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Cryptoval Trading Technologies
2024-10-11 22:18:06 +00:00
parent 4bc2ee411a
commit b693b57778
5 changed files with 183 additions and 28 deletions
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data/apps/md_recorder.cfg
+64 -4
View File
@@ -14,7 +14,59 @@
//------------------------------------------------------------------------------
, "md_recorder": {
"db": {
"instrument_groups": {
"BNBFUT_CLD21": [
"BNBFUT:PERP-BTC-USDT"
, "BNBFUT:PERP-ETH-USDT"
]
"BNBFUT_CVTTDATA": [
"BNBFUT:PERP-BTC-USDT"
, "BNBFUT:PERP-ETH-USDT"
]
, "BNBSPOT_CLD21": [
"BNBSPOT:PAIR-ADA-USDT"
, "BNBSPOT:PAIR-BCH-USDT"
, "BNBSPOT:PAIR-BTC-USDT"
, "BNBSPOT:PAIR-DOT-USDT"
, "BNBSPOT:PAIR-ETH-USDT"
, "BNBSPOT:PAIR-LTC-USDT"
, "BNBSPOT:PAIR-SOL-USDT"
, "BNBSPOT:PAIR-USDC-USDT"
, "BNBSPOT:PAIR-XRP-USDT"
]
, "BNBSPOT_CVTTDATA": [
"BNBSPOT:PAIR-ADA-USDT"
, "BNBSPOT:PAIR-BCH-USDT"
, "BNBSPOT:PAIR-BTC-USDT"
, "BNBSPOT:PAIR-DOT-USDT"
, "BNBSPOT:PAIR-ETH-USDT"
, "BNBSPOT:PAIR-LTC-USDT"
, "BNBSPOT:PAIR-SOL-USDT"
, "BNBSPOT:PAIR-USDC-USDT"
, "BNBSPOT:PAIR-XRP-USDT"
]
, "COINBASE_CLD21": [
"COINBASE:PAIR-ADA-USD"
, "COINBASE:PAIR-BCH-USD"
, "COINBASE:PAIR-BTC-USD"
, "COINBASE:PAIR-DOT-USD"
, "COINBASE:PAIR-ETH-USD"
, "COINBASE:PAIR-LTC-USD"
, "COINBASE:PAIR-SOL-USD"
, "COINBASE:PAIR-XRP-USD"
]
, "COINBASE_CVTTDATA": [
"COINBASE:PAIR-ADA-USD"
, "COINBASE:PAIR-BCH-USD"
, "COINBASE:PAIR-BTC-USD"
, "COINBASE:PAIR-DOT-USD"
, "COINBASE:PAIR-ETH-USD"
, "COINBASE:PAIR-LTC-USD"
, "COINBASE:PAIR-SOL-USD"
, "COINBASE:PAIR-XRP-USD"
]
}
, "db": {
"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
}
, "flush_interval_sec": 0.5
@@ -31,11 +83,15 @@
}
, "BNBSPOT": {
"instruments": {
"PAIR-BTC-USDT": ["TRADES", "BOOK_TOP"]
"PAIR-ADA-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-BCH-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-BTC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-DOT-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-ETH-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-SOL-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-USDC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USDT": ["TRADES", "BOOK_TOP"]
}
, "tables": {
"trades": "bnbspot.md_trades"
@@ -56,9 +112,13 @@
}
, "COINBASE": {
"instruments": {
"PAIR-BTC-USD": ["TRADES", "BOOK_TOP"]
"PAIR-ADA-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-BCH-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-BTC-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-DOT-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-ETH-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-SOL-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USD": ["TRADES", "BOOK_TOP"]
}
, "tables": {
data/apps/research/mkt_simulator.cfg
+48 -16
View File
@@ -1,16 +1,27 @@
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
@var SQLITE_DIR=/home/oleg/tmp/sqlite
@var FROM_TIME="2024-10-03 13:30:00"
@var INTERVAL="18 minutes"
{
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
, "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis
, "redis_settings": "localhost"
, "simulation": {
"speed_factor": 0.0,
"speed_factor": 100.0,
"time_events_interval_ms": 0
}
, "market_simulator" : {
"market_data": {
"initial_positions": {
"exchange": "COINBASE",
"assets": {
"BTC": 0.0
, "ETH": 0.0
, "USD": 10000
}
}
, "market_data": {
"sources": [
# {
# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
@@ -38,8 +49,8 @@
{
"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO"
, "interval": "2 hours"
, "from_time": "2024-10-03 09:00:00"
, "interval": ${INTERVAL}
, "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
, "exchange_id": "COINBASE"
, "instruments": ["PAIR-BTC-USD"]
, "md_type": "TRADES"
@@ -60,8 +71,8 @@
, {
"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO"
, "interval": "2 hours"
, "from_time": "2024-10-03 09:00:00"
, "interval": ${INTERVAL}
, "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
, "exchange_id": "COINBASE"
, "instruments": ["PAIR-BTC-USD"]
, "md_type": "BOOK_TOP"
@@ -79,28 +90,49 @@
]
, "time_column": "time"
}
],
"api": {
]
, "api": {
"web_socket": {
"url": "ws://localhost:8080/ws"
}
}
}
, "accounting": {
"initial_positions": {
"COINBASE": {
"BTC": 0
, "USD": 1000.0
}
}
}
, "order_entry": {
"execution": {
"execute_on": ["BOOK_TOP", "TRADES"]
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
, "short_sale_allowed": false
, "fee_schedule": {
"taker_fee": 0.006
"maker_fee": 0.004
}
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
}
, "api": {
"web_socket": {
"url": "ws://localhost:8180/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"]
}
}
}
, "accounting": {
"api": {
"REST": {
"port": 8182
, "positions_url": ["GET", "http://localhost:8182/positions"]
, "trades_url": ["GET", "http://localhost:8182/trades"]
}
}
}
}
}