112 lines
2.9 KiB
Bash
112 lines
2.9 KiB
Bash
APP_MODE=paper
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APP_TIMEZONE=Europe/Moscow
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APP_LOG_LEVEL=info
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APP_HEALTHCHECK_ADDR=:3300
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APP_SHUTDOWN_TIMEOUT_SEC=30
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TINVEST_TOKEN=
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TINVEST_ACCOUNT_ID=
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TINVEST_ENDPOINT=invest-public-api.tinkoff.ru:443
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TINVEST_APP_NAME=overnight-trading-bot
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TINVEST_REQUEST_TIMEOUT_SEC=10
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TINVEST_RETRY_COUNT=3
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TINVEST_RETRY_BACKOFF_SEC=2
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TINVEST_USE_SANDBOX=false
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TINVEST_TRADING_CALENDAR_EXCHANGE=MOEX
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DB_DSN=bot:change-me@tcp(db.example.internal:3306)/overnight_bot?parseTime=true&loc=UTC&multiStatements=true
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DB_MAX_OPEN_CONNS=20
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DB_MAX_IDLE_CONNS=5
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DB_CONN_MAX_LIFETIME_MIN=30
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DB_MIGRATIONS_AUTO_APPLY=true
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TELEGRAM_BOT_TOKEN=
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TELEGRAM_CHAT_ID=
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TELEGRAM_NOTIFY_INFO=true
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TELEGRAM_NOTIFY_WARN=true
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TELEGRAM_NOTIFY_ALERT=true
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TELEGRAM_NOTIFY_REPORT=true
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STRATEGY_ROLLING_SHORT=60
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STRATEGY_ROLLING_LONG=252
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STRATEGY_EWMA_LAMBDA=0.08
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STRATEGY_ALLOCATION_METHOD=equal_weight
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STRATEGY_MIN_TSTAT_60=1.25
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STRATEGY_MIN_WIN_RATE_60=0.55
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STRATEGY_MIN_NET_EDGE_BPS=10
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STRATEGY_RISK_BUFFER_BPS=5
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STRATEGY_EXPECTED_ENTRY_SLIPPAGE_BPS=8
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STRATEGY_EXPECTED_EXIT_SLIPPAGE_BPS=8
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STRATEGY_INTERVAL_VOLUME_LOOKBACK_DAYS=20
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STRATEGY_MAX_POSITIONS=5
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EXEC_ENTRY_SIGNAL_TIME=18:10:00
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EXEC_ENTRY_WINDOW_START=18:20:00
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EXEC_ENTRY_WINDOW_END=18:38:30
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EXEC_NO_NEW_ENTRY_AFTER=18:38:30
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EXEC_EXIT_WATCH_START=09:50:00
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EXEC_EXIT_NOT_BEFORE=10:03:00
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EXEC_EXIT_WINDOW_START=10:05:00
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EXEC_EXIT_WINDOW_END=10:25:00
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EXEC_HARD_EXIT_DEADLINE=10:45:00
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EXEC_MARKET_CLOSE=18:50:00
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EXEC_MIN_TIME_TO_CLOSE_SEC=90
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EXEC_ALLOW_MARKET_ORDERS=false
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EXEC_MAX_ENTRY_ORDER_ATTEMPTS=3
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EXEC_MAX_EXIT_ORDER_ATTEMPTS=3
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EXEC_PASSIVE_IMPROVE_TICKS=1
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EXEC_QUOTE_DEPTH=20
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EXEC_MAX_QUOTE_AGE_SEC=3
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EXEC_ORDER_POLL_INTERVAL_MS=500
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RISK_USE_MARGIN=false
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RISK_ALLOW_SHORT=false
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RISK_MAX_TOTAL_EXPOSURE_PCT=0.50
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RISK_MAX_POSITION_PCT=0.10
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RISK_MAX_DAILY_LOSS_PCT=0.01
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RISK_MAX_WEEKLY_LOSS_PCT=0.03
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RISK_MAX_MONTHLY_DRAWDOWN_PCT=0.07
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RISK_MAX_OPEN_POSITIONS=5
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RISK_MAX_AVG_SLIPPAGE_BPS_10_TRADES=15
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RISK_API_OUTAGE_HALT_SEC=180
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RISK_MAX_CLOCK_DRIFT_SEC=2
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RISK_RECONCILIATION_WINDOW_HOURS=72
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RISK_RECONCILIATION_SKEW_SEC=10
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RISK_COMMISSION_TOLERANCE_RUB=0.01
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RISK_CASH_USAGE_BUFFER=0.95
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RISK_RISK_BUDGET_PER_INSTRUMENT_PCT=0.005
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RISK_MIN_ORDER_NOTIONAL_RUB=1000
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RISK_SIZE_REDUCTION_WINDOW_TRADES=20
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RISK_SIZE_REDUCTION_FACTOR=0.5
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RISK_SIZE_REDUCTION_TRIGGER_BPS=-10
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LIQ_MIN_ADV_RUB=5000000
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LIQ_MAX_PARTICIPATION_RATE=0.01
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LIQ_MAX_SPREAD_BPS_DEFAULT=20
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LIQ_MAX_SPREAD_BPS_MONEY_MARKET=5
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LIQ_MAX_SPREAD_BPS_BOND_FUNDS=10
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LIQ_MAX_SPREAD_BPS_EQUITY_FUNDS=25
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LIQ_MAX_TICK_BPS=10
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COMM_REQUIRE_ZERO_COMMISSION=true
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COMM_QUARANTINE_ON_NONZERO=true
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COMM_FREE_ORDER_COUNT_POLICY=submitted
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BT_DATE_FROM=
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BT_DATE_TO=
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BT_ENTRY_SLIPPAGE_BPS=8
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BT_EXIT_SLIPPAGE_BPS=8
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BT_COMMISSION_ROUNDTRIP_BPS=0
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BT_USE_MINUTE_MODEL=false
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BT_OUTPUT_DIR=./backtest_out
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LIVE_TRADE_ACK=
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LIVE_READONLY_DAYS=0
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LIVE_PAPER_DAYS=0
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LIVE_SANDBOX_DAYS=0
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LIVE_COMMISSION_WHITELIST_CHECKED=false
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LIVE_TELEGRAM_TESTED=false
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LIVE_KILL_SWITCH_TESTED=false
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LIVE_SERVER_TIME_CHECKED=false
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LIVE_SMALL_CAPITAL=false
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