accounting config for coinbase

data/admin/cvtt_hosts.cfg

@@ -52,6 +52,11 @@
             "users": ["oleg", "cvtt"],
             "docker": "true",
         },
+        "cloud31": {
+            "type": "cloud",
+            "users": ["oleg", "cvtt"],
+            "docker": "true",
+        },
 
         // ----------- B a r e  M e t a l
         "hs01": {

data/apps/common/algos.cfg

@@ -1,18 +1,18 @@
 {
-    "TRDALGO_001": {
+    "DIRECT_ORDER_ALGO": {
-        "class": "cvttpy.trading.algos.simple.SimpleTradingAlgo"
+        "class": "cvttpy_trading.trading.algos.common.trading_algo.DirOrdTradingAlgo"
         , "params": {}
     }
     , "TRDALGO_SIMPLE_BO": {
-        "class": "cvttpy.trading.algos.bid_and_offer.SimpleBidAndOfferTradingAlgo"
+        "class": "cvttpy_trading.trading.algos.bid_and_offer.SimpleBidAndOfferTradingAlgo"
         , "params": {}
     }
     , "TRDALGO_MOOMOC_01": {
-        "class": "cvttpy.trading.algos.moo_moc.MooMocTradingAlgo"
+        "class": "cvttpy_trading.trading.algos.moo_moc.MooMocTradingAlgo"
         , "params": {}
     }
     , "TRDALGO_TWAP01": {
-        "class": "cvttpy.trading.algos.twap.TwapAlgo"
+        "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
         , "params": {
             "num_slices":                     5
             , "duration_sec":              1500  # 25 min
@@ -24,7 +24,7 @@
         },
     }
     , "TRDALGO_ICEBERG01_COINBS": {
-        "class": "cvttpy.trading.algos.twap.TwapAlgo"
+        "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
         , "params": {
             "num_slices":                     5
             , "duration_sec":              1500  # 25 min #overloaded by --duration
@@ -37,7 +37,7 @@
         },
     }
     , "TRDALGO_ICEBERG01_ALPACA": {
-        "class": "cvttpy.trading.algos.twap.TwapAlgo"
+        "class": "cvttpy_trading.trading.algos.twap.TwapAlgo"
         , "params": {
             "num_slices":                     5
             , "duration_sec":              1500  # 25 min

data/apps/common/comm.cfg

@@ -1,31 +1,63 @@
 # /comm
 {
     "pubsub" : {
-        "redis": {
+        "REDIS_DCKR_COMPOSE": { # docker compose used 
-            "docker_microservices": {
+            "type": "redis"
-                "url": "redis://redis:6379"
+            , "url": "redis://redis:6379"
-                , "type": "redis"
             , "read_timeout" : 0.01
             , "ping_timeout_secs": 2.0
+            , "verbose": false
         }
-            , "localhost": {
+        , "REDIS_LCLHOST": {
-                "url": "redis://localhost"
+            "type": "redis"
-                , "type": "redis"
+            , "url": "redis://localhost"
             , "read_timeout" : 0.01
             , "ping_timeout_secs": 2.0
+            , "verbose": false
         }
-            , "localhost-2-docker": {
+        , "REDIS_LCLHOST_2_DCKR_COMPOSE": {
-                "url": "redis://localhost:16379"
+            "type": "redis"
-                , "type": "redis"
+            , "url": "redis://localhost:16379"
             , "read_timeout" : 0.01
             , "ping_timeout_secs": 2.0
+            , "verbose": false
         }
-            , "cloud29": {
+        , "REDIS_tester-01_2_DCKR_COMPOSE": { # to use docker compose service from outside
-                "url": "redis://cloud29.cvtt.vpn:6379"
+            "type": "redis"
-                , "type": "redis"
+            , "url": "redis://cvtt-tester-01.cvtt.vpn:16379"
             , "read_timeout" : 0.01
             , "ping_timeout_secs": 2.0
+            , "verbose": false
         }
-        }
+        # , "redis": {
+        #     "docker_microservices": { # docker compose used 
+        #         "url": "redis://redis:6379"
+        #         , "type": "redis"
+        #         , "read_timeout" : 0.01
+        #         , "ping_timeout_secs": 2.0
+        #         , "verbose": false
+        #     }
+        #     , "localhost": {
+        #         "url": "redis://localhost"
+        #         , "type": "redis"
+        #         , "read_timeout" : 0.01
+        #         , "ping_timeout_secs": 2.0
+        #         , "verbose": false
+        #     }
+        #     , "localhost-2-docker": {
+        #         "url": "redis://localhost:16379"
+        #         , "type": "redis"
+        #         , "read_timeout" : 0.01
+        #         , "ping_timeout_secs": 2.0
+        #         , "verbose": false
+        #     }
+        #     , "tester-01": { # to use docker compose service from outside
+        #         "url": "redis://cvtt-tester-01.cvtt.vpn:16379"
+        #         , "type": "redis"
+        #         , "read_timeout" : 0.01
+        #         , "ping_timeout_secs": 2.0
+        #         , "verbose": false
+        #     }
+        # }
     }
 }

data/apps/cvtt_musvc.cfg

@@ -1,6 +1,4 @@
 @var COORDINATOR_REST_PORT=23456
-# @var COORDINATOR_WS_PORT=12345
-
 @var PRICER_REST_PORT=23457
 @var PRICER_WS_PORT=12346
 
@@ -16,74 +14,6 @@
     , "comm_settings": @env{CONFIG_COMM_SETTINGS}
     , "global_channel_prefix": ${GLOBAL_CHANNEL_PREFIX}
 
-    , "coordinator": {
-        "api": {
-            "REST": {
-                "port": ${COORDINATOR_REST_PORT},
-                "base_url": ["POST", "http://localhost:${COORDINATOR_REST_PORT}"]
-            }
-            # , "WS": {
-            #     "url": "ws://localhost:${COORDINATOR_WS_PORT}/ws"
-            # }
-        }
-    }
-    , "market_data_gateway": {
-        "exchanges_settings": {
-            "*": {
-                "mkt_data": {
-                    "enabled": true
-                    , "streaming": true
-                },
-                "order_entry": {
-                    "enabled": false
-                    , "streaming": false
-                },
-                "accounting": {
-                    "enabled": false
-                    , "streaming": false
-                },
-            },
-        }
-        , "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.MD_GW"
-        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.MD_GW_APP_STATUS"
-        , "exchanges": [
-            "COINBASE_AT"
-            , "BNBSPOT"
-            , "BNBFUT"
-            # , "KRAKEN"
-            # , "BITSTAMP"
-            # , "OKX"
-            # , "GEMINI"
-            , "ALPACA_SNDBX"
-        ]
-    }
-    , "order_entry_gateway": {
-        "exchanges_settings": {
-            "ALPACA_SNDBX": {
-                "mkt_data": {
-                    "enabled": false
-                    , "streaming": false
-                },
-                "order_entry": {
-                    "enabled": true
-                    , "streaming": true
-                },
-                "accounting": {
-                    "enabled": false
-                    , "streaming": false
-                }
-                , "credentials_key": {
-                    "read_only": "ALPACA_SANDBOX"
-                    , "trade": "ALPACA_SANDBOX"
-                }
-            }
-        }
-        , "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.OE_GW"
-        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.OE_GW_APP_STATUS"
-        , "exchanges": [
-            "ALPACA_SNDBX"
-        ]
-    }
     , "accounting_gateway": {
         "exchanges_settings": {
             "ALPACA_SNDBX": {
@@ -128,39 +58,112 @@
             "ALPACA_SNDBX", "COINBASE_AT"
         ]
     }
-    , "quant": {
-        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.QUANT"
-        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.QUANT_MUSVC_STATUS"
-    }
-    , "trader": {
-        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.TRADER"
-        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.TRADER_MUSVC_STATUS"
-    }
     , "bookkeeper": {
         "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.BKPR"
         , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.BKPR_MUSVC_STATUS"
         , "db": {
             "server_type": "timescale",
-            # "cred_key": "TSDB_TRADING_CVTT_TESTDB"
+            "cred_key": "TSDB_CVTT_TESTER_01_DIRECT"
-            "cred_key": "TSDB_CVTT_TRADINNG_PROD-01-RW"
+            # "cred_key": "TSDB_CVTT_TRADINNG_PROD-01-RW"
         }
     }
-    , "risk_manager": {
+    , "coordinator": {
-        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.RMGR"
+        "api": {
-        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.RMGR_MUSVC_STATUS"
+            "REST": {
-        , "revalue_interval_sec": 10.5
+                "port": @env{COORDINATOR_REST_PORT},
+                "base_url": ["POST", "http://localhost:@env{COORDINATOR_REST_PORT}"]
+            }
+        }
+    }
+    , "market_data_gateway": {
+        "exchanges_settings": {
+            "*": {
+                "mkt_data": {
+                    "enabled": true
+                    , "streaming": true
+                },
+                "order_entry": {
+                    "enabled": false
+                    , "streaming": false
+                },
+                "accounting": {
+                    "enabled": false
+                    , "streaming": false
+                },
+            },
+        }
+        , "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.MD_GW"
+        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.MD_GW_APP_STATUS"
+        , "exchanges": [
+            "COINBASE_AT"
+            , "COINBASE_FUT"
+            # , "BNBSPOT"
+            # , "BNBFUT"
+            # , "KRAKEN"
+            # , "BITSTAMP"
+            # , "OKX"
+            # , "GEMINI"
+            # , "ALPACA_SNDBX"
+        ]
+    }
+    , "order_entry_gateway": {
+        "exchanges_settings": {
+            "ALPACA_SNDBX": {
+                "mkt_data": {
+                    "enabled": false
+                    , "streaming": false
+                },
+                "order_entry": {
+                    "enabled": true
+                    , "streaming": true
+                },
+                "accounting": {
+                    "enabled": false
+                    , "streaming": false
+                }
+                , "credentials_key": {
+                    "read_only": "ALPACA_SANDBOX"
+                    , "trade": "ALPACA_SANDBOX"
+                }
+            }
+        }
+        , "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.OE_GW"
+        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.OE_GW_APP_STATUS"
+        , "exchanges": [
+            "ALPACA_SNDBX"
+        ]
     }
     , "pricer": {
         "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.PXER"
         , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.PXER_MUSVC_STATUS"
         , "api": {
             "REST": {
-                "port": ${PRICER_REST_PORT},
+                "port": @env{PRICER_REST_PORT},
-                "base_url": ["POST", "http://localhost:${PRICER_REST_PORT}"]
+                "base_url": ["POST", "http://localhost:@env{PRICER_REST_PORT}"]
             }
             , "WS": {
-                "url": "ws://localhost:${PRICER_WS_PORT}/ws"
+                "url": "ws://localhost:@env{PRICER_WS_PORT}/ws"
             }
         }
     }
+    , "quant": {
+        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.QUANT"
+        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.QUANT_MUSVC_STATUS"
+    }
+    , "risk_manager": {
+        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.RMGR"
+        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.RMGR_MUSVC_STATUS"
+        , "revalue_interval_sec": 10.5
+    }
+    , "trader": {
+        "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.TRADER"
+        , "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.TRADER_MUSVC_STATUS"
+
+        , "pos_diff_pct_trigger": 10.0
+        , "trading_depth": {
+            "BTC": 0.001
+            # "BTC": 0.1
+        }
+
+    }
 }

data/apps/utils/coinbase/accounting.cfg

@@ -0,0 +1,20 @@
+{
+    "__DUMMY__": null
+
+    , "refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata
+    # , "comm": @inc=http://@env{CONFIG_SERVICE}/apps/common/comm
+
+    , "exchanges_settings": {
+        
+        "COINBASE_AT": {
+            "accounting": {
+                "enabled": true
+                , "streaming": false
+            }
+            , "credentials_key": {
+                "read_only": "COINBASE_ADV_RO"
+            }
+        }
+    }
+}
+

data/refdata/exchange_instruments.cfg

@@ -301,6 +301,25 @@
             },
         }
     }
+    , "COINBASE-FUT": {
+        "instruments": {}
+        , "dynamic_instruments": {
+            # dynamically created instruments (futures)
+            "credentials_key": "COINBASE_ADV_RO"
+            "class": "cvttpy_trading.exchanges.coinbase.futures.market.InstrumentLoader"
+            , "api": {
+                "REST": {
+                    "products_method": "GET"
+                    , "products_url": "https://api.coinbase.com/api/v3/brokerage/products"
+                    , "futures_params": {
+                        "product_type": "FUTURE"
+                        , "contract_expiry_type": "EXPIRING"
+                        , "expiring_contract_status": "STATUS_UNEXPIRED"
+                    }
+                }
+            }
+        }
+    }
     , "GEMINI": {
         "instruments": {
             # --- PAIRs

data/refdata/exchanges.cfg

@@ -290,6 +290,23 @@
         , "name":               "Coinbase Advanced Trade"
         , "type":               "SPOT"
 
+        , "mktdata" : {
+            "class":  "cvttpy_trading.exchanges.coinbase.spot.mkt_data.CoinbaseSpotMdFeed"
+            # "class":  "cvttpy_trading.exchanges.coinbase.spot.mkt_data.CoinbaseMdFeed"
+
+            , "reconnect_secs": 2
+            , "max_connections": 10
+            , "price_throttle": true
+
+            , "api": {
+                "REST": {
+                    "products_url": "https://api.exchange.coinbase.com/products"
+                },
+                "web_socket": {
+                    "url": "wss://ws-feed.exchange.coinbase.com"
+                }
+            }
+        }
         , "order_entry": {
             "credentials_key": "COINBASE_ADV_TRD"
             "class":  "cvttpy_trading.exchanges.coinbase.spot.oe_client.CoinbaseSpotOEClient"
@@ -319,8 +336,15 @@
             }
         }
 
+    }
+    , "COINBASE_FUT": {
+        "exchange_id":          "COINBASE-FUT"
+        , "name":               "Coinbase Advanced Trade Futures"
+        , "type":               "FUTURES"
+
         , "mktdata" : {
-            "class":  "cvttpy_trading.exchanges.coinbase.spot.mkt_data.CoinbaseMdFeed"
+            "credentials_key": "COINBASE_ADV_TRD"
+            "class":  "cvttpy_trading.exchanges.coinbase.futures.mkt_data.CoinbaseFutMdFeed"
 
             , "reconnect_secs": 2
             , "max_connections": 10
@@ -328,13 +352,50 @@
 
             , "api": {
                 "REST": {
-                    "products_url": "https://api.exchange.coinbase.com/products"
+                    "products": {
+                        "method": "GET"
+                        , "url": "https://api.coinbase.com/api/v3/brokerage/products"
+                        , "params": {
+                            "product_type": "FUTURE"
+                            , "contract_expiry_type": "EXPIRING"
+                            , "expiring_contract_status": "STATUS_UNEXPIRED"
+                        }
+                    }
                 },
                 "web_socket": {
-                    "url": "wss://ws-feed.exchange.coinbase.com"
+                    "url": "wss://advanced-trade-ws.coinbase.com"
                 }
             }
         }
+        , "order_entry": {
+            "credentials_key": "COINBASE_ADV_TRD"
+            "class":  "cvttpy_trading.exchanges.coinbase.spot.oe_client.CoinbaseSpotOEClient"
+
+            , "api": {
+                "web_socket": {
+                    "url": "wss://advanced-trade-ws.coinbase.com"
+                }
+                , "REST": {
+                    "open_orders_url": ["GET", "https://api.coinbase.com/api/v3/brokerage/orders/historical/batch"]
+                    , "submit_order_url": ["POST", "https://api.coinbase.com/api/v3/brokerage/orders"]
+                    , "cancel_order_url": ["POST", "https://api.coinbase.com/api/v3/brokerage/orders/batch_cancel"]
+                }
+            }
+        }
+
+        , "accounting": {
+            "credentials_key": "COINBASE_ADV_RO"
+            "class":  "cvttpy_trading.exchanges.coinbase.spot.account.CoinbaseSpotAccounting"
+
+            , "api": {
+                "REST": {
+                    "balances_url": ["GET", "https://api.coinbase.com/api/v3/brokerage/accounts"]
+                    , "get_trades_url": ["GET", "https://api.coinbase.com/api/v3/brokerage/orders/historical/fills"]
+                    , "get_transactions_url": ["GET", "https://api.coinbase.com/api/v3/brokerage/transaction_summary"]
+                }
+            }
+        }
+
     }
     # ---------------------------- G
     , "GEMINI": {

data/refdata/refdata.cfg

@@ -3,5 +3,5 @@
     , "instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/instruments
     , "exchanges": @inc=http://@env{CONFIG_SERVICE}/refdata/exchanges
     , "exchange_instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/exchange_instruments
-    , "dynamic_instrument_exchanges": ["ALPACA"]
+    , "instant_exch_inst_ids": ["ALPACA"]
 }