refactoring the code for pairs, models, strategy

2025-07-30 04:08:02 +00:00
parent 71822c64b0
commit ed0c0fecb2
18 changed files with 3004 additions and 287 deletions
@@ -16,13 +16,14 @@
    "funding_per_pair": 2000.0,
    # ====== Trading Parameters ======
    "stat_model_price": "close",
-    "execution_price": {
-        "column": "vwap",
-        "shift": 1,
-    },
+    # "execution_price": {
+    #     "column": "vwap",
+    #     "shift": 1,
+    # },
    "dis-equilibrium_open_trshld": 2.0,
    "dis-equilibrium_close_trshld": 0.5,
-    "training_minutes": 120,
+    "training_minutes": 120, # TODO Remove this
+    "training_size": 120,
    "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",

    # ====== Stop Conditions ======
@@ -36,7 +37,7 @@
    # "close_outstanding_positions": false,
    "trading_hours": {
        "timezone": "America/New_York",
-        "begin_session": "9:30:00",
+        "begin_session": "7:30:00",
        "end_session": "18:30:00",
    }
 }