def handle_remain_orders(self, bs, price):
ideal_order_in_active = False
for coid, o in list(self.active_orders.items()):
if bs != o.bs:
continue
if price == o.entrust_price and not o.last_cancel_time:
ideal_order_in_active = True
else:
now = arrow.now().float_timestamp
if not o.first_cancel_time:
o.first_cancel_time = now
factor = self.active_orders[coid].cancel_times + 1
if not o.last_cancel_time or now - o.last_cancel_time > self.config.cancel_order_interval * factor:
if o.eoid:
qb.fut(self.cancel_order(eoid=o.eoid))
else:
qb.fut(self.cancel_order(coid=o.coid))
self.active_orders[coid].last_cancel_time = now
self.active_orders[coid].cancel_times += 1
if self.active_orders[
coid].cancel_times > self.config.max_cancel_times:
logging.warning(
f'{o.coid} {o.eoid} cancel times exceed limit')
self.active_orders.pop(o.coid, None)
return ideal_order_in_active
async def do_action(self, bs: str, price: float, amt: float,
force_maker: bool):
ideal_order_in_active = self.handle_remain_orders(bs, price)
if ideal_order_in_active:
return
if len(self.active_orders) > self.config.max_pending_orders:
return
now = arrow.now().float_timestamp
if now - self.last_trade_time < self.config.trade_interval:
return
else:
self.last_trade_time = now
if await self.rc_work():
return
if bs == 'b':
amt = min(self.tk2.asks[0][1], self.config.place_amt)
elif bs == 's':
amt = min(self.tk2.bids[0][1], self.config.place_amt)
opt = self.get_options(self.c1, bs, amt, force_maker=force_maker)
coid = self.new_coid(self.c1, bs)
o = Order()
o.coid = coid
o.entrust_price = price
o.bs = bs
o.entrust_amount = amt
o.entrust_time = arrow.now().float_timestamp
o.opt = opt
ext = Extra()
ext.tk1_bbo_place = self.tk1
ext.tk2_bbo_place = self.tk2
o.extra = ext
self.active_orders[coid] = o
qb.fut(self.place_maker_order(o))
async def run(self):
await self.init()
await self.update_info()
self.asset_by_ws = self.asset_by_rest
self.pos_by_ws = self.pos_by_rest
await self.cancel_all()
await self.config.sync()
while True:
await asyncio.sleep(1)
if len(self.ticks) + len(self.bbo) != 2:
logging.warning('waiting tick comes')
continue
else:
break
self.inited = True
logging.info("all inited, start...")
qb.fut(self.daemon_consume_update_bbo())
qb.fut(qb.autil.loop_call(self.update_info, 30, panic_on_fail=False))
qb.fut(qb.autil.loop_call(self.config.sync, 30))
qb.fut(qb.autil.loop_call(self.match_pos, 10))
def __enter__(self):
self.start = arrow.now()
def __exit__(self, *args, **kwargs):
self.end = arrow.now()
key = 'elapse'
diff = (self.end - self.start).total_seconds()
timerInflux.add_point(key=key, tags=self.tags, fields={'value': diff})
async def main():
print('main')
# s = Strategy(stid=stid)
# await s.run()
async def play():
print('play demo')
if __name__ == '__main__':
qb.init(env='prod')
docopt = docoptinit(__doc__)
stid = str(docopt['--stid'])
logging.info(f'stid: {stid}')
if docopt['--play']:
qb.fut(play())
else:
qb.fut(main())
qb.run_forever()
async def order_callback(self, orig: qbxt.model.OrderUpdate):
order = orig.order
if order.contract == self.c1:
# 如果不在程序肯定有问题
order_in_memory = self.active_orders.get(order.client_oid, None)
if not order_in_memory:
logging.warning(
f'{order.client_oid}, {order.exchange_oid} not in active orders'
)
return
now = arrow.now().float_timestamp
elapse = now - order_in_memory.entrust_time
if order_in_memory.first_cancel_time:
elapse = now - order_in_memory.first_cancel_time
self.gauge('order-elapse', elapse, tags={'status': order.status})
if order.status == qbxt.model.Order.PENDING and order.contract == self.c1:
return
if 'deal' in order.status and order.contract == self.c1:
# 如果不在程序肯定有问题
order_in_memory = self.active_orders.get(order.client_oid, None)
if not order_in_memory:
logging.warning(
f'{order.client_oid}, {order.exchange_oid} not in active orders'
)
return
amt = order.dealt_amount - order_in_memory.dealt_amt
self.active_orders[order.client_oid].dealt_amt = order.dealt_amount
self.active_orders[order.client_oid].extra.tk1_bbo_dealt = self.tk1
self.active_orders[order.client_oid].extra.tk2_bbo_dealt = self.tk2
if amt > 0:
bs = 'b' if order.bs == 's' else 's'
qb.fut(
self.place_hedge_order(bs, amt, order.average_dealt_price))
# c2_price = self.tk2.bid1 if order.bs == 'b' else self.tk2.ask1
self.gauge('place-price',
order.entrust_price, {'bs': order.bs},
ts=order_in_memory.entrust_time)
self.gauge('dealt-amt', amt, tags={'bs': order.bs})
self.gauge_order_extra(self.active_orders[order.client_oid])
if order.status == qbxt.model.Order.DEALT and order.contract == self.c2:
c1_dealt_price = self.dealt_info.get(order.client_oid, None)
if c1_dealt_price:
self.gauge('dealt-diff',
c1_dealt_price / order.average_dealt_price,
tags={'bs': qb.util.op_bs(order.bs)})
self.dealt_info.pop(order.client_oid, None)
if 'deal' in order.status:
con = 'tick1' if order.contract == self.c1 else 'tick2'
self.gauge('dealt',
order.average_dealt_price,
tags={
'bs': order.bs,
'con_symbol': order.contract,
'con': con
})
if order.status in qbxt.model.Order.END_SET and order.contract == self.c1:
self.active_orders.pop(order.client_oid, None)
return
async def main_callback(self):
if not self.inited:
return
value = {
'tk1-bid1': self.tk1.bid1,
'tk1-ask1': self.tk1.ask1,
'tk2-bid1': self.tk2.bid1,
'tk2-ask1': self.tk2.ask1,
'tk-diff': self.tk1.middle / self.tk2.middle,
'bid-d-ask': self.tk1.bid1 / self.tk2.ask1,
'ask-d-bid': self.tk1.ask1 / self.tk2.bid1
}
self.gauge('quote', value)
core = math.pow(self.config.diff,
-self.pos1 / self.config.amt) * self.config.middle
core_a = self.tk2.ask1 * core
core_b = self.tk2.bid1 * core
# logging.info('c2: ',self.tk2.ask1/self.tk2.bid1)
# logging.info('core_a/core_b: ',core_a/core_b)
pb = core_b / math.sqrt(self.config.earn) * self.config.taker_return
ps = core_a * math.sqrt(self.config.earn) / self.config.taker_return
# logging.info('ps/pb:',ps,pb, ps/pb)
tb = pb * self.config.taker_return
ts = ps / self.config.taker_return
tb = self.rounding(tb, self.min_change(self.c1), math.floor)
ts = self.rounding(ts, self.min_change(self.c1), math.ceil)
# mb = min(self.tk1.aks1- self.min_change(self.c1), pb * self.config.maker_return)
# ms = max(self.tk1.bid1+ self.min_change(self.c1), ps / self.config.maker_return)
# logging.info('before rounding', mb,ms, ms/mb)
mb = pb * self.config.maker_return
ms = ps / self.config.maker_return
mb = self.rounding(mb, self.min_change(self.c1), math.floor)
ms = self.rounding(ms, self.min_change(self.c1), math.ceil)
# logging.info('after rouding', mb,ms, ms/mb)
self.gauge('core', core)
self.gauge('diff-ideal-b', {
'maker': mb / self.tk2.bid1,
'taker': tb / self.tk2.bid1
})
self.gauge('diff-ideal-s', {
'maker': ms / self.tk2.ask1,
'taker': ts / self.tk2.ask1
})
# pass
if dryrun:
return
if self.pos1 < self.config.amt:
if tb >= self.tk1.ask1:
# logging.info(f'try to place taker b {tb}')
qb.fut(self.do_action('b', tb, self.config.place_amt, False))
else:
mb = min(mb, self.tk1.bid1)
qb.fut(
self.do_action('b', mb, self.config.place_amt,
self.config.force_maker))
if -self.config.amt < self.pos1:
if ts <= self.tk1.bid1:
# logging.info(f'try to place taker s {ts}')
qb.fut(self.do_action('s', ts, self.config.place_amt, False))
else:
ms = max(ms, self.tk1.ask1)
qb.fut(
self.do_action('s', ms, self.config.place_amt,
self.config.force_maker))
return
def rc_trigger(self, second, reason):
if not self.rc_working:
qb.fut(self.cancel_all())
logging.warning('rc trigger', reason, second, self.rc_until)
self.gauge('rc-work', 1, {'type': reason})
self.rc_until = max(self.rc_until, arrow.now().shift(seconds=second))
