intelligent-trading-bot/configs/config-sample-1min.jsonc

{
    "train": true,  // If true (offline) then models will be trained before use and more data will be processed. Use false for predict only (online) mode with only latest data

    "venue": "binance",
    
    //"client_args": {"tld": "us"},
    "api_key": "<binance-key>",
    "api_secret": "<binance-secret>",

    "telegram_bot_token": "<token>",
    "telegram_chat_id": "<chat-id-to-publish-messages>",

    "data_folder": "C:/DATA_ITB",

    "symbol": "BTCUSDT",

    "description": "BTCUSDT 1min",

    "freq": "1min", // pandas frequency

    "label_horizon": 120,  // Batch/offline: do not use these last rows because their labels might not be correct
    "features_horizon": 120, // Online/stream: Minimum data length for computing features (lookback). Take it from feature generator parameters
    "train_length": 525600,  // Batch/offline: Uses this number of rows for training (if not additionally limited by the algorithm)
    "predict_length": 288,  // These records must be kept up-to-date (in contrast to those in feature horizon)
    "append_overlap_records": 5,  // Online/stream: These records will be requested and then re-computed on each iteration

    // === DOWNLOAD AND MERGE ===

    "data_sources": [
        {"folder": "BTCUSDT", "file": "klines", "column_prefix": ""}
    ],

    // === GENERATE FEATURES ===

    "feature_sets": [
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["SMA"], "windows": [1, 5, 10, 15, 60]}},
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["LINEARREG_SLOPE"], "windows": [5, 10, 15, 60]}},
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["STDDEV"], "windows": [5, 10, 15, 60]}},
        {"column_prefix": "", "generator": "common.my_feature_example:my_feature_example", "feature_prefix": "", "config":  {"columns": "close", "function": "add", "parameter": 2.0, "names": "close_add"}}
    ],

    // === LABELS ===

    "label_sets": [
        {"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config":  {"columns": ["close", "high", "low"], "function": "high", "thresholds": [2.0], "tolerance": 0.2, "horizon": 120, "names": ["high_20"]}},
        {"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config":  {"columns": ["close", "high", "low"], "function": "low", "thresholds": [2.0], "tolerance": 0.2, "horizon": 120, "names": ["low_20"]}}
    ],

    // === TRAIN ===

    "train_feature_sets": [
    {
        "generator": "train_features", "config": {
        // Use values from the attributes: train_features, labels, algorithms
    }}
    ],

    "train_features": [
        "close_SMA_1", "close_SMA_5", "close_SMA_10", "close_SMA_15", "close_SMA_60",
        "close_LINEARREG_SLOPE_5", "close_LINEARREG_SLOPE_10", "close_LINEARREG_SLOPE_15", "close_LINEARREG_SLOPE_60",
        "close_STDDEV_5", "close_STDDEV_10", "close_STDDEV_15", "close_STDDEV_60"
    ],

    "labels": ["high_20", "low_20"],

    "algorithms": [
        {
            "name": "lc",  // Unique name will be used as a column suffix
            "algo": "lc",  // Algorithm type is used to choose the train/predict function
            "params": {"is_scale": true, "length": 0},
            "train": {"penalty": "l2", "C": 1.0, "class_weight": null, "solver": "sag", "max_iter": 100}
        }
    ],

    // === GENERATE SIGNALS ===

    "signal_sets": [
        {
            // Combine two unsigned scores into one signed score
            "generator": "combine", "config": {
                "columns": ["high_20_lc", "low_20_lc"],  // 2 columns: with grow score and fall score
                "names": "trade_score",  // Output column name: positive values - buy, negative values - sell
                "combine": "difference", // "no_combine" (or empty), "relative", "difference"
                "coefficient": 1.0, "constant": 0.0  // Normalize
        }},
        {
            // Generate boolean buy-sell column depending on thresholds
            "generator": "threshold_rule", "config": {
                "columns": "trade_score",
                "names": ["buy_signal_column", "sell_signal_column"],  // Output boolean columns
                "parameters": {
                    "buy_signal_threshold": 0.015,
                    "sell_signal_threshold": -0.015
                }
        }}
    ],

    // === OUTPUTS ===

    "output_sets": [
        {"generator": "score_notification_model", "config": {
            "score_notification": true,
            "score_column_names": ["trade_score"],
            "notify_band_up": true,
            "notify_band_dn": true,
            "positive_bands": [
                {"edge": 0.015, "frequency": 2, "sign": "〉〉〉📈", "bold": true, "text": "BUY ZONE"},
                {"edge": 0.01, "frequency": 5, "sign": "〉〉", "bold": false, "text": "strong"},
                {"edge": 0.005, "frequency": 10, "sign": "〉", "text": "weak"}
            ],
            "negative_bands": [
                {"edge": -0.005, "frequency": 10, "sign": "〈", "text": "weak"},
                {"edge": -0.01, "frequency": 5, "sign": "〈〈", "bold": false, "text": "strong"},
                {"edge": -0.015, "frequency": 2, "sign": "〈〈〈📉", "bold": true, "text": "SELL ZONE"}
            ]
        }},
        {"generator": "diagram_notification_model", "config": {
            // Regularly sending historic data with prices, scores and buy-sell trade decisions
            "diagram_notification": true,
            "notification_freq": "1D",

            "score_column_names": "trade_score",
            "score_thresholds":[-0.015, 0.015],

            // 5 minutes aggregation and this number of 5 minute intervals
            "resampling_freq": "5min", "nrows": 288
        }},
        {"generator": "trader_simulation", "config": {
            "buy_signal_column":"buy_signal_column",
            "sell_signal_column": "sell_signal_column"
        }}
        //{"generator": "trader_binance", "config": {
        //    "buy_signal_column":"buy_signal_column",
        //    "sell_signal_column": "sell_signal_column"
            //"no_trades_only_data_processing": false,
            //"test_order_before_submit": false,
            //"simulate_order_execution": false,
            //"percentage_used_for_trade": 99.0, // How much should be used in orders
            //"limit_price_adjustment": 0.001, // Limit order price relative to the latest close price
        //}}
    ],

    // === FINDING BEST TRADE PARAMETERS ===

    "simulate_model": {
        "data_start": 0,
        "data_end": null,

        "direction": "long",
        "topn_to_store": 10,

        "signal_generator": "threshold_rule",  // generator in the signal_sets section
        "buy_sell_equal": false,
        "grid": {
            "buy_signal_threshold": [0.02, 0.03, 0.04, 0.05, 0.1, 0.15],
            "sell_signal_threshold": [-0.02, -0.03, -0.04, -0.05, -0.1, -0.15]
        }
    },

    "rolling_predict": {
        // int, null or string with date which will be resolved using time_column and removed from source data
        "data_start": "2020-02-01 00:00:00",
        "data_end": null,

        // One of these 3 parameters can be null and will be computed from the other two
        "prediction_start": null,  // First row for starting predictions, for example, "2022-02-01 00:00:00"
        "prediction_size": 10080, // How many predictions, for example, 1 week 7*1440
        "prediction_steps": 4, // How many train-prediction steps

        "use_multiprocessing": false,
        "max_workers": 8
    }
}