253 lines
8.3 KiB
INI
253 lines
8.3 KiB
INI
@var CONFIG_SERVICE=cloud23.cvtt.vpn:6789
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@var ResultPath=/tmp
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{
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"refdata": @inc=http://${CONFIG_SERVICE}/refdata/refdata
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, "comm": @inc=http://${CONFIG_SERVICE}/apps/common/comm
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, "comm_settings": "/comm/pubsub/redis/cloud17"
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# , "cvttcomm": {
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# "type": "redis"
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# # , "comm_settings": "/comm/pubsub/redis/localhost"
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# , "comm_settings": "/comm/pubsub/redis/cloud17"
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# }
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, "session_type": "PERMANENT"
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, "books": {
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"CVTT_BK01": {}
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}
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###### N E W S E C T I O N (example)
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, "simulation": {
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"speed_factor": 0.0,
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"time_events_interval_ms": 100
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}
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, "market_simulator" : {
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"market_data": {
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"sources": [
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{
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"loader_class": "cvttpy.research.time_series.loaders.tsdb_loader.TimescaleTSLoader"
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, "credentials_key": "TSDB_MD_CVTTDATA_RO"
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# , "interval": "4 hours"
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, "interval": "2 hours"
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, "from_time": "2024-04-15 09:00:00"
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}
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# , {
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# "loader_class": "cvttpy.research.time_series.loaders.sqlite_loader.SqliteMdLoader",
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# "file_name": "${SourcePath}/20240424.ALPACA.QAT.db"
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# }
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]
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}
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, "accounting": {
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"initial_positions": {
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"COINBASE": {
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"BTC": 0
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, "USD": 1000.0
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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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"top_only": true
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,"min_order_age_sec": 0.1
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, "pricing_method": "BY_MKT_TRD_PRICE_BY_ORDER"
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# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
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}
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}
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}
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###### N E W S E C T I O N - end
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, "backtest": {
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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": true
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, "streaming": true
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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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}
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}
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, "source": {
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"database": {
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"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
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, "credentials_key": "TSDB_MD_CVTTDATA_RO"
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}
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# , "interval": "4 hours"
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, "interval": "6 hours"
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, "from_time": "2024-04-01 09:00:00"
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}
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, "initial_positions": {
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"COINBASE": {
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"BTC": 0
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, "USD": 1000.0
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}
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}
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, "simulation": {
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"speed_factor": 0.0
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}
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, "execution": {
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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_ORDER"
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# , "presubscribe_md_types": ["BOOK_TOP", "TRADES"]
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}
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, "result": {
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"repository": "${ResultPath}/backtest_results.json"
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, "db_file": "${ResultPath}/%T.backtest.db"
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}
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}
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# --------------------------------------------------------------------
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, "trader": {
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"app_channel": "TRDR" active_exchanges_: str
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, "is_short_allowed": false
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, "exchanges_settings": {
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"COINBASE_AT": {
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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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}
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}
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, "algos": {
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"TRDALGO_001": {
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"class": "cvttpy.trading.algos.simple.SimpleTradingAlgo"
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, "params": {}
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}
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, "TRDALGO_MOOMOC_01": {
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"class": "cvttpy.trading.algos.moo_moc.MooMocTradingAlgo"
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, "params": {
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},
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}
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, "TRDALGO_TWAP01": {
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"class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
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, "params": {
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"num_slices": 5
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, "duration_sec": 1500 # 25 min
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, "max_order_usd": 100
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, "passive_stage_t1": 0.4 # join BBO, the rest is aggressive
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, "aggressive_stage_t2": 0.4
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, "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
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, "marketable_stage_added_ticks": 0
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},
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}
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, "TRDALGO_ICEBERG01": {
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"class": "cvttpy.trading.algos.twap.BasicTwapAlgo"
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, "params": {
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"num_slices": 5
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, "duration_sec": 1500 # 25 min
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, "max_order_usd": 100
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, "passive_stage_t1": 0
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, "aggressive_stage_t2": 0
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, "aggressivity_scale": [0.5, 1.0] # 0.5 = mid, 1.0= BBO-1 tick
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, "marketable_stage_added_ticks": 0
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},
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}
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}
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, "trading_pos_diff_pct_trigger": 10.0
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, "trading_depth": {
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"BTC": 0.001
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# "BTC": 0.1
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}
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}
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# --------------------------------------------------------------------
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"executor": {
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"app_channel": "EXEC"
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, "exchanges_settings": {
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"COINBASE_AT": {
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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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"mkt_data": {
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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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, "credentials_key": {
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"read_only": "COINBASE_ADV_RO"
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, "trade": "COINBASE_ADV_TRD"
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}
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}
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}
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}
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# --------------------------------------------------------------------
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, "quant": {
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"app_channel": "QUANT"
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, "strategies": @inc=http://${CONFIG_SERVICE}/apps/common/strategies
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, "exchanges_settings": {
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"COINBASE_AT": {
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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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}
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}
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}
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# --------------------------------------------------------------------
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, "risk_manager": {
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"app_channel": "RMGR"
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, "books": {
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"CVTT_BK01": {}
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}
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, "db": {
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"positions_table": "prod.cvtt_positions"
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, "cred_key": {
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"write": "TSDB_TRD_CVTTDATA"
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, "read_only": "TSDB_TRD_CVTTDATA"
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}
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}
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, "positions": {
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"load_interval_sec": 10.0
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, "to_store_zero_positions": false
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, "to_save_unchanged_positions": false
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}
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, "publish_value_interval": 10.0
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, "exchanges_settings": {
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"COINBASE_AT": {
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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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"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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"trade": "COINBASE_ADV"
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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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}
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, "trading_recorder": {
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# "format": "CSV"
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# "format": "TSDB"
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"format": "SQLite"
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, "csv_settings": {
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"order_events_file_path": "%T.order_events.csv"
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"position_events_file_path": "%T.position_events.csv"
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}
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, "tsdb_settings": {
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"db": {
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"class": "cvttpy.tools.db.timescale.tsdb_client.TimescaleDbClient"
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, "cred_key": "TSDB_TRD_CVTTDATA_DB_TEST"
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}
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, "order_events_table": "backtest.trading_orders"
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, "trade_events_table": "backtest.trading_trades"
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, "trading_md_summary_table": "backtest.trading_md"
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}
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, "sqlite_settings": {
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# "file_name": "/tmp/%T.cvtt_backtest.db"
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"file_name": "/tmp/cvtt_backtest.db"
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}
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}
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}
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