
||||
}
|
||||
}
|
||||
, "accounting": {
|
||||
"api": {
|
||||
"REST": {
|
||||
"port": 8182
|
||||
, "positions_url": ["GET", "http://localhost:8182/positions"]
|
||||
, "trades_url": ["GET", "http://localhost:8182/trades"]
|
||||
"port": ${ACCT_REST_PORT}
|
||||
, "positions_url": ["GET", "http://localhost:${ACCT_REST_PORT}/positions"]
|
||||
, "trades_url": ["GET", "http://localhost:${ACCT_REST_PORT}/trades"]
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user