fegger
0cf37e786a
- Add detailed README with architecture diagram and usage instructions - Add API, configuration, and development documentation - Fix price data column handling for yfinance auto_adjust=True - Fix model feature dimension indexing and temporal attention batching - Add missing imports and position tracking in paper broker - Add python-dotenv support for environment variables - Update .gitignore with Python artifacts and environment files
70 lines
2.5 KiB
Markdown
70 lines
2.5 KiB
Markdown
# Configuration Guide
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All configuration is centralized in `config.py` via the `Config` class.
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## GPU Settings
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| Parameter | Default | Description |
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|-----------|---------|-------------|
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| `DEVICE` | `'cuda'` | PyTorch device (auto-detected) |
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| `AMD_GPU` | `True` | Enable AMD-specific optimizations |
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| `GPU_MEMORY_LIMIT` | `0.9` | Fraction of GPU memory to use (0.0–1.0) |
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| `ROCM_OPT_LEVEL` | `'O2'` | ROCm JIT optimization level |
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| `MIXED_PRECISION` | `True` | Enable AMP |
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| `PRECISION` | `'bf16'` | `'bf16'` or `'fp16'` |
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## Model Hyperparameters
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| Parameter | Default | Description |
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|-----------|---------|-------------|
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| `HIDDEN_CHANNELS` | `128` | GNN hidden dimension |
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| `NUM_HEADS` | `16` | Attention heads |
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| `DROPOUT` | `0.3` | Dropout rate |
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| `LEARNING_RATE` | `0.0005` | AdamW learning rate |
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| `BATCH_SIZE` | `128` | Training batch size |
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| `SEQUENCE_LENGTH` | `60` | Temporal window length |
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| `EPOCHS` | `200` | Max training epochs |
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## Trading Settings
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| Parameter | Default | Description |
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|-----------|---------|-------------|
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| `TRADING_FREQUENCY` | `'5min'` | Signal generation interval |
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| `INITIAL_CAPITAL` | `100000` | Starting portfolio value |
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| `MAX_POSITION_SIZE` | `0.03` | Max position as fraction of portfolio |
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| `MAX_DAILY_LOSS` | `0.01` | Daily loss circuit breaker |
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| `MAX_DRAWDOWN` | `0.05` | Max portfolio drawdown |
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## Data Providers
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| Parameter | Default | Description |
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|-----------|---------|-------------|
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| `DATA_PROVIDER` | `'polygon'` | Live data source |
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| `POLYGON_API_KEY` | — | Polygon.io API key |
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| `ALPHA_VANTAGE_API_KEY` | — | Alpha Vantage API key |
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| `IB_HOST` | `'127.0.0.1'` | Interactive Brokers TWS host |
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| `IB_PORT` | `7497` | TWS API port |
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## Feature Definitions
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Three feature vectors are defined and referenced by the models:
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```python
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NEWS_FEATURES = ['sentiment', 'volume', 'recency', 'source_reliability', 'topic_relevance']
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SOCIAL_FEATURES = ['twitter_sentiment', 'twitter_volume', 'reddit_sentiment', 'reddit_volume', 'social_momentum']
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INTRADAY_FEATURES = ['return', 'volatility', 'momentum', 'volume_momentum', 'bid_ask_spread', 'bid_ask_spread_pct', 'volume_imbalance', 'order_flow', 'vwap_deviation']
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```
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## Environment Variables
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Sensitive keys can be overridden via environment variables:
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```bash
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export POLYGON_API_KEY="your_key"
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export ALPHA_VANTAGE_API_KEY="your_key"
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export NEWS_API_KEY="your_key"
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export TWITTER_BEARER_TOKEN="your_token"
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```
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These are read in `config.py` and fall back to hardcoded placeholders if not set.
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