56 lines
1.8 KiB
INI
56 lines
1.8 KiB
INI
{
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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": @inc=http://@env{CONFIG_SERVICE}/refdata/exchanges
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},
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"market_data_loading": {
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"CRYPTO": {
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"data_directory": "./data/crypto",
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"db_table_name": "md_1min_bars",
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"instrument_id_pfx": "PAIR-",
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},
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"EQUITY": {
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"data_directory": "./data/equity",
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"db_table_name": "md_1min_bars",
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"instrument_id_pfx": "STOCK-",
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}
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},
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# ====== Funding ======
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"funding_per_pair": 2000.0,
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# ====== Trading Parameters ======
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"stat_model_price": "close", # "vwap"
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"execution_price": {
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"column": "vwap",
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"shift": 1,
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},
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"dis-equilibrium_open_trshld": 1.75,
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"dis-equilibrium_close_trshld": 1.0,
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"model_class": "pairs_trading.lib.pt_strategy.models.VECMModel",
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# "training_size": 120,
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# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.RollingWindowDataPolicy",
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"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
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"min_training_size": 60,
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"max_training_size": 150,
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# ====== Stop Conditions ======
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"stop_close_conditions": {
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"profit": 2.0,
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"loss": -0.5
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}
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# ====== End of Session Closeout ======
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"close_outstanding_positions": true,
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# "close_outstanding_positions": false,
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"trading_hours": {
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"timezone": "America/New_York",
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"begin_session": "7:30:00",
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"end_session": "18:30:00",
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}
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} |