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Oleg Sheynin
2026-01-11 13:33:58 +00:00
parent 6dd0f97d74
commit b196863a34
26 changed files with 5365 additions and 5566 deletions
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configuration/__DELETE__/ols-exp.cfg
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{
"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",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 2.0,
"dis-equilibrium_close_trshld": 0.5,
"training_size": 120,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ExpandingWindowDataPolicy",
# ====== 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",
}
}
configuration/__DELETE__/ols-opt.cfg
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{
"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",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 0.9,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.EGOptimizedWndDataPolicy",
# "model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.ADFOptimizedWndDataPolicy",
"model_data_policy_class": "pairs_trading.lib.pt_strategy.model_data_policy.JohansenOptdWndDataPolicy",
"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",
}
}
configuration/__DELETE__/ols.cfg
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{
"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",
"execution_price": {
"column": "vwap",
"shift": 1,
},
"dis-equilibrium_open_trshld": 1.75,
"dis-equilibrium_close_trshld": 0.9,
"model_class": "pairs_trading.lib.pt_strategy.models.OLSModel",
"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.OptimizedWindowDataPolicy",
# "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",
}
}
configuration/__DELETE__/pairs_trader.cfg
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{
"strategy_config": @inc=file:///home/oleg/develop/pairs_trading/configuration/ols.cfg
"pricer_config": {
"pricer_url": "ws://localhost:12346/ws",
"history_depth_sec": 86400 #"60*60*24", # use simpleeval
"interval_sec": 60
},
"ti_config": {
"cvtt_base_url": "http://localhost:23456"
"book_id": "XXXXXXXXX",
"strategy_id": "XXXXXXXXX",
"ti_endpoint": {
"method": "POST",
"url": "/trading_instructions"
},
"health_check_endpoint": {
"method": "GET",
"url": "/ping"
}
}
}
configuration/__DELETE__/vecm.cfg
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{
"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.OptimizedWindowDataPolicy",
# "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",
}
}