Tp (#47)

* upd

.env.example

@@ -6,4 +6,6 @@ LOG_DIR=
 
 LOG_LEVEL=INFO
 WASM_FOLDER=wasm
-REGIME=default
+REGIME=default
+
+COPILOT_MODEL_PATH=

Makefile

@@ -14,14 +14,24 @@ check:
 	cargo clippy --all-features --all-targets --workspace --manifest-path=$(TA_LIB_PATH)
 	cargo fmt --all --check --manifest-path=$(TA_LIB_PATH)
 
-build:
+build: build-timeseries build-strategy
+
+build-strategy:
 	RUSTFLAGS="-C target-feature=+multivalue,+simd128 -C link-arg=-s" cargo build --release --manifest-path=$(TA_LIB_PATH) --package trend_follow --target wasm32-wasi
 	cp $(TA_LIB_DIR)/target/wasm32-wasi/release/trend_follow.wasm $(WASM_DIR)/trend_follow.wasm
 
+build-timeseries:
+	RUSTFLAGS="-C target-feature=+multivalue,+simd128 -C link-arg=-s" cargo build --release --manifest-path=$(TA_LIB_PATH) --package ffi --target wasm32-wasi
+	cp $(TA_LIB_DIR)/target/wasm32-wasi/release/ffi.wasm $(WASM_DIR)/timeseries.wasm
+
 run:
 	pipenv run python3 quant.py
 
 format:
 	cargo fmt --all --manifest-path=$(TA_LIB_PATH)
 	pipenv run black .
-	pipenv run ruff . --fix
+	pipenv run ruff . --fix
+
+update:
+	cargo update --manifest-path=$(TA_LIB_PATH)
+	pipenv update

Pipfile

@@ -22,6 +22,8 @@ cachetools = "*"
 orjson = "*"
 scipy = "*"
 cbor2 = "*"
+llama-cpp-python = "0.2.82"
+umap-learn = "*"
 
 [dev-packages]
 mypy = "*"

config.default.ini

@@ -1,53 +1,59 @@
 [store]
-buf_size = 100
+buf_size = 50
 base_dir = tmp
 
 [bus]
-piority_groups = 168
-num_workers = 1
+piority_groups = 8
+num_workers = 5
 
 [backtest]
-batch_size = 1597
-window_size = 2
+batch_size = 350
+buff_size = 8
+window_size = 1
 
 [position]
-risk_reward_ratio = 1.618
-trade_duration = 900
-twap_duration = 180
-max_order_slice = 13
+trade_duration = 26800
+twap_duration = 80
+max_order_slice = 8
 order_expiration_time = 8
 max_order_breach = 3
 stop_loss_threshold = 0.5
-risk_factor = 0.618
-tp_factor = 2.236
-sl_factor = 2.236
-trl_factor = 1.236
-depth = 80
+dom = 15
+max_scale_in = 0
 
 [portfolio]
-risk_per_trade = 0.005
+risk_per_trade = 0.0004
 account_size = 1000
 cagr_threshold = 0.01
-sharpe_ratio_threshold = 0.236
-total_trades_threshold = 8
+sharpe_ratio_threshold = 0.23
+total_trades_threshold = 6
 
 [system]
 active_strategy_num = 3
 verify_strategy_num = 21
 mode = 1
-leverage = 1
+leverage = 75
 reevaluate_timeout = 3600
 
 [generator]
-n_samples = 21
+n_samples = 8
 blacklist = [USDCUSDT]
 timeframes = [5m]
 
 [optimization]
-max_generations = 5
+max_generations = 3
 elite_count = 3
 mutation_rate = 0.0236
 crossover_rate = 0.8
 tournament_size = 5
 reset_percentage = 0.236
-stability_percentage = 0.382
+stability_percentage = 0.382
+
+[copilot]
+model_path = ''
+n_ctx = 4096
+n_threads = 7
+n_gpu_layers = 2
+n_batch = 256
+max_tokens = 66
+temperature = 0.52

copilot/__init__.py

@@ -0,0 +1,3 @@
+from ._actor import CopilotActor
+
+__all__ = [CopilotActor]