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fix: all DQN configs — IBKR costs (0.18 bps) + min_hold_bars=10 for volume bars

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Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-04-08 21:05:59 +02:00
parent 413ec6f643
commit 0d1e01a0c7
2 changed files with 4 additions and 1 deletions
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2
config/training/dqn-hyperopt.toml
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@@ -110,6 +110,8 @@ initial_capital = 100000.0
ioc_fill_prob = 0.85
limit_fill_min = 0.30
limit_fill_max = 0.80
tx_cost_multiplier = 0.18 # IBKR ES: 0.18 bps = $4.50/contract RT
min_hold_bars = 10 # ~26s hold at 23 volume bars/min
spread_cost_frac = 0.50
spread_capture_frac = 0.50

3
config/training/dqn-localdev.toml
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@@ -46,12 +46,13 @@ min_epochs_before_stopping = 80
[experience]
gpu_timesteps_per_episode = 200
gpu_n_episodes = 128
min_hold_bars = 3
min_hold_bars = 10 # ~26s hold at 23 volume bars/min
[experience.fill_simulation]
ioc_fill_prob = 0.85
limit_fill_min = 0.30
limit_fill_max = 0.80
tx_cost_multiplier = 0.18 # IBKR ES: 0.18 bps = $4.50/contract RT
spread_cost_frac = 0.50
spread_capture_frac = 0.50