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_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_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)
def main_levels_algo(fut_code, high, low, DELTA_TIME, last_px, buy_stps,
sell_stps):
# buy orders
buy_orders_px = []
buy_orders_delta = []
current_px = high
prev_delta = 0
for p in buy_stps:
SHIFT_PX, NUM, GRID_STEP_PX, FWD_PX, IS_SAFE, IS_SEARCH = p
if NUM == 0:
continue
#convert to real pxs
SHIFT_PX = SHIFT_PX / config.get_config().FUT_PRICE_COEFF
GRID_STEP_PX = GRID_STEP_PX / config.get_config().FUT_PRICE_COEFF
FWD_PX = FWD_PX / config.get_config().FUT_PRICE_COEFF
current_px += SHIFT_PX
if IS_SAFE:
current_px += GRID_STEP_PX
stops_submitted = 0
for _ in range(100 if IS_SEARCH else NUM):
delta_px = current_px + FWD_PX
stop_px = current_px
delta = utils.get_portfolio_delta(
fut_code, delta_px, utils.default_time_shift_strategy,
DELTA_TIME)
order_delta = round(delta)
prev_order_delta = round(prev_delta)
if order_delta < 0 and order_delta != prev_order_delta:
buy_orders_px.append(stop_px)
buy_orders_delta.append(delta)
stops_submitted += 1
else:
if not IS_SEARCH:
stops_submitted += 1
prev_delta = delta
if stops_submitted >= NUM:
break
current_px += GRID_STEP_PX
current_px += FWD_PX
# sell order
sell_orders_px = []
sell_orders_delta = []
current_px = low
prev_delta = 0
for p in sell_stps:
SHIFT_PX, NUM, GRID_STEP_PX, FWD_PX, IS_SAFE, IS_SEARCH = p
if NUM == 0:
continue
# convert to real pxs
SHIFT_PX = SHIFT_PX / config.get_config().FUT_PRICE_COEFF
GRID_STEP_PX = GRID_STEP_PX / config.get_config().FUT_PRICE_COEFF
FWD_PX = FWD_PX / config.get_config().FUT_PRICE_COEFF
current_px -= SHIFT_PX
if IS_SAFE:
current_px -= GRID_STEP_PX
stops_submitted = 0
for _ in range(100 if IS_SEARCH else NUM):
delta_px = current_px - FWD_PX
stop_px = current_px
delta = utils.get_portfolio_delta(
fut_code, delta_px, utils.default_time_shift_strategy,
DELTA_TIME)
order_delta = round(delta)
prev_order_delta = round(prev_delta)
if order_delta > 0 and order_delta != prev_order_delta:
sell_orders_px.append(stop_px)
sell_orders_delta.append(delta)
stops_submitted += 1
else:
if not IS_SEARCH:
stops_submitted += 1
prev_delta = delta
if stops_submitted >= NUM:
break
current_px -= GRID_STEP_PX
current_px -= FWD_PX
buy_orders_px_np = np.array(buy_orders_px)
buy_orders_px_delta_np = np.array(buy_orders_delta)
sell_orders_px_np = np.array(sell_orders_px)
sell_orders_delta_np = np.array(sell_orders_delta)
utils.add_stop_orders(fut_code, buy_orders_px_np, buy_orders_px_delta_np)
utils.add_stop_orders(fut_code, sell_orders_px_np, sell_orders_delta_np)
orders_px_grid = np.concatenate((buy_orders_px_np, sell_orders_px_np))
orders_distance_grid = np.abs(orders_px_grid - last_px)
num_orders = orders_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_distance_grid)):
order_idxs[idx] = order_idx
utils.set_order_sequence(order_idxs)