def _avoid_pacing_violation(last_call_datetime: datetime.datetime,
log: logger = logtoscreen("")):
printed_warning_already = False
while _pause_for_pacing(last_call_datetime):
if not printed_warning_already:
log.msg(
"Pausing %f seconds to avoid pacing violation" %
(datetime.datetime.now() - last_call_datetime).total_seconds())
printed_warning_already = True
pass
def _avoid_pacing_violation(last_call_datetime: datetime.datetime,
log: logger = logtoscreen("")):
printed_warning_already = False
while _pause_for_pacing(last_call_datetime):
if not printed_warning_already:
log.msg("Pausing %f seconds to avoid pacing violation" %
(last_call_datetime +
datetime.timedelta(seconds=PACING_INTERVAL_SECONDS) -
datetime.datetime.now()).total_seconds())
printed_warning_already = True
pass
def _is_imbalance_ratio_exceeded(current_tick_analysis: analysisTick,
log: logger) -> bool:
latest_imbalance_ratio = current_tick_analysis.imbalance_ratio
latest_imbalance_ratio_exceeded = latest_imbalance_ratio > IMBALANCE_THRESHOLD
if latest_imbalance_ratio_exceeded:
log.msg("Imbalance ratio for ticker %s %f exceeds threshold %f" %
(str(current_tick_analysis), latest_imbalance_ratio,
IMBALANCE_THRESHOLD))
return latest_imbalance_ratio_exceeded
def calculate_buffers(instrument_code: str,
position: pd.Series,
config: Config,
vol_scalar: pd.Series,
instr_weights: pd.DataFrame = arg_not_supplied,
idm: pd.Series = arg_not_supplied,
log: logger = logtoscreen("")) -> pd.Series:
log.msg(
"Calculating buffers for %s" % instrument_code,
instrument_code=instrument_code,
)
buffer_method = config.buffer_method
if buffer_method == "forecast":
log.msg(
"Calculating forecast method buffers for %s" % instrument_code,
instrument_code=instrument_code,
)
if instr_weights is arg_not_supplied:
instr_weight_this_code = arg_not_supplied
else:
instr_weight_this_code = instr_weights[instrument_code]
buffer = get_forecast_method_buffer(instr_weight_this_code=instr_weight_this_code,
vol_scalar=vol_scalar,
idm=idm,
position=position,
config=config)
elif buffer_method == "position":
log.msg(
"Calculating position method buffer for %s" % instrument_code,
instrument_code=instrument_code,
)
buffer = get_position_method_buffer(config=config,
position=position)
elif buffer_method == "none":
log.msg(
"None method, no buffering for %s" % instrument_code,
instrument_code=instrument_code,
)
buffer = get_buffer_if_not_buffering(
position=position)
else:
log.critical(
"Buffer method %s not recognised - not buffering" % buffer_method
)
buffer = get_buffer_if_not_buffering(
position=position)
return buffer
def _is_insufficient_size_on_our_preferred_side(
ticker_object: tickerObject, current_tick_analysis: analysisTick,
log: logger) -> bool:
abs_size_we_wish_to_trade = abs(ticker_object.qty)
size_we_require_to_trade_limit = IMBALANCE_ADJ_FACTOR * abs_size_we_wish_to_trade
available_size_on_our_preferred_side = abs(current_tick_analysis.side_qty)
insufficient_size_on_our_preferred_side = (
available_size_on_our_preferred_side < size_we_require_to_trade_limit)
if insufficient_size_on_our_preferred_side:
log.msg(
"On ticker %s we require size of %f (our trade %f * adjustment %f) for a limit order but only %f available"
% (str(current_tick_analysis), size_we_require_to_trade_limit,
abs_size_we_wish_to_trade, IMBALANCE_ADJ_FACTOR,
available_size_on_our_preferred_side))
return insufficient_size_on_our_preferred_side