-
Notifications
You must be signed in to change notification settings - Fork 0
/
sim_cfg.yaml
149 lines (148 loc) · 6.24 KB
/
sim_cfg.yaml
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
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
venue:
stellaswap:
token_trading_universe:
- "0x818ec0A7Fe18Ff94269904fCED6AE3DaE6d6dC0b" # USDC_multi 100059900
- "0xAcc15dC74880C9944775448304B263D191c6077F" # wGLMR 86170833928555164034
- "0x0E358838ce72d5e61E0018a2ffaC4bEC5F4c88d2" # STELLA 252737768152886094298
- "0x27292cf0016E5dF1d8b37306B2A98588aCbD6fCA" # axlATOM 1608458
- "0xfA9343C3897324496A05fC75abeD6bAC29f8A40f" # ETH_multi 13271113431432677
holdings:
"0x818ec0A7Fe18Ff94269904fCED6AE3DaE6d6dC0b": 50059900 # USDC $50
"0xAcc15dC74880C9944775448304B263D191c6077F": 8617083392855516403400 # 86170833928555164034 # wGLMR $50
"0x0E358838ce72d5e61E0018a2ffaC4bEC5F4c88d2": 252737768152886094298 # STELLA $30
"0x27292cf0016E5dF1d8b37306B2A98588aCbD6fCA": 1608458 # ATOM $25
"0xfA9343C3897324496A05fC75abeD6bAC29f8A40f": 13271113431432677 # ETH $23
"0xc9BAA8cfdDe8E328787E29b4B078abf2DaDc2055": 100000000000000000 # fake BNB holdings -> $30
"0xFfFFfFff1FcaCBd218EDc0EbA20Fc2308C778080": 81727243835 # xcDOT holdings -> $50
data_path:
liquid_pairs: "data/stellaswap_liquid_pairs.csv"
pair_metadata: "data/stellaswap_metadata_snapshot.csv"
contract_address:
factory: "0x68A384D826D3678f78BB9FB1533c7E9577dACc0E"
router: "0x70085a09D30D6f8C4ecF6eE10120d1847383BB57"
token: "0x0E358838ce72d5e61E0018a2ffaC4bEC5F4c88d2"
abi_path:
factory: "abi/stellaswap_factory_abi.json"
router: "abi/stellaswap_router_abi.json"
token: "abi/stellaswap_token_abi.json"
pair: "abi/stellaswap_pair_abi.json"
order_sender:
wallet_address: "0x05a81d8564a3eA298660e34e03E5Eff9a29d7a2A"
should_send_orders: false # sends orders (live trading) if true!
max_txn_fee_proportion_of_pnl: 0.5
max_fee_per_gas_gwei: 2000
min_glmr_balance: 2
strategy:
cyclic_arbitrage:
amount_in_lower_bound_usd: 0.01
amount_in_upper_bound_usd: 10
min_expected_profit_usd: 0.03
acceptable_slippage_rate: 0.5
order_timeout_seconds: 45
binance_alpha:
usdc_eth:
pair_address: "0x0Aa48bF937ee8F41f1a52D225EF5A6F6961e39FA"
allow_consecutive_same_side_orders: false
allow_opposite_side_order_to_close: true
allowance:
"0xfA9343C3897324496A05fC75abeD6bAC29f8A40f": 130000000000000000 # ETH_multi
"0x818ec0A7Fe18Ff94269904fCED6AE3DaE6d6dC0b": 30000000 # USDC_multi
risk: 0.9
max_our_trade_impact_rate_bps: 15
acceptable_slippage_bps: 10
binance_quote_calculation:
numerator:
type: "constant"
value: 1
denominator:
type: "binance"
symbol: "ETHUSDT"
price_data_pull_rate_seconds: 3 # only used in prod
# smoothed_price_{t+1} = new_price * factor + smoothed_price * (1 - factor)
# i.e. factor = 1 no smoothing; 0 means the smoothed price never updates
price_exp_smooth_factor: 0.1 # 1
trigger_open_order:
name: "price_movement_predictor"
alpha_bps: 100
# Any alpha_bps in the close triggers must be less than the alpha_bps in the open trigger!
trigger_close_order: # OR of the following list (any trigger closes the order)
- name: "alpha_reversal"
alpha_bps: -15
- name: "combined_price_alpha_decay_target" # AND of the following conditions
price_delta_bps: 60
alpha_bps: 15
- name: "combined_price_alpha_growth_target" # AND of the following conditions
price_delta_bps: 95
alpha_bps: 35
# stella price can swing wildly with large trades so we add an alpha component to the trigger
- name: "combined_price_alpha_stop_loss" # AND of the following conditions
price_delta_bps: -25
alpha_bps: 25
usdc_bnb:
pair_address: "0xAc2657ba28768FE5F09052f07A9B7ea867A4608f"
allow_consecutive_same_side_orders: false
allow_opposite_side_order_to_close: true
allowance:
"0xfA9343C3897324496A05fC75abeD6bAC29f8A40f": 13000000000000000 # ETH_multi
"0xc9BAA8cfdDe8E328787E29b4B078abf2DaDc2055": 100000000000000000 # fake BNB holdings
"0x818ec0A7Fe18Ff94269904fCED6AE3DaE6d6dC0b": 30000000 # USDC_multi
risk: 0.9
max_our_trade_impact_rate_bps: 15
acceptable_slippage_bps: 10
binance_quote_calculation:
numerator:
type: "constant"
value: 1
denominator:
type: "binance"
symbol: "BNBUSDT"
price_data_pull_rate_seconds: 3 # only used in prod
price_exp_smooth_factor: 0.1 # 1
trigger_open_order:
name: "price_movement_predictor"
alpha_bps: 100
trigger_close_order: # OR of the following list (any trigger closes the order)
- name: "alpha_reversal"
alpha_bps: -15
- name: "combined_price_alpha_decay_target" # AND of the following conditions
price_delta_bps: 60
alpha_bps: 15
- name: "combined_price_alpha_growth_target" # AND of the following conditions
price_delta_bps: 95
alpha_bps: 35
- name: "combined_price_alpha_stop_loss" # AND of the following conditions
price_delta_bps: -25
alpha_bps: 25
wglmr_xcdot:
acceptable_slippage_bps: 10
allow_consecutive_same_side_orders: false
allow_opposite_side_order_to_close: false
allowance:
'0xAcc15dC74880C9944775448304B263D191c6077F': 80000000000000000000
'0xFfFFfFff1FcaCBd218EDc0EbA20Fc2308C778080': 80000000000
binance_quote_calculation:
denominator:
price_data_pull_rate_seconds: 3
price_exp_smooth_factor: 0.5
symbol: DOTUSDT
type: binance
numerator:
price_exp_smooth_factor: 0.5
symbol: GLMRUSDT
type: binance
max_our_trade_impact_rate_bps: 4.5 | 9 | 13.5 | 18
pair_address: '0xa927E1e1E044CA1D9fe1854585003477331fE2Af'
risk: 0.9
trigger_close_order:
- alpha_bps: 0
name: combined_price_alpha_growth_target
price_delta_bps: 96
- alpha_bps: 6
name: combined_price_alpha_decay_target
price_delta_bps: 70
- alpha_bps: 0
name: combined_price_alpha_stop_loss
price_delta_bps: -37
trigger_open_order:
alpha_bps: 80
name: price_movement_predictor