Simon Moisy
c4ecb29d4c
- Changed `max_position_usdt` to -1.0 to indicate that all available funds should be used if the value is less than or equal to zero. - Modified the base size calculation in `LiveRegimeStrategy` to accommodate the new logic for `max_position_usdt`, ensuring it uses all available funds when applicable.
121 lines
4.4 KiB
Python
121 lines
4.4 KiB
Python
"""
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Configuration for Live Trading.
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Loads OKX API credentials from environment variables.
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Uses demo/sandbox mode by default for paper trading.
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"""
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import os
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from pathlib import Path
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from dataclasses import dataclass, field
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from dotenv import load_dotenv
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# Load .env from sibling project (BTC_spot_MVRV)
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ENV_PATH = Path(__file__).parent.parent.parent / "BTC_spot_MVRV" / ".env"
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if ENV_PATH.exists():
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load_dotenv(ENV_PATH)
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else:
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# Fallback to local .env
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load_dotenv()
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@dataclass
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class OKXConfig:
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"""OKX API configuration."""
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api_key: str = field(default_factory=lambda: "")
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secret: str = field(default_factory=lambda: "")
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password: str = field(default_factory=lambda: "")
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demo_mode: bool = field(default_factory=lambda: True)
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def __post_init__(self):
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"""Load credentials based on demo mode setting."""
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# Check demo mode first
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self.demo_mode = os.getenv("OKX_DEMO_MODE", "true").lower() in ("true", "1", "yes")
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if self.demo_mode:
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# Load demo-specific credentials if available
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self.api_key = os.getenv("OKX_DEMO_API_KEY", os.getenv("OKX_API_KEY", ""))
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self.secret = os.getenv("OKX_DEMO_SECRET", os.getenv("OKX_SECRET", ""))
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self.password = os.getenv("OKX_DEMO_PASSWORD", os.getenv("OKX_PASSWORD", ""))
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else:
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# Load live credentials
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self.api_key = os.getenv("OKX_API_KEY", "")
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self.secret = os.getenv("OKX_SECRET", "")
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self.password = os.getenv("OKX_PASSWORD", "")
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def validate(self) -> None:
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"""Validate that required credentials are present."""
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mode = "demo" if self.demo_mode else "live"
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if not self.api_key:
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raise ValueError(f"OKX API key not set for {mode} mode")
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if not self.secret:
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raise ValueError(f"OKX secret not set for {mode} mode")
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if not self.password:
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raise ValueError(f"OKX password not set for {mode} mode")
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@dataclass
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class TradingConfig:
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"""Trading parameters configuration."""
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# Trading pairs
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eth_symbol: str = "ETH/USDT:USDT" # ETH perpetual (primary trading asset)
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btc_symbol: str = "BTC/USDT:USDT" # BTC perpetual (context asset)
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# Timeframe
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timeframe: str = "1h"
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candles_to_fetch: int = 500 # Enough for feature calculation
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# Position sizing
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max_position_usdt: float = -1.0 # Max position size in USDT. If <= 0, use all available funds
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min_position_usdt: float = 10.0 # Min position size in USDT
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leverage: int = 1 # Leverage (1x = no leverage)
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margin_mode: str = "cross" # "cross" or "isolated"
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# Risk management
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stop_loss_pct: float = 0.06 # 6% stop loss
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take_profit_pct: float = 0.05 # 5% take profit
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max_concurrent_positions: int = 1 # Max open positions
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# Strategy parameters (from regime_strategy.py)
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z_entry_threshold: float = 1.0 # Enter when |Z| > 1.0
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z_window: int = 24 # 24h rolling Z-score window
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model_prob_threshold: float = 0.5 # ML model probability threshold
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funding_threshold: float = 0.005 # Funding rate filter threshold
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# Execution
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sleep_seconds: int = 3600 # Run every hour (1h candles)
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slippage_pct: float = 0.001 # 0.1% slippage buffer
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@dataclass
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class PathConfig:
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"""File paths configuration."""
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base_dir: Path = field(
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default_factory=lambda: Path(__file__).parent.parent
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)
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data_dir: Path = field(default=None)
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logs_dir: Path = field(default=None)
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model_path: Path = field(default=None)
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positions_file: Path = field(default=None)
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trade_log_file: Path = field(default=None)
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cq_data_path: Path = field(default=None)
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def __post_init__(self):
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self.data_dir = self.base_dir / "data"
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self.logs_dir = self.base_dir / "logs"
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self.model_path = self.base_dir / "live_trading" / "regime_model.pkl"
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self.positions_file = self.base_dir / "live_trading" / "positions.json"
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self.trade_log_file = self.base_dir / "live_trading" / "trade_log.csv"
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self.cq_data_path = self.data_dir / "cq_training_data.csv"
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# Ensure directories exist
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self.data_dir.mkdir(parents=True, exist_ok=True)
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self.logs_dir.mkdir(parents=True, exist_ok=True)
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def get_config():
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"""Get all configuration objects."""
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okx = OKXConfig()
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trading = TradingConfig()
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paths = PathConfig()
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return okx, trading, paths
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