257 lines
8.2 KiB
YAML
257 lines
8.2 KiB
YAML
# Enhanced Multi-Modal Trading System Configuration
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# Trading Symbols (extendable/configurable)
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symbols:
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- "ETH/USDC" # MEXC supports ETHUSDC for API trading
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- "BTC/USDT"
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- "MX/USDT"
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# Timeframes for ultra-fast scalping (500x leverage)
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timeframes:
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- "1s" # Primary scalping timeframe
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- "1m" # Short-term confirmation
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- "1h" # Medium-term trend
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- "1d" # Long-term direction
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# Data Provider Settings
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data:
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provider: "binance"
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cache_enabled: true
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cache_dir: "cache"
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historical_limit: 1000
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real_time_enabled: true
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websocket_reconnect: true
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feature_engineering:
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technical_indicators: true
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market_regime_detection: true
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volatility_analysis: true
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# Enhanced CNN Configuration
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cnn:
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window_size: 20
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features: ["open", "high", "low", "close", "volume"]
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timeframes: ["1m", "5m", "15m", "1h", "4h", "1d"]
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hidden_layers: [64, 128, 256]
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dropout: 0.2
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learning_rate: 0.001
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batch_size: 32
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epochs: 100
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confidence_threshold: 0.6
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early_stopping_patience: 10
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model_dir: "models/enhanced_cnn" # Ultra-fast scalping weights (500x leverage)
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timeframe_importance:
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"1s": 0.60 # Primary scalping signal
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"1m": 0.20 # Short-term confirmation
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"1h": 0.15 # Medium-term trend
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"1d": 0.05 # Long-term direction (minimal)
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# Enhanced RL Agent Configuration
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rl:
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state_size: 100 # Will be calculated dynamically based on features
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action_space: 3 # BUY, HOLD, SELL
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hidden_size: 256
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epsilon: 1.0
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epsilon_decay: 0.995
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epsilon_min: 0.01
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learning_rate: 0.0001
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gamma: 0.99
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memory_size: 10000
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batch_size: 64
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target_update_freq: 1000
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buffer_size: 10000
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model_dir: "models/enhanced_rl"
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# Market regime adaptation
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market_regime_weights:
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trending: 1.2 # Higher confidence in trending markets
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ranging: 0.8 # Lower confidence in ranging markets
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volatile: 0.6 # Much lower confidence in volatile markets
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# Prioritized experience replay
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replay_alpha: 0.6 # Priority exponent
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replay_beta: 0.4 # Importance sampling exponent
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# Enhanced Orchestrator Settings
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orchestrator:
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# Model weights for decision combination
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cnn_weight: 0.7 # Weight for CNN predictions
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rl_weight: 0.3 # Weight for RL decisions
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confidence_threshold: 0.6 # Increased for enhanced system
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decision_frequency: 30 # Seconds between decisions (faster)
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# Multi-symbol coordination
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symbol_correlation_matrix:
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"ETH/USDT-BTC/USDT": 0.85 # ETH-BTC correlation
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# Perfect move marking
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perfect_move_threshold: 0.02 # 2% price change to mark as significant
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perfect_move_buffer_size: 10000
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# RL evaluation settings
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evaluation_delay: 3600 # Evaluate actions after 1 hour
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reward_calculation:
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success_multiplier: 10 # Reward for correct predictions
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failure_penalty: 5 # Penalty for wrong predictions
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confidence_scaling: true # Scale rewards by confidence
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# Training Configuration
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training:
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learning_rate: 0.001
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batch_size: 32
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epochs: 100
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validation_split: 0.2
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early_stopping_patience: 10
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# CNN specific training
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cnn_training_interval: 3600 # Train CNN every hour (was 6 hours)
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min_perfect_moves: 50 # Reduced from 200 for faster learning
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# RL specific training
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rl_training_interval: 300 # Train RL every 5 minutes (was 1 hour)
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min_experiences: 50 # Reduced from 100 for faster learning
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training_steps_per_cycle: 20 # Increased from 10 for more learning
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model_type: "optimized_short_term"
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use_realtime: true
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use_ticks: true
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checkpoint_dir: "NN/models/saved/realtime_ticks_checkpoints"
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save_best_model: true
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save_final_model: false # We only want to keep the best performing model
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# Continuous learning settings
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continuous_learning: true
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learning_from_trades: true
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pattern_recognition: true
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retrospective_learning: true
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# Trading Execution
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trading:
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max_position_size: 0.05 # Maximum position size (5% of balance)
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stop_loss: 0.02 # 2% stop loss
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take_profit: 0.05 # 5% take profit
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trading_fee: 0.0005 # 0.05% trading fee (MEXC taker fee)
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# MEXC Fee Structure (asymmetrical)
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trading_fees:
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maker: 0.0000 # 0.00% maker fee (adds liquidity)
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taker: 0.0005 # 0.05% taker fee (takes liquidity)
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default: 0.0005 # Default fallback fee
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# Risk management
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max_daily_trades: 20 # Maximum trades per day
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max_concurrent_positions: 2 # Max positions across symbols
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position_sizing:
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confidence_scaling: true # Scale position by confidence
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base_size: 0.02 # 2% base position
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max_size: 0.05 # 5% maximum position
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# MEXC Trading API Configuration
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mexc_trading:
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enabled: true # Set to true to enable live trading
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trading_mode: "live" # Options: "simulation", "testnet", "live"
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# - simulation: No real trades, just logging (safest)
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# - testnet: Use exchange testnet if available (MEXC doesn't have true testnet)
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# - live: Execute real trades with real money
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api_key: "" # Set in .env file as MEXC_API_KEY
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api_secret: "" # Set in .env file as MEXC_SECRET_KEY
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# Position sizing (conservative for live trading)
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max_position_value_usd: 10.0 # Maximum $1 per position for testing
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min_position_value_usd: 5 # Minimum $0.10 per position
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position_size_percent: 0.01 # 1% of balance per trade (conservative)
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# Risk management
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max_daily_loss_usd: 5.0 # Stop trading if daily loss exceeds $5
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max_concurrent_positions: 3 # Only 1 position at a time for testing
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max_trades_per_hour: 60 # Maximum 60 trades per hour
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min_trade_interval_seconds: 30 # Minimum between trades
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# Order configuration
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order_type: "limit" # Use limit orders (MEXC ETHUSDC requires LIMIT orders)
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timeout_seconds: 30 # Order timeout
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retry_attempts: 0 # Number of retry attempts for failed orders
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# Safety features
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require_confirmation: false # No manual confirmation for live trading
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emergency_stop: false # Emergency stop all trading
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# Supported symbols for live trading
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allowed_symbols:
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- "ETH/USDC" # MEXC supports ETHUSDC for API trading
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- "BTC/USDT"
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- "MX/USDT"
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# Trading hours (UTC)
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trading_hours:
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enabled: false # Disable time restrictions for crypto
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start_hour: 0 # 00:00 UTC
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end_hour: 23 # 23:00 UTC
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# Memory Management
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memory:
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total_limit_gb: 28.0 # Total system memory limit
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model_limit_gb: 4.0 # Per-model memory limit
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cleanup_interval: 1800 # Memory cleanup every 30 minutes
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# Web Dashboard
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web:
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host: "127.0.0.1"
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port: 8050
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debug: false
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update_interval: 500 # Milliseconds
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chart_history: 200 # Number of candles to show
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# Enhanced dashboard features
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show_timeframe_analysis: true
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show_confidence_scores: true
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show_perfect_moves: true
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show_rl_metrics: true
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# Logging
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logging:
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level: "INFO"
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format: "%(asctime)s - %(name)s - %(levelname)s - %(message)s"
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file: "logs/enhanced_trading.log"
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max_size: 10485760 # 10MB
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backup_count: 5
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# Component-specific logging
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orchestrator_level: "INFO"
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cnn_level: "INFO"
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rl_level: "INFO"
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training_level: "INFO"
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# Model Directories
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model_dir: "models"
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data_dir: "data"
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cache_dir: "cache"
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logs_dir: "logs"
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# GPU/Performance
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gpu:
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enabled: true
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memory_fraction: 0.8 # Use 80% of GPU memory
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allow_growth: true # Allow dynamic memory allocation
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# Monitoring and Alerting
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monitoring:
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tensorboard_enabled: true
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tensorboard_log_dir: "logs/tensorboard"
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metrics_interval: 300 # Log metrics every 5 minutes
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performance_alerts: true
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# Performance thresholds
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min_confidence_threshold: 0.3
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max_memory_usage: 0.9 # 90% of available memory
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max_decision_latency: 10 # 10 seconds max per decision
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# Backtesting (for future implementation)
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backtesting:
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start_date: "2024-01-01"
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end_date: "2024-12-31"
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initial_balance: 10000
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commission: 0.0002
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slippage: 0.0001
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model_paths:
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realtime_model: "NN/models/saved/optimized_short_term_model_realtime_best.pt"
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ticks_model: "NN/models/saved/optimized_short_term_model_ticks_best.pt"
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backup_model: "NN/models/saved/realtime_ticks_checkpoints/checkpoint_epoch_50449_backup/model.pt" |