def getorder(self, time, countdown, lob, verbose):
if len(self.orders) < 1:
self.active = False
order = None
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
#calculate price
if self.job == 'Bid':
self.price = self.calc_p_bid(self.holdings - 1,
self.remaining_offer_ops - 1)
if self.job == 'Ask':
self.price = self.calc_p_ask(self.holdings - 1,
self.remaining_offer_ops - 1)
order = Order(self.tid, self.job, 'LIM', self.price,
self.orders[0].qty, time, None, -1)
self.lastquote = order
if self.first_turn or self.price == -1:
if self.job == 'Bid':
order = Order(self.tid, self.job, 'LIM', bse_sys_minprice + 1,
self.orders[0].qty, time, None, -1)
if self.job == 'Ask':
order = Order(self.tid, self.job, 'LIM', bse_sys_maxprice - 1,
self.orders[0].qty, time, None, -1)
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('SNPR getorder: self.orders[0]=%s' % str(self.orders[0]))
lurk_threshold = 0.2
shavegrowthrate = 3
shave = int(1.0 / (0.01 + countdown / (shavegrowthrate * lurk_threshold)))
if (len(self.orders) < 1) or (countdown > lurk_threshold):
order = None
else:
limitprice = self.orders[0].price
otype = self.orders[0].otype
ostyle = self.orders[0].ostyle
if otype == 'Bid':
if lob['bids']['n'] > 0:
oprice = lob['bids']['bestp'] + shave
if oprice > limitprice:
oprice = limitprice
else:
oprice = lob['bids']['worstp']
else:
if lob['asks']['n'] > 0:
oprice = lob['asks']['bestp'] - shave
if oprice < limitprice:
oprice = limitprice
else:
oprice = lob['asks']['worstp']
order = Order(self.tid, otype, ostyle, oprice, self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print("SHVR getorder:")
if len(self.orders) < 1:
order = None
else:
if verbose: print(" self.orders[0]=%s" % str(self.orders[0]))
limitprice = self.orders[0].price
otype = self.orders[0].atype
ostyle = self.orders[0].astyle
if otype == 'Bid':
if lob['bids']['n'] > 0:
quoteprice = lob['bids']['bestp'] + 1
if quoteprice > limitprice :
quoteprice = limitprice
else:
quoteprice = lob['bids']['worstp']
else:
if lob['asks']['n'] > 0:
quoteprice = lob['asks']['bestp'] - 1
if quoteprice < limitprice:
quoteprice = limitprice
else:
quoteprice = lob['asks']['worstp']
order = Order(self.tid, otype, ostyle, quoteprice, self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def generate_QBO(self, time, countdown, lob, verbose):
if len(self.qbo_orders) < 1:
self.active = False
order = None
else:
osrid = self.qbo_orders[0].osrid
biid = self.qbo_orders[0].order.orderid
bi_order = self.qbo_orders[0].order
qty = bi_order.qty
price = bi_order.price
limitprice = bi_order.limitprice
MES = bi_order.MES
subtype = 'QBO'
# check if the order request has expired >0.5?
if time - self.qbo_orders[0].time > 0.5:
self.active = False
order = Order(self.tid, self.job, "CAN", price, qty, time, None, -1, limitprice, MES, subtype, None, osrid)
else:
self.active = True
total_price = 0
total_qty = 0
for trn in self.qbo_orders[0].trns:
total_price += trn['price']*trn['qty']
total_qty += trn['qty']
# price = total_price/total_qty
# qty = random.randint(total_qty, qty)
order = Order(self.tid, self.job, "LIM", price, qty, time, None, -1, limitprice, MES, subtype, 'Drk', osrid, biid)
self.lastquote = order
order.myref = bi_order.myref
del self.qbo_orders[0]
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print("ISHV getorder:")
shave_c = 2 # c in the y=mx+c linear mapping from imbalance to shave amount
shave_m = 1 # m in the y=mx+c
if len(self.orders) < 1:
order = None
else:
if verbose: print(" self.orders[0]=%s" % str(self.orders[0]))
limitprice = self.orders[0].price
otype = self.orders[0].atype
ostyle = self.orders[0].astyle
microp = lob['microprice']
midp = lob['midprice']
if microp != None and midp != None:
imbalance = microp - midp
else: imbalance = 0 # if imbalance is undefined, proceed as if it is equal to zero
if otype == 'Bid':
# quantity sensitivity
if imbalance < 0 : shaving = 1 # imbalance in favour of buyers, so shave slowly
else: shaving = shave_c + (shave_m * int(imbalance*100)/100) # shave ever larger amounts
if verbose: print('t:%f, ISHV (Bid) imbalance=%s shaving=%s' % (time, imbalance, shaving))
if len(lob['bids']['lob']) > 0:
quoteprice = lob['bids']['bestp'] + shaving
if quoteprice > limitprice :
quoteprice = limitprice
else:
quoteprice = 1 #KLUDGE -- come back to fix todo
else:
# quantity sensitivity
if imbalance > 0 : shaving = 1
else: shaving = shave_c - (shave_m * int(imbalance*100)/100)
if verbose: print('t:%f, ISHV (Ask) imbalance=%s shaving=%s' % (time, imbalance, shaving))
if len(lob['asks']['lob']) > 0:
quoteprice = lob['asks']['bestp'] - shaving
if quoteprice < limitprice :
quoteprice = limitprice
else:
quoteprice = 200 #KLUDGE -- come back to fix todo
order = Order(self.tid, otype, ostyle, quoteprice, self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('GVWY getorder:')
if len(self.orders) < 1:
order = None
else:
quoteprice = self.orders[0].price
order = Order(self.tid,
self.orders[0].otype,
self.orders[0].ostyle,
quoteprice,
self.orders[0].qty,
time, None, -1)
self.lastquote=order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('ZIC getorder:')
if len(self.orders) < 1:
# no orders: return NULL
order = None
else:
minprice = lob['bids']['worstp']
maxprice = lob['asks']['worstp']
limit = self.orders[0].price
otype = self.orders[0].atype
ostyle = self.orders[0].astyle
if otype == 'Bid':
oprice = random.randint(minprice, limit)
else:
oprice = random.randint(limit, maxprice)
# NB should check it == 'Ask' and barf if not
order = Order(self.tid, otype, ostyle, oprice, self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
def imbalance_alter(quoteprice_aa, lob, countdown, m):
mlofi_list = [0 for i in range(m)]
cd_list = [0 for i in range(m)]
ad_list = []
n = 1
while len(self.es_list) >= n:
for i in range(m):
mlofi_list[i] += self.es_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
n = 1
while len(self.ds_list) >= n:
for i in range(m):
cd_list[i] += self.ds_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
for i in range(m):
temp = None
if n == 1:
temp = cd_list[i] + 1
else:
temp = cd_list[i] / (n - 1) + 1
ad_list.append(temp)
c = 5
decay = 0.8
offset = 0
for i in range(m):
offset += int(mlofi_list[i] * c * pow(decay, i) / ad_list[i])
benchmark = quoteprice_aa
if (lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
quoteprice_iaa = quoteprice_aa + 0.8 * (benchmark + offset -
quoteprice_aa)
if self.job == 'Bid' and quoteprice_iaa > self.limit:
quoteprice_iaa = self.limit
if self.job == 'Ask' and quoteprice_iaa < self.limit:
quoteprice_iaa = self.limit
if countdown < 0.3:
print "insert"
if self.job == 'Bid' and (
len(lob['asks']['lob']) >=
1) and lob['asks']['lob'][0][0] < self.limit:
quoteprice_iaa = lob['asks']['lob'][0][0]
if self.job == 'Ask' and (
len(lob['bids']['lob']) >=
1) and lob['bids']['lob'][0][0] > self.limit:
quoteprice_iaa = lob['bids']['lob'][0][0]
if self.job == 'Bid' and quoteprice_iaa < bse_sys_minprice:
quoteprice_iaa = bse_sys_minprice + 1
if self.job == 'Ask' and quoteprice_iaa > bse_sys_maxprice:
quoteprice_iaa = bse_sys_maxprice - 1
return quoteprice_iaa
if len(self.orders) < 1:
self.active = False
order = None
return order
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
#calculate price
if self.job == 'Bid':
self.price = self.calc_p_bid(self.holdings - 1,
self.remaining_offer_ops - 1)
if self.job == 'Ask':
self.price = self.calc_p_ask(self.holdings - 1,
self.remaining_offer_ops - 1)
quoteprice = self.price
# print "before:"
# print self.price
if (self.is_imbalance_significant(self.m, 0.6)):
# print "abvious"
quoteprice_igdx = imbalance_alter(quoteprice, lob, countdown,
self.m)
else:
# print "not abvious"
quoteprice_igdx = quoteprice
self.price = quoteprice_igdx
#
# print "after:"
# print self.price
order = Order(self.tid, self.job, 'LIM', self.price,
self.orders[0].qty, time, None, -1)
self.lastquote = order
if self.first_turn or self.price == -1:
if self.job == 'Bid':
order = Order(self.tid, self.job, 'LIM', bse_sys_minprice + 1,
self.orders[0].qty, time, None, -1)
if self.job == 'Ask':
order = Order(self.tid, self.job, 'LIM', bse_sys_maxprice - 1,
self.orders[0].qty, time, None, -1)
# print order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('ZIP getorder(): LOB=%s' % lob)
# random coefficient, multiplier on trader's own estimate of worst possible bid/ask prices
# currently in arbitrarily chosen range [2, 5]
worst_coeff = 2 + (3 * random.random())
if len(self.orders) < 1:
self.active = False
order = None
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
if self.job == 'Bid':
# currently a buyer (working a bid order)
self.margin = self.margin_buy
# what is the worst bid price on the LOB right now?
if len(lob['bids']['lob']) > 0:
# take price of final entry on LOB
worst_bid = lob['bids']['lob'][-1][0]
else:
# local pessimistic estimate of the worst bid price (own version of stub quote)
worst_bid = max(1, int(self.limit / worst_coeff))
if self.worst_bidprice == None:
self.worst_bidprice = worst_bid
elif self.worst_bidprice > worst_bid:
self.worst_bidprice = worst_bid
else:
# currently a seller (working a sell order)
self.margin = self.margin_sell
# what is the worst ask price on the LOB right now?
if len(lob['asks']['lob']) > 0:
# take price of final entry on LOB
worst_ask = lob['asks']['lob'][-1][0]
else:
# local pessimistic estimate of the worst ask price (own version of stub quote)
worst_ask = int(self.limit * worst_coeff)
if self.worst_askprice == None:
self.worst_askprice = worst_ask
elif self.worst_askprice < worst_ask:
self.worst_askprice = worst_ask
quoteprice = int(self.limit * (1 + self.margin))
def imbalance_alter(quoteprice_aa, lob, countdown, m):
mlofi_list = [0 for i in range(m)]
cd_list = [0 for i in range(m)]
ad_list = []
n = 1
while len(self.es_list) >= n:
for i in range(m):
mlofi_list[i] += self.es_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
n = 1
while len(self.ds_list) >= n:
for i in range(m):
cd_list[i] += self.ds_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
for i in range(m):
temp = None
if n == 1:
temp = cd_list[i] + 1
else:
temp = cd_list[i] / (n - 1) + 1
ad_list.append(temp)
c = 10
decay = 1
offset = 0
for i in range(m):
offset += int(mlofi_list[i] * c * pow(decay, i) /
ad_list[i])
benchmark = quoteprice_aa
if (lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
quoteprice_iaa = quoteprice_aa + 0.8 * (benchmark + offset -
quoteprice_aa)
if self.job == 'Bid' and quoteprice_iaa > self.limit:
quoteprice_iaa = self.limit
if self.job == 'Ask' and quoteprice_iaa < self.limit:
quoteprice_iaa = self.limit
if countdown < 0.3:
print "insert"
if self.job == 'Bid' and (
len(lob['asks']['lob']) >=
1) and lob['asks']['lob'][0][0] < self.limit:
quoteprice_iaa = lob['asks']['lob'][0][0] + 1
if self.job == 'Ask' and (
len(lob['bids']['lob']) >=
1) and lob['bids']['lob'][0][0] > self.limit:
quoteprice_iaa = lob['bids']['lob'][0][0] - 1
if self.job == 'Bid' and quoteprice_iaa < bse_sys_minprice:
quoteprice_iaa = bse_sys_minprice + 1
if self.job == 'Ask' and quoteprice_iaa > bse_sys_maxprice:
quoteprice_iaa = bse_sys_maxprice - 1
return quoteprice_iaa
# print "before"
# print quoteprice
# if(self.is_imbalance_significant(self.m,0.6)):
# print "abvious"
# quoteprice_izip = imbalance_alter(quoteprice, lob, countdown, self.m)
# else:
# print "not abvious"
# quoteprice_izip = quoteprice
quoteprice_izip = imbalance_alter(quoteprice, lob, countdown,
self.m)
# print "after"
# print quoteprice_izip
self.price = quoteprice_izip
order = Order(self.tid, self.job, "LIM", quoteprice_izip,
self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print("ISHV getorder:")
shave_c = 2 # c in the y=mx+c linear mapping from imbalance to shave amount
shave_m = 1 # m in the y=mx+c
if len(self.orders) < 1:
order = None
else:
if verbose: print(" self.orders[0]=%s" % str(self.orders[0]))
self.limit = self.orders[0].price
self.job = self.orders[0].atype
otype = self.orders[0].atype
ostyle = self.orders[0].astyle
microp = lob['microprice']
midp = lob['midprice']
if otype == 'Bid':
if len(lob['bids']['lob']) > 0:
quoteprice = lob['bids']['bestp']
if quoteprice > self.limit :
quoteprice = self.limit
else:
quoteprice = 1 # KLUDGE -- come back to fix todo
else:
if len(lob['asks']['lob']) > 0:
quoteprice = lob['asks']['bestp']
if quoteprice < self.limit:
quoteprice = self.limit
else:
quoteprice = 200 # KLUDGE -- come back to fix todo
def imbalance_alter(quoteprice_aa, lob, countdown, m):
mlofi_list = [0 for i in range(m)]
cd_list = [0 for i in range(m)]
ad_list = []
n = 1
while len(self.es_list) >= n:
for i in range(m):
mlofi_list[i] += self.es_list[-n]['level' + str(i+1)]
n += 1
if n >= 11:
break
n = 1
while len(self.ds_list) >= n:
for i in range(m):
cd_list[i] += self.ds_list[-n]['level' + str(i+1)]
n += 1
if n >= 11:
break
for i in range(m):
temp = None
if n == 1:
temp = cd_list[i]+1
else:
temp = cd_list[i]/(n-1)+1
ad_list.append(temp)
c = 5
decay = 0.8
offset = 0
for i in range(m):
offset += int(mlofi_list[i]*c*pow(decay,i)/ ad_list[i])
benchmark = quoteprice_aa;
if(lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
quoteprice_iaa = quoteprice_aa + 0.8 * (benchmark + offset - quoteprice_aa)
if self.job == 'Bid' and quoteprice_iaa > self.limit:
quoteprice_iaa = self.limit
if self.job == 'Ask' and quoteprice_iaa < self.limit:
quoteprice_iaa = self.limit
if countdown < 0.3 :
print "insert"
if self.job == 'Bid' and (len(lob['asks']['lob']) >= 1) and lob['asks']['lob'][0][0] < self.limit:
quoteprice_iaa = lob['asks']['lob'][0][0]
if self.job == 'Ask' and (len(lob['bids']['lob']) >= 1) and lob['bids']['lob'][0][0] > self.limit:
quoteprice_iaa = lob['bids']['lob'][0][0]
return quoteprice_iaa
if(self.is_imbalance_significant(self.m,0.6)):
# print "abvious"
quoteprice_iaa = imbalance_alter(quoteprice, lob, countdown, self.m)
else:
# print "not abvious"
quoteprice_iaa = quoteprice
order = Order(self.tid, otype, ostyle, quoteprice_iaa, self.orders[0].qty, time, None, verbose)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if len(self.orders) < 1:
self.active = False
return None
else:
self.limit = self.orders[0].price
otype = self.orders[0].atype
self.job = self.orders[0].atype
ostyle = self.orders[0].astyle
if otype == 'Bid':
if (lob['midprice'] != None and lob['midprice'] < self.limit):
quoteprice = lob['midprice']
elif lob['bids']['n'] > 0:
quoteprice = lob['bids']['bestp']
if quoteprice > self.limit:
quoteprice = self.limit
else:
quoteprice = self.limit
else:
if (lob['midprice'] != None and lob['midprice'] > self.limit):
quoteprice = lob['midprice']
elif lob['asks']['n'] > 0:
quoteprice = lob['asks']['bestp']
if quoteprice < self.limit:
quoteprice = self.limit
else:
quoteprice = self.limit
def imbalance_alter(quoteprice, lob, countdown, m):
mlofi_list = [0 for i in range(m)]
cd_list = [0 for i in range(m)]
ad_list = []
n = 1
while len(self.es_list) >= n:
for i in range(m):
mlofi_list[i] += self.es_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
n = 1
while len(self.ds_list) >= n:
for i in range(m):
cd_list[i] += self.ds_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
for i in range(m):
temp = None
if n == 1:
temp = cd_list[i] + 1
else:
temp = cd_list[i] / (n - 1) + 1
ad_list.append(temp)
c = 5
decay = 0.8
offset = 0
for i in range(m):
offset += int(mlofi_list[i] * c * pow(decay, i) /
ad_list[i])
benchmark = quoteprice
if (lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
quoteprice_mlofi = quoteprice + 0.8 * (benchmark + offset -
quoteprice)
if self.job == 'Bid' and quoteprice_mlofi > self.limit:
quoteprice_mlofi = self.limit
if self.job == 'Ask' and quoteprice_mlofi < self.limit:
quoteprice_mlofi = self.limit
if countdown < 0.3:
print "insert"
if self.job == 'Bid' and (
len(lob['asks']['lob']) >=
1) and lob['asks']['lob'][0][0] < self.limit:
quoteprice_mlofi = lob['asks']['lob'][0][0]
if self.job == 'Ask' and (
len(lob['bids']['lob']) >=
1) and lob['bids']['lob'][0][0] > self.limit:
quoteprice_mlofi = lob['bids']['lob'][0][0]
if self.job == 'Bid' and quoteprice_mlofi < bse_sys_minprice:
quoteprice_mlofi = bse_sys_minprice + 1
if self.job == 'Ask' and quoteprice_mlofi > bse_sys_maxprice:
quoteprice_mlofi = bse_sys_maxprice - 1
return quoteprice_mlofi
quoteprice_isimple = imbalance_alter(quoteprice, lob, countdown,
self.m)
order = Order(self.tid, self.orders[0].atype, 'LIM',
quoteprice_isimple, self.orders[0].qty, time, None,
-1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if len(self.orders) < 1:
self.active = False
return None
else:
self.limit = self.orders[0].price
otype = self.orders[0].atype
self.job = self.orders[0].atype
ostyle = self.orders[0].astyle
if otype == 'Bid':
if lob['bids']['n'] > 0:
quoteprice = lob['bids']['bestp']
if quoteprice > self.limit:
quoteprice = self.limit
else:
quoteprice = self.limit
else:
if lob['asks']['n'] > 0:
quoteprice = lob['asks']['bestp']
if quoteprice < self.limit:
quoteprice = self.limit
else:
quoteprice = self.limit
def imbalance_alter(quoteprice, lob):
level_1_ofi_cul = 0
level_2_ofi_cul = 0
level_3_ofi_cul = 0
n = 1
while (len(self.list_OFI) >= n):
level_1_ofi_cul = level_1_ofi_cul + self.list_OFI[-n][
'level1']
level_2_ofi_cul = level_2_ofi_cul + self.list_OFI[-n][
'level2']
level_3_ofi_cul = level_3_ofi_cul + self.list_OFI[-n][
'level3']
n = n + 1
if (n >= 6): break
level_1_depth_cul = 0
level_2_depth_cul = 0
level_3_depth_cul = 0
m = 1
while (len(self.list_D) >= m):
level_1_depth_cul = level_1_depth_cul + self.list_D[-m][
'level1']
level_2_depth_cul = level_2_depth_cul + self.list_D[-m][
'level2']
level_3_depth_cul = level_3_depth_cul + self.list_D[-m][
'level3']
m = m + 1
if (m >= 4): break
# if(level_1_depth_cul==0): level_1_depth_cul = 10000
# if(level_2_depth_cul==0): level_2_depth_cul = 10000
# if(level_3_depth_cul==0): level_3_depth_cul = 10000
if m == 1:
level_1_depth_averge = level_1_depth_cul + 1
level_2_depth_averge = level_2_depth_cul + 1
level_3_depth_averge = level_3_depth_cul + 1
else:
level_1_depth_averge = level_1_depth_cul / (m - 1) + 1
level_2_depth_averge = level_2_depth_cul / (m - 1) + 1
level_3_depth_averge = level_3_depth_cul / (m - 1) + 1
c = 0.5
decay = 0.8
# print 'level_1_depth_averge is %s'%level_1_depth_averge
# print 'level_2_depth_averge is %s'%level_2_depth_averge
# print 'level_3_depth_averge is %s'%level_3_depth_averge
offset = level_1_ofi_cul * c / level_1_depth_averge + decay * level_2_ofi_cul * c / level_2_depth_averge + decay * decay * level_3_ofi_cul * c / level_3_depth_averge
# quoteprice_iaa = (quoteprice_aa+offset)*0.9 + 0.1*quoteprice_aa
benchmark = quoteprice
if (lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
# print 'benchmark = %d' % benchmark
quoteprice_isimple = benchmark + offset
if self.job == 'Bid' and quoteprice_isimple > self.limit:
quoteprice_isimple = self.limit
if self.job == 'Ask' and quoteprice_isimple < self.limit:
quoteprice_isimple = self.limit
# print 'IAA_MLOFI original quotaprice: %d' % (quoteprice)
# print 'offset is %d'%offset
# print 'level1 ofi is %d'%level_1_ofi_cul
# print 'level2 ofi is %d'%level_2_ofi_cul
# print 'level3 ofi is %d'%level_3_ofi_cul
# print 'level1 depth is %d'%level_1_depth_averge
# print 'level2 depth is %d'%level_2_depth_averge
# print 'level3 depth is %d'%level_3_depth_averge
# print 'offset is %d'%offset
# print 'IAA_MLOFI final quotaprice: %d' % (quoteprice_isimple)
# print 'IAAB_MLOFI JOB IS %s' % self.job
return quoteprice_isimple
quoteprice_isimple = imbalance_alter(quoteprice, lob)
order = Order(self.tid, self.orders[0].atype, 'LIM',
quoteprice_isimple, self.orders[0].qty, time, None,
-1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if len(self.orders) < 1:
self.active = False
return None
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
self.calcTarget()
if self.prev_best_bid_p == None:
o_bid = 0
else:
o_bid = self.prev_best_bid_p
if self.prev_best_ask_p == None:
o_ask = self.marketMax
else:
o_ask = self.prev_best_ask_p
if self.job == 'Bid': # BUYER
if self.limit <= o_bid:
return None
else:
if len(self.previous_transactions
) <= 0: ## has been at least one transaction
o_ask_plus = (1 + self.r_shout_change_relative
) * o_ask + self.r_shout_change_absolute
quoteprice = o_bid + (
(min(self.limit, o_ask_plus) - o_bid) /
self.offer_change_rate)
else:
if o_ask <= self.buy_target:
quoteprice = o_ask
else:
quoteprice = o_bid + ((self.buy_target - o_bid) /
self.offer_change_rate)
if self.job == 'Ask':
if self.limit >= o_ask:
return None
else:
if len(self.previous_transactions
) <= 0: ## has been at least one transaction
o_bid_minus = (1 - self.r_shout_change_relative
) * o_bid - self.r_shout_change_absolute
quoteprice = o_ask - (
(o_ask - max(self.limit, o_bid_minus)) /
self.offer_change_rate)
else:
if o_bid >= self.sell_target:
quoteprice = o_bid
else:
quoteprice = o_ask - ((o_ask - self.sell_target) /
self.offer_change_rate)
def imbalance_alter(quoteprice_aa, lob, countdown, m):
mlofi_list = [0 for i in range(m)]
cd_list = [0 for i in range(m)]
ad_list = []
n = 1
while len(self.es_list) >= n:
for i in range(m):
mlofi_list[i] += self.es_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
n = 1
while len(self.ds_list) >= n:
for i in range(m):
cd_list[i] += self.ds_list[-n]['level' + str(i + 1)]
n += 1
if n >= 11:
break
for i in range(m):
temp = None
if n == 1:
temp = cd_list[i] + 1
else:
temp = cd_list[i] / (n - 1) + 1
ad_list.append(temp)
c = 5
decay = 0.8
offset = 0
for i in range(m):
offset += int(mlofi_list[i] * c * pow(decay, i) /
ad_list[i])
benchmark = quoteprice_aa
if (lob['midprice'] != None):
benchmark = lob['midprice']
# print 'midprice is %d' % benchmark
quoteprice_iaa = quoteprice_aa + 0.8 * (benchmark + offset -
quoteprice_aa)
if self.job == 'Bid' and quoteprice_iaa > self.limit:
quoteprice_iaa = self.limit
if self.job == 'Ask' and quoteprice_iaa < self.limit:
quoteprice_iaa = self.limit
if countdown < 0.3:
print "insert"
if self.job == 'Bid' and (
len(lob['asks']['lob']) >=
1) and lob['asks']['lob'][0][0] < self.limit:
quoteprice_iaa = lob['asks']['lob'][0][0]
if self.job == 'Ask' and (
len(lob['bids']['lob']) >=
1) and lob['bids']['lob'][0][0] > self.limit:
quoteprice_iaa = lob['bids']['lob'][0][0]
if self.job == 'Bid' and quoteprice_iaa < bse_sys_minprice:
quoteprice_iaa = bse_sys_minprice + 1
if self.job == 'Ask' and quoteprice_iaa > bse_sys_maxprice:
quoteprice_iaa = bse_sys_maxprice - 1
return quoteprice_iaa
quoteprice_iaa = imbalance_alter(quoteprice, lob, countdown,
self.m)
order = Order(self.tid, self.orders[0].atype, 'LIM',
quoteprice_iaa, self.orders[0].qty, time, None, -1)
self.lastquote = order
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('ZIP getorder(): LOB=%s' % lob)
# random coefficient, multiplier on trader's own estimate of worst possible bid/ask prices
# currently in arbitrarily chosen range [2, 5]
worst_coeff = 2 + (3 * random.random())
if len(self.orders) < 1:
self.active = False
order = None
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
if self.job == 'Bid':
# currently a buyer (working a bid order)
self.margin = self.margin_buy
# what is the worst bid price on the LOB right now?
if len(lob['bids']['lob']) > 0 :
# take price of final entry on LOB
worst_bid = lob['bids']['lob'][-1][0]
else:
# local pessimistic estimate of the worst bid price (own version of stub quote)
worst_bid = max(1, int(self.limit / worst_coeff))
if self.worst_bidprice == None: self.worst_bidprice = worst_bid
elif self.worst_bidprice > worst_bid: self.worst_bidprice = worst_bid
else:
# currently a seller (working a sell order)
self.margin = self.margin_sell
# what is the worst ask price on the LOB right now?
if len(lob['asks']['lob']) > 0 :
# take price of final entry on LOB
worst_ask = lob['asks']['lob'][-1][0]
else:
# local pessimistic estimate of the worst ask price (own version of stub quote)
worst_ask = int(self.limit * worst_coeff)
if self.worst_askprice == None: self.worst_askprice = worst_ask
elif self.worst_askprice < worst_ask: self.worst_askprice = worst_ask
quoteprice = int(self.limit * (1 + self.margin))
self.price = quoteprice
# set limitprice and MES
limitprice = quoteprice
MES = 0
marketid = None
# only big block order can be BI or BDN order
subtype = None
big_block = 200
# cancel BI order when its reputation is lower than threshold
threshold = 50
if self.reputation < threshold:
self.biweight = 0
if self.orders[0].qty >= big_block:
subtype = random.choices(population=['BI','BDN', None],weights=[0.5, 0.5, 0],k=1)[0]
order = Order(self.tid, self.job, "LIM", quoteprice, self.orders[0].qty, time, None, -1, limitprice, MES, subtype, marketid)
order.myref = self.orders[0].assignmentid
if self.orders[0].qty < big_block:
print('Why')
if subtype != 'BI':
self.lastquote = order
return order
