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Cryptoval Trading Technologies 2024-11-28 18:59:57 +00:00
parent 82bc99e00d
commit cf62777b62
2 changed files with 143 additions and 1 deletions
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2
data/apps/research/mkt_simulator.cfg → data/apps/research/mkt_simulator_crypto.cfg
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@ -1,7 +1,7 @@
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
@var SQLITE_DIR=/home/oleg/tmp/sqlite
@var FROM_TIME="2024-10-03 13:30:00"
@var FROM_TIME="2024-11-14 13:30:00"
@var INTERVAL="18 minutes"
# @var INTERVAL="5 minutes"

142
data/apps/research/mkt_simulator_eqt.cfg Normal file
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@ -0,0 +1,142 @@
@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"
{
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
, "comm": @inc=http://${CONFIG_SERVICE}/apps/common/comm
, "comm": @inc=http://${CONFIG_SERVICE}/apps/common/comm
, "comm_settings": "/comm/pubsub/redis/localhost"
, "simulation": {
# "speed_factor": 1.0,
"speed_factor": 0.0,
"time_events_interval_ms": 0
}
, "market_simulator" : {
"initial_positions": {
"exchange": "ALPACA",
"assets": {
"BTC": 0.5
, "ETH": 0.0
, "USD": 10_000.0
}
}
, "market_data": {
"sources": [
{
"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
, "file_name": "${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"
, "exchange_id": "ALPACA"
, "instruments": ["STOCK-COIN"]
, "md_type": "HIST_BAR"
}
# {
# "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"
}
}
}
, "order_entry": {
"execution": {
"execute_on": ["BOOK_TOP", "TRADES"]
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_TRADE"
, "short_sale_allowed": false
, "fee_schedule": {
"taker_fee_rate": 0.006
"maker_fee_rate": 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"]
}
}
}
}
}