36 lines
1.3 KiB
INI
36 lines
1.3 KiB
INI
{
|
|
"TRDALGO_001": {
|
|
"class": "cvttpy.trading.algos.simple.SimpleTradingAlgo"
|
|
, "params": {}
|
|
}
|
|
, "TRDALGO_MOOMOC_01": {
|
|
"class": "cvttpy.trading.algos.moo_moc.MooMocTradingAlgo"
|
|
, "params": {
|
|
},
|
|
}
|
|
, "TRDALGO_TWAP01": {
|
|
"class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
|
|
, "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": {
|
|
"class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
|
|
, "params": {
|
|
"num_slices": 5
|
|
, "duration_sec": 1500 # 25 min
|
|
, "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
|
|
},
|
|
}
|
|
}
|