def enter_hedge(pnl: PNL, book: Book, side, cfg: HedgeConfig, vc: VenueConfig):
quote = book.quote(side)
side = quote.side
pos = pnl.pos
order_size = cfg.order_size.side(side)
theo = (book.quote(Side.BID).price + book.quote(Side.ASK).price) / 2
if pos.abs_position() < vc.min_order_size:
# depth or ema
order_size = adjusted_size(order_size, side, pos.abs_position())
method, price = depth_ema_price(cfg, order_size, pnl, quote, side, vc)
return Position(pos=order_size, side=side, price=price), method
elif Side.opposite(
pos.side()) == side and pos.abs_position() >= vc.min_order_size:
# exit order
# depth or zero
method, price = depth_ema_price(cfg, order_size, pnl, quote, side, vc)
add_pos = pos.oppoiste_with_price(price)
min_margin = pos.opposite_with_margin(vc.tick_size)
min_margin = bound_pos_to_lower_quote(quote, min_margin, vc.tick_size)
if (pos + add_pos).balance > 0:
return add_pos, "QUOTE"
else:
return min_margin, "MIN PROFIT"
elif pos.side(
) == side and cfg.max_pos - pos.abs_position() >= vc.min_order_size:
#depth
#hedge
#order_size = adjusted_size(order_size, side, pos.abs_position())
method, price_depth = depth_ema_price(cfg, order_size, pnl, quote,
side, vc)
order_size = min(order_size, cfg.max_pos - pos.abs_position())
depth_pos = Position(pos=order_size, side=side, price=price_depth)
sign = Side.sign(pos.side())
target_price = theo - Side.sign(pos.side()) * theo * cfg.hedge_perc
hedge_pos = hedge_positon_size(pos, Decimal(target_price), order_size)
hedge_pos = bound_pos_to_lower_quote(quote, hedge_pos, vc.tick_size)
#return hedge_pos, "HEDGE HEDGE"
if (side == Side.BID and hedge_pos.price() < depth_pos.price()) \
or (side == Side.ASK and hedge_pos.price() > depth_pos.price()):
return hedge_pos, "HEDGE HEDGE"
else:
return depth_pos, "HEDGE DEPTH"
else:
#zero
return Position(side=side, pos=0, balance=0), "CANCEL"
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