def test_pos():
bid = Position(pos=Decimal('1'), price=100, side=Side.ASK) + Position(pos=Decimal('0.1'), price=101, side=Side.BID)
assert bid.position() == Decimal('-0.9')
assert bid.side() == Side.ASK
bid = Position(pos=Decimal('1'), price=100, side=Side.BID) + Position(pos=Decimal('0.1'), price=101, side=Side.ASK)
assert bid.position() == Decimal('0.9')
assert bid.side() == Side.BID
print(bid)
def remove_exit_price_strategy(book: Book,
pos: Position,
config: MarketmakerConfig,
fee=Decimal(0.3)):
# pos, last_price = remove_price(book.quote(pos.side()), pos)
# if pos.balance > 0:
# remove_pos = pos.oppoiste_with_price(last_price)
# print("fee " + str(pos * Decimal('0.3')))
remove_pos = pos.oppoiste_with_price(book.quote(pos.side()).price)
remove_pos_wfee = Position(pos=remove_pos.position(),
balance=remove_pos.balance +
(remove_pos.balance / 100) * fee)
add_pos = pos.oppoiste_with_price(
book.quote(Side.opposite(pos.side())).price)
fee_ = remove_pos * Decimal(fee / 100)
fin_pos = pos + remove_pos
if (pos + remove_pos_wfee).balance > 0:
return remove_pos
elif (pos + add_pos).balance > 0:
return add_pos
else:
return pos.opposite_with_margin(config.min_profit)
def test_eneter_hedge(pos: Position):
print("pos" + str(pos))
book = gen_book()
pnl = PNL(Decimal('0.16'))
pnl.quote_changed(book.quote(Side.BID))
pnl.quote_changed(book.quote(Side.ASK))
pnl.pos = pos
config: AppConfig = load_config('config.json')
hedge = enter_hedge(pnl, book, pos.side(), config.algo, config.venue)
print("hedge " + str(hedge[0]) + " method " + hedge[1])
print("after hedge " + str(hedge[0] + pos))
#print("after hedge " + str(hedge[0]+pos))
print('-----------')
pass
def hedge_workflow(prior_pos: Position, target_price, enter_price):
# define current state
pandl.execution(prior_pos.side(), prior_pos.abs_position(),
prior_pos.price())
exit_order = remove_exit_price_strategy(book, prior_pos, None)
#place exit order
broker.request(0, exit_order.side(), exit_order.price(),
exit_order.abs_position())
# calc hedge order
hedge_pos = hedge_position(prior_pos, target_price, enter_price)
#place hedge order
broker.request(1, hedge_pos.side(), hedge_pos.price(),
hedge_pos.abs_position())
# exec hedge order
pandl.execution(hedge_pos.side(), hedge_pos.abs_position(),
hedge_pos.price())
# look at new exit
exit_order = remove_exit_price_strategy(
book, Position(pandl.pos(), pandl.balance()), None)
def volume_behind_order(min_pos: Position):
sign = Side.sign(min_pos.side())
return sum([
level.volume() for level in book.quote(min_pos.side())
if sign * level.price > sign * min_pos.price()
])
def bound_pos_to_lower_quote(quote: Level, pos: Position, tick_size):
lower_quote_price = bound_price_to_lower_quote(quote, pos.price(),
tick_size)
return Position(side=pos.side(),
price=lower_quote_price,
pos=pos.abs_position())
def calc_target_price(theo: Decimal, pos: Position, hedge_perc: Decimal):
#exit_side = Side.opposite(pos.side())
sign = Side.sign(pos.side())
theo_target = theo - Side.sign(pos.side()) * theo * hedge_perc
pos_target = pos.price() - sign * theo * hedge_perc
return theo_target