def getExternalMarket(self):
try:
bitstamp_book = yield self.bitstamp.getOrderBook('BTC/USD')
btcusd_bid = bitstamp_book['bids'][0]['price']
btcusd_ask = bitstamp_book['asks'][0]['price']
except Exception as e:
# Unable to get markets, just exit
print "unable to get external market data from bitstamp: %s" % e
raise e
for ticker, market in self.markets.iteritems():
new_ask = None
new_bid = None
if ticker not in self.factory.ignore_contracts:
if market['contract_type'] == "cash_pair":
if ticker == "BTC/USD":
new_bid = btcusd_bid
new_ask = btcusd_ask
else:
currency = market['denominated_contract_ticker']
try:
# Get Yahoo quote
yahoo_book = yield self.yahoo.getOrderBook('USD/%s' % currency)
bid = yahoo_book['bids'][0]['price']
ask = yahoo_book['asks'][0]['price']
except Exception as e:
# Unable to get markets, just exit
print "unable to get external market data from Yahoo: %s" % e
continue
new_bid = btcusd_bid * bid
new_ask = btcusd_ask * ask
elif market['contract_type'] == "futures":
got_spot = False
if ticker.startswith("USDBTC"):
# Ignore BTC and USD interest rates
new_bid_spot = 10000/btcusd_ask
new_ask_spot = 10000/btcusd_bid
# Assume 10bps USD risk-free rate
base_rate = 0.0010
got_spot = True
elif ticker.startswith("LTCBTC"):
kraken_book = yield self.kraken.getOrderBook('BTC/LTC')
btcltc_bid = kraken_book['bids'][0]['price']
btcltc_ask = kraken_book['asks'][0]['price']
new_bid_spot = 10000/btcltc_ask
new_ask_spot = 10000/btcltc_bid
# Assume 10% LTC risk-free rate
base_rate = 0.10
got_spot = True
if got_spot:
from datetime import datetime
import util
timedelta_to_expiry = util.timestamp_to_dt(market['expiration']) - datetime.utcnow()
time_to_expiry = timedelta_to_expiry.total_seconds() / (365.25*24*60*60)
# Assume 5% BTC risk-free rate
btc_rate = 0.0500
import math
forward_factor = Decimal(math.exp((base_rate - btc_rate) * time_to_expiry))
new_bid = new_bid_spot * forward_factor
new_ask = new_ask_spot * forward_factor
if new_ask is not None and new_bid is not None:
logging.info("%s: %f/%f" % (ticker, new_bid, new_ask))
# Make sure that the marketwe are making isn't crossed
if new_bid > new_ask:
tmp = new_bid
new_bid = new_ask
new_ask = tmp
# If it's matched or crossed make a spread just because
if self.price_to_wire(ticker, new_bid) >= self.price_to_wire(ticker, new_ask):
new_bid = min(new_bid, new_ask) - self.price_from_wire(ticker, self.markets[ticker]['tick_size'])
new_ask = max(new_bid, new_ask) + self.price_from_wire(ticker, self.markets[ticker]['tick_size'])
if ticker in self.external_markets:
if new_bid != self.external_markets[ticker]['bid']:
self.external_markets[ticker]['bid'] = new_bid
self.replaceBidAsk(ticker, new_bid, 'BUY')
if new_ask != self.external_markets[ticker]['ask']:
self.external_markets[ticker]['ask'] = new_ask
self.replaceBidAsk(ticker, new_ask, 'SELL')
else:
self.external_markets[ticker] = {'bid': new_bid, 'ask': new_ask}
self.replaceBidAsk(ticker, new_ask, 'SELL')
self.replaceBidAsk(ticker, new_bid, 'BUY')
def getExternalMarket(self):
try:
bitstamp_book = yield self.bitstamp.getOrderBook('BTC/USD')
btcusd_bid = bitstamp_book['bids'][0]['price']
btcusd_ask = bitstamp_book['asks'][0]['price']
except Exception as e:
# Unable to get markets, just exit
print "unable to get external market data from bitstamp: %s" % e
raise e
for ticker, market in self.markets.iteritems():
new_ask = None
new_bid = None
if ticker not in self.factory.ignore_contracts:
if market['contract_type'] == "cash_pair":
if ticker == "BTC/USD":
new_bid = btcusd_bid
new_ask = btcusd_ask
else:
currency = market['denominated_contract_ticker']
try:
# Get Yahoo quote
yahoo_book = yield self.yahoo.getOrderBook(
'USD/%s' % currency)
bid = yahoo_book['bids'][0]['price']
ask = yahoo_book['asks'][0]['price']
except Exception as e:
# Unable to get markets, just exit
print "unable to get external market data from Yahoo: %s" % e
continue
new_bid = btcusd_bid * bid
new_ask = btcusd_ask * ask
elif market['contract_type'] == "futures":
got_spot = False
if ticker.startswith("USDBTC"):
# Ignore BTC and USD interest rates
new_bid_spot = 10000 / btcusd_ask
new_ask_spot = 10000 / btcusd_bid
# Assume 10bps USD risk-free rate
base_rate = 0.0010
got_spot = True
elif ticker.startswith("LTCBTC"):
kraken_book = yield self.kraken.getOrderBook('BTC/LTC')
btcltc_bid = kraken_book['bids'][0]['price']
btcltc_ask = kraken_book['asks'][0]['price']
new_bid_spot = 10000 / btcltc_ask
new_ask_spot = 10000 / btcltc_bid
# Assume 10% LTC risk-free rate
base_rate = 0.10
got_spot = True
if got_spot:
from datetime import datetime
import util
timedelta_to_expiry = util.timestamp_to_dt(
market['expiration']) - datetime.utcnow()
time_to_expiry = timedelta_to_expiry.total_seconds(
) / (365.25 * 24 * 60 * 60)
# Assume 5% BTC risk-free rate
btc_rate = 0.0500
import math
forward_factor = Decimal(
math.exp((base_rate - btc_rate) * time_to_expiry))
new_bid = new_bid_spot * forward_factor
new_ask = new_ask_spot * forward_factor
if new_ask is not None and new_bid is not None:
logging.info("%s: %f/%f" % (ticker, new_bid, new_ask))
# Make sure that the marketwe are making isn't crossed
if new_bid > new_ask:
tmp = new_bid
new_bid = new_ask
new_ask = tmp
# If it's matched or crossed make a spread just because
if self.price_to_wire(ticker,
new_bid) >= self.price_to_wire(
ticker, new_ask):
new_bid = min(new_bid, new_ask) - self.price_from_wire(
ticker, self.markets[ticker]['tick_size'])
new_ask = max(new_bid, new_ask) + self.price_from_wire(
ticker, self.markets[ticker]['tick_size'])
if ticker in self.external_markets:
if new_bid != self.external_markets[ticker]['bid']:
self.external_markets[ticker]['bid'] = new_bid
self.replaceBidAsk(ticker, new_bid, 'BUY')
if new_ask != self.external_markets[ticker]['ask']:
self.external_markets[ticker]['ask'] = new_ask
self.replaceBidAsk(ticker, new_ask, 'SELL')
else:
self.external_markets[ticker] = {
'bid': new_bid,
'ask': new_ask
}
self.replaceBidAsk(ticker, new_ask, 'SELL')
self.replaceBidAsk(ticker, new_bid, 'BUY')
def atomic_commit(self, postings):
start = time.time()
log.msg("atomic commit called for %s at %f" % (postings, start))
try:
# sanity check
if len(postings) == 0:
raise INTERNAL_ERROR
types = [posting["type"] for posting in postings]
counts = [posting["count"] for posting in postings]
if not all(type == types[0] for type in types):
raise TYPE_MISMATCH
if not all(count == counts[0] for count in counts):
raise COUNT_MISMATCH
# balance check
debitsum = defaultdict(int)
creditsum = defaultdict(int)
log.msg("auditing postings at %f" % (time.time() - start))
for posting in postings:
if posting["direction"] == "debit":
debitsum[posting["contract"]] += posting["quantity"]
if posting["direction"] == "credit":
creditsum[posting["contract"]] += posting["quantity"]
for ticker in debitsum:
if debitsum[ticker] - creditsum[ticker] is not 0:
raise QUANTITY_MISMATCH
# create the journal and postings
# The journal is created separately from the postings but this is ok because
# all the postings are created at once. If the posting commit fails then we'll
# just end up with an empty journal which won't break anything
# TODO: Create the journal and postings together
log.msg("creating the journal at %f" % (time.time() - start))
ins = Journal.__table__.insert()
result = self.execute(ins,
type=types[0],
timestamp=datetime.datetime.utcnow())
journal_id = result.inserted_primary_key[0]
log.msg("creating the db postings at %f" % (time.time() - start))
db_postings = []
for posting in postings:
contract_table = Contract.__table__
s = select([contract_table.c.id],
contract_table.c.ticker == posting["contract"])
result = self.execute(s)
contract_id = result.first()[0]
user_table = User.__table__
s = select([user_table.c.type],
user_table.c.username == posting["username"])
result = self.execute(s)
user_type = result.first()[0]
username = posting["username"]
quantity = posting["quantity"]
direction = posting["direction"]
note = posting["note"]
if posting["timestamp"] is not None:
timestamp = util.timestamp_to_dt(posting["timestamp"])
else:
timestamp = None
if direction == 'debit':
if user_type == 'Asset':
sign = 1
else:
sign = -1
else:
if user_type == 'Asset':
sign = -1
else:
sign = 1
posting = {
'username': username,
'contract_id': contract_id,
'quantity': sign * quantity,
'note': note,
'timestamp': timestamp,
'journal_id': journal_id
}
db_postings.append(posting)
log.msg("done making posting at %f: %s" %
(time.time() - start, posting))
ins = Posting.__table__.insert()
result = self.execute(ins, db_postings)
log.msg("Inserted %d rows of %d postings" %
(result.rowcount, len(db_postings)))
log.msg("Done committing postings at %f" % (time.time() - start))
return True
except Exception, e:
log.err("Caught exception trying to commit. Postings were:")
for posting in postings:
log.err(str(posting))
log.err("Stack trace follows:")
log.err()
if isinstance(e, SQLAlchemyError):
raise DATABASE_ERROR
raise e
def atomic_commit(self, postings):
start = time.time()
log.msg("atomic commit called for %s at %f" % (postings, start))
try:
# sanity check
if len(postings) == 0:
raise INTERNAL_ERROR
types = [posting["type"] for posting in postings]
counts = [posting["count"] for posting in postings]
if not all(type == types[0] for type in types):
raise TYPE_MISMATCH
if not all(count == counts[0] for count in counts):
raise COUNT_MISMATCH
# balance check
debitsum = defaultdict(int)
creditsum = defaultdict(int)
log.msg("auditing postings at %f" % (time.time() - start))
for posting in postings:
if posting["direction"] == "debit":
debitsum[posting["contract"]] += posting["quantity"]
if posting["direction"] == "credit":
creditsum[posting["contract"]] += posting["quantity"]
for ticker in debitsum:
if debitsum[ticker] - creditsum[ticker] is not 0:
raise QUANTITY_MISMATCH
# create the journal and postings
# The journal is created separately from the postings but this is ok because
# all the postings are created at once. If the posting commit fails then we'll
# just end up with an empty journal which won't break anything
# TODO: Create the journal and postings together
log.msg("creating the journal at %f" % (time.time() - start))
ins = Journal.__table__.insert()
result = self.execute(ins, type=types[0], timestamp=datetime.datetime.utcnow())
journal_id = result.inserted_primary_key[0]
log.msg("creating the db postings at %f" % (time.time() - start))
db_postings = []
for posting in postings:
contract_table = Contract.__table__
s = select([contract_table.c.id], contract_table.c.ticker==posting["contract"])
result = self.execute(s)
contract_id = result.first()[0]
user_table = User.__table__
s = select([user_table.c.type], user_table.c.username==posting["username"])
result = self.execute(s)
user_type = result.first()[0]
username = posting["username"]
quantity = posting["quantity"]
direction = posting["direction"]
note = posting["note"]
if posting["timestamp"] is not None:
timestamp = util.timestamp_to_dt(posting["timestamp"])
else:
timestamp = None
if direction == 'debit':
if user_type == 'Asset':
sign = 1
else:
sign = -1
else:
if user_type == 'Asset':
sign = -1
else:
sign = 1
posting = {'username': username,
'contract_id': contract_id,
'quantity': sign * quantity,
'note': note,
'timestamp': timestamp,
'journal_id': journal_id
}
db_postings.append(posting)
log.msg("done making posting at %f: %s" % (time.time() - start, posting))
ins = Posting.__table__.insert()
result = self.execute(ins, db_postings)
log.msg("Inserted %d rows of %d postings" % (result.rowcount, len(db_postings)))
log.msg("Done committing postings at %f" % (time.time() - start))
return True
except Exception, e:
log.err("Caught exception trying to commit. Postings were:")
for posting in postings:
log.err(str(posting))
log.err("Stack trace follows:")
log.err()
if isinstance(e, SQLAlchemyError):
raise DATABASE_ERROR
raise e
