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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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68
data/apps/md_recorder.cfg
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@ -14,7 +14,59 @@
//------------------------------------------------------------------------------ //------------------------------------------------------------------------------
, "md_recorder": { , "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" "class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
} }
, "flush_interval_sec": 0.5 , "flush_interval_sec": 0.5
@ -31,11 +83,15 @@
} }
, "BNBSPOT": { , "BNBSPOT": {
"instruments": { "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-ETH-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-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-USDC-USDT": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USDT": ["TRADES", "BOOK_TOP"]
} }
, "tables": { , "tables": {
"trades": "bnbspot.md_trades" "trades": "bnbspot.md_trades"
@ -56,9 +112,13 @@
} }
, "COINBASE": { , "COINBASE": {
"instruments": { "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-ETH-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-LTC-USD": ["TRADES", "BOOK_TOP"] , "PAIR-LTC-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-SOL-USD": ["TRADES", "BOOK_TOP"]
, "PAIR-XRP-USD": ["TRADES", "BOOK_TOP"] , "PAIR-XRP-USD": ["TRADES", "BOOK_TOP"]
} }
, "tables": { , "tables": {

64
data/apps/research/mkt_simulator.cfg
View File

@ -1,16 +1,27 @@
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789 @var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
@var SQLITE_DIR=/home/oleg/tmp/sqlite @var SQLITE_DIR=/home/oleg/tmp/sqlite
@var FROM_TIME="2024-10-03 13:30:00"
@var INTERVAL="18 minutes"
{ {
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata "refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
, "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis , "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis
, "redis_settings": "localhost" , "redis_settings": "localhost"
, "simulation": { , "simulation": {
"speed_factor": 0.0, "speed_factor": 100.0,
"time_events_interval_ms": 0 "time_events_interval_ms": 0
} }
, "market_simulator" : { , "market_simulator" : {
"market_data": { "initial_positions": {
"exchange": "COINBASE",
"assets": {
"BTC": 0.0
, "ETH": 0.0
, "USD": 10000
}
}
, "market_data": {
"sources": [ "sources": [
# { # {
# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader" # "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" "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO" , "credentials_key": "TSDB_MD_CVTTDATA_RO"
, "interval": "2 hours" , "interval": ${INTERVAL}
, "from_time": "2024-10-03 09:00:00" , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
, "exchange_id": "COINBASE" , "exchange_id": "COINBASE"
, "instruments": ["PAIR-BTC-USD"] , "instruments": ["PAIR-BTC-USD"]
, "md_type": "TRADES" , "md_type": "TRADES"
@ -60,8 +71,8 @@
, { , {
"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader" "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO" , "credentials_key": "TSDB_MD_CVTTDATA_RO"
, "interval": "2 hours" , "interval": ${INTERVAL}
, "from_time": "2024-10-03 09:00:00" , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
, "exchange_id": "COINBASE" , "exchange_id": "COINBASE"
, "instruments": ["PAIR-BTC-USD"] , "instruments": ["PAIR-BTC-USD"]
, "md_type": "BOOK_TOP" , "md_type": "BOOK_TOP"
@ -79,28 +90,49 @@
] ]
, "time_column": "time" , "time_column": "time"
} }
], ]
"api": { , "api": {
"web_socket": { "web_socket": {
"url": "ws://localhost:8080/ws" "url": "ws://localhost:8080/ws"
} }
} }
} }
, "accounting": {
"initial_positions": {
"COINBASE": {
"BTC": 0
, "USD": 1000.0
}
}
}
, "order_entry": { , "order_entry": {
"execution": { "execution": {
"execute_on": ["BOOK_TOP", "TRADES"]
"top_only": true "top_only": true
,"min_order_age_sec": 0.1 ,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER" , "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"] # , "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"]
}
}
} }
} }
} }

28
data/refdata/exchange_instruments.cfg
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@ -39,9 +39,9 @@
"md_symbol": "AAVEBUSD", "md_symbol": "AAVEBUSD",
"trade_symbol": "AAVEBUSD" "trade_symbol": "AAVEBUSD"
}, },
"PAIR-XRP-BUSD": { "PAIR-ADA-USDT": {
"md_symbol": "XRPBUSD", "md_symbol": "ADAUSDT",
"trade_symbol": "XRPBUSD" "trade_symbol": "ADAUSDT"
}, },
"PAIR-AVAX-BUSD": { "PAIR-AVAX-BUSD": {
"md_symbol": "AVAXBUSD", "md_symbol": "AVAXBUSD",
@ -51,6 +51,10 @@
"md_symbol": "BCHBUSD", "md_symbol": "BCHBUSD",
"trade_symbol": "BCHBUSD" "trade_symbol": "BCHBUSD"
}, },
"PAIR-BCH-USDT": {
"md_symbol": "BCHUSDT",
"trade_symbol": "BCHUSDT"
},
"PAIR-BTC-BUSD": { "PAIR-BTC-BUSD": {
"md_symbol": "BTCBUSD", "md_symbol": "BTCBUSD",
"trade_symbol": "BTCBUSD" "trade_symbol": "BTCBUSD"
@ -71,6 +75,10 @@
"md_symbol": "DOGEUSDT", "md_symbol": "DOGEUSDT",
"trade_symbol": "DOGEUSDT" "trade_symbol": "DOGEUSDT"
}, },
"PAIR-DOT-USDT": {
"md_symbol": "DOTUSDT",
"trade_symbol": "DOTUSDT"
},
"PAIR-ETH-BUSD": { "PAIR-ETH-BUSD": {
"md_symbol": "ETHBUSD", "md_symbol": "ETHBUSD",
"trade_symbol": "ETHBUSD" "trade_symbol": "ETHBUSD"
@ -111,9 +119,9 @@
"md_symbol": "MATICUSDT", "md_symbol": "MATICUSDT",
"trade_symbol": "MATICUSDT" "trade_symbol": "MATICUSDT"
}, },
"PAIR-SOL-BUSD": { "PAIR-SOL-USDT": {
"md_symbol": "SOLBUSD", "md_symbol": "SOLUSDT",
"trade_symbol": "SOLBUSD" "trade_symbol": "SOLUSDT"
}, },
"PAIR-UNI-BUSD": { "PAIR-UNI-BUSD": {
"md_symbol": "UNIBUSD", "md_symbol": "UNIBUSD",
@ -235,6 +243,10 @@
"md_symbol": "AVAX-USD", "md_symbol": "AVAX-USD",
"trade_symbol": "AVAX-USD" "trade_symbol": "AVAX-USD"
}, },
"PAIR-ADA-USD": {
"md_symbol": "ADA-USD",
"trade_symbol": "ADA-USD"
},
"PAIR-BCH-USD": { "PAIR-BCH-USD": {
"md_symbol": "BCH-USD", "md_symbol": "BCH-USD",
"trade_symbol": "BCH-USD" "trade_symbol": "BCH-USD"
@ -247,6 +259,10 @@
"md_symbol": "DOGE-USD", "md_symbol": "DOGE-USD",
"trade_symbol": "DOGE-USD" "trade_symbol": "DOGE-USD"
}, },
"PAIR-DOT-USD": {
"md_symbol": "DOT-USD",
"trade_symbol": "DOT-USD"
},
"PAIR-ETH-USD": { "PAIR-ETH-USD": {
"md_symbol": "ETH-USD", "md_symbol": "ETH-USD",
"trade_symbol": "ETH-USD" "trade_symbol": "ETH-USD"

13
data/refdata/exchanges.cfg
View File

@ -316,6 +316,17 @@
} }
} }
, "COINBASE_SIM": {
"exchange_id": "COINBASE"
, "name": "Coinbase Advanced Trade (Simulation)"
, "type": "SPOT"
, "mktdata" : {
"class": "cvttpy.exchanges.mkt_simulator.mkt_data.MktSimMdClientFeed"
"ws_url": ["WS", "ws://localhost:8080/ws"]
}
}
# ---------------------------- G # ---------------------------- G
, "GEMINI": { , "GEMINI": {
# https://docs.gemini.com/rest-api # https://docs.gemini.com/rest-api
@ -426,7 +437,7 @@
, "mktdata" : { , "mktdata" : {
"class": "cvttpy.exchanges.mkt_simulator.mkt_data.MktSimMdClientFeed" "class": "cvttpy.exchanges.mkt_simulator.mkt_data.MktSimMdClientFeed"
"ws_url": "ws://localhost:8080/ws" "ws_url": ["WS", "ws://localhost:8080/ws"]
} }
} }
# ---------------------------- O # ---------------------------- O

38
data/refdata/instruments.cfg
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@ -13,6 +13,18 @@
"quantity_precision": "0.001", "quantity_precision": "0.001",
"price_tick": 0.01 "price_tick": 0.01
}, },
"PAIR-ADA-USD": {
"base_asset": "ADA",
"quote_asset": "USD",
"quantity_precision": "0.1",
"price_tick": 0.0001
},
"PAIR-ADA-USDT": {
"base_asset": "ADA",
"quote_asset": "USDT",
"quantity_precision": "0.1",
"price_tick": 0.0001
},
"PAIR-ASD-USDT": { "PAIR-ASD-USDT": {
"base_asset": "ASD", "base_asset": "ASD",
"quote_asset": "USDT", "quote_asset": "USDT",
@ -51,6 +63,12 @@
"quantity_precision": "0.001", "quantity_precision": "0.001",
"price_tick": 0.1 "price_tick": 0.1
}, },
"PAIR-BCH-USDT": {
"base_asset": "BCH",
"quote_asset": "USDT",
"quantity_precision": "0.001",
"price_tick": 0.1
},
"PAIR-BTC-BUSD": { "PAIR-BTC-BUSD": {
"base_asset": "BTC", "base_asset": "BTC",
"quote_asset": "BUSD", "quote_asset": "BUSD",
@ -100,6 +118,18 @@
"quantity_precision": "0.01", "quantity_precision": "0.01",
"price_tick": 0.00001 "price_tick": 0.00001
}, },
"PAIR-DOT-USD": {
"base_asset": "DOT",
"quote_asset": "USD",
"quantity_precision": "0.01",
"price_tick": 0.001
},
"PAIR-DOT-USDT": {
"base_asset": "DOT",
"quote_asset": "USDT",
"quantity_precision": "0.01",
"price_tick": 0.001
},
# --- PAIR-E # --- PAIR-E
"PAIR-ETH-BUSD": { "PAIR-ETH-BUSD": {
"base_asset": "ETH", "base_asset": "ETH",
@ -216,7 +246,13 @@
"PAIR-SOL-USD": { "PAIR-SOL-USD": {
"base_asset": "SOL", "base_asset": "SOL",
"quote_asset": "USD", "quote_asset": "USD",
"quantity_precision": "0.01", "quantity_precision": "0.001",
"price_tick": 0.01
},
"PAIR-SOL-USDT": {
"base_asset": "SOL",
"quote_asset": "USDT",
"quantity_precision": "0.001",
"price_tick": 0.01 "price_tick": 0.01
}, },
# --- PAIR-U # --- PAIR-U