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Cryptoval Trading Technologies 2024-09-06 20:03:38 +00:00
parent 25ab322310
commit d4d95f19fc
13 changed files with 153 additions and 214 deletions
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18
data/admin/cvtt_hosts.cfg
View File

@ -108,12 +108,6 @@
"docker": false,
"supervisor": false,
},
"cvtt-prod-01": {
"type": "vm",
"users": ["oleg", "cvtt"],
"docker": true,
"supervisor": false,
},
"cvtt-prod-eqty-01": {
"type": "vm",
"users": ["oleg", "cvtt"],
@ -150,6 +144,18 @@
"docker": true,
"supervisor": false,
},
"cvtt-testserver": {
"type": "vm",
"users": ["oleg", "cvtt"],
"docker": true,
"supervisor": false,
},
"cvtt-prod-03": {
"type": "vm",
"users": ["oleg"],
"docker": false,
"supervisor": true,
},
},
"cryptovaltrading.com": {

15
data/admin/git_repositories.cfg
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@ -42,8 +42,8 @@
{"homestore": "git@homestore.cvtt.vpn:/opt/git/cvtt2/jupyter_gpu.git" },
],
}
},
"allbright": {
}
, "allbright": {
"allbright-ops": [
{"origin": "ssh://allbrigh@allbrightacademy.com:7822/home/allbrigh/git/allbright-ops.git"},
{"homestore": "ssh://oleg@homestore.sheynin.home:/opt/git/allbright/allbright-ops.git"},
@ -53,7 +53,7 @@
{"homestore": "ssh://oleg@homestore.sheynin.home:/opt/git/allbright/allbright.git"},
]
}
"devel-env": {
, "devel-env": {
"cvtt-dev": [
{"gitea": "ssh://git@homestore.cvtt.vpn:20022/develop_env/.vscode.cvtt-dev.git"},
]
@ -64,6 +64,15 @@
{"gitea": "ssh://git@homestore.cvtt.vpn:20022/develop_env/.vscode.oleg-macpro.git"},
]
},
, "education-materials": {
"Algorithmic Trading Book": [
{"origin": "ssh://git@homestore.cvtt.vpn:20022/edu/Algorithmic_Trading_Book.git"}
]
, "Kubernetes Cookbook": [
{"origin": "ssh://git@homestore.cvtt.vpn:20022/edu/Kubernetes_Cookbook.git"}
]
}
"personal": {
"obsidian_notes": [
{"origin": "ssh://cryptova@cryptovaltrading.com:1588/home/cryptova/git/personal/obsidian_notes.git"}

2
data/apps/active_instruments.cfg
View File

@ -3,7 +3,7 @@
"dynamic_stock_list": {
"exchange_id": "ALPACA"
, "list_source": "redis"
, "redis_settings": "cvtt-prod-02"
, "redis_settings": "cvtt-prod-eqty-01"
, "redis_key": "DAY_STOCK_LIST"
}
}

39
data/apps/algo_trade.cfg
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@ -13,6 +13,45 @@
, "http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS&start={start}&end={end}"
]
}
###### N E W S E C T I O N (example)
, "simulation": {
"speed_factor": 0.0,
"time_events_interval_ms": 100
}
, "market_simulator" : {
"market_data": {
"sources": [
{
"loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO"
# , "interval": "4 hours"
, "interval": "2 hours"
, "from_time": "2024-04-15 09:00:00"
}
# , {
# "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader",
# "file_name": "${SourcePath}/20240424.ALPACA.QAT.db"
# }
]
}
, "accounting": {
"initial_positions": {
"COINBASE": {
"BTC": 0
, "USD": 1000.0
}
}
}
, "order_entry": {
"execution": {
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
}
}
}
###### N E W S E C T I O N - end
, "backtest": {
"source": {
"loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader"

5
data/apps/common/redis.cfg
View File

@ -14,11 +14,6 @@
, "read_timeout" : 0.01
, "ping_timeout_secs": 2.0
}
, "cvtt-prod-02": {
"url": "redis://cvtt-prod-02.cvtt.vpn"
, "read_timeout" : 0.01
, "ping_timeout_secs": 2.0
}
, "cvtt-prod-03": {
"url": "redis://cvtt-prod-03.cvtt.vpn"
, "read_timeout" : 0.01

39
data/apps/cvtt.cfg
View File

@ -13,6 +13,45 @@
, "books": {
"CVTT_BK01": {}
}
###### N E W S E C T I O N (example)
, "simulation": {
"speed_factor": 0.0,
"time_events_interval_ms": 100
}
, "market_simulator" : {
"market_data": {
"sources": [
{
"loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO"
# , "interval": "4 hours"
, "interval": "2 hours"
, "from_time": "2024-04-15 09:00:00"
}
# , {
# "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader",
# "file_name": "${SourcePath}/20240424.ALPACA.QAT.db"
# }
]
}
, "accounting": {
"initial_positions": {
"COINBASE": {
"BTC": 0
, "USD": 1000.0
}
}
}
, "order_entry": {
"execution": {
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
}
}
}
###### N E W S E C T I O N - end
, "backtest": {
"exchanges_settings": {
"*": {

39
data/apps/cvtt_crypto_coinbs.cfg
View File

@ -13,6 +13,45 @@
, "books": {
"CVTT_BK01": {}
}
###### N E W S E C T I O N (example)
, "simulation": {
"speed_factor": 0.0,
"time_events_interval_ms": 100
}
, "market_simulator" : {
"market_data": {
"sources": [
{
"loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader"
, "credentials_key": "TSDB_MD_CVTTDATA_RO"
# , "interval": "4 hours"
, "interval": "2 hours"
, "from_time": "2024-04-15 09:00:00"
}
# , {
# "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader",
# "file_name": "${SourcePath}/20240424.ALPACA.QAT.db"
# }
]
}
, "accounting": {
"initial_positions": {
"COINBASE": {
"BTC": 0
, "USD": 1000.0
}
}
}
, "order_entry": {
"execution": {
"top_only": true
,"min_order_age_sec": 0.1
, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
}
}
}
###### N E W S E C T I O N - end
, "backtest": {
"exchanges_settings": {
"*": {

7
data/apps/cvtt_eqt_alpaca.cfg
View File

@ -161,9 +161,8 @@
}
}
, "trading_recorder": {
# "format": "CSV"
# "format": "TSDB"
"format": "SQLite"
"app_channel": "TRDREC"
, "format": "SQLite" # formats: "CSV", "TSDB", "SQLite"
, "csv_settings": {
"order_events_file_path": "%T.order_events.csv"
"position_events_file_path": "%T.position_events.csv"
@ -179,7 +178,7 @@
}
, "sqlite_settings": {
# "file_name": "/tmp/%T.cvtt_backtest.db"
"file_name": "/tmp/%T.cvtt_alpaca_sandbox.db"
"file_name": "/logs/%T.cvtt_alpaca_sandbox.db"
}
}
}

180
data/apps/cvtt_eqt_alpaca_ilya.cfg
View File

@ -1,180 +0,0 @@
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
@var ResultPath=/tmp
{
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
, "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis
, "active_instruments": @inc=http://${CONFIG_SERVICE}/apps/active_instruments
, "cvttcomm": {
"type": "redis"
, "redis_settings": "cvtt-prod-02"
}
, "session_type": "CALENDAR"
, "calendar_session": {
"trading_hours_url": [
"GET"
, "http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS&start={start}&end={end}"
]
}
, "books": {
"ALPACA_BK02": {}
, "ALPACA_BK_ILYA_01": {}
}
# --------------------------------------------------------------------
, "trader": {
"app_channel": "TRDR_03" active_exchanges_: str
, "is_short_allowed": false
, "exchanges_settings": {
"*": {
"mkt_data": {
"enabled": true
, "streaming": true
},
}
}
, "algos": @inc=http://${CONFIG_SERVICE}/apps/common/algos
, "trading_pos_diff_pct_trigger": 10.0
, "trading_depth": {
"USD": 1000.0,
}
}
# --------------------------------------------------------------------
"executor": {
"app_channel": "EXEC_03"
, "exchanges_settings": {
"COINBASE_AT": {
"order_entry": {
"enabled": true
, "streaming": true
},
"mkt_data": {
"enabled": false
, "streaming": false
},
"accounting": {
"enabled": false
, "streaming": false
}
, "credentials_key": {
"read_only": "COINBASE_ADV_RO"
, "trade": "COINBASE_ADV_TRD"
}
}
, "ALPACA_SNDBX": {
"order_entry": {
"enabled": true
, "streaming": true
},
"mkt_data": {
"enabled": false
, "streaming": false
},
"accounting": {
"enabled": false
, "streaming": false
}
, "credentials_key": {
"read_only": "ALPACA_SANDBOX"
, "trade": "ALPACA_SANDBOX"
}
}
, "ALPACA_SNDBX-MDPORTAL": {
"order_entry": {
"enabled": true
, "streaming": true
},
"mkt_data": {
"enabled": false
, "streaming": false
},
"accounting": {
"enabled": false
, "streaming": false
}
, "credentials_key": {
"read_only": "ALPACA_SANDBOX"
, "trade": "ALPACA_SANDBOX"
}
}
}
}
# --------------------------------------------------------------------
, "quant": {
"app_channel": "QUANT_03"
, "strategies": @inc=http://${CONFIG_SERVICE}/apps/common/strategies
, "exchanges_settings": {
"*": {
"mkt_data": {
"enabled": true
, "streaming": true
},
}
# , "COINBASE_AT": {
# "mkt_data": {
# "enabled": true
# , "streaming": true
# },
# }
}
}
# --------------------------------------------------------------------
, "risk_manager": {
"app_channel": "RMGR_03"
# , "books": {
# "CVTT_BK01": {}
# }
, "db": {
"positions_table": "prod.cvtt_positions"
, "cred_key": {
"write": "TSDB_TRD_CVTTDATA"
, "read_only": "TSDB_TRD_CVTTDATA"
}
}
, "positions": {
"load_interval_sec": 10.0
, "to_store_zero_positions": false
, "to_save_unchanged_positions": false
}
, "publish_value_interval": 10.0
, "exchanges_settings": {
"*": {
"mkt_data": {
"enabled": true
, "streaming": true
},
"accounting": {
"enabled": true
, "streaming": false
}
, "credentials_key": {
"trade": "ALPACA_SANDBOX"
, "read_only": "ALPACA_SANDBOX"
}
}
}
}
, "trading_recorder": {
# "format": "CSV"
# "format": "TSDB"
"format": "SQLite"
, "csv_settings": {
"order_events_file_path": "%T.order_events.csv"
"position_events_file_path": "%T.position_events.csv"
}
, "tsdb_settings": {
"db": {
"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
, "cred_key": "TSDB_TRD_CVTTDATA_DB_TEST"
}
, "order_events_table": "backtest.trading_orders"
, "trade_events_table": "backtest.trading_trades"
, "trading_md_summary_table": "backtest.trading_md"
}
, "sqlite_settings": {
# "file_name": "/tmp/%T.cvtt_backtest.db"
"file_name": "/tmp/%T.cvtt_alpaca_sandbox.db"
}
}
}

4
data/apps/md_rec_monitor.cfg
View File

@ -22,13 +22,13 @@
"tables": ["bnbfut.md_booktops"]
, "exchange_id": "BNBFUT"
, "instruments": ["PERP-BTC-USDT"]
, "threshold_sec": 60.0
, "threshold_sec": 120.0
}
, "BNBFUT-2": {
"tables": ["bnbfut.md_trades"]
, "exchange_id": "BNBFUT"
, "instruments": ["PERP-BTC-USDT"]
, "threshold_sec": 30.0
, "threshold_sec": 120.0
}
, "BNBSPOT-1": {
"tables": ["bnbspot.md_booktops"]

6
data/apps/md_recorder.cfg
View File

@ -3,11 +3,15 @@
{
"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
, "redis": @inc=http://${CONFIG_SERVICE}/apps/common/redis
// -------------------------------------------------------------------------
// This is used only for dynamically loaded instrument lists (as for Alpaca)
, "active_instruments": @inc=http://${CONFIG_SERVICE}/apps/active_instruments
, "cvttcomm": {
"type": "redis"
, "redis_settings": "cvtt-prod-02"
, "redis_settings": "cvtt-prod-eqty-01"
}
//------------------------------------------------------------------------------
, "md_recorder": {
"db": {

2
data/apps/tests/listen_market_data_prod.cfg
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@ -13,7 +13,7 @@
}
, "cvttcomm": {
"type": "redis"
, "redis_settings": "cvtt-prod-02"
, "redis_settings": "cvtt-prod-eqty-01"
}
, "md_portal": {
"app_channel": "MD_PORTAL"

11
data/refdata/exchanges.cfg
View File

@ -419,17 +419,6 @@
, "channel_prefix": "MD_ALPACA_03"
}
}
, "MD_PORTAL_COINBS_01": {
"exchange_id": "MD_PORTAL"
, "name": "MD Portal (proxy)"
, "type": "PROXY"
, "mktdata" : {
"class": "cvttpy.exchanges.proxies.md_portal_clnt.mkt_data.MktDataPortalFeed"
, "redis_settings": "cvtt-prod-02"
, "channel_prefix": "MD_COINBS_01"
}
}
# ---------------------------- O
, "OKX": {
"exchange_id": "OKX"