progress

README.md

@@ -38,7 +38,6 @@ CONFIG = EQT_CONFIG      # For equity data
 ```
 
 Each configuration dictionary specifies:
-- `security_type`: "CRYPTO" or "EQUITY".
 - `data_directory`: Path to the data files.
 - `datafiles`: A list of database files to process. You can comment/uncomment specific files to include/exclude them from the backtest.
 - `db_table_name`: The name of the table within the SQLite database.

configuration/zscore.cfg

@@ -0,0 +1,46 @@
+{
+    "instrument_type_specifics": {
+        "CRYPTO": {
+            "data_directory": "./data/crypto",
+            "datafiles": [
+                "20250602.mktdata.ohlcv.db"
+            ],
+            "db_table_name": "md_1min_bars",
+            "exchange_id": "BNBSPOT",
+            "instrument_id_pfx": "PAIR-",
+        },
+        "EQUITY": {
+            "data_directory": "./data/equity",
+            "datafiles": [
+                "20250602.mktdata.ohlcv.db"
+            ],
+            "db_table_name": "md_1min_bars",
+            "exchange_id": "BNBSPOT",
+            "instrument_id_pfx": "STOCK-",
+        }
+    },
+
+    # ====== Funding ======
+            "funding_per_pair": 2000.0,
+    # ====== Trading Parameters ======
+    "price_column": "close",
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 120,
+    "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
+
+    # ====== Stop Conditions ======
+    "stop_close_conditions": {
+        "profit": 2.0,
+        "loss": -0.5
+    }
+
+    # ====== End of Session Closeout ======
+    "close_outstanding_positions": true,
+    # "close_outstanding_positions": false,
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "22:30:00",
+        "timezone": "America/New_York"
+    }
+}

lib/tools/data_loader.py

@@ -42,14 +42,9 @@ def load_market_data(datafile: str, config: Dict) -> pd.DataFrame:
         '"' + config["instrument_id_pfx"] + instrument + '"'
         for instrument in config["instruments"]
     ]
-    security_type = config["security_type"]
     exchange_id = config["exchange_id"]
 
     query = "select"
-    if security_type == "CRYPTO":
-        query += " strftime('%Y-%m-%d %H:%M:%S', tstamp_ns/1000000000, 'unixepoch') as tstamp"
-        query += ", tstamp as time_ns"
-    else:
     query += " tstamp"
     query += ", tstamp_ns as time_ns"