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
112 lines
2.7 KiB
Text
112 lines
2.7 KiB
Text
NATS_URL=nats://nats:4222
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CLICKHOUSE_URL=http://clickhouse:8123
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CLICKHOUSE_DATABASE=default
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REDIS_URL=redis://redis:6379
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API_PORT=4000
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REST_DEFAULT_LIMIT=200
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API_DELIVER_POLICY=new
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API_CONSUMER_RESET=false
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NPM_SHARED_NETWORK=npm-shared
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# Recommended with NPM on the same Docker network:
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# app.<domain> -> web:3000
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# api.<domain> -> api:4000
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# Leave NEXT_PUBLIC_API_URL empty to use same-origin mode
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# (app.<domain> serves UI and proxies API paths to api:4000).
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NEXT_PUBLIC_API_URL=https://api.example.com
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NEXT_PUBLIC_NBBO_MAX_AGE_MS=1000
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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_NBBO_SCHEMA=tbbo
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DATABENTO_START=
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DATABENTO_END=
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DATABENTO_SYMBOLS=ALL
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DATABENTO_STYPE_IN=raw_symbol
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DATABENTO_STYPE_OUT=raw_symbol
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DATABENTO_LIMIT=0
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DATABENTO_PRICE_SCALE=1
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DATABENTO_PYTHON_BIN=python3
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# IBKR adapter (options)
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IBKR_HOST=host.docker.internal
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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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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 and inference
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COMPUTE_DELIVER_POLICY=new
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COMPUTE_CONSUMER_RESET=false
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NBBO_MAX_AGE_MS=1000
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ROLLING_WINDOW_SIZE=50
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ROLLING_TTL_SEC=86400
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EQUITY_QUOTE_MAX_AGE_MS=1000
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DARK_INFER_WINDOW_MS=60000
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DARK_INFER_COOLDOWN_MS=30000
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DARK_INFER_MIN_BLOCK_SIZE=2000
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DARK_INFER_MIN_ACCUM_SIZE=3000
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DARK_INFER_MIN_ACCUM_COUNT=4
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DARK_INFER_MIN_PRINT_SIZE=200
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DARK_INFER_MAX_EVIDENCE=20
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DARK_INFER_MAX_SPREAD_PCT=0.005
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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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# Candles
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CANDLE_INTERVALS_MS=60000,300000
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CANDLE_MAX_LATE_MS=0
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CANDLE_CACHE_LIMIT=2000
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CANDLE_DELIVER_POLICY=new
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CANDLE_CONSUMER_RESET=false
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# Replay profile
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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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