dirtydishes
d3ff19b5c0
- Add API JetStream deliver policy and reset env flags - Reset stale API consumers on startup when needed - Move synthetic trade emission after NBBO to reduce lag
98 lines
2.4 KiB
Text
98 lines
2.4 KiB
Text
NATS_URL=nats://127.0.0.1:4222
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CLICKHOUSE_URL=http://127.0.0.1:8123
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CLICKHOUSE_DATABASE=default
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REDIS_URL=redis://127.0.0.1:6379
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# Options ingest
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OPTIONS_INGEST_ADAPTER=synthetic
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ALPACA_KEY_ID=
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ALPACA_SECRET_KEY=
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ALPACA_REST_URL=https://data.alpaca.markets
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ALPACA_WS_BASE_URL=wss://stream.data.alpaca.markets/v1beta1
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ALPACA_FEED=indicative
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ALPACA_UNDERLYINGS=SPY,NVDA,AAPL
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ALPACA_STRIKES_PER_SIDE=8
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ALPACA_MAX_DTE_DAYS=30
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ALPACA_MONEYNESS_PCT=0.06
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ALPACA_MONEYNESS_FALLBACK_PCT=0.1
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ALPACA_MAX_QUOTES=200
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# Databento replay
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DATABENTO_API_KEY=
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DATABENTO_DATASET=OPRA.PILLAR
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DATABENTO_SCHEMA=trades
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DATABENTO_START=
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DATABENTO_END=
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DATABENTO_SYMBOLS=SPY.OPT
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DATABENTO_STYPE_IN=parent
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DATABENTO_STYPE_OUT=instrument_id
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DATABENTO_LIMIT=0
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DATABENTO_PRICE_SCALE=1
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DATABENTO_PYTHON_BIN=py/.venv/bin/python
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# IBKR adapter (options)
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IBKR_HOST=127.0.0.1
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IBKR_PORT=7497
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IBKR_CLIENT_ID=0
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IBKR_SYMBOL=SPY
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IBKR_EXPIRY=20250117
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IBKR_STRIKE=450
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IBKR_RIGHT=C
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IBKR_EXCHANGE=SMART
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IBKR_CURRENCY=USD
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IBKR_PYTHON_BIN=python3
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# Equities ingest
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EQUITIES_INGEST_ADAPTER=synthetic
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EMIT_INTERVAL_MS=1000
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# When using EQUITIES_INGEST_ADAPTER=alpaca, choose "iex" (free) or "sip" (paid).
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ALPACA_EQUITIES_FEED=iex
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# Testing mode
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TESTING_MODE=false
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TESTING_THROTTLE_MS=200
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# Compute consumer behavior
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COMPUTE_DELIVER_POLICY=new
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COMPUTE_CONSUMER_RESET=false
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API_DELIVER_POLICY=new
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API_CONSUMER_RESET=false
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NBBO_MAX_AGE_MS=1000
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NEXT_PUBLIC_NBBO_MAX_AGE_MS=1000
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NEXT_PUBLIC_LIVE_HOT_WINDOW=2000
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NEXT_PUBLIC_PINNED_EVIDENCE_TTL_MS=1200000
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NEXT_PUBLIC_PINNED_EVIDENCE_MAX_ITEMS=4000
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ROLLING_WINDOW_SIZE=50
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ROLLING_TTL_SEC=86400
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CLASSIFIER_SWEEP_MIN_PREMIUM=40000
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CLASSIFIER_SWEEP_MIN_COUNT=3
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CLASSIFIER_SWEEP_MIN_PREMIUM_Z=2
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CLASSIFIER_SPIKE_MIN_PREMIUM=20000
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CLASSIFIER_SPIKE_MIN_SIZE=400
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CLASSIFIER_SPIKE_MIN_PREMIUM_Z=2.5
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CLASSIFIER_SPIKE_MIN_SIZE_Z=2
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CLASSIFIER_Z_MIN_SAMPLES=12
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CLASSIFIER_MIN_NBBO_COVERAGE=0.5
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CLASSIFIER_MIN_AGGRESSOR_RATIO=0.55
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CLASSIFIER_0DTE_MAX_ATM_PCT=0.01
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CLASSIFIER_0DTE_MIN_PREMIUM=20000
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CLASSIFIER_0DTE_MIN_SIZE=400
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# Replay service
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REPLAY_ENABLED=false
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REPLAY_STREAMS=options,nbbo,equities,equity-quotes
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REPLAY_START_TS=0
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REPLAY_END_TS=0
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REPLAY_SPEED=1
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REPLAY_BATCH_SIZE=200
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REPLAY_LOG_EVERY=1000
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# API live retention (generic channels)
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LIVE_LIMIT_OPTIONS=10000
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LIVE_LIMIT_NBBO=10000
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LIVE_LIMIT_EQUITIES=10000
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LIVE_LIMIT_EQUITY_JOINS=10000
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LIVE_LIMIT_FLOW=10000
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LIVE_LIMIT_CLASSIFIER_HITS=10000
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LIVE_LIMIT_ALERTS=10000
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LIVE_LIMIT_INFERRED_DARK=10000
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