def load_orderbooks():
summary_file = relative_path('static', 'summary.json')
with open(summary_file, 'r') as f:
summaries = json.load(f)
downloadable = [item_summary for item_summary in summaries.values() if ITEM_FILTER(item_summary)]
orderbooks = [Orderbook(summaries, item['id']) for item in downloadable]
return [orderbook for orderbook in orderbooks if ORDERBOOK_FILTER(orderbook)]
def setUp(self):
'''
setUp creates the Orderbook instance and a set of orders
'''
self.ex1 = Orderbook(5)
self.q0_buy = {'order_id': 't1_0', 'timestamp': 1, 'type': 'add', 'quantity': 1, 'side': 'buy',
'price': 50}
self.q1_buy = {'order_id': 't1_1', 'timestamp': 2, 'type': 'add', 'quantity': 1, 'side': 'buy',
'price': 50}
self.q2_buy = {'order_id': 't1_2', 'timestamp': 3, 'type': 'add', 'quantity': 1, 'side': 'buy',
'price': 50}
self.q3_buy = {'order_id': 't10_1', 'timestamp': 4, 'type': 'add', 'quantity': 3, 'side': 'buy',
'price': 49}
self.q4_buy = {'order_id': 't11_1', 'timestamp': 5, 'type': 'add', 'quantity': 3, 'side': 'buy',
'price': 47}
self.q5_buy = {'order_id': 't12_1', 'timestamp': 6, 'type': 'add', 'quantity': 3, 'side': 'buy',
'price': 47}
self.q6_buy = {'order_id': 't13_1', 'timestamp': 7, 'type': 'add', 'quantity': 3, 'side': 'buy',
'price': 47}
self.q0_sell = {'order_id': 't1_5', 'timestamp': 1, 'type': 'add', 'quantity': 1, 'side': 'sell',
'price': 52}
self.q1_sell = {'order_id': 't1_3', 'timestamp': 2, 'type': 'add', 'quantity': 1, 'side': 'sell',
'price': 52}
self.q2_sell = {'order_id': 't1_4', 'timestamp': 3, 'type': 'add', 'quantity': 1, 'side': 'sell',
'price': 52}
self.q3_sell = {'order_id': 't10_2', 'timestamp': 4, 'type': 'add', 'quantity': 3, 'side': 'sell',
'price': 53}
self.q4_sell = {'order_id': 't11_2', 'timestamp': 5, 'type': 'add', 'quantity': 3, 'side': 'sell',
'price': 55}
self.q5_sell = {'order_id': 't12_2', 'timestamp': 6, 'type': 'add', 'quantity': 3, 'side': 'sell',
'price': 53}
self.q6_sell = {'order_id': 't13_2', 'timestamp': 7, 'type': 'add', 'quantity': 3, 'side': 'sell',
'price': 55}
def docMappings(self, connection, indexName=DEFAULT_INDEX): try: connection.indices.put_mapping(index=indexName, doc_type="orderbook", body=Orderbook().orderbookMapping) connection.indices.put_mapping(index=indexName, doc_type="ticker", body=Ticker().tickerMapping) connection.indices.put_mapping(index=indexName, doc_type="completed_trades", body=Trade().completedTradeMapping) connection.indices.put_mapping(index=indexName, doc_type="future_ticker", body=Ticker().futureTickerMapping) connection.indices.put_mapping(index=indexName, doc_type="future_price_index", body=FutureIndex().futurePriceIndexMapping) connection.indices.put_mapping(index=indexName, doc_type="kline_candles", body=KlineCandle().klineMapping) except: raise pass
def __init__(self, n_days, n_steps_per_day, asset_config_path,
agent_config_path):
self.n_days = n_days
self.n_steps_per_day = n_steps_per_day
initial_shares_per_agent = 10
n_agents = AgentGenerator.n_agents(agent_config_path)
print(n_agents)
self.companies = CompanyGenerator.generate_companies(n_companies=10,
n_sectors=3)
self.tickers = [each.ticker for each in self.companies]
# self.tickers = 'EQNR DNO AKER MHG NRS LSG'.split(' ')
# self.companies = []
# for ticker in self.tickers:
# comp = Company(ticker=ticker,
# n_shares=initial_shares_per_agent * n_agents,
# cash=100 * initial_shares_per_agent * n_agents,
# yield_policy=0.10)
# self.companies.append(comp)
self.assets = [Stock(comp) for comp in self.companies]
self.agents = AgentGenerator.generate(agent_config_path,
self.assets,
verbose=True)
n_agents = len(self.agents)
for agent in self.agents:
for stock in self.assets:
agent.portfolio.assets[stock] = initial_shares_per_agent
self.cov_matrix = test.generate_corr_matrix(len(self.tickers), 2, 0.2)
self.weights = np.ones(len(self.tickers))
self.weights = self.weights / self.weights.size
self.book = Orderbook([], [])
# self.assets = ...
self.timestamp = Timestamp(0, 0)
self.market_portfolio = Portfolio.empty_portfolio(self.assets)
self.exchange = Exchange(self.agents, self.market_portfolio,
n_steps_per_day)
self.history = []
def subscribe_orderbook(self, symbol1, symbol2, depth=5):
ccy = "{}:{}".format(symbol1, symbol2)
self.ccy_order_books[ccy] = Orderbook(ccy, depth, self.logger)
self.logger.info("[WS] Subscribing to pair {}".format(ccy))
self.debug_init_time[ccy] = time.time()
if not self.is_connected:
self.start()
self.logger.warning("Not connected, trying to reconnect")
time.sleep(2)
oid = "{}_orderbook_{}{}".format(str(self.get_timestamp()), symbol1,
symbol2)
msg = json.dumps({
"e": "order-book-subscribe",
"data": {
"pair": [symbol1, symbol2],
"subscribe": True,
"depth": depth
},
"oid": oid
})
self.ws.send(msg)
def main():
# Load orderbook
orderbook = Orderbook()
orderbook.loadFromEvents('ob-1-small.tsv')
env = gym.make("ctc-executioner-v0")
env.configure(orderbook)
model = deepq.models.cnn_to_mlp( convs=[(1, 10, 20)], hiddens=[200])
act = deepq.learn(
env,
q_func=model,
lr=1e-4,
max_timesteps=100000,
buffer_size=5000,
exploration_fraction=0.1,
exploration_final_eps=0.1,
target_network_update_freq=1,
print_freq=10,
)
print("Saving model as ctc-executioner-v0.pkl")
act.save("ctc-executioner-v0.pkl")
def compute_spread(market):
dcx_ob = dcx.get_orderbook(market=market)
ob = Orderbook()
ob.init(dcx_orderbook=dcx_ob)
print(f'spread for market: {market} is {ob.spread}')
def consumer(self, marketData):
connection = elasticsearch.Elasticsearch(self.esHost)
self.ensure(connection)
self.docMappings(connection)
dataSet = json.loads(marketData)
item = {}
for infoPoint in dataSet:
try:
channel = str(infoPoint["channel"])
regex = "ok_sub_(spotusd|futureusd)_(b|l)tc_(.[A-Za-z0-9_]+)"
search = re.search(regex, channel)
if search.group(1) == "futureusd":
isFuture = True
else:
isFuture = False
currencyPair = str(search.group(2)) + "tc_usd"
self.count = self.count + 1
if self.count % 100 == 0:
print ("PROCESSED " + str(self.count) + " DATA POINTS SO FAR...")
if search.group(3) == "index":
myindex = FutureIndex()
dto = myindex.getFutureIndexDto(infoPoint, currencyPair)
dto["exchange"] = "OKCOIN"
self.postDto(dto, connection, "future_price_index")
elif "depth" in channel:
mybook = Orderbook()
dto = mybook.getDepthDtoList(infoPoint, currencyPair, isFuture)
for item in dto:
item["websocket_name"] = channel
item["is_future"] = isFuture
if isFuture == True:
check = re.search("depth_(this_week|next_week|quarter)_(20|60)", search.group(3).strip())
item["contract_type"] = str(check.group(1))
item["depth"] = str(check.group(2))
else:
item["contract_type"] = "spot"
depthSearch = re.search("depth_(20|60)", search.group(3).strip())
item["depth"] = depthSearch.group(1)
item["exchange"] = "OKCOIN"
self.postDto(item, connection, "orderbook")
elif "ticker" in channel and "data" in infoPoint:
myticker = Ticker()
if isFuture == False:
dto = myticker.getTickerDto(infoPoint, currencyPair)
self.postDto(dto, connection, "ticker")
elif isFuture == True:
dto = myticker.getFutureTickerDto(infoPoint, channel, currencyPair)
dto["exchange"] = "OKCOIN"
self.postDto(dto, connection, "future_ticker")
elif "trade" in channel:
mytrade = Trade()
if "data" in infoPoint:
dtoList = mytrade.getCompletedTradeDtoList(infoPoint, currencyPair)
for item in dtoList:
item["is_future"] = "futureusd" in channel
item["websocket_name"] = channel
item["exchange"] = "OKCOIN"
self.postDto(item, connection, "completed_trades")
elif "kline" in channel:
myklein = KlineCandle()
if "data" in infoPoint:
if len(infoPoint["data"]) > 1:
for klineData in infoPoint["data"]:
if type(klineData) is list:
klineDto = myklein.getKlineDto(klineData, currencyPair, channel)
klineDto["exchange"] = "OKCOIN"
klineDto["is_future"] = isFuture
klineDto["websocket_name"] = channel
else:
klineDto = myklein.getKlineDto(infoPoint["data"], currencyPair, channel)
self.postDto(klineDto, connection, "kline_candles")
except:
raise
def reset_orderbooks(self):
for each in self.portfolio.get_stocks():
bid, ask = each.get_last_price(), each.get_last_price()
self.orderbooks[each] = Orderbook(bid, ask, [], [])
if len(self.ob.book[symbol]['B']) > 0 and len(
self.ob.book[symbol]['S']) > 0:
self.strat.store_price(order, self.ob.book)
print(
'best bids/offers',
self.strat.previous_orders_highest[
order['Symbol']],
self.strat.previous_orders_lowest[order['Symbol']])
outcome = self.om.trade_after_news(order, self.strat)
self.send(outcome, order)
self.ob.clear_crossed_book(order, self.strat)
#print(self.ob.book)
else:
print('no trade, just modify')
self.strat.store_signal(order)
print(self.strat.signal_table[order['Symbol']])
finally:
print('The End!')
if __name__ == '__main__':
the_strat = Strategy()
the_om = OrderManager()
the_ob = Orderbook()
the_client = ClientConnection(the_ob, the_om, the_strat)
the_client.start()
import unittest
from action import Action
from orderbook import Orderbook
from order import Order
from order_type import OrderType
from order_side import OrderSide
orderbook = Orderbook(extraFeatures=False)
orderbook.loadFromFile('test_orderbook_10s.tsv')
class MatchEngineMock():
def matchOrder(self, order, seconds=None):
trades = []
qtyRemain = 0
index = 1
return trades, qtyRemain, index
class ActionMock(Action):
def __init__(self, a, runtime):
Action.__init__(self, a, runtime)
def getMatchEngine(self, orderbook):
return MatchEngineMock()
class ActionTest(unittest.TestCase):
def testRun(self):
a = 1
i = 1.0
from order_side import OrderSide
from orderbook import Orderbook
orderbook = Orderbook()
orderbook.loadFromEvents('ob-1-small.tsv')
orderbook_test = orderbook
orderbook.summary()
side = OrderSide.SELL
levels = list(range(-20, 21))
episode = {
'episode': 9,
'steps': {
0: {
'action': 2,
'index': 167,
't': 100,
'i': 0.9999999999999999,
'reward': -6.224232140000822
},
1: {
'action': 39,
'index': 173,
't': 90,
'i': 0.9999999999999999,
'reward': 1.9899999999997817
},
2: {
'action': 21,
'index': 179,
"Price": "113.36"
}
test_2 = {
"Symbol": "ADBE",
"OrderID": "002",
"Action": "A",
"Exchange": "1",
"Quantity": "329000",
"News": "50",
"Side": "S",
"Description": "Adobe",
"Price": "118.41"
}
order_book_1 = Orderbook()
order_book_1.add(test_1)
# print(Orderbook.all)
order_book_1.add(test_2)
#print(Orderbook.all)
assert len(order_book_1.book['ADBE']['B']) == 1
assert len(order_book_1.book['ADBE']['S']) == 1
test_3 = {
"Symbol": "ADBE",
"OrderID": "002",
"Action": "M",
"Exchange": "1",
"Quantity": "362000",
"News": "0",
def __init__(self, summary, set_description):
self.item_id = set_description['id']
self.etf_name = set_description['name']
self.orderbook = Orderbook(summary, self.item_id)
self.parts = [Orderbook(summary, part['id']) for part in set_description['parts']]
def getOrderbook(self):
o = Orderbook()
o.addState
