valentineus/overnight-trading-bot
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thirteenth version

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This commit is contained in:
Valentin Popov
2026-06-09 21:04:01 +00:00
parent f877907b20
commit 4dec14f57c
19 changed files with 602 additions and 110 deletions
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internal/app/app.go
+37 -31
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@@ -239,8 +239,8 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
RollingLong: cfg.Strategy.RollingLong,
EWMALambda: cfg.Strategy.EWMALambda,
RiskBufferBps: cfg.Strategy.RiskBufferBps,
EntrySlippageBps: cfg.Backtest.EntrySlippageBps,
ExitSlippageBps: cfg.Backtest.ExitSlippageBps,
EntrySlippageBps: cfg.Strategy.ExpectedEntrySlippageBps,
ExitSlippageBps: cfg.Strategy.ExpectedExitSlippageBps,
CommissionRoundtripBps: cfg.Backtest.CommissionRoundtripBps,
EntryWindow: timeutil.Window{
Start: cfg.Execution.EntryWindowStart,
@@ -250,7 +250,7 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
Start: cfg.Execution.ExitWindowStart,
End: cfg.Execution.ExitWindowEnd,
},
IntervalVolumeLookback: 20,
IntervalVolumeLookback: cfg.Strategy.IntervalVolumeLookbackDays,
Location: cfg.Location,
})
signalEngine := signalengine.New(signalengine.Config{
@@ -288,6 +288,7 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
execEngine.SetClock(clock)
execEngine.SetMaxQuoteAge(time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second)
execEngine.SetFreeOrderCountPolicy(cfg.Commission.FreeOrderCountPolicy)
execEngine.SetMaxExitOrderAttempts(cfg.Execution.MaxExitOrderAttempts)
services := scheduler.Services{
Repo: repo,
Gateway: gateway,
@@ -307,34 +308,39 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
Log: log,
}
return scheduler.New(clock, sm, scheduler.Config{
Mode: cfg.App.Mode,
Location: cfg.Location,
RollingLong: cfg.Strategy.RollingLong,
TickInterval: 30 * time.Second,
EntrySignalTime: cfg.Execution.EntrySignalTime,
EntryWindowStart: cfg.Execution.EntryWindowStart,
EntryWindowEnd: cfg.Execution.EntryWindowEnd,
NoNewEntryAfter: cfg.Execution.NoNewEntryAfter,
ExitWatchStart: cfg.Execution.ExitWatchStart,
ExitNotBefore: cfg.Execution.ExitNotBefore,
ExitWindowStart: cfg.Execution.ExitWindowStart,
ExitWindowEnd: cfg.Execution.ExitWindowEnd,
HardExitDeadline: cfg.Execution.HardExitDeadline,
MarketClose: cfg.Execution.MarketClose,
QuoteDepth: cfg.Execution.QuoteDepth,
MaxQuoteAge: time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
OrderPollInterval: time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
PassiveImproveTicks: cfg.Execution.PassiveImproveTicks,
MaxEntryOrderAttempts: cfg.Execution.MaxEntryOrderAttempts,
MaxExitOrderAttempts: cfg.Execution.MaxExitOrderAttempts,
MinTimeToClose: time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
MaxClockDrift: time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
APIOutageHalt: time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
RequireZeroCommission: cfg.Commission.RequireZeroCommission,
QuarantineOnNonZero: cfg.Commission.QuarantineOnNonZero,
FreeOrderCountPolicy: cfg.Commission.FreeOrderCountPolicy,
ReconciliationInterval: 5 * time.Minute,
MaxOpenPositions: minPositive(cfg.Strategy.MaxPositions, cfg.Risk.MaxOpenPositions),
Mode: cfg.App.Mode,
Location: cfg.Location,
RollingLong: cfg.Strategy.RollingLong,
IntervalVolumeLookbackDays: cfg.Strategy.IntervalVolumeLookbackDays,
TickInterval: 30 * time.Second,
EntrySignalTime: cfg.Execution.EntrySignalTime,
EntryWindowStart: cfg.Execution.EntryWindowStart,
EntryWindowEnd: cfg.Execution.EntryWindowEnd,
NoNewEntryAfter: cfg.Execution.NoNewEntryAfter,
ExitWatchStart: cfg.Execution.ExitWatchStart,
ExitNotBefore: cfg.Execution.ExitNotBefore,
ExitWindowStart: cfg.Execution.ExitWindowStart,
ExitWindowEnd: cfg.Execution.ExitWindowEnd,
HardExitDeadline: cfg.Execution.HardExitDeadline,
MarketClose: cfg.Execution.MarketClose,
QuoteDepth: cfg.Execution.QuoteDepth,
MaxQuoteAge: time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
OrderPollInterval: time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
PassiveImproveTicks: cfg.Execution.PassiveImproveTicks,
MaxEntryOrderAttempts: cfg.Execution.MaxEntryOrderAttempts,
MaxExitOrderAttempts: cfg.Execution.MaxExitOrderAttempts,
MinTimeToClose: time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
MaxClockDrift: time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
APIOutageHalt: time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
RequireZeroCommission: cfg.Commission.RequireZeroCommission,
QuarantineOnNonZero: cfg.Commission.QuarantineOnNonZero,
FreeOrderCountPolicy: cfg.Commission.FreeOrderCountPolicy,
ReconciliationInterval: 5 * time.Minute,
MaxOpenPositions: minPositive(cfg.Strategy.MaxPositions, cfg.Risk.MaxOpenPositions),
SizeReductionWindowTrades: cfg.Risk.SizeReductionWindowTrades,
SizeReductionFactor: cfg.Risk.SizeReductionFactor,
SizeReductionTriggerBps: cfg.Risk.SizeReductionTriggerBps,
TradingCalendarExchange: cfg.TInvest.TradingCalendarExchange,
}, services)
}