example_AlphaAvellanedaStoikov.json

{
  "backtest": {
    "startDate": "20231113 06:00:00",
    "endDate": "20231113 20:00:00",
    "instrument": "btcusdt_kraken",
    "delayOrderMs": 0,
    "feesCommissionsIncluded": false,
    "seed": 0,
    "multithreadConfiguration": "single_thread",
  },
  "algorithm": {
    "algorithmName": "AlphaAvellanedaStoikov_test",
    "parameters": {
      "dummyAgent": 1,
      "quantity": 0.0001,
      "seed": 28220,
      "skewAction": [
        0.0,
        1.0,
        -1.0
      ],
      "riskAversionAction": [
        0.06327,
        0.31635,
        0.6327,
        0.9490500000000001
      ],
      "midpricePeriodWindowAction": [
        24,
        50
      ],
      "midpricePeriodSeconds": 26,

      "changeKPeriodSecondsAction": [
        60.0
      ],
      "minPrivateState": -1,
      "maxPrivateState": -1,
      "numberDecimalsPrivateState": 3,
      "horizonTicksPrivateState": 5,
      "minMarketState": -1,
      "maxMarketState": -1,
      "numberDecimalsMarketState": 7,
      "horizonTicksMarketState": 10,
      "minCandleState": -1,
      "maxCandleState": -1,
      "numberDecimalsCandleState": 3,
      "horizonCandlesState": 4,
      "horizonMinMsTick": 0,
      "stateColumnsFilter": [],
      "scoreEnum": "asymmetric_dampened_pnl",
      "stepSeconds": 5,
      "rlPort": 2122,
      "reinforcementLearningActionType": "discrete",
      "baseModel": "DQN",
      "epsilon": 0.2,
      "discountFactor": 0.75,
      "learningRateNN": 0.01,
      "maxBatchSize": 10000,
      "batchSize": 500,
      "trainingPredictIterationPeriod": -25,
      "trainingTargetIterationPeriod": -25,
      "epoch": 150,
      "calculateTt": 0,
      "kDefaultAction": [
        -1
      ],
      "aDefaultAction": [
        -1
      ],
      "earlyStoppingTraining": 0,
      "earlyStoppingDataSplitTrainingPct": 0.6,
      "firstHour": 7,
      "lastHour": 19,
      "numberDecimalsState": 3,
      "binaryStateOutputs": 0,
      "periodsTAStates": [
        9,
        13,
        21
      ],
      "dumpSeconds": 30,
      "dumpData": 0,
      "secondsCandles": 56,
      "otherInstrumentsStates": [],
      "otherInstrumentsMsPeriods": [],
      "stopActionOnFilled": 0,
      "riskAversion": 0.68,
      "changeKPeriodSeconds": 10,
      "kDefault": -1,
      "aDefault": -1,
      "sigmaDefault": -1,
      "spreadCalculation": "Avellaneda",
      "kCalculation": "Pct",
      "positionMultiplier": 335.35,
      "spreadMultiplier": 5.0,
      "ui": 0
    }
  }
}