def sell_handler(self,tender,session,tick):
print('hit the sell handler')
price = tender['price']
volume = tender['quantity']
ticker = tender['ticker']
curr_price = self.data[ticker]['current_price']
volatility = self.data[ticker]['std']
max_vol = self.data[ticker]['estimated_max_vol']
print(price,volume,ticker)
print('Current Price',curr_price)
print('Estimated Volatility',volatility)
print('Maximum Volume', max_vol)
print('Tick', tick)
if tick < 200:
time = 100
else:
time = 300-tick
temp_impact = 0.142*(volatility)*(volume/(max_vol*(time/300)))**(0.6)
expected_cost = volume*price*temp_impact
expected_profit = volume*(price-curr_price)
print('Expected Cost', expected_cost)
print('Expected Profit', expected_profit)
print(temp_impact)
if expected_profit>expected_cost:
if self.limit_check(tender)== True:
self.trade_limit[ticker] = True
api_calls.accept_tender(session, tender['tender_id'])
if self.data[ticker]['current_stock']<0:
print("Stock Already Exists adding additional stock")
print("Previous Time to Sell", self.data[ticker]['time_to_sell'])
new_volume = self.data[ticker]['current_stock'] - volume
print("Volume", volume)
print("New_Volume", new_volume)
print("Time", time)
self.data[ticker]['time_to_sell'] = (-volume/new_volume)*time + abs((self.data[ticker]['current_stock']/new_volume))*self.data[ticker]['time_to_sell']
self.data[ticker]['current_stock'] = new_volume
self.data[ticker]['time_to_sell'] = round(self.data[ticker]['time_to_sell'],0)
print("Now Time to Sell", self.data[ticker]['time_to_sell'])
elif self.data[ticker]['current_stock']==0:
self.data[ticker]['current_stock'] = -volume
self.data[ticker]['time_to_sell'] = time
else:
print("Can offset stock")
print("Previous Time to Sell", self.data[ticker]['time_to_sell'])
#if we have more than we can offload
if abs(self.data[ticker]['current_stock']) > volume:
old_volume = abs(self.data[ticker]['current_stock'])
self.data[ticker]['current_stock'] = self.data[ticker]['current_stock'] - volume
self.data[ticker]['time_to_sell'] = (self.data[ticker]['current_stock']/old_volume)*self.data[ticker]['time_to_sell']
else:
self.data[ticker]['current_stock'] = self.data[ticker]['current_stock'] - volume
self.data[ticker]['time_to_sell'] = (self.data[ticker]['current_stock']/-volume)*time
self.data[ticker]['time_to_sell'] = round(self.data[ticker]['time_to_sell'],0)
print("Now Time to Sell", self.data[ticker]['time_to_sell'])
else:
print("Rejected Due to Limit Constraints")
def buy_handler(self, tender, session):
print('hit the buy handler')
price = tender['price']
volume = tender['quantity']
ticker = tender['ticker']
print(price, volume, ticker)
print('Calculated VWAP', self.data[ticker]['VWAP'])
if self.limit_check(tender):
if price <= self.data[ticker]['VWAP']:
if (volume + self.data[ticker]['current_stock']
) < self.data[ticker]['estimated_max_vol'] / 10:
api_calls.accept_tender(session, tender['tender_id'])
self.data[ticker]['current_stock'] += volume
else:
print('failed due to stock constaints')
else:
print('failed due to VWAP constaints')
else:
print('failed due to limit constaints')
def buy_handler(self, tender, session, tick):
print('hit the buy handler')
price = tender['price']
volume = tender['quantity']
ticker = tender['ticker']
curr_price = self.data[ticker]['current_price']
volatility = self.data[ticker]['std']
max_vol = self.data[ticker]['estimated_max_vol']
print(price, volume, ticker)
print('Current Price', curr_price)
print('Estimated Volatility', volatility)
print('Maximum Volume', max_vol)
print('Tick', tick)
if tick < 240:
time = 60
else:
time = 300 - tick
temp_impact = 0.142 * (volatility) * (volume / (max_vol *
(time / 300)))**(0.6)
expected_cost = volume * price * temp_impact
expected_profit = volume * (curr_price - price)
print('Expected Cost', expected_cost)
print('Expected Profit', expected_profit)
if expected_profit > expected_cost:
if self.limit_check(tender) == True:
api_calls.accept_tender(session, tender['tender_id'])
if self.data[ticker]['current_stock'] > 0:
print("Stock Already Exists adding additional stock")
print("Previous Time to Sell",
self.data[ticker]['time_to_sell'])
new_volume = self.data[ticker]['current_stock'] + volume
print("Volume", volume)
print("New_Volume", new_volume)
print("Time", time)
self.data[ticker]['time_to_sell'] = (
volume / new_volume) * time + (
self.data[ticker]['current_stock'] /
new_volume) * self.data[ticker]['time_to_sell']
self.data[ticker]['current_stock'] = new_volume
self.data[ticker]['time_to_sell'] = round(
self.data[ticker]['time_to_sell'], 0)
print("Time to sell now",
self.data[ticker]['time_to_sell'])
elif self.data[ticker]['current_stock'] == 0:
self.data[ticker]['current_stock'] = volume
self.data[ticker]['time_to_sell'] = time
else:
print("Negative stock exists offsetting")
print("Previous Time to Sell",
self.data[ticker]['time_to_sell'])
if abs(self.data[ticker]['current_stock']) > volume:
old_volume = abs(self.data[ticker]['current_stock'])
self.data[ticker]['current_stock'] = self.data[ticker][
'current_stock'] + volume
self.data[ticker]['time_to_sell'] = (
self.data[ticker]['current_stock'] /
old_volume) * self.data[ticker]['time_to_sell']
else:
self.data[ticker]['current_stock'] = self.data[ticker][
'current_stock'] + volume
self.data[ticker]['time_to_sell'] = (
self.data[ticker]['current_stock'] / volume) * time
self.data[ticker]['time_to_sell'] = round(
self.data[ticker]['time_to_sell'], 0)
print("Time to sell now",
self.data[ticker]['time_to_sell'])
else:
print("Rejected Due to Limit Constraints")