backtest_twap.yml

order_file: ./data/orders/test_orders.pkl
start_time: "9:30"
end_time: "14:54"
data_granularity: "5min"
qlib:
  provider_uri_5min: ./data/bin/
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/