Module Algostream_pairs.Config

Tunable parameters for the pairs trading layer.

All time arithmetic in this layer is event-time only — there are no wall-clock reads. CI lint enforces that.

type adf_variant =
  1. | No_constant
  2. | With_constant
  3. | With_trend
type beta_mode =
  1. | Static of float
  2. | Rolling_ols
  3. | Kalman_smoothed
type t = {
  1. corr_window : int;
  2. spread_window : int;
  3. beta_window : int;
  4. recompute_every : int;
  5. beta_mode : beta_mode;
  6. kalman_signal_to_noise : float;
  7. kalman_warmup : int;
  8. coint_retest_bars : int;
  9. coint_min_bars : int;
  10. adf_p_lags : int;
  11. adf_variant : adf_variant;
  12. adf_signif : float;
  13. min_n : int;
  14. min_corr : float;
  15. max_adf_pvalue : float;
  16. min_half_life_bars : float;
  17. max_half_life_bars : float;
  18. max_beta_stdev : float;
  19. min_avg_volume : float;
  20. entry_z : float;
  21. exit_z : float;
  22. stop_z : float;
  23. min_publish_interval_ns : int64;
  24. max_active_pairs : int;
  25. max_price_staleness_ns : int64;
}
val default : t