def algo_night():
DELTA_H, DELTA_M = config.get_config().ALGO_NIGHT_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H,
minute=DELTA_M,
second=0,
microsecond=0)
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
# specific bar
BAR_4H_S_H, BAR_4H_S_M = config.get_config().ALGO_NIGHT_4H_BAR
last_bar = utils.get_last_bar(fut_code)
if last_bar.DateTime.hour != BAR_4H_S_H:
exit(1)
last_px = last_bar.Close
close_px = last_bar.Close
if config.get_config().UPTREND:
buy_stps = config.get_config().ALGO_NIGHT_UPTREND_BUY_STP
sell_stps = config.get_config().ALGO_NIGHT_UPTREND_SELL_STP
else:
buy_stps = config.get_config().ALGO_NIGHT_DOWNTREND_BUY_STP
sell_stps = config.get_config().ALGO_NIGHT_DOWNTREND_SELL_STP
main_levels_algo(fut_code, close_px, close_px, DELTA_TIME, last_px,
buy_stps, sell_stps)
def algo_close_delta_15_00():
DELTA_H, DELTA_M = config.get_config().ALGO_CLOSE_DELTA_15_00_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H, minute=DELTA_M, second=0, microsecond=0)
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
# get undelying px
last_bar = utils.get_last_bar(fut_code)
BAR_4H_S_H, BAR_4H_S_M = config.get_config().ALGO_CLOSE_DELTA_15_00_4H_BAR
bar = utils.get_specific_bar(fut_code, hour=BAR_4H_S_H, minute=BAR_4H_S_M)
delta_px = bar.Close
delta = utils.get_portfolio_delta(fut_code, delta_px, utils.default_time_shift_strategy, DELTA_TIME)
# if bar.Open < bar.Close:
# buy_dist = bar.High - bar.Close
# sell_dist = bar.Close - bar.Open
# elif bar.Close < bar.Open:
# buy_dist = bar.Open - bar.Close
# sell_dist = bar.Close - bar.Low
# else:
# buy_dist = bar.High - bar.Close
# sell_dist = bar.Close - bar.Low
# if (round(delta) > 0 and sell_dist > buy_dist) or (round(delta) < 0 and buy_dist > sell_dist):
utils.add_stop_orders(fut_code, np.array([bar.Close]), np.array([delta]), order_type='MKT')
utils.set_order_sequence(np.array([0]))
def algo_stat():
# shift time
DELTA_H, DELTA_M = config.get_config().ALGO_STAT_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H,
minute=DELTA_M,
second=0,
microsecond=0)
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
M5_S_H, M5_S_M, M5_E_H, M5_E_M = config.get_config().ALGO_STAT_5M_RANGE
bars_5_min = utils.get_bars_range(
fut_code,
start_hour=M5_S_H,
start_minute=M5_S_M,
end_hour=M5_E_H,
end_minute=M5_E_M,
duration='5 mins',
)
bar_open = bars_5_min.iloc[0].Open
bar_close = bars_5_min.iloc[-1].Close
bar_high = bar_open
bar_low = bar_open
for _, bar in bars_5_min.iterrows():
bar_high = max(bar_high, bar.High)
for _, bar in bars_5_min.iterrows():
bar_low = min(bar_low, bar.Low)
if bar_close > bar_open:
high = bar_high
low = bar_close
elif bar_close < bar_open:
high = bar_close
low = bar_low
else:
high = bar_high
low = bar_low
last_bar = utils.get_last_bar(fut_code)
last_px = last_bar.Close
buy_stps = config.get_config().ALGO_STAT_BUY_STP
sell_stps = config.get_config().ALGO_STAT_SELL_STP
main_levels_algo(fut_code, high, low, DELTA_TIME, last_px, buy_stps,
sell_stps)
def algo_close_delta():
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
# get undelying px
last_bar = utils.get_last_bar(fut_code)
under_px = last_bar.Close
px_grid = np.zeros((1))
px_grid[0] = under_px
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, px_grid, utils.default_time_shift_strategy,
config.get_config().RUN_TIME)
utils.add_stop_orders(fut_code, px_grid, delta_grid, order_type='MKT')
utils.set_order_sequence(np.array([0]))
def algo_safe():
DELTA_TIME = config.get_config().RUN_TIME
# find all futures
positions_df = config.get_config().positions_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
last_bar = utils.get_last_bar(fut_code)
last_px = last_bar.Close
high = last_px
low = last_px
buy_stps = config.get_config().ALGO_SAFE_BUY_STP
sell_stps = config.get_config().ALGO_SAFE_SELL_STP
main_levels_algo(fut_code, high, low, DELTA_TIME, last_px, buy_stps,
sell_stps)
def algo_07_00():
# shift time
DELTA_H, DELTA_M = config.get_config().ALGO_07_00_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H,
minute=DELTA_M,
second=0,
microsecond=0)
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
FIRST_BAR_4H_S_H, FIRST_BAR_4H_S_M = config.get_config(
).ALGO_07_00_4H_FIRST_BAR
SECOND_BAR_4H_S_H, SECOND_BAR_4H_S_M = config.get_config(
).ALGO_07_00_4H_SECOND_BAR
first_bar = utils.get_specific_bar(fut_code,
hour=FIRST_BAR_4H_S_H,
minute=FIRST_BAR_4H_S_M)
second_bar = utils.get_specific_bar(fut_code,
hour=SECOND_BAR_4H_S_H,
minute=SECOND_BAR_4H_S_M)
high = max(first_bar.High, second_bar.High)
low = min(first_bar.Low, second_bar.Low)
last_bar = utils.get_last_bar(fut_code)
last_px = last_bar.Close
buy_stps = config.get_config().ALGO_07_00_BUY_STP
sell_stps = config.get_config().ALGO_07_00_SELL_STP
main_levels_algo(fut_code, high, low, DELTA_TIME, last_px, buy_stps,
sell_stps)
def algo_news():
# shift time
DELTA_H, DELTA_M = config.get_config().ALGO_NEWS_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H, minute=DELTA_M, second=0, microsecond=0)
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
BAR_4H_S_H, BAR_4H_S_M = config.get_config().ALGO_NEWS_4H_BAR
bar_4h = utils.get_specific_bar(fut_code, hour=BAR_4H_S_H, minute=BAR_4H_S_M)
M5_S_H, M5_S_M, M5_E_H, M5_E_M = config.get_config().ALGO_NEWS_5M_RANGE
bars_5_min = utils.get_bars_range(fut_code,
start_hour=M5_S_H,
start_minute=M5_S_M,
end_hour=M5_E_H,
end_minute=M5_E_M,
duration='5 mins',
)
M1_S_H, M1_S_M, M1_E_H, M1_E_M = config.get_config().ALGO_NEWS_1M_RANGE
bars_1_min = utils.get_bars_range(fut_code,
start_hour=M1_S_H,
start_minute=M1_S_M,
end_hour=M1_E_H,
end_minute=M1_E_M,
duration='1 min',
)
second_bar_open = bars_5_min.iloc[0].Open
if bars_1_min.shape[0] == 0:
second_bar_close = bars_5_min.iloc[-1].Close
else:
second_bar_close = bars_1_min.iloc[-1].Close
second_bar_high = second_bar_open
second_bar_low = second_bar_open
for _, bar in bars_5_min.iterrows():
second_bar_high = max(second_bar_high, bar.High)
for _, bar in bars_1_min.iterrows():
second_bar_high = max(second_bar_high, bar.High)
for _, bar in bars_5_min.iterrows():
second_bar_low = min(second_bar_low, bar.Low)
for _, bar in bars_1_min.iterrows():
second_bar_low = min(second_bar_low, bar.Low)
hl_dist = (bar_4h.High - bar_4h.Low) / 2
h_px = bar_4h.Close + hl_dist
l_px = bar_4h.Close - hl_dist
if bar_4h.Close > bar_4h.Open:
high = max(bar_4h.High, second_bar_high)
low = min(bar_4h.Open, second_bar_low)
elif bar_4h.Close < bar_4h.Open:
high = max(bar_4h.Open, second_bar_high)
low = min(bar_4h.Low, second_bar_low)
else:
high = max(bar_4h.High, second_bar_high)
low = min(bar_4h.Low, second_bar_low)
high = min(high, h_px)
low = max(low, l_px)
last_bar = utils.get_last_bar(fut_code)
last_px = last_bar.Close
buy_stps = config.get_config().ALGO_NEWS_BUY_STP
sell_stps = config.get_config().ALGO_NEWS_SELL_STP
# condition = False
# if condition:
# config.get_config().ALGO_NEWS_BUY_STP = [
# (5, 1, 45, 45),
# (0, 2, 15, 15),
# (0, 3, 65, 0)
# ]
main_levels_algo(fut_code, high, low, DELTA_TIME, last_px, buy_stps, sell_stps)
def algo_basic_fix_19_00():
DELTA_H, DELTA_M = config.get_config().ALGO_BASIC_FIX_19_00_DELTA_TIME
DELTA_TIME = config.get_config().RUN_TIME.replace(hour=DELTA_H,
minute=DELTA_M,
second=0,
microsecond=0)
stops_num = config.get_config().STOPS_NUM_BASIC_FIX_19_00
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
BAR_4H_S_H, BAR_4H_S_M = config.get_config(
).ALGO_BASIC_FIX_19_00_4H_BAR
bar = utils.get_specific_bar(fut_code,
hour=BAR_4H_S_H,
minute=BAR_4H_S_M)
H = bar.High
L = bar.Low
if H != L:
new_step = (H - L) / 2 + 5 / 320
else:
new_step = config.get_config().STOP_PX_STEP_BASIC_FIX_19_00
# get undelying px
last_bar = utils.get_last_bar(fut_code)
under_px = last_bar.Close
strikes = positions_df[positions_df.Underlying ==
fut_code].Strike.values
# only futures in position
if strikes.shape[0] == 0:
# push delta hedging order
px_grid = np.zeros((1))
px_grid[0] = under_px
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
utils.add_stop_orders(fut_code,
px_grid,
delta_grid,
order_type='MKT')
utils.set_order_sequence(np.array([0]))
continue
min_strike = np.min(strikes)
max_strike = np.max(strikes)
strike_step = config.get_config().STRIKE_STEP
min_px_step = config.get_config().PRICE_STEP
lower_bound = min_strike - strike_step
upper_bound = max_strike + strike_step
steps = (upper_bound - lower_bound) / min_px_step + 1
px_grid = np.linspace(lower_bound, upper_bound, steps)
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, px_grid, utils.default_time_shift_strategy, DELTA_TIME)
roll_right_signs = np.sign(delta_grid) * np.sign(np.roll(
delta_grid, 1))
roll_right_mask = roll_right_signs <= 0
roll_right_mask = roll_right_mask[1:]
roll_left_signs = np.sign(delta_grid) * np.sign(np.roll(
delta_grid, -1))
roll_left_mask = roll_left_signs <= 0
roll_left_mask = roll_left_mask[:-1]
change_size_mask = np.full(delta_grid.shape, False)
change_size_mask[1:] |= roll_right_mask
change_size_mask[:-1] |= roll_left_mask
change_idx = np.where(change_size_mask)[0]
change_px = px_grid[change_idx]
# options exists & delta doesn't change sign
if change_px.shape[0] == 0:
px_grid = np.zeros((1))
px_grid[0] = under_px
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
# delta is zero at current price
if round(delta_grid[0]) == 0:
if under_px < min_strike:
buy_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
buy_px_grid[idx] = min_strike + new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, buy_px_grid,
utils.default_time_shift_strategy, DELTA_TIME)
utils.add_stop_orders(fut_code, buy_px_grid, delta_grid)
utils.set_order_sequence(
np.linspace(0,
stops_num - 1,
stops_num,
dtype=np.int32))
elif under_px > max_strike:
sell_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
sell_px_grid[idx] = max_strike - new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, sell_px_grid,
utils.default_time_shift_strategy, DELTA_TIME)
utils.add_stop_orders(fut_code, sell_px_grid, delta_grid)
utils.set_order_sequence(
np.linspace(0,
stops_num - 1,
stops_num,
dtype=np.int32))
else:
right_strike_mask = strikes >= under_px
strikes_selection = strikes[right_strike_mask]
if strikes_selection.shape[0] == 0:
exit(0)
target_strike = np.min(strikes_selection)
buy_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
buy_px_grid[idx] = target_strike + new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, buy_px_grid,
utils.default_time_shift_strategy, DELTA_TIME)
utils.add_stop_orders(fut_code, buy_px_grid, delta_grid)
left_strike_mask = strikes <= under_px
strikes_selection = strikes[left_strike_mask]
if strikes_selection.shape[0] == 0:
exit(0)
target_strike = np.max(strikes_selection)
sell_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
sell_px_grid[idx] = target_strike - new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, sell_px_grid,
utils.default_time_shift_strategy, DELTA_TIME)
utils.add_stop_orders(fut_code, sell_px_grid, delta_grid)
orders_px_grid = np.concatenate(
(buy_px_grid, sell_px_grid))
orders_zero_delta_px_distance_grid = np.abs(
orders_px_grid - under_px)
num_orders = orders_zero_delta_px_distance_grid.shape[0]
order_idxs = np.zeros(num_orders, dtype=np.int32)
for order_idx, idx in zip(
range(num_orders),
np.argsort(orders_zero_delta_px_distance_grid)):
order_idxs[idx] = order_idx
utils.set_order_sequence(order_idxs)
# place market stop
else:
utils.add_stop_orders(fut_code,
px_grid,
delta_grid,
order_type='MKT')
utils.set_order_sequence(np.array([0]))
# delta changes sign
else:
px_dist = np.abs(change_px - under_px)
zero_delta_px_idx = np.argsort(px_dist)[0]
zero_delta_px = change_px[zero_delta_px_idx]
buy_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
buy_px_grid[idx] = zero_delta_px + new_step * (idx + 1)
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, buy_px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
rounded_delta_grid = np.round(delta_grid)
mask = rounded_delta_grid == 0
# all buy stops are zero
if np.all(mask):
right_strike_mask = strikes > zero_delta_px
strikes_selection = strikes[right_strike_mask]
if strikes_selection.shape[0] == 0:
exit(0)
target_strike = np.min(strikes_selection)
buy_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
buy_px_grid[idx] = target_strike + new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, buy_px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
utils.add_stop_orders(fut_code, buy_px_grid, delta_grid)
else:
utils.add_stop_orders(fut_code, buy_px_grid, delta_grid)
stops_num = config.get_config().STOPS_NUM_BASIC
sell_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
sell_px_grid[idx] = zero_delta_px - new_step * (idx + 1)
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, sell_px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
rounded_delta_grid = np.round(delta_grid)
mask = rounded_delta_grid == 0
# all sell stops are zero
if np.all(mask):
left_strike_mask = strikes < zero_delta_px
strikes_selection = strikes[left_strike_mask]
if strikes_selection.shape[0] == 0:
exit(0)
target_strike = np.max(strikes_selection)
sell_px_grid = np.zeros(shape=(stops_num))
for idx in range(stops_num):
sell_px_grid[idx] = target_strike - new_step * idx
delta_grid = utils.get_portfolio_delta_on_grid(
fut_code, sell_px_grid, utils.default_time_shift_strategy,
DELTA_TIME)
utils.add_stop_orders(fut_code, sell_px_grid, delta_grid)
else:
utils.add_stop_orders(fut_code, sell_px_grid, delta_grid)
orders_px_grid = np.concatenate((buy_px_grid, sell_px_grid))
orders_zero_delta_px_distance_grid = np.abs(orders_px_grid -
zero_delta_px)
num_orders = orders_zero_delta_px_distance_grid.shape[0]
order_idxs = np.zeros(num_orders, dtype=np.int32)
for order_idx, idx in zip(
range(num_orders),
np.argsort(orders_zero_delta_px_distance_grid)):
order_idxs[idx] = order_idx
utils.set_order_sequence(order_idxs)
utils.parse_input()
# find all futures
positions_df = config.get_config().positions_df
time_bars_df = config.get_config().time_bars_df
fut_codes = utils.get_fut_codes(positions_df)
for fut_code in fut_codes:
# get undelying px
last_bar = utils.get_last_bar(fut_code)
under_px = last_bar.Close
lower_px = max(under_px - config.get_config().GRID_PX_STEP * config.get_config().PROFILE_STEPS, 0)
upper_px = under_px + config.get_config().GRID_PX_STEP * config.get_config().PROFILE_STEPS
px_grid =np.linspace(lower_px, upper_px, num=(upper_px - lower_px) // config.get_config().GRID_PX_STEP + 1)
delta_grid, porfolio_px_grid, porfolio_px_expiry_grid = utils.get_portfolio_params(fut_code, px_grid)
# plot portfolio profile
min_px = min(np.min(porfolio_px_grid), np.min(porfolio_px_expiry_grid))
max_px = max(np.max(porfolio_px_grid), np.max(porfolio_px_expiry_grid))
curr_px_line_x = np.array([under_px, under_px])
curr_px_line_y = np.array([min_px, max_px])
fig = plt.figure()