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2 changed files with 47 additions and 55 deletions
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90
data/apps/common/algos.cfg
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@ -3,53 +3,49 @@
"class": "cvttpy_trading.trading.algos.common.trading_algo.DirOrdTradingAlgo"
, "params": {}
}
, "TGT_POS_ALGO": {
"class": "cvttpy_trading.trading.algos.tgt_pos.TgtPosTradingAlgo"
, "TRDALGO_SIMPLE_BO": {
"class": "cvttpy_trading.trading.algos.bid_and_offer.SimpleBidAndOfferTradingAlgo"
, "params": {}
}
# , "TRDALGO_SIMPLE_BO": {
# "class": "cvttpy_trading.trading.algos.bid_and_offer.SimpleBidAndOfferTradingAlgo"
# , "params": {}
# }
# , "TRDALGO_MOOMOC_01": {
# "class": "cvttpy_trading.trading.algos.moo_moc.MooMocTradingAlgo"
# , "params": {}
# }
# , "TRDALGO_TWAP01": {
# "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
# , "params": {
# "num_slices": 5
# , "duration_sec": 1500 # 25 min
# , "max_order_usd": 100
# , "passive_stage_t1": 0.4 # join BBO, the rest is aggressive
# , "aggressive_stage_t2": 0.4
# , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
# , "marketable_stage_added_ticks": 0
# },
# }
# , "TRDALGO_ICEBERG01_COINBS": {
# "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
# , "params": {
# "num_slices": 5
# , "duration_sec": 1500 # 25 min #overloaded by --duration
# , "max_order_usd": 100.
# , "passive_stage_t1": 0
# , "aggressive_stage_t2": 0
# # , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
# , "marketable_stage_added_ticks": 0
# , "advance_on_slice_full_fill": true # default true
# },
# }
# , "TRDALGO_ICEBERG01_ALPACA": {
# "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
# , "params": {
# "num_slices": 5
# , "duration_sec": 1500 # 25 min
# , "max_order_usd": 1000.
# , "passive_stage_t1": 0
# , "aggressive_stage_t2": 0
# # , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
# , "marketable_stage_added_ticks": 0
# },
# }
, "TRDALGO_MOOMOC_01": {
"class": "cvttpy_trading.trading.algos.moo_moc.MooMocTradingAlgo"
, "params": {}
}
, "TRDALGO_TWAP01": {
"class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
, "params": {
"num_slices": 5
, "duration_sec": 1500 # 25 min
, "max_order_usd": 100
, "passive_stage_t1": 0.4 # join BBO, the rest is aggressive
, "aggressive_stage_t2": 0.4
, "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
, "marketable_stage_added_ticks": 0
},
}
, "TRDALGO_ICEBERG01_COINBS": {
"class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
, "params": {
"num_slices": 5
, "duration_sec": 1500 # 25 min #overloaded by --duration
, "max_order_usd": 100.
, "passive_stage_t1": 0
, "aggressive_stage_t2": 0
# , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
, "marketable_stage_added_ticks": 0
, "advance_on_slice_full_fill": true # default true
},
}
, "TRDALGO_ICEBERG01_ALPACA": {
"class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
, "params": {
"num_slices": 5
, "duration_sec": 1500 # 25 min
, "max_order_usd": 1000.
, "passive_stage_t1": 0
, "aggressive_stage_t2": 0
# , "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
, "marketable_stage_added_ticks": 0
},
}
}

12
data/apps/cvtt_musvc.cfg
View File

@ -160,14 +160,10 @@
, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.TRADER_MUSVC_STATUS"
, "pos_diff_pct_trigger": 10.0
# -----------------------------------
# moved to the book_config (db)
# -----------------------------------
# , "trading_depth": {
# "BTC": 0.001
# # "BTC": 0.1
# }
, "trading_depth": {
"BTC": 0.001
# "BTC": 0.1
}
}
}