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This commit is contained in:
Cryptoval Trading Technologies
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@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
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@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
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@var SQLITE_DIR=/home/oleg/tmp/sqlite
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@var SQLITE_DIR=/home/oleg/tmp/sqlite
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@var FROM_TIME="2024-10-03 13:30:00"
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@var FROM_TIME="2024-11-14 13:30:00"
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@var INTERVAL="18 minutes"
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@var INTERVAL="18 minutes"
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# @var INTERVAL="5 minutes"
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# @var INTERVAL="5 minutes"
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142
data/apps/research/mkt_simulator_eqt.cfg
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142
data/apps/research/mkt_simulator_eqt.cfg
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@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
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@var SQLITE_DIR=/home/oleg/tmp/sqlite
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@var DATE="20241114"
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# @var FROM_TIME="2024-11-14 13:30:00"
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# @var INTERVAL="18 minutes"
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# @var INTERVAL="5 minutes"
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{
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"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
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, "comm": @inc=http://${CONFIG_SERVICE}/apps/common/comm
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, "comm": @inc=http://${CONFIG_SERVICE}/apps/common/comm
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, "comm_settings": "/comm/pubsub/redis/localhost"
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, "simulation": {
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# "speed_factor": 1.0,
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"speed_factor": 0.0,
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"time_events_interval_ms": 0
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}
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, "market_simulator" : {
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"initial_positions": {
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"exchange": "ALPACA",
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"assets": {
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"BTC": 0.5
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, "ETH": 0.0
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, "USD": 10_000.0
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}
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}
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, "market_data": {
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"sources": [
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{
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"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
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, "file_name": "${SQLITE_DIR}/20240906.COIN.1min.db"
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, "table_name": "md_1min_bars"
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, "columns": [
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"tstamp"
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, "tstamp_ns as tm" # must have tm for DataFrame
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, "tstamp_ns as local_time_ns" # must have for simrunner
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, "exchange_id"
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, "instrument_id"
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, "open"
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, "high"
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, "low"
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, "close"
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, "volume"
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, "vwap"
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, "num_trades"
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]
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, "time_column": "tstamp"
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, "exchange_id": "ALPACA"
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, "instruments": ["STOCK-COIN"]
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, "md_type": "HIST_BAR"
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}
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# {
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# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
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# , "credentials_key": "TSDB_MD_CVTTDATA_RO"
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# , "interval": ${INTERVAL}
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# , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
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# , "exchange_id": "COINBASE"
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# , "instruments": ["PAIR-BTC-USD"]
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# , "md_type": "TRADES"
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# , "table_name": "coinbase.md_trades"
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# , "columns": [
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# "time",
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# "local_time_ns",
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# "exchange_ts_ns",
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# "exchange_id",
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# "instrument_id",
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# "price",
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# "quantity",
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# "taker_side",
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# "'TRD' as type",
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# ]
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# , "time_column": "time"
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# }
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# , {
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# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
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# , "credentials_key": "TSDB_MD_CVTTDATA_RO"
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# , "interval": ${INTERVAL}
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# , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
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# , "exchange_id": "COINBASE"
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# , "instruments": ["PAIR-BTC-USD"]
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# , "md_type": "BOOK_TOP"
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# , "table_name": "coinbase.md_booktops"
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# , "columns": [
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# "time",
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# "local_time_ns",
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# "exchange_id",
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# "instrument_id",
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# "bid_price",
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# "bid_quantity",
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# "ask_price",
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# "ask_quantity",
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# "'BT' as type",
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# ]
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# , "time_column": "time"
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# }
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# ]
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, "api": {
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"web_socket": {
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"url": "ws://localhost:8080/ws"
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}
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}
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}
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, "order_entry": {
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"execution": {
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"execute_on": ["BOOK_TOP", "TRADES"]
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"top_only": true
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,"min_order_age_sec": 0.1
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, "pricing_method": "BY_MKT_TRD_PRICE_BY_TRADE"
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, "short_sale_allowed": false
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, "fee_schedule": {
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"taker_fee_rate": 0.006
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"maker_fee_rate": 0.004
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}
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# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
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}
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, "api": {
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"web_socket": {
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"url": "ws://localhost:8180/ws"
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}
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, "REST": {
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"port": 8181
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"new_order_url": ["POST", "http://localhost:8181/order"]
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, "cancel_order_url": ["POST", "http://localhost:8181/cancel"]
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, "cancel_all_url": ["POST", "http://localhost:8181/cancel_all"]
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, "open_orders_url": ["GET", "http://localhost:8181/open_orders"]
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, "order_status_url": ["GET", "http://localhost:8181/order_status"]
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}
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}
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}
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, "accounting": {
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"api": {
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"REST": {
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"port": 8182
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, "positions_url": ["GET", "http://localhost:8182/positions"]
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, "trades_url": ["GET", "http://localhost:8182/trades"]
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}
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}
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}
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}
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}
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