{ # "refdata": { # "assets": @inc=http://@env{CONFIG_SERVICE}/refdata/assets # , "instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/instruments # , "exchange_instruments": @inc=http://@env{CONFIG_SERVICE}/refdata/exchange_instruments # , "dynamic_instrument_exchanges": ["ALPACA"] # , "exchanges": @inc=http://@env{CONFIG_SERVICE}/refdata/exchanges # }, # "market_data_loading": { # "CRYPTO": { # "data_directory": "./data/crypto", # "db_table_name": "md_1min_bars", # "instrument_id_pfx": "PAIR-", # }, # "EQUITY": { # "data_directory": "./data/equity", # "db_table_name": "md_1min_bars", # "instrument_id_pfx": "STOCK-", # } # }, # # ====== Funding ====== # "funding_per_pair": 2000.0, # ====== Trading Parameters ====== "stat_model_price": "close", # "vwap" "execution_price": { "column": "vwap", "shift": 1, }, "dis-equilibrium_open_trshld": 1.75, "dis-equilibrium_close_trshld": 1.0, "model_class": "pairs_trading.lib.pt_strategy.models.VECMModel", # "training_size": 120, # "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy", "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy", "min_training_size": 60, "max_training_size": 150, # # ====== 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": { # "timezone": "America/New_York", # "begin_session": "7:30:00", # "end_session": "18:30:00", # } }