def test_probability_to_price():
# Exact match
assert probability_to_price(0.5, side=OrderSide.BUY) == Price("2.0")
# Rounding match
assert probability_to_price(0.499, side=OrderSide.BUY) == Price("2.02")
assert probability_to_price(0.501, side=OrderSide.BUY) == Price("2.0")
assert probability_to_price(0.501, side=OrderSide.SELL) == Price("1.99")
def _determine_fill_price(self, update: Dict, order: Order):
if "avp" not in update:
# We don't have any specifics about the fill, assume it was filled at our price
return update["p"]
if order.filled_qty == 0:
# New fill, simply return average price
return update["avp"]
else:
new_price = price_to_probability(str(update["avp"]))
prev_price = order.avg_px
if prev_price == new_price:
# Matched at same price
return update["avp"]
else:
prev_price = probability_to_price(order.avg_px)
prev_size = order.filled_qty
new_price = Price.from_str(str(update["avp"]))
new_size = update["sm"] - prev_size
total_size = prev_size + new_size
price = (new_price - ((prev_price * (prev_size / total_size)))) / (
new_size / total_size
)
self._log.debug(
f"Calculating fill price {prev_price=} {prev_size=} {new_price=} {new_size=} == {price=}"
)
return price
def order_submit_to_betfair(command: SubmitOrder,
instrument: BettingInstrument,
customer_ref="1"):
""" Convert a SubmitOrder command into the data required by betfairlightweight """
order = command.order # type: LimitOrder
return {
"market_id":
instrument.market_id,
# Used to de-dupe orders on betfair server side
"customer_ref":
order.client_order_id.value,
"customer_strategy_ref":
customer_ref,
"instructions": [
place_instruction(
order_type="LIMIT",
selection_id=instrument.selection_id,
side=N2B_SIDE[order.side],
handicap={"0.0": "0"}.get(instrument.selection_handicap,
instrument.selection_handicap),
limit_order=limit_order(
size=float(order.quantity),
price=float(
probability_to_price(probability=order.price,
side=order.side)),
persistence_type="PERSIST",
time_in_force=N2B_TIME_IN_FORCE[order.time_in_force],
min_fill_size=0,
),
customer_order_ref=order.client_order_id.value,
)
],
}
def _probability_to_price(probability: Price, side: OrderSide):
if side == OrderSide.BUY:
tick_prob = BETFAIR_TICK_SCHEME.next_bid_price(value=probability)
elif side == OrderSide.SELL:
tick_prob = BETFAIR_TICK_SCHEME.next_ask_price(value=probability)
else:
raise RuntimeError(f"invalid OrderSide, was {side}")
return probability_to_price(probability=tick_prob)
def order_submit_to_betfair(command: SubmitOrder,
instrument: BettingInstrument):
"""
Convert a SubmitOrder command into the data required by betfairlightweight
"""
order = command.order # type Order
price = determine_order_price(order)
return {
"market_id":
instrument.market_id,
# Used to de-dupe orders on betfair server side
"customer_ref":
command.id.value.replace("-", ""),
"customer_strategy_ref":
command.strategy_id.value[:15],
"instructions": [
place_instruction(
order_type="LIMIT",
selection_id=instrument.selection_id,
side=N2B_SIDE[order.side],
handicap={"0.0": "0"}.get(instrument.selection_handicap,
instrument.selection_handicap),
limit_order=limit_order(
size=float(order.quantity),
price=float(
probability_to_price(probability=price,
side=order.side)),
persistence_type="PERSIST",
time_in_force=N2B_TIME_IN_FORCE[order.time_in_force],
min_fill_size=0,
),
# Remove the strategy name from customer_order_ref; it has a limited size and we don't control what
# length the strategy might be or what characters users might append
customer_order_ref=make_custom_order_ref(
client_order_id=order.client_order_id,
strategy_id=command.strategy_id,
),
)
],
}
def order_update_to_betfair(
command: UpdateOrder,
venue_order_id: VenueOrderId,
side: OrderSide,
instrument: BettingInstrument,
):
""" Convert an UpdateOrder command into the data required by betfairlightweight """
return {
"market_id":
instrument.market_id,
"customer_ref":
command.client_order_id.value,
"instructions": [
replace_instruction(
bet_id=venue_order_id.value,
new_price=float(
probability_to_price(probability=command.price,
side=side)),
)
],
}
def test_probability_to_price(self, raw_prob, price):
# Exact match
prob = self.tick_scheme.next_bid_price(raw_prob)
assert probability_to_price(prob) == Price.from_str(price)