133 lines
3.6 KiB
Text
133 lines
3.6 KiB
Text
NATS_URL=nats://127.0.0.1:4222
|
|
CLICKHOUSE_URL=http://127.0.0.1:8123
|
|
CLICKHOUSE_DATABASE=default
|
|
REDIS_URL=redis://127.0.0.1:6379
|
|
|
|
# Options ingest
|
|
OPTIONS_INGEST_ADAPTER=synthetic
|
|
ALPACA_API_KEY=
|
|
ALPACA_REST_URL=https://data.alpaca.markets
|
|
ALPACA_WS_BASE_URL=wss://stream.data.alpaca.markets/v1beta1
|
|
ALPACA_FEED=indicative
|
|
ALPACA_UNDERLYINGS=SPY,NVDA,AAPL
|
|
ALPACA_STRIKES_PER_SIDE=8
|
|
ALPACA_MAX_DTE_DAYS=30
|
|
ALPACA_MONEYNESS_PCT=0.06
|
|
ALPACA_MONEYNESS_FALLBACK_PCT=0.1
|
|
ALPACA_MAX_QUOTES=200
|
|
|
|
# Databento replay
|
|
DATABENTO_API_KEY=
|
|
DATABENTO_DATASET=OPRA.PILLAR
|
|
DATABENTO_SCHEMA=trades
|
|
DATABENTO_START=
|
|
DATABENTO_END=
|
|
DATABENTO_SYMBOLS=SPY.OPT
|
|
DATABENTO_STYPE_IN=parent
|
|
DATABENTO_STYPE_OUT=instrument_id
|
|
DATABENTO_LIMIT=0
|
|
DATABENTO_PRICE_SCALE=1
|
|
DATABENTO_PYTHON_BIN=py/.venv/bin/python
|
|
|
|
# IBKR adapter (options)
|
|
IBKR_HOST=127.0.0.1
|
|
IBKR_PORT=7497
|
|
IBKR_CLIENT_ID=0
|
|
IBKR_SYMBOL=SPY
|
|
IBKR_EXPIRY=20250117
|
|
IBKR_STRIKE=450
|
|
IBKR_RIGHT=C
|
|
IBKR_EXCHANGE=SMART
|
|
IBKR_CURRENCY=USD
|
|
IBKR_PYTHON_BIN=python3
|
|
|
|
# Equities ingest
|
|
EQUITIES_INGEST_ADAPTER=synthetic
|
|
EMIT_INTERVAL_MS=1000
|
|
# When using EQUITIES_INGEST_ADAPTER=alpaca, choose "iex" (free) or "sip" (paid).
|
|
ALPACA_EQUITIES_FEED=iex
|
|
|
|
# Testing mode
|
|
TESTING_MODE=false
|
|
TESTING_THROTTLE_MS=200
|
|
|
|
# Compute consumer behavior
|
|
COMPUTE_DELIVER_POLICY=new
|
|
COMPUTE_CONSUMER_RESET=false
|
|
API_DELIVER_POLICY=new
|
|
API_CONSUMER_RESET=false
|
|
NBBO_MAX_AGE_MS=1000
|
|
NEXT_PUBLIC_NBBO_MAX_AGE_MS=1000
|
|
NEXT_PUBLIC_LIVE_HOT_WINDOW=600
|
|
NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS=1200
|
|
NEXT_PUBLIC_PINNED_EVIDENCE_TTL_MS=1200000
|
|
NEXT_PUBLIC_PINNED_EVIDENCE_MAX_ITEMS=4000
|
|
ROLLING_WINDOW_SIZE=50
|
|
ROLLING_TTL_SEC=86400
|
|
CLASSIFIER_SWEEP_MIN_PREMIUM=40000
|
|
CLASSIFIER_SWEEP_MIN_COUNT=3
|
|
CLASSIFIER_SWEEP_MIN_PREMIUM_Z=2
|
|
CLASSIFIER_SPIKE_MIN_PREMIUM=20000
|
|
CLASSIFIER_SPIKE_MIN_SIZE=400
|
|
CLASSIFIER_SPIKE_MIN_PREMIUM_Z=2.5
|
|
CLASSIFIER_SPIKE_MIN_SIZE_Z=2
|
|
CLASSIFIER_Z_MIN_SAMPLES=12
|
|
CLASSIFIER_MIN_NBBO_COVERAGE=0.5
|
|
CLASSIFIER_MIN_AGGRESSOR_RATIO=0.55
|
|
CLASSIFIER_0DTE_MAX_ATM_PCT=0.01
|
|
CLASSIFIER_0DTE_MIN_PREMIUM=20000
|
|
CLASSIFIER_0DTE_MIN_SIZE=400
|
|
|
|
# Smart money refdata
|
|
# Optional JSON event-calendar cache used by compute for event-driven profile enrichment.
|
|
SMART_MONEY_EVENT_CALENDAR_PATH=data/event-calendar.json
|
|
# Refdata service also accepts REFDATA_EVENT_CALENDAR_PATH; if unset it falls back to SMART_MONEY_EVENT_CALENDAR_PATH.
|
|
REFDATA_EVENT_CALENDAR_PATH=
|
|
# Set to alpha_vantage to refresh the JSON cache from Alpha Vantage's EARNINGS_CALENDAR CSV endpoint.
|
|
REFDATA_EVENT_CALENDAR_PROVIDER=
|
|
ALPHA_VANTAGE_API_KEY=
|
|
ALPHA_VANTAGE_EARNINGS_HORIZON=3month
|
|
ALPHA_VANTAGE_EARNINGS_SYMBOL=
|
|
REFDATA_EVENT_CALENDAR_REFRESH_MS=86400000
|
|
|
|
# Replay service
|
|
LOG_LEVEL=info
|
|
REPLAY_ENABLED=false
|
|
REPLAY_STREAMS=options,nbbo,equities,equity-quotes
|
|
REPLAY_START_TS=0
|
|
REPLAY_END_TS=0
|
|
REPLAY_SPEED=1
|
|
REPLAY_BATCH_SIZE=200
|
|
REPLAY_LOG_EVERY=1000
|
|
|
|
# API live retention (generic channels)
|
|
LIVE_LIMIT_DEFAULT=1000
|
|
LIVE_LIMIT_OPTIONS=1000
|
|
LIVE_LIMIT_NBBO=1000
|
|
LIVE_LIMIT_EQUITIES=1000
|
|
LIVE_LIMIT_EQUITY_QUOTES=500
|
|
LIVE_LIMIT_EQUITY_JOINS=500
|
|
LIVE_LIMIT_FLOW=500
|
|
LIVE_LIMIT_SMART_MONEY=300
|
|
LIVE_LIMIT_CLASSIFIER_HITS=300
|
|
LIVE_LIMIT_ALERTS=300
|
|
LIVE_LIMIT_INFERRED_DARK=300
|
|
LIVE_SCOPED_CACHE_MAX_KEYS=32
|
|
LIVE_REDIS_FLUSH_INTERVAL_MS=250
|
|
LIVE_REDIS_FLUSH_MAX_ITEMS=100
|
|
|
|
# Compute rolling/cache retention
|
|
ROLLING_CACHE_FLUSH_INTERVAL_MS=30000
|
|
ROLLING_CACHE_MAX_KEYS=20000
|
|
COMPUTE_NBBO_CACHE_MAX_KEYS=20000
|
|
COMPUTE_NBBO_CACHE_TTL_MS=900000
|
|
|
|
# Ingest context retention
|
|
OPTION_CONTEXT_MAX_KEYS=20000
|
|
OPTION_CONTEXT_TTL_MS=900000
|
|
|
|
# JetStream retention
|
|
STREAM_RAW_MAX_AGE_MS=3600000
|
|
STREAM_RAW_MAX_BYTES=536870912
|
|
STREAM_DERIVED_MAX_AGE_MS=43200000
|
|
STREAM_DERIVED_MAX_BYTES=268435456
|