count = 0 def status(msg, order): global TMX global endTime totalDelta = 0.0 totalVega = 0.0 for key in msg['trader_state']['positions']: quant = msg['trader_state']['positions'][key] print key, quant try: K = int(key[1:-1]) except: continue v = vols[K] if vols[K] == 0.0 or vols[K] == None: v = 20 c = mibian.BS([TMX, K, 0.0, (endTime-time.time())/15.0], volatility = v) type = key[-1] if type == 'P': totalDelta += (c.putDelta)*quant else: totalDelta += (c.callDelta)*quant totalVega += c.vega*quant print 'Total delta: ' + str(totalDelta*100) print 'Total vega: ' + str(totalVega*100) t.onMarketUpdate = upd t.onTraderUpdate = status t.run()
if i != j and i != k and j != k:
if LP[i][j] * LP[j][k] > LP[i][k]:
order.addBuy(conv(i, j),
int(LP[i][j] * LP[j][k] * 100), LP[i][j])
order.addBuy(conv(j, k), int(LP[j][k] * 100), LP[j][k])
order.addSell(conv(i, k), 100, LP[i][k])
print 'trade'
'''
if LP['EURUSD']*LP["USDJPY"] < LP["EURUSD"]:
order.addBuy('EURUSD', 100)
order.addBuy('USDJPY', 100)
order.addSell('EURUSD', 100)
cur = msg['market_state']['ticker']
order.addBuy(cur, 10, lastprice-0.1)
order.addSell(cur, 10, lastprice)
'''
def upd(msg, order):
cur = msg['trades'][0]['ticker']
price = msg['trades'][0]['price']
a = cur[0:3]
b = cur[3:6]
LP[a][b] = price
LP[b][a] = price
t.onMarketUpdate = f
t.onTrade = upd
t.run()
}
pending_orders.append(new_order)
except:
print('Unable to parse headline: Unknown error')
DEBUG = True
algo_bot = None
if len(sys.argv) >= 4:
algo_bot = TradersBot(host=sys.argv[1],
id=sys.argv[2],
password=sys.argv[3])
# DEBUG = False
CANCEL_TRADES = False
else:
algo_bot = TradersBot('127.0.0.1', 'trader0', 'trader0')
algo_bot.onAckRegister = onAckRegister
algo_bot.onMarketUpdate = onMarketUpdate
algo_bot.onTraderUpdate = onTraderUpdate
algo_bot.onTrade = onTrade
algo_bot.onAckModifyOrders = onAckModifyOrders
algo_bot.onNews = onNews
if not DEBUG:
def f(*args):
return None
print = f
algo_bot.run()
def trade_method(msg, order):
global MARKET
print(MARKET['T85C']['price'])
trade_dict = msg['trades']
for trade in trade_dict:
security = MARKET[trade["ticker"]]
security['price'] = trade["price"]
# security['vol'] = calc_vol(security['type'] == 'C', trade['price'], 100, security['strike'], exp_time(), INTEREST_RATE)
# Buys or sells in a random quantity every time it gets an update
# You do not need to buy/sell here
def trader_update_method(msg, order):
global MARKET
positions = msg['trader_state']['positions']
for security in positions.keys():
if random.random() < 0.5:
quant = 10*random.randint(1, 10)
order.addBuy(security, quantity=quant,price=MARKET[security]['price'])
else:
quant = 10*random.randint(1, 10)
order.addSell(security, quantity=quant,price=MARKET[security]['price'])
t.onAckRegister = ack_register_method
t.onMarketUpdate = market_update_method
t.onTraderUpdate = trader_update_method
t.onTrade = trade_method
#t.onAckModifyOrders = ack_modify_orders_method
#t.onNews = news_method
t.run()
elif ticker == 'USDJPY':
if len(price_list['EURJPY'])>0:
val = 1/price_list['EURUSD'][-1]*price_list['EURJPY'][-1]
if val<(1-5*dx)*price:
return {'trade':'yes','USDJPY':('sell',amount(val,price)),'EURUSD':('sell',amount(val,price)),'EURJPY':('buy',amount(val,price))}
elif val>(1+5*dx)*price:
return {'trade':'yes','USDJPY':('buy',amount(val,price)),'EURUSD':('buy',amount(val,price)),'EURJPY':('sell',amount(val,price))}
if len(price_list['CHFJPY'])>0:
val = price_list['USDCHF'][-1]*price_list['CHFJPY'][-1]
if val<(1-5*dx)*price:
return {'trade':'yes','USDJPY':('sell',amount(val,price)),'USDCHF':('buy',amount(val,price)),'CHFJPY':('buy',amount(val,price))}
elif val>(1+5*dx)*price:
return {'trade':'yes','USDJPY':('buy',amount(val,price)),'USDCHF':('sell',amount(val,price)),'CHFJPY':('sell',amount(val,price))}
return {'trade':'no'}
def amount(val, price):
amt = abs(val-price)/price
amt *= (20/(5*dx))
return floor(amt)
t.onMarketUpdate = on_update
t.onTrade = trade
t.onTraderUpdate = get_info
t.run()
resp = check_cycle(cycle)
if resp[0] == 'BUY':
order_size = resp[4]
TradersOrder.addBuy(cycle[0], order_size)#, price=resp[1])
TradersOrder.addBuy(cycle[1], order_size)#, price=resp[2])
TradersOrder.addSell(cycle[2], order_size)#, price=resp[3])
time_last_order = time.time()
elif resp[0] == 'SELL':
order_size = resp[4]
TradersOrder.addSell(cycle[0], order_size)#, price=resp[1])
TradersOrder.addSell(cycle[1], order_size)#, price=resp[2])
TradersOrder.addBuy(cycle[2], order_size)#, price=resp[3])
time_last_order = time.time()
return
t.onMarketUpdate = market_update
## onTraderUpdate
def adjust_params(msg, TradersOrder):
global orderbook, time_last_clear, time_last_threshold_update, current_pnl, pnl_deltas, arb_threshold, DELTASHIFT
counter = 0
# clear 10 old orders every 3 seconds
if (time.time() - time_last_clear > 3):
if 'open_orders' in msg:
for order in msg['open_orders']:
if counter > 10:
break
order_id = order.split(':')
ticker = order_id[0]
id_num = order_id[1]