def algo_1(trader: shift.Trader):
'''Moving average algorithm'''
print(trader.get_last_price("MSFT"))
best_price = trader.get_best_price("MSFT")
print(f"ask price: {best_price.get_ask_price()}")
print(f"local ask: {best_price.get_local_ask_price()}")
print(f"global ask: {best_price.get_global_ask_price()}")
print(f"bid price: {best_price.get_bid_price()}")
print(f"local bid: {best_price.get_local_bid_price()}")
print(f"global bid: {best_price.get_global_bid_price()}")
print(trader.get_close_price("MSFT"))
def manageInventory(trader: shift.Trader, ticker, dayEnd):
# Datetime of simulation
rightNow = trader.get_last_trade_time()
# While the time is before end of day...
while (dayEnd > rightNow):
time.sleep(5) # Give prices time to fluctuate
item = trader.get_portfolio_item(ticker)
if item.get_shares() != 0:
unrealizedPL = 0
tradedPrice = item.get_price()
numShares = int(
item.get_shares() /
100) # Order size in 100's of shares, strictly as an int
if numShares > 0:
unrealizedPL = (
(trader.get_close_price(ticker, False, numShares) -
tradedPrice) / tradedPrice) * 100
else: # numShares < 0:
unrealizedPL = -(
(trader.get_close_price(ticker, True, -numShares) -
tradedPrice) / tradedPrice) * 100
print(ticker, "Unrealized P/L:", unrealizedPL, "%")
if unrealizedPL >= 0.40: # Target met, take profit
#if unrealizedPL >= 3.0: # Target met, take profit
if item.get_shares() > 0:
closePositions(trader, ticker)
"""
closeLong = shift.Order(shift.Order.Type.MARKET_SELL, item.get_symbol(), numShares)
trader.submit_order(closeLong)
"""
print(ticker, "take profit on long")
time.sleep(
5
) # Don't act on volatile spikes and dips, only identify longer trends
elif item.get_shares() < 0:
closePositions(trader, ticker)
"""
coverShort = shift.Order(shift.Order.Type.MARKET_BUY, item.get_symbol(), -numShares)
trader.submit_order(coverShort)
"""
print(ticker, "take profit on short")
time.sleep(
5
) # Don't act on volatile spikes and dips, only identify longer trends
elif unrealizedPL <= -0.30: # Stop loss met, sell risk
#elif unrealizedPL <= -0.50: # Stop loss met, sell risk
if item.get_shares() > 0:
closePositions(trader, ticker)
"""
closeLong = shift.Order(shift.Order.Type.MARKET_SELL, item.get_symbol(), numShares)
trader.submit_order(closeLong)
"""
print(ticker, "stop loss on long")
time.sleep(
5
) # Don't act on volatile spikes and dips, only identify longer trends
elif item.get_shares() < 0:
closePositions(trader, ticker)
"""
coverShort = shift.Order(shift.Order.Type.MARKET_BUY, item.get_symbol(), -numShares)
trader.submit_order(coverShort)
"""
print(ticker, "stop loss on short")
time.sleep(
5
) # Don't act on volatile spikes and dips, only identify longer trends
rightNow = trader.get_last_trade_time() # Reset datetime of right now
def technicalStrat(trader: shift.Trader, ticker, lastTradeSell, dayEnd, lag=1):
rightNow = trader.get_last_trade_time() # Datetime of simulation
# While the time is before end of day...
while (dayEnd > rightNow):
print("P/L:",
trader.get_portfolio_summary().get_total_realized_pl(),
" Waiting list:", trader.get_waiting_list_size())
"""
Make Trades Here:
"""
priceSeries = pd.Series(trader.get_sample_prices(
ticker, True)) # ticker, mid-prices
time.sleep(lag) # Give prices some time to change
if priceSeries.size == 26:
mShort = priceSeries.ewm(span=12,
adjust=False).mean() # 12 period EMA
mLong = priceSeries.ewm(span=26,
adjust=False).mean() # 26 period EMA
MACD = mShort - mLong # Calculate convergence and divergence
mSignal = MACD.ewm(span=9,
adjust=False).mean() # 9 period EMA signal line
mHist = MACD - mSignal # Trade signal producer
SMA = priceSeries[:19].mean() # 20 second simple moving average
if lastTradeSell == True:
bUpper = SMA + (priceSeries[:19].std() * 3.0
) # Upper Bollinger Band
bLower = SMA - (
priceSeries[:19].std() * 1.5
) # Low Bollinger Band - more lenient, safer sell
else:
bUpper = SMA + (
priceSeries[:19].std() * 1.5
) # Upper Bollinger Band - more lenient, safer cover
bLower = SMA - (priceSeries[:19].std() * 3.0
) # Low Bollinger Band
#######!!!!!!possibly have a second band outside first..for too strong movement!!!!!!!!!!!!!!!!!!!!!!!!!!!!
# Open long position / Cover short position
if lastTradeSell == True and mHist.iloc[
-1] > 0 and trader.get_close_price(
ticker, True, 1) > bUpper: # ticker, Buy, Size
for i in range(
1, 20
): # should scale based on order book amount in competition..
openLong = shift.Order(shift.Order.Type.MARKET_BUY, ticker,
1)
trader.submit_order(openLong)
print("Tech - Buy", ticker)
lastTradeSell = False
# Close long positions for now / Open short position
elif lastTradeSell == False and mHist.iloc[
-1] < 0 and trader.get_close_price(
ticker, False, 1) < bLower: # ticker, Sell, Size
for i in range(
1, 20
): # should scale based on order book amount in competition..
closeLong = shift.Order(shift.Order.Type.MARKET_SELL,
ticker, 1)
trader.submit_order(closeLong)
print("Tech - Sell", ticker)
lastTradeSell = True
rightNow = trader.get_last_trade_time() # Reset datetime of right now
# 60 seconds till end of trading day
trader.cancel_all_sample_prices_requests(
) # Stop sampling prices on threads
closePositions(trader,
ticker) # Close out open positions so we don't get fined
# Done trading
return
