-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathconfig.toml
107 lines (97 loc) · 2.3 KB
/
config.toml
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
# config.toml
name = "testing123"
[general]
# mode = "BACKTEST"
session_id = 1001
log_level = "INFO"
log_output = "file"
output_path = "tests/unit/output/"
# Data Vendors
[vendor.historical]
url = "http://127.0.0.1:8080"
key = "api_key"
data_file= "tests/unit/hogs_corn_ohlcv1h.bin"
[vendor.interactive_brokers]
host="127.0.0.1"
port="7497"
account_id="12345"
client_id=1
tick_interval = 5 # only matters for tick data
data_type = "BAR"
# Executors
[executor.interactive_brokers]
host="127.0.0.1"
port="7497"
account_id="U4976268"
client_id=0
[strategy.logic]
module = "example/random_logic.py"
class = "RandomSignalStrategy"
[strategy.parameters]
strategy_name = "RandomSignalStrategy"
capital = 1000000
data_type = "BAR"
tick_interval = 5 # only matters for tick data
schema = "ohlcv-1h"
start = "2024-01-01"
end = "2024-01-31"
missing_values_strategy = "drop"
risk_free_rate = 0.04
[strategy.symbols]
[strategy.symbols.HE]
type= "Future"
instrument_id=43
broker_ticker= "HE"
data_ticker= "HE"
midas_ticker="HE.n.0"
security_type = "FUTURE"
currency= "USD"
exchange= "CME"
fees= 0.85
initial_margin= 5627.17
quantity_multiplier= 40000
price_multiplier= 0.01
product_code= "HE"
product_name= "Lean Hogs"
industry= "AGRICULTURE"
contract_size= 40000
contract_units= "POUNDS"
tick_size= 0.00025
min_price_fluctuation= 10.0
continuous= true
lastTradeDateOrContractMonth= "202412"
slippage_factor= 0
trading_sessions = { day_open = "09:30", day_close = "14:05" }
expr_months = ["G", "J", "K", "M", "N", "Q", "V", "Z"]
term_day_rule = "nth_business_day_10"
market_calendar = "CMEGlobex_Lean_Hog"
[strategy.symbols.ZC]
type= "Future"
instrument_id=70
broker_ticker= "ZC"
data_ticker= "ZC"
midas_ticker="ZC.n.0"
security_type= "FUTURE"
currency= "USD"
exchange= "CBOT"
fees= 0.85
initial_margin= 2075.36
quantity_multiplier= 5000
price_multiplier= 0.01
product_code= "ZC"
product_name= "Corn"
industry= "AGRICULTURE"
contract_size= 5000
contract_units= "BUSHELS"
tick_size= 0.0025
min_price_fluctuation= 12.50
continuous= true
lastTradeDateOrContractMonth= "202412"
slippage_factor= 0
trading_sessions = { day_open = "09:30", day_close = "14:20" , night_open = "20:00", night_close = "08:45" }
expr_months = ["H", "K", "N", "U", "Z"]
term_day_rule = "nth_bday_before_nth_day_1_15"
market_calendar ="CMEGlobex_Grains"
[risk]
module = ""
class = ""