def test_long_pnl(self):
test_position = Broker()
step = 0
bid_price = 101.
ask_price = 102.
buy_volume = 100
sell_volume = 100
pnl = 0.
def walk_forward(pnl, step, bid_price, ask_price, buy_volume, sell_volume,
down=True):
for i in range(50):
step += 1
if down:
bid_price *= 0.99
ask_price *= 0.99
else:
bid_price *= 1.01
ask_price *= 1.01
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
if i % 10 == 0:
print('bid_price={:.2f} | ask_price={:.2f}'.format(bid_price,
ask_price))
return step, bid_price, ask_price, buy_volume, sell_volume, pnl
test_position.add(
order=LimitOrder(ccy='BTC-USD', side='long', price=100., step=step,
queue_ahead=1000))
step, _, _, buy_volume, sell_volume, pnl = walk_forward(pnl, step, bid_price,
ask_price, buy_volume,
sell_volume, down=True)
self.assertEqual(1, test_position.long_inventory_count)
test_position.add(
order=LimitOrder(ccy='BTC-USD', side='short', price=105., step=step,
queue_ahead=0))
_, _, _, _, _, pnl = walk_forward(pnl, step, bid_price, ask_price, buy_volume,
sell_volume, down=False)
realized_pnl = test_position.realized_pnl
self.assertEqual(0.05, realized_pnl,
"Expected Realized PnL of 0.5 and got {}".format(realized_pnl))
self.assertEqual(0,
test_position.short_inventory_count +
test_position.long_inventory_count)
print("PnL: {}".format(pnl))
def _create_order_at_level(self, level: int, side: str) -> float:
"""
Create a new order at a specified LOB level.
:param level: (int) level in the limit order book
:param side: (str) direction of trade e.g., 'long' or 'short'
:return: (float) reward with penalties added
"""
reward = 0.0
if side == 'long':
notional_index = self.notional_bid_index
price_index = self.best_bid_index
elif side == 'short':
notional_index = self.notional_ask_index
price_index = self.best_ask_index
else:
notional_index = price_index = None
# get price data from numpy array
price_level_price = self._get_book_data(index=price_index + level)
# transform percentage into a hard number
price_level_price = round(self.midpoint * (price_level_price + 1.), 2)
price_level_queue = self._get_book_data(index=notional_index + level)
# create a new order
order = LimitOrder(ccy=self.symbol,
side=side,
price=price_level_price,
step=self.local_step_number,
queue_ahead=price_level_queue)
# add a penalty or encouragement, depending if order is accepted
if self.broker.add(order=order) is False:
reward -= ENCOURAGEMENT
else:
reward += ENCOURAGEMENT
return reward
def test_avg_exe(self):
test_position = Broker()
# perform a partial fill on the first order
step = 0
bid_price = 101.
ask_price = 102.
buy_volume = 500
sell_volume = 500
test_position.add(order=LimitOrder(ccy='BTC-USD',
side='long',
price=bid_price,
step=step,
queue_ahead=0))
print("taking first step...")
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
self.assertEqual(500, test_position.long_inventory.order.executed)
self.assertEqual(0, test_position.long_inventory_count)
# if order gets filled with a bid below the order's price, the order should NOT
# receive any price improvement during the execution.
bid_price = 99.
ask_price = 100.
test_position.add(order=LimitOrder(ccy='BTC-USD',
side='long',
price=bid_price,
step=step,
queue_ahead=0))
print("taking second step...")
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
self.assertEqual(1, test_position.long_inventory_count)
self.assertEqual(100., test_position.long_inventory.average_price)
print("PnL: {}".format(pnl))
def _create_order_at_level(self,
reward: float,
discouragement: float,
level=0,
side='long'):
"""
Create a new order at a specified LOB level
:param reward: (float) current step reward
:param discouragement: (float) penalty deducted from reward for erroneous actions
:param level: (int) level in the limit order book
:param side: (str) direction of trade e.g., 'long' or 'short'
:return: (float) reward with penalties added
"""
adjustment = 1 if level > 0 else 0
if side == 'long':
best = self._get_book_data(MarketMaker.best_bid_index - level)
denormalized_best = round(self.midpoint * (best + 1), 2)
inside_best = self._get_book_data(MarketMaker.best_bid_index -
level + adjustment)
denormalized_inside_best = round(self.midpoint * (inside_best + 1),
2)
plus_one = denormalized_best + 0.01
if denormalized_inside_best == plus_one:
# stick to best bid
bid_price = denormalized_best
# since LOB is rendered as cumulative notional, deduct the prior price
# level to derive the notional value of orders ahead in the queue
bid_queue_ahead = self._get_book_data(
MarketMaker.notional_bid_index -
level) - self._get_book_data(
MarketMaker.notional_bid_index - level + adjustment)
else:
# insert a cent ahead to jump a queue
bid_price = plus_one
bid_queue_ahead = 0.
bid_order = LimitOrder(ccy=self.sym,
side='long',
price=bid_price,
step=self.local_step_number,
queue_ahead=bid_queue_ahead)
if self.broker.add(order=bid_order) is False:
reward -= discouragement
else:
reward += discouragement
if side == 'short':
best = self._get_book_data(MarketMaker.best_ask_index + level)
denormalized_best = round(self.midpoint * (best + 1), 2)
inside_best = self._get_book_data(MarketMaker.best_ask_index +
level - adjustment)
denormalized_inside_best = round(self.midpoint * (inside_best + 1),
2)
plus_one = denormalized_best - 0.01
if denormalized_inside_best == plus_one:
ask_price = denormalized_best
# since LOB is rendered as cumulative notional, deduct the prior price
# level to derive the notional value of orders ahead in the queue
ask_queue_ahead = self._get_book_data(
MarketMaker.notional_ask_index +
level) - self._get_book_data(
MarketMaker.notional_ask_index + level - adjustment)
else:
ask_price = plus_one
ask_queue_ahead = 0.
ask_order = LimitOrder(ccy=self.sym,
side='short',
price=ask_price,
step=self.local_step_number,
queue_ahead=ask_queue_ahead)
if self.broker.add(order=ask_order) is False:
reward -= discouragement
else:
reward += discouragement
return reward
def test_queues_ahead_features(self):
test_position = Broker()
# perform a partial fill on the first order
step = 0
bid_price = 100.
ask_price = 200.
buy_volume = 0
sell_volume = 0
order_open_long = LimitOrder(ccy='BTC-USD',
side='long',
price=bid_price,
step=step,
queue_ahead=0)
order_open_short = LimitOrder(ccy='BTC-USD',
side='short',
price=ask_price,
step=step,
queue_ahead=2000)
print('opening long position = {}'.format(order_open_long))
test_position.add(order=order_open_long)
print('opening short position = {}'.format(order_open_short))
test_position.add(order=order_open_short)
print('\ntaking first step...')
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#1 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
print("#1 short_inventory.order = \n{}".format(
test_position.short_inventory.order))
bid_queue, ask_queue = test_position.get_queues_ahead_features()
print("#1 get_queues_ahead_features:\nbid_queue={} || ask_queue={}".
format(bid_queue, ask_queue))
self.assertEqual(0., bid_queue)
self.assertEqual(-0.67, round(ask_queue, 2))
print('\ntaking second step...')
buy_volume = 500
sell_volume = 500
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#2 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
print("#2 short_inventory.order = \n{}".format(
test_position.short_inventory.order))
bid_queue, ask_queue = test_position.get_queues_ahead_features()
print("#2 get_queues_ahead_features:\nbid_queue={} || ask_queue={}".
format(bid_queue, ask_queue))
self.assertEqual(0.5, bid_queue)
self.assertEqual(-0.6, round(ask_queue, 2))
print('\ntaking third step...')
buy_volume = 500
sell_volume = 499
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#3 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
print("#3 short_inventory.order = \n{}".format(
test_position.short_inventory.order))
bid_queue, ask_queue = test_position.get_queues_ahead_features()
print("#3 get_queues_ahead_features:\nbid_queue={} || ask_queue={}".
format(bid_queue, ask_queue))
self.assertEqual(0.999, bid_queue)
self.assertEqual(-0.5, round(ask_queue, 2))
print('\ntaking fourth step...')
buy_volume = 500
sell_volume = 500
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#4 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
print("#4 short_inventory.order = \n{}".format(
test_position.short_inventory.order))
bid_queue, ask_queue = test_position.get_queues_ahead_features()
print("#4 get_queues_ahead_features:\nbid_queue={} || ask_queue={}".
format(bid_queue, ask_queue))
self.assertEqual(0.0, bid_queue)
self.assertEqual(-0.33, round(ask_queue, 2))
print("PnL: {}".format(pnl))
def test_lob_queuing(self):
test_position = Broker()
# perform a partial fill on the first order
step = 0
bid_price = 102.
ask_price = 103.
buy_volume = 500
sell_volume = 500
queue_ahead = 800
order_open = LimitOrder(ccy='BTC-USD',
side='long',
price=bid_price,
step=step,
queue_ahead=queue_ahead)
test_position.add(order=order_open)
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#1 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
self.assertEqual(300, test_position.long_inventory.order.queue_ahead)
self.assertEqual(0, test_position.long_inventory.order.executed)
self.assertEqual(0, test_position.long_inventory_count)
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
print("#2 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
self.assertEqual(200, test_position.long_inventory.order.executed)
self.assertEqual(0, test_position.long_inventory_count)
# if order gets filled with a bid below the order's price, the order should NOT
# receive any price improvement during the execution.
bid_price = 100.
ask_price = 102.
order_open = LimitOrder(ccy='BTC-USD',
side='long',
price=bid_price,
step=step,
queue_ahead=queue_ahead)
test_position.add(order=order_open)
print("#3 long_inventory.order = \n{}".format(
test_position.long_inventory.order))
self.assertEqual(0, test_position.long_inventory_count)
bid_price = 100.
for i in range(5):
step += 1
pnl, is_long_order_filled, is_short_order_filled = \
test_position.step_limit_order_pnl(
bid_price=bid_price, ask_price=ask_price, buy_volume=buy_volume,
sell_volume=sell_volume, step=step)
pnl += pnl
self.assertEqual(1, test_position.long_inventory_count)
self.assertEqual(100.40,
round(test_position.long_inventory.average_price, 2))
print("PnL: {}".format(pnl))