research/pairs_trading
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This commit is contained in:
Oleg Sheynin 2025-07-25 20:39:59 +00:00
parent c2f701e3a2
commit 71822c64b0
3 changed files with 8 additions and 4 deletions
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4
configuration/vecm.cfg
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@ -16,9 +16,7 @@
"funding_per_pair": 2000.0, "funding_per_pair": 2000.0,
# ====== Trading Parameters ====== # ====== Trading Parameters ======
# "stat_model_price": "close", "stat_model_price": "close", # "vwap"
"stat_model_price": "vwap",
"execution_price": { "execution_price": {
"column": "vwap", "column": "vwap",
"shift": 1, "shift": 1,

3
lib/tools/data_loader.py
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@ -48,6 +48,7 @@ def load_market_data(
instruments: List[Dict[str, str]], instruments: List[Dict[str, str]],
db_table_name: str, db_table_name: str,
trading_hours: Dict = {}, trading_hours: Dict = {},
extra_minutes: int = 0,
) -> pd.DataFrame: ) -> pd.DataFrame:
insts = [ insts = [
@ -86,7 +87,7 @@ def load_market_data(
f"{date_str} {trading_hours['begin_session']}", trading_hours["timezone"] f"{date_str} {trading_hours['begin_session']}", trading_hours["timezone"]
) )
end_time = convert_time_to_UTC( end_time = convert_time_to_UTC(
f"{date_str} {trading_hours['end_session']}", trading_hours["timezone"], extra_minutes=2 # to get execution price f"{date_str} {trading_hours['end_session']}", trading_hours["timezone"], extra_minutes=extra_minutes # to get execution price
) )
# Perform boolean selection # Perform boolean selection

5
research/research_tools.py
View File

@ -63,12 +63,17 @@ def create_pairs(
config_copy["instruments"] = instruments config_copy["instruments"] = instruments
market_data_df = pd.DataFrame() market_data_df = pd.DataFrame()
extra_minutes = 0
if "execution_price" in config_copy:
extra_minutes = config_copy["execution_price"]["shift"]
for datafile in datafiles: for datafile in datafiles:
md_df = load_market_data( md_df = load_market_data(
datafile=datafile, datafile=datafile,
instruments=instruments, instruments=instruments,
db_table_name=config_copy["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"], db_table_name=config_copy["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"],
trading_hours=config_copy["trading_hours"], trading_hours=config_copy["trading_hours"],
extra_minutes=extra_minutes,
) )
market_data_df = pd.concat([market_data_df, md_df]) market_data_df = pd.concat([market_data_df, md_df])