Configuration Management

Configuration Loading

Cosine uses YAML-based configuration to configure the setup of the algo framework. This includes things like pricing feeds to initialise, the strategy to run, available venues to connect to and more. The configuration file must be provided upfront and you can inform Cosine how to locate it in one of three ways:

• Direct (Cosine will look for a config file path in the config attribute of the cmdline_args dict argument passed to the CosineAlgo constructor)
• Environment (Cosine with otherwise check for the path in the COSINE_CFG environment variable if it exists)
• Implicit (Cosine will otherwise look for a file called config.yaml in the current working directory of the executed algo)

Configurable Attributes

Here’s the full set of available configurations (complete with group headings per the YAML structure):

# all system-level configurations
system:
    EventLoop: <val>                             # the event loop configuration mode, "feed" or "timer"
    EventLoopThrottle: <val>                     # event loop rate limit in seconds
    network:                                     # general network level configuration
        ssl:                                     # SSL related configuration
            CertFile: <val>                      # [optional] path to the SSL certificate authority cert file

# general order worker related configurations
orders:
    ActiveDepth: <val>                           # active depth on each side of book respectively (bid and ask)

# set of configured venues (with their contextual configurations) to initialise for use with the order workers
venues:
    cosine.venues.bem:                           # [optional] the fully qualified module path of the BlockExMarketsVenue (CosineBaseVenue derivative) class to load + configure
        Username: <val>                          # [venue-specific] the username of the trader account to authenticate against
        Password: <val>                          # [venue-specific] the password of the trader account to authenticate against
        APIDomain: <val>                         # [venue-specific] the top-level domain of the BEM venue
        APIID: <val>                             # [venue-specific] the dedicated APIID for the BEM venue
        ConnectSignalR: <val>                    # [venue-specific] tells BEM whether to subscribe to the async signalR feed or not, "true" or "false"

# the set of configured instruments to work markets in. Order workers will be created against each of these on the relevant venue(s)
instruments:
- "XTN/EUR"
- "RCC/EUR"
- "ETH4/EUR"

# the set of configured pricing feeds to connect and subscribe to for market data consumption
feeds:
    cosine.pricing.cryptocompare:                # [optional] the fully qualified module path of the CryptoCompareSocketIOFeed (CosineBaseFeed derivative) class to load + configure
        type: <val>                              # [feed-specific] the type of connection ("stream" only for this feed)
        endpoint: <val>                          # [feed-specific] the websockets/socket.io endpoint hostname to connect to
        port: <val>                              # [feed-specific] the port to connect to
        framework: <val>                         # [feed-specific] the framework for connectivity
        triangulator: <val>                      # [feed-specific] the REST endpoint to use to pull triangulation info for implying pricing for pairs with no direct subscription
        triangulator_throttle: <val>             # [feed-specific] the rate limit for running triangulation queries in seconds
        instruments:                             # the set of instruments to subscribe to
            "XTN/EUR":
                Ticker: <val>                    # ticker re-mapping for the base/top-level currency, e.g. "BTC"
                BaseCCY: <val>                   # [optional] forces the feed to e.g. if the value is "ETH" for an RCC/EUR pair, subscribe to RCC/ETH and then run triangulation on each price tick to calculate the RCC/EUR price
            "RCC/EUR": {}
            "ETH4/EUR": {}

# [optional] the configured primary feed, such that when "system.EventLoop: feed", this CosineBaseFeed derivative will be configured to drive the main event loop
feed:
    Primary: cosine.pricing.cryptocompare        # primary feed to drive the main event loop

# the set of configured pricers to pipeline for processing pricing data. Can be used to consume raw price feed data and generate theoretical pricing or other price-derived values
pricers:
    Default: cosine.pricing.pricers.nullpricer   # a comma-separated list of pricer modules to load and pipeline in-order for pricing generation
    settings:                                    # the set of pricer-specific configurations
        cosine.pricing.pricers.nullpricer: {}    # [pricer-specific] pricer configuration

# the configuration for the configured strategy to run
strategy:
    type: cosine.strategies.noddy_floater        # the strategy module to load and run under the algo. This contains the core business logic of the algo
    settings:                                    # the set of strategy-specific settings configurations
        cosine.strategies.noddy_floater:         # [optional] the noddy_floater strategy settings
            Spread: <val>                        # [strategy-specific] the % spread to maintain around the spot mid-price, e.g. 0.20
            MaxSpread: <val>                     # [strategy-specific] the maximum % spread based on dynamic widening of quotes, e.g. 0.50
            instrument_settings:                 # [strategy-specific] instrument specific strategy settings
                "XTN/EUR":
                    MinVol: <val>                # [strategy-specific] minimum volume per quoted price step
                    MaxVol: <val>                # [strategy-specific] maximum volume per quoted price step
                "RCC/EUR": {}
                "ETH4/EUR": {}

See above.