BlackboxAI
0206ef7cbb
Real-time orderflow trading system with absorption, initiative, sweep, exhaustion, and divergence detection. Features volume profile framing, state machine trade lifecycle, MT5 + Bybit feeds, FastAPI dashboard, and Telegram alerts for 30+ instruments. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
947 lines
29 KiB
Python
947 lines
29 KiB
Python
"""
|
|
Global settings and instrument-specific configuration.
|
|
"""
|
|
|
|
from dataclasses import dataclass, field
|
|
from enum import Enum
|
|
from typing import Optional
|
|
|
|
|
|
class Instrument(Enum):
|
|
# ── Indices ──
|
|
NAS100 = "NAS100USDT"
|
|
SP500 = "SP500"
|
|
DJ30 = "DJ30"
|
|
UK100 = "UK100"
|
|
DAX40 = "DAX40"
|
|
NIKKEI225 = "NIKKEI225"
|
|
CAC40 = "CAC40"
|
|
ASX200 = "ASX200"
|
|
HK50 = "HK50"
|
|
# ── Metals ──
|
|
GOLD = "XAUUSDT"
|
|
SILVER = "XAGUSD"
|
|
# ── Energy ──
|
|
USOIL = "USOIL"
|
|
UKOIL = "UKOIL"
|
|
# ── Forex Majors ──
|
|
EURUSD = "EURUSD"
|
|
GBPUSD = "GBPUSD"
|
|
USDJPY = "USDJPY"
|
|
AUDUSD = "AUDUSD"
|
|
USDCAD = "USDCAD"
|
|
USDCHF = "USDCHF"
|
|
NZDUSD = "NZDUSD"
|
|
# ── Forex Crosses ──
|
|
EURGBP = "EURGBP"
|
|
EURJPY = "EURJPY"
|
|
GBPJPY = "GBPJPY"
|
|
# ── Stocks (US CFDs) ──
|
|
AAPL = "AAPL"
|
|
TSLA = "TSLA"
|
|
AMZN = "AMZN"
|
|
MSFT = "MSFT"
|
|
NVDA = "NVDA"
|
|
META = "META"
|
|
GOOGL = "GOOGL"
|
|
# ── Crypto ──
|
|
BTCUSD = "BTCUSDT"
|
|
|
|
|
|
class SessionType(Enum):
|
|
"""Trading sessions - NY cash session is primary for US indices."""
|
|
NY_CASH = "ny_cash" # 09:30-16:00 ET — primary for US100
|
|
LONDON = "london" # 08:00-16:30 GMT
|
|
ASIAN = "asian" # 00:00-09:00 GMT
|
|
FULL_DAY = "full_day" # 24h
|
|
|
|
|
|
class ProfileShape(Enum):
|
|
P_SHAPE = "p_shape" # Buyers in control, high volume at top, POC above 50%
|
|
B_SHAPE = "b_shape" # Sellers in control, high volume at bottom
|
|
D_SHAPE = "d_shape" # Balanced / normal distribution
|
|
DOUBLE = "double_dist" # Double distribution — transition day
|
|
UNKNOWN = "unknown"
|
|
|
|
|
|
class DataSource(Enum):
|
|
"""Data feed source selection."""
|
|
BYBIT = "bybit" # Bybit perpetual futures (free WebSocket)
|
|
MT5 = "mt5" # MetaTrader 5 terminal (real broker data)
|
|
BOTH = "both" # Run both feeds simultaneously
|
|
|
|
|
|
class BiasDirection(Enum):
|
|
LONG = "long" # Green — buyers in control
|
|
SHORT = "short" # Red — sellers in control
|
|
NEUTRAL = "neutral" # Blue — indecision / balanced
|
|
WARNING = "warning" # Orange — potential shift detected
|
|
|
|
|
|
@dataclass
|
|
class AbsorptionConfig:
|
|
"""Thresholds for absorption detection."""
|
|
min_aggressive_volume: float = 50.0 # Min contracts at a level to consider
|
|
max_price_displacement_ticks: float = 2.0 # Max ticks price can move (low result)
|
|
rolling_window_seconds: float = 30.0 # Time window to accumulate volume
|
|
min_attempts: int = 2 # Min repeated absorption attempts
|
|
big_trade_filter: float = 10.0 # Min contract size for "big participant"
|
|
|
|
|
|
@dataclass
|
|
class InitiativeConfig:
|
|
"""Thresholds for initiative auction detection."""
|
|
min_delta_threshold: float = 30.0 # Min |delta| for signal
|
|
volume_acceleration_min: float = 1.5 # Volume must be 1.5x average
|
|
min_price_displacement_ticks: float = 3.0 # Minimum price move (high result)
|
|
delta_price_alignment: bool = True # Delta and price must agree
|
|
|
|
|
|
@dataclass
|
|
class SweepConfig:
|
|
"""Thresholds for book sweep detection."""
|
|
min_levels_swept: int = 3 # Minimum levels consumed
|
|
max_volume_per_level: float = 20.0 # Low effort threshold
|
|
max_time_ms: float = 2000.0 # Must happen fast
|
|
thin_book_threshold: float = 10.0 # Resting qty below this = thin
|
|
|
|
|
|
@dataclass
|
|
class ExhaustionConfig:
|
|
"""Thresholds for exhaustion detection."""
|
|
min_bars_declining: int = 3 # Min consecutive bars of declining volume
|
|
volume_decline_pct: float = 0.3 # Volume drops by 30%+
|
|
requires_contrarian_imbalance: bool = True # Imbalance at extreme in opposite direction
|
|
|
|
|
|
@dataclass
|
|
class DivergenceConfig:
|
|
"""Thresholds for delta divergence detection."""
|
|
lookback_bars: int = 10 # Bars to look back for peaks
|
|
min_price_new_extreme_ticks: float = 2.0 # Price must make new high/low
|
|
delta_failure_pct: float = 0.8 # Delta peak < 80% of previous
|
|
|
|
|
|
@dataclass
|
|
class VolumeProfileConfig:
|
|
"""Volume profile computation settings."""
|
|
value_area_pct: float = 0.68 # 68% of volume = value area
|
|
lvn_stddev_factor: float = 1.5 # LVN = volume < mean - 1.5*stddev
|
|
session: SessionType = SessionType.NY_CASH
|
|
merge_max_days: int = 3 # Max days to merge profiles
|
|
tick_size: float = 0.01 # Price granularity
|
|
|
|
|
|
@dataclass
|
|
class RiskConfig:
|
|
"""Risk management settings."""
|
|
break_even_after_initiative: bool = True # Move SL to BE after first initiative
|
|
trail_on_initiative_prints: bool = True # Trail stop on each new initiative candle
|
|
min_rr_ratio: float = 2.0 # Minimum reward:risk
|
|
max_rr_ratio: float = 5.0 # Maximum target R:R
|
|
signal_cooldown_seconds: float = 60.0 # Min time between signals
|
|
|
|
|
|
@dataclass
|
|
class TelegramConfig:
|
|
"""Telegram bot settings."""
|
|
bot_token: str = ""
|
|
chat_id: str = ""
|
|
send_chart_snapshots: bool = True
|
|
|
|
|
|
@dataclass
|
|
class DashboardConfig:
|
|
"""Web dashboard settings."""
|
|
enabled: bool = True
|
|
host: str = "0.0.0.0"
|
|
port: int = 8080
|
|
log_level: str = "warning" # uvicorn log level
|
|
|
|
|
|
@dataclass
|
|
class MT5Config:
|
|
"""MetaTrader 5 connection settings."""
|
|
# MT5 terminal connection (leave empty to use default terminal)
|
|
login: int = 0 # MT5 account number (0 = use already logged in)
|
|
password: str = "" # MT5 password (empty = use already logged in)
|
|
server: str = "" # MT5 server (empty = use already logged in)
|
|
path: str = "" # Path to MT5 terminal (empty = auto-detect)
|
|
# Symbol mapping: internal name → MT5 broker symbol
|
|
# Adjust these to match your broker's symbol names!
|
|
symbols: dict = field(default_factory=lambda: {
|
|
# ── Indices ──
|
|
"NAS100USDT": "USTECm",
|
|
"SP500": "US500m",
|
|
"DJ30": "US30m",
|
|
"UK100": "UK100m",
|
|
"DAX40": "DE30m",
|
|
"NIKKEI225": "JP225m",
|
|
"CAC40": "FR40m",
|
|
"ASX200": "AUS200m",
|
|
"HK50": "HK50m",
|
|
# ── Metals ──
|
|
"XAUUSDT": "XAUUSDm",
|
|
"XAGUSD": "XAGUSDm",
|
|
# ── Energy ──
|
|
"USOIL": "USOILm",
|
|
"UKOIL": "UKOILm",
|
|
# ── Forex Majors ──
|
|
"EURUSD": "EURUSDm",
|
|
"GBPUSD": "GBPUSDm",
|
|
"USDJPY": "USDJPYm",
|
|
"AUDUSD": "AUDUSDm",
|
|
"USDCAD": "USDCADm",
|
|
"USDCHF": "USDCHFm",
|
|
"NZDUSD": "NZDUSDm",
|
|
# ── Forex Crosses ──
|
|
"EURGBP": "EURGBPm",
|
|
"EURJPY": "EURJPYm",
|
|
"GBPJPY": "GBPJPYm",
|
|
# ── Stocks ──
|
|
"AAPL": "AAPLm",
|
|
"TSLA": "TSLAm",
|
|
"AMZN": "AMZNm",
|
|
"MSFT": "MSFTm",
|
|
"NVDA": "NVDAm",
|
|
"META": "METAm",
|
|
"GOOGL": "GOOGLm",
|
|
# ── Crypto ──
|
|
"BTCUSDT": "BTCUSDm",
|
|
})
|
|
poll_interval_ms: int = 100 # Tick polling interval (ms)
|
|
enable_book: bool = True # Enable DOM/Market Depth data
|
|
download_history_days: int = 3 # Days of historical M1 bars to download (3d = ~4320 candles, covers 1W range at 1H TF)
|
|
|
|
|
|
@dataclass
|
|
class InstrumentConfig:
|
|
"""Per-instrument configuration."""
|
|
instrument: Instrument = Instrument.NAS100
|
|
tick_size: float = 0.1
|
|
absorption: AbsorptionConfig = field(default_factory=AbsorptionConfig)
|
|
initiative: InitiativeConfig = field(default_factory=InitiativeConfig)
|
|
sweep: SweepConfig = field(default_factory=SweepConfig)
|
|
exhaustion: ExhaustionConfig = field(default_factory=ExhaustionConfig)
|
|
divergence: DivergenceConfig = field(default_factory=DivergenceConfig)
|
|
volume_profile: VolumeProfileConfig = field(default_factory=VolumeProfileConfig)
|
|
risk: RiskConfig = field(default_factory=RiskConfig)
|
|
|
|
|
|
def get_nas100_config() -> InstrumentConfig:
|
|
"""NAS100USDT (Bybit perpetual) — proxy for NASDAQ futures."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.NAS100,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=50,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=5,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=30,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=15,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=8,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=1.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_gold_config() -> InstrumentConfig:
|
|
"""XAUUSDT (Bybit perpetual) — proxy for Gold futures."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.GOLD,
|
|
tick_size=0.01,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=3,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=4,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=3000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=0.50,
|
|
),
|
|
)
|
|
|
|
|
|
# ─────────────────────────────────────────────
|
|
# Index Configs
|
|
# ─────────────────────────────────────────────
|
|
|
|
def get_sp500_config() -> InstrumentConfig:
|
|
"""S&P 500 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.SP500,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=40,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=5,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=25,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=15,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=8,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=1.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_dj30_config() -> InstrumentConfig:
|
|
"""Dow Jones 30 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.DJ30,
|
|
tick_size=1.0,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=40,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=5,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=25,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=15,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=8,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=5.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_uk100_config() -> InstrumentConfig:
|
|
"""FTSE 100 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.UK100,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=4,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=12,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=6,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.LONDON,
|
|
tick_size=1.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_dax40_config() -> InstrumentConfig:
|
|
"""DAX 40 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.DAX40,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=4,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=12,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=6,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.LONDON,
|
|
tick_size=2.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_nikkei225_config() -> InstrumentConfig:
|
|
"""Nikkei 225 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.NIKKEI225,
|
|
tick_size=1.0,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=4,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=12,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=6,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.ASIAN,
|
|
tick_size=50.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_cac40_config() -> InstrumentConfig:
|
|
"""CAC 40 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.CAC40,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=25,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=18,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.LONDON,
|
|
tick_size=1.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_asx200_config() -> InstrumentConfig:
|
|
"""ASX 200 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.ASX200,
|
|
tick_size=0.1,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=25,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=18,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.ASIAN,
|
|
tick_size=1.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_hk50_config() -> InstrumentConfig:
|
|
"""Hang Seng 50 index CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.HK50,
|
|
tick_size=1.0,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=25,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=18,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.ASIAN,
|
|
tick_size=5.0,
|
|
),
|
|
)
|
|
|
|
|
|
# ─────────────────────────────────────────────
|
|
# Metal & Energy Configs
|
|
# ─────────────────────────────────────────────
|
|
|
|
def get_silver_config() -> InstrumentConfig:
|
|
"""XAGUSD — Silver CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.SILVER,
|
|
tick_size=0.001,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=25,
|
|
max_price_displacement_ticks=3,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=15,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=4,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=8,
|
|
max_time_ms=3000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.FULL_DAY,
|
|
tick_size=0.05,
|
|
),
|
|
)
|
|
|
|
|
|
def get_usoil_config() -> InstrumentConfig:
|
|
"""WTI Crude Oil CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.USOIL,
|
|
tick_size=0.01,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=3,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=4,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=0.10,
|
|
),
|
|
)
|
|
|
|
|
|
def get_ukoil_config() -> InstrumentConfig:
|
|
"""Brent Crude Oil CFD."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.UKOIL,
|
|
tick_size=0.01,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=30,
|
|
max_price_displacement_ticks=3,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=20,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=4,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=10,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.LONDON,
|
|
tick_size=0.10,
|
|
),
|
|
)
|
|
|
|
|
|
# ─────────────────────────────────────────────
|
|
# Forex Configs
|
|
# ─────────────────────────────────────────────
|
|
|
|
def _forex_major_config(
|
|
instrument: Instrument,
|
|
tick_size: float = 0.00001,
|
|
vp_tick_size: float = 0.0005,
|
|
) -> InstrumentConfig:
|
|
"""Template for major forex pairs (high liquidity)."""
|
|
return InstrumentConfig(
|
|
instrument=instrument,
|
|
tick_size=tick_size,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=20,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=15,
|
|
volume_acceleration_min=1.4,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=8,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.FULL_DAY,
|
|
tick_size=vp_tick_size,
|
|
),
|
|
)
|
|
|
|
|
|
def get_eurusd_config() -> InstrumentConfig:
|
|
"""EUR/USD — most liquid forex pair."""
|
|
return _forex_major_config(Instrument.EURUSD)
|
|
|
|
|
|
def get_gbpusd_config() -> InstrumentConfig:
|
|
"""GBP/USD — Cable."""
|
|
return _forex_major_config(Instrument.GBPUSD)
|
|
|
|
|
|
def get_usdjpy_config() -> InstrumentConfig:
|
|
"""USD/JPY — 3-digit pricing."""
|
|
return _forex_major_config(Instrument.USDJPY, tick_size=0.001, vp_tick_size=0.05)
|
|
|
|
|
|
def get_audusd_config() -> InstrumentConfig:
|
|
"""AUD/USD — Aussie."""
|
|
return _forex_major_config(Instrument.AUDUSD)
|
|
|
|
|
|
def get_usdcad_config() -> InstrumentConfig:
|
|
"""USD/CAD — Loonie."""
|
|
return _forex_major_config(Instrument.USDCAD)
|
|
|
|
|
|
def get_usdchf_config() -> InstrumentConfig:
|
|
"""USD/CHF — Swissie."""
|
|
return _forex_major_config(Instrument.USDCHF)
|
|
|
|
|
|
def get_nzdusd_config() -> InstrumentConfig:
|
|
"""NZD/USD — Kiwi."""
|
|
return _forex_major_config(Instrument.NZDUSD)
|
|
|
|
|
|
def get_eurgbp_config() -> InstrumentConfig:
|
|
"""EUR/GBP — cross pair."""
|
|
return _forex_major_config(Instrument.EURGBP)
|
|
|
|
|
|
def get_eurjpy_config() -> InstrumentConfig:
|
|
"""EUR/JPY — 3-digit pricing."""
|
|
return _forex_major_config(Instrument.EURJPY, tick_size=0.001, vp_tick_size=0.05)
|
|
|
|
|
|
def get_gbpjpy_config() -> InstrumentConfig:
|
|
"""GBP/JPY — volatile cross."""
|
|
return _forex_major_config(Instrument.GBPJPY, tick_size=0.001, vp_tick_size=0.05)
|
|
|
|
|
|
# ─────────────────────────────────────────────
|
|
# Stock Configs (US CFDs)
|
|
# ─────────────────────────────────────────────
|
|
|
|
def _stock_config(instrument: Instrument) -> InstrumentConfig:
|
|
"""Template for US stock CFDs."""
|
|
return InstrumentConfig(
|
|
instrument=instrument,
|
|
tick_size=0.01,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=20,
|
|
max_price_displacement_ticks=2,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=15,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=3,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=8,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.3,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.NY_CASH,
|
|
tick_size=0.50,
|
|
),
|
|
)
|
|
|
|
|
|
def get_aapl_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.AAPL)
|
|
|
|
|
|
def get_tsla_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.TSLA)
|
|
|
|
|
|
def get_amzn_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.AMZN)
|
|
|
|
|
|
def get_msft_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.MSFT)
|
|
|
|
|
|
def get_nvda_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.NVDA)
|
|
|
|
|
|
def get_meta_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.META)
|
|
|
|
|
|
def get_googl_config() -> InstrumentConfig:
|
|
return _stock_config(Instrument.GOOGL)
|
|
|
|
|
|
# ─────────────────────────────────────────────
|
|
# Crypto Configs
|
|
# ─────────────────────────────────────────────
|
|
|
|
def get_btcusd_config() -> InstrumentConfig:
|
|
"""BTCUSDT — Bitcoin."""
|
|
return InstrumentConfig(
|
|
instrument=Instrument.BTCUSD,
|
|
tick_size=0.01,
|
|
absorption=AbsorptionConfig(
|
|
min_aggressive_volume=20,
|
|
max_price_displacement_ticks=3,
|
|
rolling_window_seconds=30,
|
|
min_attempts=2,
|
|
big_trade_filter=3,
|
|
),
|
|
initiative=InitiativeConfig(
|
|
min_delta_threshold=15,
|
|
volume_acceleration_min=1.5,
|
|
min_price_displacement_ticks=4,
|
|
),
|
|
sweep=SweepConfig(
|
|
min_levels_swept=3,
|
|
max_volume_per_level=8,
|
|
max_time_ms=2000,
|
|
thin_book_threshold=5,
|
|
),
|
|
exhaustion=ExhaustionConfig(
|
|
min_bars_declining=3,
|
|
volume_decline_pct=0.25,
|
|
),
|
|
volume_profile=VolumeProfileConfig(
|
|
session=SessionType.FULL_DAY,
|
|
tick_size=10.0,
|
|
),
|
|
)
|
|
|
|
|
|
def get_all_configs() -> list[InstrumentConfig]:
|
|
"""Return config for ALL instruments."""
|
|
return [
|
|
# Indices
|
|
get_nas100_config(),
|
|
get_sp500_config(),
|
|
get_dj30_config(),
|
|
get_uk100_config(),
|
|
get_dax40_config(),
|
|
get_nikkei225_config(),
|
|
get_cac40_config(),
|
|
get_asx200_config(),
|
|
get_hk50_config(),
|
|
# Metals
|
|
get_gold_config(),
|
|
get_silver_config(),
|
|
# Energy
|
|
get_usoil_config(),
|
|
get_ukoil_config(),
|
|
# Forex Majors
|
|
get_eurusd_config(),
|
|
get_gbpusd_config(),
|
|
get_usdjpy_config(),
|
|
get_audusd_config(),
|
|
get_usdcad_config(),
|
|
get_usdchf_config(),
|
|
get_nzdusd_config(),
|
|
# Forex Crosses
|
|
get_eurgbp_config(),
|
|
get_eurjpy_config(),
|
|
get_gbpjpy_config(),
|
|
# Stocks
|
|
get_aapl_config(),
|
|
get_tsla_config(),
|
|
get_amzn_config(),
|
|
get_msft_config(),
|
|
get_nvda_config(),
|
|
get_meta_config(),
|
|
get_googl_config(),
|
|
# Crypto
|
|
get_btcusd_config(),
|
|
]
|
|
|
|
|
|
# ── Data Source ──
|
|
# Change this to select your data feed:
|
|
# DataSource.MT5 → Use MetaTrader 5 (real broker data for NAS100, XAUUSD)
|
|
# DataSource.BYBIT → Use Bybit perpetuals (free crypto data)
|
|
# DataSource.BOTH → Run both feeds simultaneously
|
|
DATA_SOURCE = DataSource.MT5
|
|
|
|
# ── MT5 Configuration ──
|
|
# Adjust symbol names to match your broker!
|
|
# Common alternatives:
|
|
# NAS100: "USTEC", "NAS100", "US100", "USTEC.cash", "USTECH100", "#NAS100"
|
|
# Gold: "XAUUSD", "GOLD", "XAUUSD.cash"
|
|
MT5 = MT5Config()
|
|
|
|
# Telegram config — user fills in their token/chat_id
|
|
TELEGRAM = TelegramConfig()
|
|
|
|
# ── Dashboard ──
|
|
# Web dashboard at http://localhost:8080
|
|
DASHBOARD = DashboardConfig()
|
|
|
|
# Database
|
|
DB_PATH = "orderflow_data.db"
|
|
|
|
# Logging
|
|
LOG_LEVEL = "INFO"
|