def calculate_margin(user, session, safe_prices={}, order_id=None, withdrawals=None, trial_period=False, position_overrides={},
cash_overrides={}):
"""
calculates the low and high margin for a given user
:param order_id: order we're considering throwing in
:type order_id: int
:param user: the user
:type user: User
:returns: tuple - low and high margin
"""
low_margin = high_margin = 0
cash_position = collections.defaultdict(int)
# let's start with positions
positions = {position.contract.ticker: { 'position': position.position,
'reference_price': position.reference_price,
'contract': position.contract }
for position in
session.query(models.Position).filter_by(user=user)}
# Override some positions
positions.update(position_overrides)
open_orders = session.query(models.Order).filter_by(user=user).filter(
models.Order.quantity_left > 0).filter_by(is_cancelled=False, accepted=True).all()
if order_id:
open_orders += session.query(models.Order).filter_by(id=order_id).all()
# Make a blank position for all contracts which have an open order but no position
for order in open_orders:
if order.contract.ticker not in positions:
positions[order.contract.ticker] = {
'position': 0,
'reference_price': None,
'contract': order.contract
}
for position in positions.values():
max_position = position['position'] + sum(
order.quantity_left for order in open_orders if
order.contract == position['contract'] and order.side == 'BUY')
min_position = position['position'] - sum(
order.quantity_left for order in open_orders if
order.contract == position['contract'] and order.side == 'SELL')
contract = position['contract']
if contract.contract_type == 'futures':
if contract.ticker not in safe_prices:
log.err("%s not in safe_prices, marking margin high" % contract.ticker)
high_margin += 2**48
low_margin += 2**48
else:
SAFE_PRICE = safe_prices[contract.ticker]
#log.msg(low_margin)
# print 'max position:', max_position
# print 'contract.margin_low :', contract.margin_low
# print 'SAFE_PRICE :', SAFE_PRICE
# print 'position.reference_price :', position['reference_price']
# print position
if position['reference_price'] is None:
if position['position'] != 0:
raise MarginException("No reference price with non-zero position")
reference_price = SAFE_PRICE
else:
reference_price = position['reference_price']
# We divide by 100 because contract.margin_low and contract.margin_high are percentages from 0-100
low_max = abs(max_position) * contract.margin_low * SAFE_PRICE * contract.lot_size / contract.denominator / 100 + max_position * (
reference_price - SAFE_PRICE) * contract.lot_size / contract.denominator
low_min = abs(min_position) * contract.margin_low * SAFE_PRICE * contract.lot_size / contract.denominator / 100 + min_position * (
reference_price - SAFE_PRICE) * contract.lot_size / contract.denominator
high_max = abs(max_position) * contract.margin_high * SAFE_PRICE * contract.lot_size / contract.denominator / 100 + max_position * (
reference_price - SAFE_PRICE) * contract.lot_size / contract.denominator
high_min = abs(min_position) * contract.margin_high * SAFE_PRICE * contract.lot_size / contract.denominator / 100 + min_position * (
reference_price - SAFE_PRICE) * contract.lot_size / contract.denominator
# log.msg(low_max)
# log.msg(low_min)
log.msg("%s" % ["Margin:", contract.ticker, max_position, min_position, low_max, low_min, high_max, high_min])
high_margin += max(high_max, high_min)
low_margin += max(low_max, low_min)
if contract.contract_type == 'prediction':
payoff = contract.lot_size
# case where all our buy orders are hit
max_spent = sum(order.quantity_left * order.price * order.contract.lot_size / order.contract.denominator
for order in open_orders if
order.contract == contract and order.side == 'BUY')
# case where all our sell orders are hit
max_received = sum(order.quantity_left * order.price * order.contract.lot_size / order.contract.denominator
for order in open_orders if
order.contract == contract and order.side == 'SELL')
worst_short_cover = -min_position * payoff if min_position < 0 else 0
best_short_cover = -max_position * payoff if max_position < 0 else 0
additional_margin = max(max_spent + best_short_cover, -max_received + worst_short_cover)
low_margin += additional_margin
high_margin += additional_margin
if contract.contract_type == 'cash':
cash_position[contract.ticker] = position['position']
# Override cash position
cash_position.update(cash_overrides)
max_cash_spent = collections.defaultdict(int)
# Deal with cash_pair orders separately because there are no cash_pair positions
for order in open_orders:
fees = accounting.get_fees(user, order.contract, order.price, order.quantity, trial_period=trial_period)
if order.contract.contract_type == 'cash_pair':
transaction_size = accounting.get_cash_spent(order.contract, order.price, order.quantity)
if order.side == 'BUY':
max_cash_spent[order.contract.denominated_contract.ticker] += transaction_size
if order.contract.payout_contract.ticker in fees:
fees[order.contract.payout_contract.ticker] = max(0, fees[order.contract.payout_contract.ticker] - order.quantity_left)
if order.side == 'SELL':
max_cash_spent[order.contract.payout_contract.ticker] += order.quantity_left
if order.contract.denominated_contract.ticker in fees:
fees[order.contract.denominated_contract.ticker] = max(0, fees[order.contract.denominated_contract.ticker] - transaction_size)
for ticker, fee in fees.iteritems():
max_cash_spent[ticker] += fee
# Make sure max_cash_spent has something in it for every cash contract
for ticker in cash_position.iterkeys():
if ticker not in max_cash_spent:
max_cash_spent[ticker] = 0
# Deal with withdrawals
if withdrawals:
for ticker, amount in withdrawals.iteritems():
max_cash_spent[ticker] += amount
# The fee is deducted from the withdrawal amount, not added to the withdrawal
# contract = util.get_contract(session, ticker)
# fees = util.get_withdraw_fees(user, contract, amount, trial_period=trial_period)
# for fee_ticker, fee in fees.iteritems():
# max_cash_spent[fee_ticker] += fee
for cash_ticker, max_spent in max_cash_spent.iteritems():
if cash_ticker == 'BTC':
additional_margin = max_spent
else:
if max_spent <= cash_position[cash_ticker]:
additional_margin = 0
else:
# TODO: We should fix this hack and just check max_cash_spent in check_margin
log.msg("max_spent (%d) > cash_position[%s] (%d)" % (max_spent, cash_ticker, cash_position[cash_ticker]))
additional_margin = 2**48
low_margin += additional_margin
high_margin += additional_margin
return low_margin, high_margin, max_cash_spent
def test_trade_fees(self):
BTCMXN = self.get_contract('BTC/MXN')
NETS2015 = self.get_contract('NETS2015')
BTCHUF = self.get_contract('BTC/HUF')
NETS2014 = self.get_contract('NETS2014')
marketmaker = self.get_user('marketmaker')
randomtrader = self.get_user('randomtrader')
m2 = self.get_user('m2')
customer = self.get_user('customer')
fees_result = {}
for user in [marketmaker, randomtrader, m2, customer]:
for contract in [BTCMXN, NETS2015, BTCHUF, NETS2014]:
for ap in [None, "aggressive", "passive"]:
cash_spent = 1000000000
price = 1000000
if contract.contract_type == "futures" or contract.contract_type == "prediction":
quantity = cash_spent * contract.denominator / price / contract.lot_size
else:
payout_contract = contract.payout_contract
quantity = cash_spent * contract.denominator * payout_contract.denominator / price
fees_result[(user.username, contract.ticker,
ap)] = get_fees(user,
contract,
price,
quantity,
ap=ap)
self.assertDictEqual(
fees_result, {
(u'customer', u'BTC/HUF', None): {
u'HUF': 10000000
},
(u'customer', u'BTC/HUF', 'aggressive'): {
u'HUF': 10000000
},
(u'customer', u'BTC/HUF', 'passive'): {
u'HUF': 10000000
},
(u'customer', u'BTC/MXN', None): {
u'MXN': 5000000
},
(u'customer', u'BTC/MXN', 'aggressive'): {
u'MXN': 5000000
},
(u'customer', u'BTC/MXN', 'passive'): {
u'MXN': 5000000
},
(u'customer', u'NETS2014', None): {
u'BTC': 20000000
},
(u'customer', u'NETS2014', 'aggressive'): {
u'BTC': 20000000
},
(u'customer', u'NETS2014', 'passive'): {
u'BTC': 20000000
},
(u'customer', u'NETS2015', None): {
u'BTC': 35000000
},
(u'customer', u'NETS2015', 'aggressive'): {
u'BTC': 35000000
},
(u'customer', u'NETS2015', 'passive'): {
u'BTC': 35000000
},
(u'm2', u'BTC/HUF', None): {
u'HUF': 0
},
(u'm2', u'BTC/HUF', 'aggressive'): {
u'HUF': 0
},
(u'm2', u'BTC/HUF', 'passive'): {
u'HUF': 0
},
(u'm2', u'BTC/MXN', None): {
u'MXN': 0
},
(u'm2', u'BTC/MXN', 'aggressive'): {
u'MXN': 0
},
(u'm2', u'BTC/MXN', 'passive'): {
u'MXN': 0
},
(u'm2', u'NETS2014', None): {
u'BTC': 0
},
(u'm2', u'NETS2014', 'aggressive'): {
u'BTC': 0
},
(u'm2', u'NETS2014', 'passive'): {
u'BTC': 0
},
(u'm2', u'NETS2015', None): {
u'BTC': 0
},
(u'm2', u'NETS2015', 'aggressive'): {
u'BTC': 0
},
(u'm2', u'NETS2015', 'passive'): {
u'BTC': 0
},
(u'marketmaker', u'BTC/HUF', None): {
u'HUF': 10000000
},
(u'marketmaker', u'BTC/HUF', 'aggressive'): {
u'HUF': 10000000
},
(u'marketmaker', u'BTC/HUF', 'passive'): {
u'HUF': -5000000
},
(u'marketmaker', u'BTC/MXN', None): {
u'MXN': 5000000
},
(u'marketmaker', u'BTC/MXN', 'aggressive'): {
u'MXN': 5000000
},
(u'marketmaker', u'BTC/MXN', 'passive'): {
u'MXN': -2500000
},
(u'marketmaker', u'NETS2014', None): {
u'BTC': 20000000
},
(u'marketmaker', u'NETS2014', 'aggressive'): {
u'BTC': 20000000
},
(u'marketmaker', u'NETS2014', 'passive'): {
u'BTC': -10000000
},
(u'marketmaker', u'NETS2015', None): {
u'BTC': 35000000
},
(u'marketmaker', u'NETS2015', 'aggressive'): {
u'BTC': 35000000
},
(u'marketmaker', u'NETS2015', 'passive'): {
u'BTC': -17500000
},
(u'randomtrader', u'BTC/HUF', None): {
u'HUF': 20000000
},
(u'randomtrader', u'BTC/HUF', 'aggressive'): {
u'HUF': 20000000
},
(u'randomtrader', u'BTC/HUF', 'passive'): {
u'HUF': 20000000
},
(u'randomtrader', u'BTC/MXN', None): {
u'MXN': 10000000
},
(u'randomtrader', u'BTC/MXN', 'aggressive'): {
u'MXN': 10000000
},
(u'randomtrader', u'BTC/MXN', 'passive'): {
u'MXN': 10000000
},
(u'randomtrader', u'NETS2014', None): {
u'BTC': 40000000
},
(u'randomtrader', u'NETS2014', 'aggressive'): {
u'BTC': 40000000
},
(u'randomtrader', u'NETS2014', 'passive'): {
u'BTC': 40000000
},
(u'randomtrader', u'NETS2015', None): {
u'BTC': 70000000
},
(u'randomtrader', u'NETS2015', 'aggressive'): {
u'BTC': 70000000
},
(u'randomtrader', u'NETS2015', 'passive'): {
u'BTC': 70000000
}
})
def test_trade_fees(self):
BTCMXN = self.get_contract('BTC/MXN')
NETS2015 = self.get_contract('NETS2015')
BTCHUF = self.get_contract('BTC/HUF')
NETS2014 = self.get_contract('NETS2014')
marketmaker = self.get_user('marketmaker')
randomtrader = self.get_user('randomtrader')
m2 = self.get_user('m2')
customer = self.get_user('customer')
fees_result = {}
for user in [marketmaker, randomtrader, m2, customer]:
for contract in [BTCMXN, NETS2015, BTCHUF, NETS2014]:
for ap in [None, "aggressive", "passive"]:
cash_spent = 1000000000
price = 1000000
if contract.contract_type == "futures" or contract.contract_type == "prediction":
quantity = cash_spent * contract.denominator / price / contract.lot_size
else:
payout_contract = contract.payout_contract
quantity = cash_spent * contract.denominator * payout_contract.denominator / price
fees_result[(user.username, contract.ticker, ap)] = get_fees(user, contract, price, quantity,
ap=ap)
self.assertDictEqual(fees_result, {(u'customer', u'BTC/HUF', None): {u'HUF': 10000000},
(u'customer', u'BTC/HUF', 'aggressive'): {u'HUF': 10000000},
(u'customer', u'BTC/HUF', 'passive'): {u'HUF': 10000000},
(u'customer', u'BTC/MXN', None): {u'MXN': 5000000},
(u'customer', u'BTC/MXN', 'aggressive'): {u'MXN': 5000000},
(u'customer', u'BTC/MXN', 'passive'): {u'MXN': 5000000},
(u'customer', u'NETS2014', None): {u'BTC': 20000000},
(u'customer', u'NETS2014', 'aggressive'): {u'BTC': 20000000},
(u'customer', u'NETS2014', 'passive'): {u'BTC': 20000000},
(u'customer', u'NETS2015', None): {u'BTC': 35000000},
(u'customer', u'NETS2015', 'aggressive'): {u'BTC': 35000000},
(u'customer', u'NETS2015', 'passive'): {u'BTC': 35000000},
(u'm2', u'BTC/HUF', None): {u'HUF': 0},
(u'm2', u'BTC/HUF', 'aggressive'): {u'HUF': 0},
(u'm2', u'BTC/HUF', 'passive'): {u'HUF': 0},
(u'm2', u'BTC/MXN', None): {u'MXN': 0},
(u'm2', u'BTC/MXN', 'aggressive'): {u'MXN': 0},
(u'm2', u'BTC/MXN', 'passive'): {u'MXN': 0},
(u'm2', u'NETS2014', None): {u'BTC': 0},
(u'm2', u'NETS2014', 'aggressive'): {u'BTC': 0},
(u'm2', u'NETS2014', 'passive'): {u'BTC': 0},
(u'm2', u'NETS2015', None): {u'BTC': 0},
(u'm2', u'NETS2015', 'aggressive'): {u'BTC': 0},
(u'm2', u'NETS2015', 'passive'): {u'BTC': 0},
(u'marketmaker', u'BTC/HUF', None): {u'HUF': 10000000},
(u'marketmaker', u'BTC/HUF', 'aggressive'): {u'HUF': 10000000},
(u'marketmaker', u'BTC/HUF', 'passive'): {u'HUF': -5000000},
(u'marketmaker', u'BTC/MXN', None): {u'MXN': 5000000},
(u'marketmaker', u'BTC/MXN', 'aggressive'): {u'MXN': 5000000},
(u'marketmaker', u'BTC/MXN', 'passive'): {u'MXN': -2500000},
(u'marketmaker', u'NETS2014', None): {u'BTC': 20000000},
(u'marketmaker', u'NETS2014', 'aggressive'): {u'BTC': 20000000},
(u'marketmaker', u'NETS2014', 'passive'): {u'BTC': -10000000},
(u'marketmaker', u'NETS2015', None): {u'BTC': 35000000},
(u'marketmaker', u'NETS2015', 'aggressive'): {u'BTC': 35000000},
(u'marketmaker', u'NETS2015', 'passive'): {u'BTC': -17500000},
(u'randomtrader', u'BTC/HUF', None): {u'HUF': 20000000},
(u'randomtrader', u'BTC/HUF', 'aggressive'): {u'HUF': 20000000},
(u'randomtrader', u'BTC/HUF', 'passive'): {u'HUF': 20000000},
(u'randomtrader', u'BTC/MXN', None): {u'MXN': 10000000},
(u'randomtrader', u'BTC/MXN', 'aggressive'): {u'MXN': 10000000},
(u'randomtrader', u'BTC/MXN', 'passive'): {u'MXN': 10000000},
(u'randomtrader', u'NETS2014', None): {u'BTC': 40000000},
(u'randomtrader', u'NETS2014', 'aggressive'): {u'BTC': 40000000},
(u'randomtrader', u'NETS2014', 'passive'): {u'BTC': 40000000},
(u'randomtrader', u'NETS2015', None): {u'BTC': 70000000},
(u'randomtrader', u'NETS2015', 'aggressive'): {u'BTC': 70000000},
(u'randomtrader', u'NETS2015', 'passive'): {u'BTC': 70000000}}
)
