Overnight Trading Bot

English / Русский

A Go research bot for studying a close -> next open overnight strategy on T-Capital funds through the T-Invest API.

The project is intended for statistical research, backtesting, paper trading, sandbox checks, and tightly controlled live-readonly/live-trade experiments. It is not designed for market manipulation, price impact, or evading legal requirements. Orders must have a genuine execution intent, use limit-only execution, and pass liquidity, spread, commission, reconciliation, and risk controls.

One research thread is the overnight/intraday returns anomaly discussed by Bruce Knuteson in “Nothing to See Here: How to Say It When You Need to” (ssrn-4619084).

License: MIT.

Quick Start

cp .env.example .env
make test
APP_MODE=backtest go run ./cmd/bot

Daemon modes (paper, sandbox, live_readonly, live_trade) require a MariaDB/MySQL DB_DSN. live_trade also requires LIVE_TRADE_ACK=I_ACCEPT_RISK and the live pre-flight checks listed below.

Modes

Mode	Purpose
backtest	Offline research mode. Does not require a database or T-Invest credentials when run through cmd/bot.
paper	Simulated orders. Without TINVEST_TOKEN, uses a fake gateway; with a token, uses real market data/status and simulated execution.
sandbox	T-Invest sandbox API. Requires token and account id.
live_readonly	Live API access without broker order placement. Used for observation and reconciliation.
live_trade	Real limit-order trading. Guarded by explicit risk acknowledgement and pre-flight requirements.

Configuration

Configuration is read from environment variables, usually through .env. If a value cannot be parsed, startup fails with load ENV config.

Common formats:

• Times use HH:MM:SS and are interpreted in Europe/Moscow.
• Percentages are decimal fractions: 0.10 means 10%, 0.005 means 0.5%.
• bps means basis points: 10 means 0.10%.
• Boolean values are true or false.
• Defaults below match .env.example and the code defaults.

APP

Variable	Default	Description
APP_MODE	paper	One of backtest, paper, sandbox, live_readonly, live_trade; required by the code.
APP_TIMEZONE	Europe/Moscow	Trading schedule timezone; validation currently allows only Europe/Moscow.
APP_LOG_LEVEL	info	JSON log level: debug, info, warn, warning, error.
APP_HEALTHCHECK_ADDR	:3300	HTTP address for /health and /ready.
APP_SHUTDOWN_TIMEOUT_SEC	30	Graceful shutdown timeout in seconds.

TINVEST

Variable	Default	Description
TINVEST_TOKEN	empty	API token. Required for sandbox, live_readonly, and live_trade; optional in paper.
TINVEST_ACCOUNT_ID	empty	Broker account id. Required for API-backed modes.
TINVEST_ENDPOINT	invest-public-api.tinkoff.ru:443	T-Invest gRPC endpoint; sandbox mode overrides this where needed.
TINVEST_APP_NAME	overnight-trading-bot	Application/client name passed to the SDK.
TINVEST_REQUEST_TIMEOUT_SEC	10	API request timeout, including retry sequences.
TINVEST_RETRY_COUNT	3	Number of T-Invest SDK attempts.
TINVEST_RETRY_BACKOFF_SEC	2	Initial exponential backoff in seconds.
TINVEST_USE_SANDBOX	false	Compatibility guard; valid only with APP_MODE=sandbox.
TINVEST_TRADING_CALENDAR_EXCHANGE	MOEX	Exchange calendar used to load trading days.

DB

Variable	Default	Description
DB_DSN	example DSN	MySQL/MariaDB DSN. Required outside backtest. Stores instruments, candles, signals, orders, positions, risk events, and reports.
DB_MAX_OPEN_CONNS	20	Maximum open database connections.
DB_MAX_IDLE_CONNS	5	Idle connection pool size.
DB_CONN_MAX_LIFETIME_MIN	30	Connection lifetime in minutes.
DB_MIGRATIONS_AUTO_APPLY	true	Apply migrations automatically at daemon startup.

TELEGRAM

Variable	Default	Description
TELEGRAM_BOT_TOKEN	empty	Telegram bot token. Empty token or chat id disables notifications.
TELEGRAM_CHAT_ID	0	Telegram chat id; 0 disables Telegram.
TELEGRAM_NOTIFY_INFO	true	Send informational messages.
TELEGRAM_NOTIFY_WARN	true	Send warnings.
TELEGRAM_NOTIFY_ALERT	true	Send critical alerts.
TELEGRAM_NOTIFY_REPORT	true	Send daily reports.

STRATEGY

Variable	Default	Description
STRATEGY_ROLLING_SHORT	60	Short rolling window for overnight-return statistics.
STRATEGY_ROLLING_LONG	252	Long rolling window for persistent edge checks and backfill depth.
STRATEGY_EWMA_LAMBDA	0.08	EWMA weight for fresh overnight observations.
STRATEGY_ALLOCATION_METHOD	equal_weight	Capital allocation method; only equal_weight is currently supported.
STRATEGY_MIN_TSTAT_60	1.25	Minimum short-window t-statistic.
STRATEGY_MIN_WIN_RATE_60	0.55	Minimum positive overnight observation share.
STRATEGY_MIN_NET_EDGE_BPS	10	Minimum expected net edge after costs.
STRATEGY_RISK_BUFFER_BPS	5	Extra cost buffer subtracted from expected edge.
STRATEGY_EXPECTED_ENTRY_SLIPPAGE_BPS	8	Expected entry slippage used in signal costs and app-level backtest config.
STRATEGY_EXPECTED_EXIT_SLIPPAGE_BPS	8	Expected exit slippage used in signal costs and app-level backtest config.
STRATEGY_INTERVAL_VOLUME_LOOKBACK_DAYS	20	Lookback for entry/exit interval volume used by participation sizing.
STRATEGY_MAX_POSITIONS	5	Maximum selected/open positions at signal level.

EXEC

Variable	Default	Description
EXEC_ENTRY_SIGNAL_TIME	18:10:00	Time to prepare data and generate entry signals.
EXEC_ENTRY_WINDOW_START	18:20:00	Start of the entry order window.
EXEC_ENTRY_WINDOW_END	18:38:30	End of active entry order placement.
EXEC_NO_NEW_ENTRY_AFTER	18:38:30	No new entry orders after this time.
EXEC_EXIT_WATCH_START	09:50:00	Morning watch start before exit.
EXEC_EXIT_NOT_BEFORE	10:03:00	Lower bound for exit timing validation.
EXEC_EXIT_WINDOW_START	10:05:00	Start of exit order placement.
EXEC_EXIT_WINDOW_END	10:25:00	End of new exit order placement.
EXEC_HARD_EXIT_DEADLINE	10:45:00	Final exit deadline before reconciliation/reporting and HALT handling.
EXEC_MARKET_CLOSE	18:50:00	Market close reference for pre-trade time-to-close checks.
EXEC_MIN_TIME_TO_CLOSE_SEC	90	Minimum remaining time before close required for pre-trade checks.
EXEC_ALLOW_MARKET_ORDERS	false	Must remain false; the strategy is limit-only.
EXEC_MAX_ENTRY_ORDER_ATTEMPTS	3	Maximum entry repost attempts.
EXEC_MAX_EXIT_ORDER_ATTEMPTS	3	Maximum exit repost attempts.
EXEC_PASSIVE_IMPROVE_TICKS	1	Tick improvement from best bid/ask when pricing passive limits.
EXEC_QUOTE_DEPTH	20	Order-book depth, validated in 1..50.
EXEC_MAX_QUOTE_AGE_SEC	3	Maximum acceptable quote age.
EXEC_ORDER_POLL_INTERVAL_MS	500	Order-status polling interval.

RISK

Variable	Default	Description
RISK_USE_MARGIN	false	Must remain false; margin is disabled.
RISK_ALLOW_SHORT	false	Must remain false; short positions are disabled.
RISK_MAX_TOTAL_EXPOSURE_PCT	0.50	Total exposure cap as a fraction of equity.
RISK_MAX_POSITION_PCT	0.10	Per-position exposure cap as a fraction of equity.
RISK_MAX_DAILY_LOSS_PCT	0.01	Daily loss stop.
RISK_MAX_WEEKLY_LOSS_PCT	0.03	Weekly loss stop.
RISK_MAX_MONTHLY_DRAWDOWN_PCT	0.07	Monthly drawdown stop.
RISK_MAX_OPEN_POSITIONS	5	Risk-level open-position cap.
RISK_MAX_AVG_SLIPPAGE_BPS_10_TRADES	15	Blocks new orders after excessive average slippage over 10 trades.
RISK_API_OUTAGE_HALT_SEC	180	API/infrastructure outage duration before HALT.
RISK_MAX_CLOCK_DRIFT_SEC	2	Maximum local/API server time drift accepted by readiness checks.
RISK_RECONCILIATION_WINDOW_HOURS	72	Broker/local reconciliation window.
RISK_RECONCILIATION_SKEW_SEC	10	Grace period for fresh in-flight orders during reconciliation.
RISK_COMMISSION_TOLERANCE_RUB	0.01	Commission comparison tolerance. Non-zero broker commission still violates zero-commission policy when required.
RISK_CASH_USAGE_BUFFER	0.95	Fraction of available cash usable for sizing.
RISK_RISK_BUDGET_PER_INSTRUMENT_PCT	0.005	Per-instrument risk budget used with adverse overnight move estimates.
RISK_MIN_ORDER_NOTIONAL_RUB	1000	Minimum order notional.
RISK_SIZE_REDUCTION_WINDOW_TRADES	20	Closed-trade window for realized-vs-expected edge checks.
RISK_SIZE_REDUCTION_FACTOR	0.5	Sizing multiplier applied after sustained edge deterioration.
RISK_SIZE_REDUCTION_TRIGGER_BPS	-10	Average error threshold that triggers size reduction.

If the average realized_edge_bps - expected_net_edge_bps over the configured closed-trade window is below the trigger, the scheduler emits a risk event and reduces sizing. Repeated deterioration in live_trade can switch the runtime mode to live_readonly.

LIQ

Variable	Default	Description
LIQ_MIN_ADV_RUB	5000000	Minimum 20-day average daily RUB volume.
LIQ_MAX_PARTICIPATION_RATE	0.01	Maximum share of entry/exit interval volume usable by the bot.
LIQ_MAX_SPREAD_BPS_DEFAULT	20	Default spread cap.
LIQ_MAX_SPREAD_BPS_MONEY_MARKET	5	Money-market fund spread cap.
LIQ_MAX_SPREAD_BPS_BOND_FUNDS	10	Bond fund spread cap.
LIQ_MAX_SPREAD_BPS_EQUITY_FUNDS	25	Equity fund spread cap.
LIQ_MAX_TICK_BPS	10	Maximum tick size relative to price.

COMM

Variable	Default	Description
COMM_REQUIRE_ZERO_COMMISSION	true	Rejects signals with expected commission above zero.
COMM_QUARANTINE_ON_NONZERO	true	Quarantines instruments and halts on actual non-zero broker commission.
COMM_FREE_ORDER_COUNT_POLICY	submitted	Free-order accounting policy: submitted or cancel_counts.

For instruments, free_order_limit_per_day=0 means the free-order policy is not configured and new entries are blocked; -1 means the absence of a daily free-order limit has been explicitly confirmed.

BT

Variable	Default	Description
BT_DATE_FROM	empty	Reserved period filter.
BT_DATE_TO	empty	Reserved period filter.
BT_ENTRY_SLIPPAGE_BPS	8	Backtest entry slippage.
BT_EXIT_SLIPPAGE_BPS	8	Backtest exit slippage.
BT_COMMISSION_ROUNDTRIP_BPS	0	Backtest round-trip commission.
BT_USE_MINUTE_MODEL	false	Enables conservative minute-candle execution modeling.
BT_OUTPUT_DIR	./backtest_out	Reserved output directory; the CLI currently uses -out.

LIVE

Variable	Default	Description
LIVE_TRADE_ACK	empty	Must be exactly I_ACCEPT_RISK for APP_MODE=live_trade.
LIVE_READONLY_DAYS	0	Must be at least 20 for live_trade.
LIVE_PAPER_DAYS	0	Must be at least 20 for live_trade.
LIVE_SANDBOX_DAYS	0	Must be at least 10 for live_trade.
LIVE_COMMISSION_WHITELIST_CHECKED	false	Must be true for live_trade.
LIVE_TELEGRAM_TESTED	false	Must be true for live_trade.
LIVE_KILL_SWITCH_TESTED	false	Must be true for live_trade.
LIVE_SERVER_TIME_CHECKED	false	Must be true for live_trade.
LIVE_SMALL_CAPITAL	false	Must be true for live_trade.

Commands

make fmt
make vet
make lint
make test
make race
make build

go run ./cmd/migrate -direction=up
go run ./cmd/migrate up
go run ./cmd/mode-days -check=true

go run ./cmd/backtest -candles candles.csv -out ./backtest_out
go run ./cmd/backtest -candles candles.csv -minute-candles minute.csv -use-minute-model -out ./backtest_out

go run ./cmd/bot -mode=paper
go run ./cmd/bot -halt -reason="manual kill switch"
go run ./cmd/bot -unhalt -reason="manual reconciliation complete"
go run ./cmd/bot -healthcheck

Backtest CSV columns:

instrument_uid,trade_date,open,high,low,close,volume_lots,lot,min_price_increment
TRUR,2024-01-09,100,101,99,100.5,10000,10,0.01

The minute model uses the same format, but trade_date may be a timestamp such as 2024-01-09T18:25:00Z or 2024-01-09 18:25:00. The backtest CLI requires lot and min_price_increment for every instrument_uid; metadata may come from either the daily CSV or the minute CSV.

cmd/mode-days counts distinct days from system_state_history and checks the live_readonly >= 20, paper >= 20, and sandbox >= 10 live-trade gates. The history table is written after migration 0010.

ClientOrderID is deterministic by (date, instrument_uid, side, attempt), fits the T-Invest order_id <= 36 limit, and contains a SHA-256 suffix to suppress duplicate broker orders after restarts.

Deploy

The Gitea workflow builds static Linux binaries for cmd/bot, cmd/migrate, and cmd/backtest, ships them to the target host, installs the systemd unit from deploy/systemd/overnight-trading-bot.service, restarts the service, and verifies health with overnight-trading-bot -healthcheck.

Required Gitea secrets:

Secret	Description
secrets.DEPLOY_HOST	Target host IP or DNS name.
secrets.DEPLOY_SSH_PRIVATE_KEY_BASE64	Root deployment SSH private key encoded with base64 -w0 < id_ed25519.

Before the first deployment, create the production env file on the server:

install -d -m 0750 /etc/overnight-trading-bot
install -m 0640 .env.example /etc/overnight-trading-bot/overnight-trading-bot.env

Then replace DB_DSN with the external database address and fill T-Invest/Telegram secrets. The service runs as the unprivileged overnight-bot user with basic systemd hardening. Logs are available through:

journalctl -u overnight-trading-bot.service

Runbook

API unavailable in the morning:

1. The bot retries requests with backoff.
2. If the outage exceeds RISK_API_OUTAGE_HALT_SEC, the system enters HALTED.
3. After recovery, run reconciliation first.
4. Manual recovery uses go run ./cmd/bot -unhalt -reason="...".

Position not closed before the hard deadline:

1. The scheduler cancels active sell orders and marks unresolved positions as failed exit states.
2. New entries are blocked through HALTED with hard_exit_deadline_missed.
3. Manually reconcile broker portfolio, active orders, and the local database before unhalting.

Non-zero commission:

1. Reconciliation records a critical commission mismatch.
2. The instrument is quarantined when configured.
3. The bot enters HALTED through the zero-commission policy.