config.yaml

# =============================================================================
# Mefai Autotrade - Configuration
# =============================================================================
# Copy this file to config.local.yaml and customize for your environment.
# Environment variables can override any value using MEFAI_ prefix.
# Example: MEFAI_EXCHANGE_API_KEY overrides exchange.api_key
# =============================================================================

# -----------------------------------------------------------------------------
# General
# -----------------------------------------------------------------------------
general:
  name: "mefai-autotrade"
  version: "1.0.0"
  environment: "production"           # production, staging, development
  log_level: "INFO"                   # DEBUG, INFO, WARNING, ERROR
  log_file: "logs/autotrade.log"
  log_rotation: "50MB"
  timezone: "UTC"

# -----------------------------------------------------------------------------
# Exchange Configuration
# -----------------------------------------------------------------------------
exchange:
  name: "binance"
  api_key: "${BINANCE_API_KEY}"
  api_secret: "${BINANCE_API_SECRET}"
  testnet: false                      # true for paper trading
  testnet_api_key: "${BINANCE_TESTNET_API_KEY}"
  testnet_api_secret: "${BINANCE_TESTNET_API_SECRET}"
  market_type: "futures"              # spot, futures, margin
  default_leverage: 5
  max_leverage: 20
  recv_window: 5000                   # milliseconds
  rate_limit_buffer: 0.8             # use 80% of rate limit capacity
  proxy: null                         # HTTP proxy URL if needed
  backup_exchanges:                   # failover exchanges
    - name: "bybit"
      api_key: "${BYBIT_API_KEY}"
      api_secret: "${BYBIT_API_SECRET}"
    - name: "okx"
      api_key: "${OKX_API_KEY}"
      api_secret: "${OKX_API_SECRET}"

# -----------------------------------------------------------------------------
# Strategy Configuration
# -----------------------------------------------------------------------------
strategies:
  enabled:
    - momentum
    - trend_following
    - mean_reversion
    - breakout
    - grid_trading
    - smart_money
    - machine_learning
    - scalping

  # Per-strategy parameters
  momentum:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
    timeframe: "5m"
    rsi_period: 14
    macd_fast: 12
    macd_slow: 26
    macd_signal: 9
    adx_threshold: 25
    min_confidence: 0.6
    max_position_size: 0.1            # 10% of capital per position
    max_daily_trades: 20

  trend_following:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT"]
    timeframe: "15m"
    supertrend_period: 10
    supertrend_multiplier: 3.0
    ema_fast: 9
    ema_slow: 21
    adx_threshold: 20
    min_confidence: 0.55
    max_position_size: 0.15

  mean_reversion:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT", "BNBUSDT"]
    timeframe: "5m"
    bb_period: 20
    bb_std: 2.0
    zscore_entry: 2.0
    zscore_exit: 0.5
    max_hold_bars: 50
    min_confidence: 0.6

  breakout:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT", "SOLUSDT"]
    timeframe: "15m"
    lookback: 20
    volume_multiplier: 2.0
    atr_stop_multiplier: 2.0
    false_breakout_filter: true
    min_confidence: 0.65

  grid_trading:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT"]
    timeframe: "1m"
    num_grids: 10
    grid_type: "arithmetic"           # arithmetic, geometric
    total_investment: 1000.0
    upper_price: 0                    # 0 = auto-detect from ATR
    lower_price: 0
    take_profit_pct: 0.3

  smart_money:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT"]
    htf_timeframe: "4h"
    ltf_timeframe: "15m"
    min_confluence: 3
    order_block_lookback: 50
    fvg_min_size_pct: 0.1
    min_confidence: 0.7

  machine_learning:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
    timeframe: "5m"
    model_type: "xgboost"             # xgboost, random_forest, neural_net
    confidence_threshold: 0.6
    retrain_interval_hours: 24
    feature_lookback: 100
    model_path: "models/"

  scalping:
    enabled: true
    symbols: ["BTCUSDT", "ETHUSDT"]
    timeframe: "1m"
    target_pct: 0.2
    max_hold_minutes: 15
    max_trades_per_hour: 10
    spread_filter: 0.02               # skip if spread > 0.02%

  dca:
    enabled: false
    symbols: ["BTCUSDT"]
    interval_hours: 24
    buy_amount: 100.0
    dip_threshold_pct: 5.0
    max_positions: 10

  arbitrage:
    enabled: false
    min_spread_pct: 0.1
    max_exposure: 10000.0
    exchanges: ["binance", "bybit"]

  market_making:
    enabled: false
    symbols: ["BTCUSDT"]
    spread_bps: 10
    max_inventory: 100.0
    refresh_interval_sec: 5

  pairs_trading:
    enabled: false
    pairs: [["BTCUSDT", "ETHUSDT"]]
    zscore_entry: 2.0
    zscore_exit: 0.5
    lookback: 60

  volume_profile:
    enabled: false
    symbols: ["BTCUSDT"]
    num_bins: 50
    value_area_pct: 70.0

  elliott_wave:
    enabled: false
    symbols: ["BTCUSDT"]
    min_wave_pct: 1.0
    fib_tolerance: 0.05

  order_flow:
    enabled: false
    symbols: ["BTCUSDT"]
    cvd_lookback: 50
    delta_threshold: 0.3

  composite:
    enabled: false
    strategies: ["momentum", "trend_following", "smart_money"]
    voting_threshold: 0.6
    min_strategies: 2

# -----------------------------------------------------------------------------
# Risk Management
# -----------------------------------------------------------------------------
risk:
  # Position sizing
  max_position_pct: 10.0              # max 10% of capital per position
  default_risk_per_trade_pct: 1.0     # risk 1% of capital per trade
  max_open_positions: 10
  max_correlated_positions: 3         # max positions in correlated assets

  # Portfolio limits
  max_portfolio_drawdown_pct: 15.0    # halt all trading at 15% drawdown
  max_daily_loss_pct: 5.0             # halt trading for the day at 5% loss
  max_daily_trades: 100
  max_weekly_loss_pct: 10.0

  # Stop loss
  default_stop_loss_pct: 2.0
  max_stop_loss_pct: 5.0
  trailing_stop_atr_multiplier: 2.0
  trailing_stop_activation_pct: 1.0   # activate trailing after 1% profit

  # Take profit
  default_take_profit_pct: 4.0
  partial_take_profit:
    - level_pct: 2.0
      close_pct: 33                   # close 33% at 2% profit
    - level_pct: 4.0
      close_pct: 33                   # close 33% at 4% profit
    - level_pct: 6.0
      close_pct: 100                  # close remaining at 6% profit

  # Leverage
  max_leverage: 20
  default_leverage: 5
  dynamic_leverage: true              # reduce leverage in high volatility

  # Circuit breakers
  circuit_breaker:
    consecutive_losses: 5             # pause after 5 consecutive losses
    pause_minutes: 60                 # pause duration
    drawdown_pause_pct: 10.0          # pause at 10% drawdown
    drawdown_pause_hours: 4

  # Correlation filter
  correlation:
    max_correlation: 0.85             # block new position if corr > 0.85
    lookback_periods: 100
    check_interval_minutes: 15

# -----------------------------------------------------------------------------
# Execution
# -----------------------------------------------------------------------------
execution:
  default_order_type: "LIMIT"         # LIMIT, MARKET
  default_algo: "twap"                # twap, vwap, iceberg, market
  slippage_tolerance_pct: 0.1
  retry_attempts: 3
  retry_delay_seconds: 2
  order_timeout_seconds: 30
  use_reduce_only: true               # use reduce-only for closing positions
  post_only: false                    # maker-only orders

  # TWAP settings
  twap:
    num_slices: 5
    interval_seconds: 30
    randomize_interval: true          # add random jitter

  # VWAP settings
  vwap:
    participation_rate: 0.1           # 10% of volume
    max_deviation_pct: 0.5

  # Iceberg settings
  iceberg:
    visible_pct: 20                   # show 20% of total order
    replenish_delay_ms: 500

  # Smart routing
  smart_routing:
    enabled: true
    check_orderbook_depth: true
    min_orderbook_depth_usdt: 50000
    prefer_maker: true

# -----------------------------------------------------------------------------
# Data
# -----------------------------------------------------------------------------
data:
  database_path: "data/autotrade.db"
  candle_retention_days: 90
  trade_history_retention_days: 365
  tick_buffer_size: 10000
  snapshot_interval_seconds: 60

  # Binance kline proxy (for rate limit bypass)
  kline_proxy: "" # Set via MEFAI_KLINE_PROXY env var
  use_proxy: true

  # Websocket
  websocket:
    reconnect_delay_seconds: 5
    max_reconnect_attempts: 10
    ping_interval_seconds: 30
    subscribe_depth: true
    subscribe_trades: true
    subscribe_klines: true

  # Meme coin prefix mapping
  meme_prefix:
    PEPE: "1000PEPEUSDT"
    FLOKI: "1000FLOKIUSDT"
    SHIB: "1000SHIBUSDT"
    BONK: "1000BONKUSDT"

# -----------------------------------------------------------------------------
# Portfolio Management
# -----------------------------------------------------------------------------
portfolio:
  allocation_method: "risk_parity"    # equal, risk_parity, mean_variance, kelly,
                                      # max_diversification, min_variance,
                                      # risk_budgeting, dynamic
  total_capital: 10000.0
  risk_free_rate: 0.04                # 4% annual risk-free rate

  # Rebalancing
  rebalance_frequency: "daily"        # hourly, daily, weekly, monthly, quarterly
  rebalance_mode: "cost_aware"        # immediate, gradual, tax_aware, cost_aware
  drift_threshold_pct: 5.0            # rebalance when drift exceeds 5%
  min_rebalance_interval_hours: 4
  max_turnover_pct: 30.0              # max 30% turnover per rebalance
  gradual_steps: 3                    # for gradual rebalancing mode

  # Allocation constraints
  constraints:
    momentum:
      min_weight: 0.05
      max_weight: 0.30
    trend_following:
      min_weight: 0.05
      max_weight: 0.30
    mean_reversion:
      min_weight: 0.05
      max_weight: 0.25
    breakout:
      min_weight: 0.0
      max_weight: 0.20
    smart_money:
      min_weight: 0.05
      max_weight: 0.25
    machine_learning:
      min_weight: 0.0
      max_weight: 0.20

  # Copy trading
  copy_trading:
    enabled: false
    max_masters: 5
    default_size_multiplier: 1.0
    default_delay_seconds: 0
    max_daily_copy_trades: 50

# -----------------------------------------------------------------------------
# Monitoring and Alerting
# -----------------------------------------------------------------------------
monitoring:
  # Prometheus metrics
  prometheus:
    enabled: true
    port: 9090
    path: "/metrics"

  # Health check
  health_check:
    enabled: true
    port: 8100
    path: "/health"
    interval_seconds: 30

  # Notifications
  notifications:
    telegram:
      enabled: true
      bot_token: "${TELEGRAM_BOT_TOKEN}"
      chat_id: "${TELEGRAM_CHAT_ID}"
      alert_on:
        - trade_executed
        - daily_summary
        - error
        - circuit_breaker
        - drawdown_warning

    discord:
      enabled: false
      webhook_url: "${DISCORD_WEBHOOK_URL}"
      alert_on:
        - trade_executed
        - daily_summary
        - error

  # Alert thresholds
  alerts:
    drawdown_warning_pct: 5.0         # warn at 5% drawdown
    drawdown_critical_pct: 10.0       # critical at 10% drawdown
    daily_loss_warning_pct: 3.0
    consecutive_loss_warning: 3
    position_hold_warning_hours: 24   # warn if position held > 24h
    latency_warning_ms: 500           # warn if order latency > 500ms

# -----------------------------------------------------------------------------
# API Server
# -----------------------------------------------------------------------------
api:
  host: "0.0.0.0"
  port: 8100
  workers: 1
  cors_origins: ["https://mefai.io"]
  api_key: "${MEFAI_API_KEY}"         # for API authentication
  websocket_path: "/ws"
  rate_limit:
    requests_per_minute: 120
    burst: 20

# -----------------------------------------------------------------------------
# Backtesting
# -----------------------------------------------------------------------------
backtesting:
  data_dir: "data/historical/"
  default_start_date: "2024-01-01"
  default_end_date: "2025-01-01"
  initial_capital: 10000.0
  commission_pct: 0.04                # 0.04% per trade
  slippage_pct: 0.02                  # 0.02% simulated slippage
  enable_shorting: true
  use_adjusted_close: true
  walk_forward:
    enabled: true
    train_periods: 60                 # days
    test_periods: 20                  # days
    anchored: false                   # expanding window if true

# -----------------------------------------------------------------------------
# Machine Learning
# -----------------------------------------------------------------------------
ml:
  model_dir: "models/"
  training:
    min_samples: 1000                 # minimum rows before training
    retrain_cron: "0 4 * * *"         # retrain at 4 AM daily
    validation_split: 0.2
    cross_validation_folds: 5
    early_stopping_rounds: 50
    max_features: 100
  features:
    technical: true                   # RSI, MACD, BB, etc.
    volume: true                      # volume profile features
    order_flow: true                  # CVD, delta
    sentiment: false                  # news sentiment (requires API key)
    on_chain: false                   # on-chain metrics
  ensemble:
    enabled: true
    models: ["xgboost", "random_forest", "neural_net"]
    voting: "soft"                    # soft (probability avg) or hard (majority)