350 lines
13 KiB
INI
350 lines
13 KiB
INI
@var COORDINATOR_HOST=localhost
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@var COORDINATOR_REST_PORT=28001
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@var COORDINATOR_WS_PORT=28002
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@var GLOBAL_CHANNEL_PREFIX=CVTT_MU_SIM
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@var SIM_HOST=localhost
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@var SIM_DATA_DIR=/home/oleg/develop/simulation/data
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@var SIM_MD_WS_PORT=28080
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@var SIM_OE_WS_PORT=28081
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@var SIM_OE_REST_PORT=28082
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@var SIM_AC_REST_PORT=28083
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{
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# ---------------------------------------
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"__dummy__": null
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# ---------------------------------------
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# Overwriting "exchanges" part in "refdata"
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# "refdata": @inc=http://@env{CONFIG_SERVICE}/refdata/refdata
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"refdata": {
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"assets": @inc=http://@env{CONFIG_SERVICE}/refdata/assets ,
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"instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/instruments ,
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"exchange_instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/exchange_instruments ,
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"dynamic_instrument_exchanges": ["ALPACA"],
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"exchanges": {
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"SIM_COINBASE": {
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"exchange_id": "COINBASE",
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"name": "Coinbase Advanced Trade (Simulation)",
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"type": "SPOT",
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"mktdata" : {
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"class": "cvttpy.exchanges.mkt_simulator.md_client.MktSimMdClientFeed"
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"api": @pathptr=simulation/market_simulator/market_data/api
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},
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"order_entry": {
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"class": "cvttpy.exchanges.mkt_simulator.oe_client.MarketSimulatorOEClient"
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"api": @ptrpath=simulation/market_simulator/order_entry/api
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},
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"accounting": {
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"class": "cvttpy.exchanges.mkt_simulator.acct_client.MktSimAccounting"
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"api": @ptrpath=simulation/market_simulator/accounting/api
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},
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},
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"SIM_ALPACA": {
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"exchange_id": "ALPACA",
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"name": "Alpaca Trading",
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"type": "EQUITY",
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"mktdata" : {
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"class": "cvttpy.exchanges.mkt_simulator.md_client.MktSimMdClientFeed"
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"config_key": "simulation/market_simulator/market_data/api"
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},
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"order_entry": {
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"class": "cvttpy.exchanges.mkt_simulator.oe_client.MarketSimulatorOEClient"
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"config_key": "simulation/market_simulator/order_entry/api"
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},
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"accounting": {
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"class": "cvttpy.exchanges.mkt_simulator.acct_client.MktSimAccounting"
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"config_key": "simulation/market_simulator/accounting/api"
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}
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},
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}
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},
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"comm": @inc=http://@env{CONFIG_SERVICE}/apps/common/comm ,
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"algos": @inc=http://@env{CONFIG_SERVICE}/apps/common/algos ,
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"strategies": @inc=http://@env{CONFIG_SERVICE}/apps/common/strategies ,
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"risk_strategies": @inc=http://@env{CONFIG_SERVICE}/apps/common/risk_strategies ,
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"comm_settings": "@env{CONFIG_COMM_SETTINGS}",
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"global_channel_prefix": "${GLOBAL_CHANNEL_PREFIX}",
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"simulation": {
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# "speed_factor": 1.0,
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"speed_factor": 0.0
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, "time_events_interval_ms": 0
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, "simtime_file": "${SIM_DATA_DIR}/simtime.bin"
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, "expected_consumers": [
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"md_gateway",
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"mkt_gateway_tester"
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"coordinator",
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# "oe_gateway",
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# "acct_gateway",
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# "quant",
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# "trader",
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# "bookkeeper",
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# "risk_manager",
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# "pricer"
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]
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, "consumer_timeout_sec": 30.0
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, "market_simulator" : {
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"initial_positions": {
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"exchange": "COINBASE",
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"assets": {
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"BTC": 0.5
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, "ETH": 0.0
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, "USD": 10_000.0
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}
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}
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, "market_data": {
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"sources": [
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{
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"loader_class": "cvttpy.trading.mkt_data.time_series.loaders.sqlite_loader.SqliteMdLoader"
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, "file_name": "${SIM_DATA_DIR}/20250422.CNBS.BTC_USD.db"
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, "table_name": "md_trades"
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, "columns": [
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"tstamp"
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, "tstamp_ns as tm" # must have tm for DataFrame
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, "tstamp_ns as local_time_ns" # must have for simrunner
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, "exchange_id"
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, "instrument_id"
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, "px as price"
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, "qty as quantity"
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, "trade_id"
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, "condition as aggressor_side"
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, "condition as taker_side"
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]
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, "time_column": "tstamp"
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, "exchange_id": "COINBASE"
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, "instruments": ["PAIR-BTC-USD"]
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, "md_type": "TRADES"
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}
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# , {
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# "loader_class": "cvttpy.trading.mkt_data.time_series.loaders.tsdb_loader.TimescaleTSLoader"
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# , "credentials_key": "TSDB_MD_CVTTDATA_RO"
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# , "interval": ${INTERVAL}
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# , "from_time": ${FROM_TIME} #"2024-10-03 09:00:00"
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# , "exchange_id": "COINBASE"
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# , "instruments": ["PAIR-BTC-USD"]
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# , "md_type": "BOOK_TOP"
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# , "table_name": "coinbase.md_booktops"
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# , "columns": [
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# "time",
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# "local_time_ns",
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# "exchange_id",
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# "instrument_id",
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# "bid_price",
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# "bid_quantity",
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# "ask_price",
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# "ask_quantity",
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# "'BT' as type",
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# ]
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# , "time_column": "time"
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# }
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]
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, "api": {
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"web_socket": {
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"url": "ws://${SIM_HOST}:${SIM_MD_WS_PORT}/ws"
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}
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}
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}
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, "order_entry": {
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"execution": {
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"execute_on": ["BOOK_TOP", "TRADES"]
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"top_only": true
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,"min_order_age_sec": 0.1
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, "pricing_method": "BY_MKT_TRD_PRICE_BY_TRADE"
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, "short_sale_allowed": false
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, "fee_schedule": {
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"taker_fee_rate": 0.006
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"maker_fee_rate": 0.004
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}
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# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
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}
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, "api": {
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"web_socket": {
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"url": "ws://${SIM_HOST}:${SIM_OE_WS_PORT}/ws"
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}
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, "REST": {
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"port": ${SIM_OE_REST_PORT},
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"base_url": "http://${SIM_HOST}:${SIM_OE_REST_PORT}",
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"endpoints": {
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"new_order": ["POST", "/order"],
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"cancel_order": ["POST", "/cancel"],
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"cancel_all": ["POST", "/cancel_all"],
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"open_orders": ["GET", "/open_orders"],
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"order_status": ["GET", "/order_status"]
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}
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}
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}
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}
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, "accounting": {
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"api": {
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"REST": {
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"port": ${SIM_AC_REST_PORT},
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"base_url": "http://${SIM_HOST}:${SIM_AC_REST_PORT}",
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"endpoints": {
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"positions": ["GET", "/positions"]
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"trades": ["GET", "/trades"]
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}
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}
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}
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}
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}
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, "external_participants": [
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{
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"class": "cvttpy.apps.trading_simulator.participants.external_strategy.ExternalStrategySim"
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"params": {
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"reader": {
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"source": "file://${SIM_DATA_DIR}/trading_instructions.json"
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}
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"listener": {
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"book_id": "TESTBK_COINBS_01",
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"strategy_id": "DUMMY_STRATEGY"
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}
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}
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}
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]
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}
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, "coordinator": {
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"api": {
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"REST": {
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"port": ${COORDINATOR_REST_PORT},
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"base_url": ["POST", "http://${COORDINATOR_HOST}:${COORDINATOR_REST_PORT}"],
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}
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, "WS": {
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"url": "ws://${COORDINATOR_HOST}:${COORDINATOR_WS_PORT}/ws"
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}
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}
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}
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, "market_data_gateway": {
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"exchanges_settings": {
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"*": {
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"mkt_data": {
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"enabled": true
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, "streaming": true
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},
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"order_entry": {
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"enabled": false
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, "streaming": false
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},
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"accounting": {
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"enabled": false
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, "streaming": false
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},
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},
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}
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, "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.MD_GW"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.MD_GW_APP_STATUS"
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, "exchanges": [
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"SIM_COINBASE"
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],
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"presubscribe": [
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"COINBASE:PAIR-BTC-USD"
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]
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}
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, "order_entry_gateway": {
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"exchanges_settings": {
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"ALPACA_SNDBX": {
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"mkt_data": {
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"enabled": false
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, "streaming": false
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},
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"order_entry": {
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"enabled": true
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, "streaming": true
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},
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"accounting": {
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"enabled": false
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, "streaming": false
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}
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, "credentials_key": {
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"read_only": "ALPACA_SANDBOX"
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, "trade": "ALPACA_SANDBOX"
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}
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}
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}
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, "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.OE_GW"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.OE_GW_APP_STATUS"
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, "exchanges": [
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"SIM_COINBASE"
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]
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}
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, "accounting_gateway": {
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"exchanges_settings": {
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"ALPACA_SNDBX": {
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"mkt_data": {
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"enabled": false
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, "streaming": false
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},
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"order_entry": {
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"enabled": false
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, "streaming": false
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},
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"accounting": {
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"enabled": true
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, "streaming": false
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}
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, "credentials_key": {
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"read_only": "ALPACA_SANDBOX"
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, "trade": "ALPACA_SANDBOX"
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}
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},
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"COINBASE_AT": {
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"mkt_data": {
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"enabled": false
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, "streaming": false
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},
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"order_entry": {
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"enabled": false
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, "streaming": false
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},
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"accounting": {
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"enabled": true
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, "streaming": false
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}
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, "credentials_key": {
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"read_only": "COINBASE_ADV_RO"
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}
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}
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}
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, "channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.ACCT_GW"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.ACCT_GW_APP_STATUS"
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, "exchanges": [
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"SIM_COINBASE"
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]
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}
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, "quant": {
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"channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.QUANT"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.QUANT_MUSVC_STATUS"
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}
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, "trader": {
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"channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.TRADER"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.TRADER_MUSVC_STATUS"
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}
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, "bookkeeper": {
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"channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.BKPR"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.BKPR_MUSVC_STATUS"
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, "db": {
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"server_type": "timescale",
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"cred_key": "TSDB_TRADING_CVTT_TESTDB"
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}
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}
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, "risk_manager": {
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"channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.RMGR"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.RMGR_MUSVC_STATUS"
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, "revalue_interval_sec": 10.5
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}
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, "pricer": {
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"channel_prefix": "${GLOBAL_CHANNEL_PREFIX}.PXER"
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, "app_status_channel": "${GLOBAL_CHANNEL_PREFIX}.PXER_MUSVC_STATUS"
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}
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}
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