order_file: ./data/orders/test_orders.pkl
start_time: "9:30"
end_time: "14:54"
qlib:
  provider_uri_5min: ./data/bin/
  feature_root_dir: ./data/pickle/
  feature_columns_today: [
    "$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
    "$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"
  ]
  feature_columns_yesterday: [
    "$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
    "$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"
  ]
exchange:
  limit_threshold: null
  deal_price: ["$close", "$close"]
  volume_threshold: null
strategies:
  1day:
    class: TWAPStrategy
    kwargs: {}
    module_path: qlib.contrib.strategy.rule_strategy
  30min:
    class: TWAPStrategy
    kwargs: {}
    module_path: qlib.contrib.strategy.rule_strategy
concurrency: 16
output_dir: outputs/twap/