new purpose

2026-07-24 22:40:34 +00:00
parent dc38176529
commit 8ccebf81f5
34 changed files with 0 additions and 0 deletions
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+{
+    # "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",
+    # }
+}