From 0d1e01a0c77669f69ba4b47e42fc76fec2830f90 Mon Sep 17 00:00:00 2001 From: jgrusewski Date: Wed, 8 Apr 2026 21:05:59 +0200 Subject: [PATCH] =?UTF-8?q?fix:=20all=20DQN=20configs=20=E2=80=94=20IBKR?= =?UTF-8?q?=20costs=20(0.18=20bps)=20+=20min=5Fhold=5Fbars=3D10=20for=20vo?= =?UTF-8?q?lume=20bars?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit Co-Authored-By: Claude Opus 4.6 (1M context) --- config/training/dqn-hyperopt.toml | 2 ++ config/training/dqn-localdev.toml | 3 ++- 2 files changed, 4 insertions(+), 1 deletion(-) diff --git a/config/training/dqn-hyperopt.toml b/config/training/dqn-hyperopt.toml index 8cb38f028..eb76c34ba 100644 --- a/config/training/dqn-hyperopt.toml +++ b/config/training/dqn-hyperopt.toml @@ -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 diff --git a/config/training/dqn-localdev.toml b/config/training/dqn-localdev.toml index 8b813d221..de6b43feb 100644 --- a/config/training/dqn-localdev.toml +++ b/config/training/dqn-localdev.toml @@ -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