def sendOrders(apiDict,isFTXSpot,ftxSide,exch,side,api,ccy,trade_qty):
if exch=='bbt':
fill = cl.bbtRelOrder(side, api, ccy, trade_qty, maxChases=888, distance=CT_CONFIGS_DICT['BBT_LEG1_DISTANCE_TICKS'])
elif exch=='kut':
fill = cl.kutRelOrder(side, api, ccy, trade_qty, maxChases=888, distance=CT_CONFIGS_DICT['KUT_LEG1_DISTANCE_TICKS'])
else:
sys.exit(1)
fill*=cl.ftxGetMid(apiDict['ftx'], 'USDT/USD')
if side == 'SELL':
shortFill = fill
else:
longFill = fill
#####
if isFTXSpot:
ftxTicker = ccy + '/USD'
ftxDistance = CT_CONFIGS_DICT['SPOT_LEG2_DISTANCE_TICKS']
else:
ftxTicker = ccy + '-PERP'
ftxDistance = CT_CONFIGS_DICT['FTX_LEG2_DISTANCE_TICKS']
fill = cl.ftxRelOrder(ftxSide, apiDict['ftx'], ftxTicker, trade_qty, maxChases=888, distance=ftxDistance)
if ftxSide == 'SELL':
shortFill = fill
else:
longFill = fill
return longFill, shortFill
sys.exit(1)
######
# Main
######
for i in range(SHARED_EXCH_DICT['bbt']):
n = i + 1
cl.printHeader('BBT' + str(n))
bb = cl.bbCCXTInit(n)
while True:
bbtPos = cl.bbtGetFutPos(bb, ccy)
ftxPos = ftxGetPos(unwindExch)
if bbtPos < -qty and ftxPos > qty:
cl.bbtRelOrder('BUY',
bb,
ccy,
qty,
maxChases=888,
distance=bbtDistance)
print()
cl.ftxRelOrder('SELL',
ftx,
ftxTicker,
qty,
maxChases=888,
distance=ftxDistance)
print()
else:
break
print('BBT Unwind finished!')
cl.speak('B B T Unwind finished')
def bbtCrossOrder(bbNB, bbNS, ccy, trade_qty, distance=0):
@retry(wait_fixed=1000, stop_max_attempt_number=SHARED_ETC_DICT['RETRY_MAX_ATTEMPTS'])
def getSymbols(bb):
return pd.DataFrame(bb.v2PublicGetSymbols()['result']).set_index('name')
######
@retry(wait_fixed=1000, stop_max_attempt_number=SHARED_ETC_DICT['RETRY_MAX_ATTEMPTS'])
def getData(bb, ticker):
return bb.v2PublicGetTickers({'symbol': ticker})['result'][0]
######
# Do not use @retry
def getIsReduceOnly(bb, ticker, side, qty):
df = pd.DataFrame(bb.private_linear_get_position_list({'symbol': ticker})['result']).set_index('side')
oppSide = 'Sell' if side == 'BUY' else 'Buy'
return qty <= float(df.loc[oppSide, 'size'])
#####
# Do not use @retry
def placeOrder(bb, ticker, side, qty, limitPrice):
return bb.private_linear_post_order_create({'side': side.capitalize(), 'symbol': ticker, 'order_type': 'Limit', 'qty': qty, 'price': limitPrice, 'time_in_force': 'GoodTillCancel',
'reduce_only': bool(getIsReduceOnly(bb, ticker, side, qty)), 'close_on_trigger': False})['result']['order_id']
#####
# Do not use @retry
def cancelOrder(bb, ticker, orderId):
try:
bb.private_linear_post_order_cancel({'symbol': ticker, 'order_id': orderId})
except:
pass
#####
@retry(wait_fixed=1000, stop_max_attempt_number=SHARED_ETC_DICT['RETRY_MAX_ATTEMPTS'])
def getOrder(bb, ticker, orderId):
return bb.private_linear_get_order_search({'symbol': ticker, 'order_id': orderId})['result']
#####
# Do not use @retry
def calcFill(orderStatus):
filledSize = float(orderStatus['cum_exec_qty'])
filledValue = float(orderStatus['cum_exec_value'])
if filledSize == 0:
return 0
else:
return filledValue / filledSize
#####
if bbNB==bbNS:
print('Cannot cross against oneself!')
sys.exit(1)
bbB=cl.bbCCXTInit(bbNB)
bbS=cl.bbCCXTInit(bbNS)
ticker = ccy+'USDT'
symbols = getSymbols(bbB)
maxTradingQty=float(symbols.loc[ticker, 'lot_size_filter']['max_trading_qty'])
qty = round(min(trade_qty,maxTradingQty), 3)
data = getData(bbB, ticker)
bid = float(data['bid_price'])
ask = float(data['ask_price'])
isUpTick = 'Plus' in data['last_tick_direction']
limitPrice = ask if isUpTick else bid
suffix1 = ' (qty=' + str(qty) + ') ....'
suffix2 = '; price=' + str(limitPrice) + '] '
if not isUpTick:
print(cl.timeTag('Sending buy order in BBT' + str(bbNB) + suffix1))
print(cl.timeTag('Sending sell order in BBT' + str(bbNS) + suffix1))
buyOrderId = placeOrder(bbB, ticker, 'BUY', qty, limitPrice)
sellOrderId = placeOrder(bbS, ticker, 'SELL', qty, limitPrice)
print(cl.timeTag('[DEBUG: buyOrderId=' + buyOrderId + suffix2))
print(cl.timeTag('[DEBUG: sellOrderId=' + sellOrderId + suffix2))
else:
print(cl.timeTag('Sending sell order in BBT' + str(bbNS) + suffix1))
print(cl.timeTag('Sending buy order in BBT' + str(bbNB) + suffix1))
sellOrderId = placeOrder(bbS, ticker, 'SELL', qty, limitPrice)
buyOrderId = placeOrder(bbB, ticker, 'BUY', qty, limitPrice)
print(cl.timeTag('[DEBUG: sellOrderId=' + sellOrderId + suffix2))
print(cl.timeTag('[DEBUG: buyOrderId=' + buyOrderId + suffix2))
time.sleep(3)
cancelOrder(bbB, ticker, buyOrderId)
cancelOrder(bbS, ticker, sellOrderId)
buyOrderStatus = getOrder(bbB, ticker, buyOrderId)
sellOrderStatus = getOrder(bbS, ticker, sellOrderId)
leavesQtyB=qty-float(buyOrderStatus['cum_exec_qty'])
leavesQtyS=qty-float(sellOrderStatus['cum_exec_qty'])
# Fix rounding issues
threshold=500
if (leavesQtyB*limitPrice)<threshold: leavesQtyB=0
if (leavesQtyS*limitPrice)<threshold: leavesQtyS=0
fillB1 = calcFill(buyOrderStatus)
fillS1 = calcFill(sellOrderStatus)
if leavesQtyB==0 and leavesQtyS==0:
print(cl.timeTag('[DEBUG: clean cross!]'))
return 0 # zero slippage
elif leavesQtyB>0 and leavesQtyS==0:
fillB2=cl.bbtRelOrder('BUY',bbB,ccy,leavesQtyB,maxChases=888,distance=distance)
fillBAvg=(fillB1*(qty-leavesQtyB) + fillB2*leavesQtyB)/qty
fillSAvg=fillS1
elif leavesQtyB==0 and leavesQtyS>0:
fillS2 = cl.bbtRelOrder('SELL', bbS, ccy, leavesQtyS, maxChases=888, distance=distance)
fillSAvg = (fillS1 * (qty - leavesQtyS) + fillS2 * leavesQtyS) / qty
fillBAvg=fillB1
else: # partial fills for both
print('bbtCrossOrder abnormal termination!')
sys.exit(1)
return fillBAvg / fillSAvg - 1 # slippage
