LTSM-Forex-Bot/config/config.yaml

# LSTM Trading Bot Configuration
# Multi-timeframe LSTM model for forex/crypto trading

# Data Configuration
data:
  symbols: ["EURUSD", "BTCUSD", "ETHUSD"]
  timeframes: ["15m", "30m", "1h", "2h"]
  start_date: "2020-01-01"
  end_date: "2024-12-31"
  data_source: "csv"  # csv, alpaca, binance, oanda
  data_dir: "data/raw"
  cache_dir: "data/cache"

  # Feature Engineering
  features:
    technical_indicators:
      - rsi
      - macd
      - stochastic
      - atr
      - bollinger_bands
      - sma_fast
      - sma_slow
      - ema_fast
      - ema_slow
      - vwap
      - volatility

    # Lagged features
    lagged_features:
      returns: [1, 2, 3, 5, 10, 20]
      volume: [1, 5, 10]

    # Calendar features
    calendar_features:
      - hour_of_day
      - day_of_week
      - month
      - quarter
      - is_weekend

    # Regime features (optional HMM)
    regime_features: false
    n_regimes: 3

# Model Configuration
model:
  # Architecture options: "single_lstm", "multi_lstm_fusion"
  architecture: "multi_lstm_fusion"

  # Model parameters
  input_size: 64  # Will be calculated based on features
  hidden_size: 128
  num_layers: 2
  dropout: 0.2
  sequence_length: 60

  # Multi-LSTM specific
  fusion_strategy: "concatenate"  # concatenate, attention, dense

  # Output configuration
  output_mode: "classification"  # regression, classification
  num_classes: 3  # for classification: long/flat/short

  # Regularization
  use_layer_norm: true
  use_attention: false

# Training Configuration
training:
  # Data split
  train_ratio: 0.7
  val_ratio: 0.15
  test_ratio: 0.15

  # Training parameters
  batch_size: 32
  num_epochs: 100
  learning_rate: 0.001
  weight_decay: 0.0001

  # Loss and metrics
  loss_function: "focal_loss"  # mse, cross_entropy, focal_loss
  label_smoothing: 0.1

  # Optimization
  optimizer: "adam"  # adam, adamw, sgd
  scheduler: "cosine_annealing"  # cosine_annealing, step, plateau

  # Early stopping
  patience: 10
  min_delta: 0.001

  # Optuna hyperparameter search
  optuna_trials: 50
  optuna_timeout: 3600  # seconds

# Backtesting Configuration
backtest:
  # Broker settings
  broker: "backtrader"
  commission: 0.0002  # 2 pips for forex, 0.1% for crypto
  slippage: 0.0001
  stake: 10000  # Starting capital

  # Risk management
  risk:
    max_position_size: 0.02  # 2% of capital per trade
    max_positions: 5
    stop_loss: 0.02  # 2%
    take_profit: 0.04  # 4%
    trailing_stop: true
    circuit_breaker_drawdown: 0.15  # 15% drawdown threshold

  # Backtest parameters
  warmup_periods: 100  # Periods to wait before trading
  benchmark: "buy_and_hold"  # buy_and_hold, none

# Live Trading Configuration
live:
  mode: "paper"  # paper, live
  broker: "alpaca"  # alpaca, oanda, binance

  # Streaming
  realtime_data_provider: "alpaca"  # alpaca, binance, oanda
  reconnect_attempts: 5
  reconnect_delay: 5  # seconds
  rate_limit_delay: 0.1  # seconds between requests

  # Execution
  execution_delay: 1  # seconds between signal checks
  order_timeout: 30  # seconds to wait for order fill

  # Risk management (live)
  daily_loss_limit: 0.05  # 5% daily loss limit
  max_drawdown: 0.20  # 20% max drawdown

  # Broker credentials and connection defaults
  api_key: ""
  api_secret: ""
  base_url: ""

  # TradeLocker settings
  tradelocker_access_token: ""
  tradelocker_email: ""
  tradelocker_password: ""
  tradelocker_server: "SERVER"
  tradelocker_account_id: null
  tradelocker_acc_num: null
  tradelocker_developer_api_key: ""
  tradelocker_demo_base_url: "https://demo.tradelocker.com/backend-api"
  tradelocker_live_base_url: "https://live.tradelocker.com/backend-api"

  # Alerts
  enable_alerts: false
  alert_webhook: ""
  alert_thresholds:
    drawdown: 0.10
    loss_streak: 5

# Logging and Monitoring
logging:
  level: "INFO"
  file: "logs/trading_bot.log"
  max_size: 10485760  # 10MB
  backup_count: 5

  # Metrics to track
  metrics:
    - sharpe_ratio
    - max_drawdown
    - calmar_ratio
    - hit_ratio
    - profit_factor
    - total_return

# Environment Variables (set in .env)
# API_KEY_ALPACA=
# API_SECRET_ALPACA=
# API_KEY_OANDA=
# API_KEY_BINANCE=
# TRADELOCKER_ACCESS_TOKEN=
# TRADELOCKER_EMAIL=
# TRADELOCKER_PASSWORD=
# TRADELOCKER_SERVER=
# TRADELOCKER_ACCOUNT_ID=
# TRADELOCKER_ACC_NUM=
# TRADELOCKER_DEVELOPER_API_KEY=
# SLACK_WEBHOOK=
# DISCORD_WEBHOOK=