from threading import Thread
# Use README for more detail on strategy and functions
e = Exchange()
a = e.connect()
TIME_PERIOD = 0.13
TIME_RUNNING = 1200
TRADES = TIME_RUNNING / TIME_PERIOD
ORDER_VOLUME = 24
WEIGHTING_FACTOR = 0.1 / ORDER_VOLUME
VOLUME_WEIGHTING = 1 / 2
INSTRUMENT = "PHILIPS_B"
e.poll_new_trades(INSTRUMENT)
diagonosticsOutput = ""
firstTrader = Trader(exchange=e,
instrument=INSTRUMENT,
instrumentB="PHILIPS_A",
orderVolume=ORDER_VOLUME,
weightingFactor=WEIGHTING_FACTOR,
volumeWeighting=VOLUME_WEIGHTING)
executing = True
count = 0
while executing:
firstTrader.trade()
firstTrader.hedge()
# import matplotlib as plt
e = Exchange()
a = e.connect()
# pnl = []
TIME_PERIOD = 0.2
TIME_RUNNING = 300
TRADES = TIME_RUNNING / TIME_PERIOD
ORDER_VOLUME = 5
WEIGHTING_FACTOR = 0.1 / ORDER_VOLUME #0.001
VOLUME_WEIGHTING = 1 / 2
INSTRUMENT = "PHILIPS_B"
e.poll_new_trades(INSTRUMENT)
diagonosticsOutput = ""
firstTrader = Trader(exchange=e,
instrument=INSTRUMENT,
instrumentB="PHILIPS_A",
orderVolume=ORDER_VOLUME,
weightingFactor=WEIGHTING_FACTOR,
volumeWeighting=VOLUME_WEIGHTING)
executing = True
count = 0
while executing:
order_book = e.get_last_price_book(instrument_id="PHILIPS_A")
# pnl.append(e.get_pnl)
bidAskDict = firstTrader.trade()
a = e.connect()
# you can also define host/user/pass yourself
# when not defined, it is taken from ~/.optibook file if it exists
# if that file does not exists, an error is thrown
#e = Exchange(host='host-to-connect-to')
#a = e.connect(username='******', password='******')
# Returns all currently outstanding orders
orders = e.get_outstanding_orders(instrument_id)
for o in orders.values():
print('outstanding orders: ' + o)
# Returns all trades you have done since the last time this function was called
trades = e.poll_new_trades(instrument_id)
for t in trades:
print(
f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
)
# Returns all trades you have done since since the instantiation of the Exchange
trades = e.get_trade_history(instrument_id)
for t in trades:
print(
f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
)
# Returns all current positions
positions = e.get_positions()
for p in positions:
# this function could also export statistics and data for further analysis if it were nexessary
last_trades_update = time.time()
last_position = (0, 0)
done = False
while not done:
try:
while not e.is_connected():
print(timestamp() + 'disconnected, trying to reconnect...')
time.sleep(1)
e.connect()
positions = e.get_positions()
position = (positions.get(pha), positions.get(phb))
if position != last_position:
last_position = position
trades = e.poll_new_trades(pha) + e.poll_new_trades(phb)
if trades:
summarize_trades(trades)
print(timestamp() + f"==> POSITION: PHA: {position[0]}, PHB: {position[1]}")
books = e.get_last_price_book(pha), e.get_last_price_book(phb)
try_to_trade(0, books, position) # buy PHA, sell PHB
try_to_trade(1, books, position) # buy PHB, sell PHA
except KeyboardInterrupt:
done = True
except Exception as exc:
print(timestamp() + "error: " + str(exc))