class MarketMaker( object ):
def __init__( self, monitor = True, output = True ):
self.longperp = None
self.equity_usd = None
self.LEV_LIM = {}
self.place_asks = {}
self.place_bids = {}
self.skew_size = {}
self.LEV = 0
self.IM = 0
self.MAX_SKEW = 0
self.equity_btc = None
self.equity_usd_init = None
self.equity_btc_init = None
self.con_size = float( CONTRACT_SIZE )
self.client = None
self.deltas = OrderedDict()
self.futures = OrderedDict()
self.futures_prv = OrderedDict()
self.logger = None
self.mean_looptime = 1
self.monitor = monitor
self.output = output or monitor
self.positions = OrderedDict()
self.spread_data = None
self.this_mtime = None
self.ts = None
self.vols = OrderedDict()
def create_client( self ):
self.client = RestClient( KEY, SECRET, URL )
def get_bbo( self, contract ): # Get best b/o excluding own orders
# Get orderbook
ob = self.client.getorderbook( contract )
bids = ob[ 'bids' ]
asks = ob[ 'asks' ]
ords = self.client.getopenorders( contract )
bid_ords = [ o for o in ords if o[ 'direction' ] == 'buy' ]
ask_ords = [ o for o in ords if o[ 'direction' ] == 'sell' ]
best_bid = None
best_ask = None
err = 10 ** -( self.get_precision( contract ) + 1 )
for b in bids:
match_qty = sum( [
o[ 'quantity' ] for o in bid_ords
if math.fabs( b[ 'price' ] - o[ 'price' ] ) < err
] )
if match_qty < b[ 'quantity' ]:
best_bid = b[ 'price' ]
break
for a in asks:
match_qty = sum( [
o[ 'quantity' ] for o in ask_ords
if math.fabs( a[ 'price' ] - o[ 'price' ] ) < err
] )
if match_qty < a[ 'quantity' ]:
best_ask = a[ 'price' ]
break
return { 'bid': best_bid, 'ask': best_ask }
def get_futures( self ): # Get all current futures instruments
self.futures_prv = cp.deepcopy( self.futures )
insts = self.client.getinstruments()
self.futures = sort_by_key( {
i[ 'instrumentName' ]: i for i in insts if i[ 'kind' ] == 'future' and 'BTC' in i['instrumentName']
} )
for k, v in self.futures.items():
self.futures[ k ][ 'expi_dt' ] = datetime.strptime(
v[ 'expiration' ][ : -4 ],
'%Y-%m-%d %H:%M:%S' )
def get_pct_delta( self ):
self.update_status()
return sum( self.deltas.values()) / self.equity_btc
def get_spot( self ):
return self.client.index()[ 'btc' ]
def get_precision( self, contract ):
return self.futures[ contract ][ 'pricePrecision' ]
def get_ticksize( self, contract ):
return self.futures[ contract ][ 'tickSize' ]
def output_status( self ):
if not self.output:
return None
self.update_status()
now = datetime.utcnow()
days = ( now - self.start_time ).total_seconds() / SECONDS_IN_DAY
#print( '********************************************************************' )
#print( 'Start Time: %s' % self.start_time.strftime( '%Y-%m-%d %H:%M:%S' ))
#print( 'Current Time: %s' % now.strftime( '%Y-%m-%d %H:%M:%S' ))
#print( 'Days: %s' % round( days, 1 ))
#print( 'Hours: %s' % round( days * 24, 1 ))
#print( 'Spot Price: %s' % self.get_spot())
pnl_usd = self.equity_usd - self.equity_usd_init
pnl_btc = self.equity_btc - self.equity_btc_init
#print( 'Equity ($): %7.2f' % self.equity_usd)
#print( 'P&L ($) %7.2f' % pnl_usd)
#print( 'Equity (BTC): %7.4f' % self.equity_btc)
#print( 'P&L (BTC) %7.4f' % pnl_btc)
#print( '%% Delta: %s%%'% round( self.get_pct_delta() / PCT, 1 ))
#print( 'Total Delta (BTC): %s' % round( sum( self.deltas.values()), 2 ))
print_dict_of_dicts( {
k: {
'BTC': self.deltas[ k ]
} for k in self.deltas.keys()
},
roundto = 2, title = 'Deltas' )
print_dict_of_dicts( {
k: {
'Contracts': self.positions[ k ][ 'size' ]
} for k in self.positions.keys()
},
title = 'Positions' )
if not self.monitor:
print_dict_of_dicts( {
k: {
'%': self.vols[ k ]
} for k in self.vols.keys()
},
multiple = 100, title = 'Vols' )
#print( '\nMean Loop Time: %s' % round( self.mean_looptime, 2 ))
#print( '' )
def place_orders( self ):
if self.monitor:
return None
con_sz = self.con_size
print(['BTC-PERPETUAL', 'BTC-25DEC20', 'BTC-25SEP20', 'BTC-26MAR21'])
for fut in ['BTC-PERPETUAL', 'BTC-25DEC20', 'BTC-25SEP20', 'BTC-26MAR21']:
print(fut)
account = self.client.account()
spot = self.get_spot()
bal_btc = account[ 'equity' ]
pos = self.positions[ fut ][ 'sizeBtc' ]
expi = self.futures[ fut ][ 'expi_dt' ]
tte = max( 0, ( expi - datetime.utcnow()).total_seconds() / SECONDS_IN_DAY )
pos_decay = 1.0 - math.exp( -DECAY_POS_LIM * tte )
min_order_size_btc = MIN_ORDER_SIZE / spot * CONTRACT_SIZE
qtybtc = max( PCT_QTY_BASE * bal_btc, min_order_size_btc)
nbids = MAX_LAYERS
nasks = MAX_LAYERS
#place_bids = nbids > 0
#place_asks = nasks > 0
self.MAX_SKEW = MIN_ORDER_SIZE * MAX_LAYERS * 10
#print(fut)
spot = self.get_spot()
##print(res)
t = 0
for pos in self.positions:
t = t + math.fabs(self.positions[pos]['size'])
self.equity_usd = self.equity_btc * spot
self.LEV = t / self.equity_usd
self.IM = self.LEV / 2
##print(' ')
##print(fut)
##print(' ')
for k in self.positions:
self.skew_size[k[0:3]] = 0
####print('skew_size: ' + str(self.skew_size))
####print(self.positions)
for k in self.positions:
self.skew_size[k[0:3]] = self.skew_size[k[0:3]] + self.positions[k]['size']
####print('skew_size: ' + str(self.skew_size))
#print(self.skew_size)
psize = self.positions[fut]['size']
self.place_bids[fut] = True
self.place_asks[fut] = True
###print(self.PCT_LIM_LONG)
a = {}
for pos in self.positions:
a[pos] = 0
for pos in self.positions:
a[pos] = a[pos] + math.fabs(self.positions[pos]['size'])
##print((((a[pos[0:3]] / self.equity_usd) / self.LEV_LIM[pos[0:3]] * 1000 ) / 10 ))
##print((((a[pos[0:3]] / self.equity_usd) / self.LEV_LIM[pos[0:3]] * 1000 ) / 10 ))
##print((((a[pos[0:3]] / self.equity_usd) / self.LEV_LIM[pos[0:3]] * 1000 ) / 10 ))
#print(self.LEV_LIM)
#print(a)
if self.LEV_LIM[fut] == 0:
##print('lev lim 0!')
if self.positions[fut]['size'] < 0:
self.place_asks[fut] = False
if self.positions[fut]['size'] > 0:
self.place_bids[fut] = False
elif (((a[fut] / self.equity_usd) / self.LEV_LIM[fut] * 1000 ) / 10 ) > 100:
if self.positions[fut]['size'] < 0:
self.place_asks[fut] = False
if self.positions[pos]['size'] > 0:
self.place_bids[pos] = False
#print((((a[fut] / self.equity_usd) / self.LEV_LIM[fut] * 1000 ) / 10 ))
if self.place_asks[fut] == False and self.place_bids[fut] == False:
try:
prc = self.get_bbo(fut)['bid']
qty = self.equity_usd / 48 / 10 / 2
qty = float(min( qty, MIN_ORDER_SIZE))
#
###print('qty: ' + str(qty))
###print(max_bad_arb)
qty = round(qty)
for k in self.positions:
self.skew_size[k[0:3]] = 0
for k in self.positions:
self.skew_size[k[0:3]] = self.skew_size[k[0:3]] + self.positions[k]['size']
token = fut[0:3]
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
if self.positions[fut]['size'] >= 0:
##print(' ')
##print(' ')
##print(qty)
##print(self.skew_size[token])
##print(self.MAX_SKEW)
if qty + self.skew_size[token] * -1 <= self.MAX_SKEW:
mexAsks = []
for i in range(0, round(MAX_LAYERS)):
r = random.randint(0, 100)
#print(r)
if qty + self.skew_size[fut[0:3]] * -1 < self.MAX_SKEW:
if i >= len_ask_ords:
self.client.sell( fut, qty, asks[i], 'true' )
if self.positions[fut]['size'] <= 0:
if qty + self.skew_size[token] < self.MAX_SKEW:
mexBids = []
for i in range(0, round(MAX_LAYERS)):
r = random.randint(0, 100)
#print(r)
if qty + self.skew_size[fut[0:3]] < self.MAX_SKEW:
if i >= len_bid_ords:
self.client.buy( fut, qty, bids[i], 'true' )
except:
PrintException()
tsz = self.get_ticksize( fut )
# Perform pricing
bbo = self.get_bbo( fut )
bid_mkt = bbo[ 'bid' ]
ask_mkt = bbo[ 'ask' ]
if bid_mkt is None and ask_mkt is None:
bid_mkt = ask_mkt = spot
elif bid_mkt is None:
bid_mkt = min( spot, ask_mkt )
elif ask_mkt is None:
ask_mkt = max( spot, bid_mkt )
mid_mkt = 0.5 * ( bid_mkt + ask_mkt )
ords = self.client.getopenorders( fut )
cancel_oids = []
bid_ords = ask_ords = []
riskfac = 1
asks = []
bids = []
if self.place_bids[fut]:
bid_ords = [ o for o in ords if o[ 'direction' ] == 'buy' ]
len_bid_ords = min( len( bid_ords ), nbids )
bid0 = mid_mkt * math.exp( -MKT_IMPACT )
bids = [ bid0 * riskfac ** -i for i in range( 1, nbids + 1 ) ]
bids[ 0 ] = ticksize_floor( bids[ 0 ], tsz )
if self.place_asks[fut]:
ask_ords = [ o for o in ords if o[ 'direction' ] == 'sell' ]
len_ask_ords = min( len( ask_ords ), nasks )
ask0 = mid_mkt * math.exp( MKT_IMPACT )
asks = [ ask0 * riskfac ** i for i in range( 1, nasks + 1 ) ]
asks[ 0 ] = ticksize_ceil( asks[ 0 ], tsz )
nbids = len(bids)
nasks = len(asks)
# BIDS
for i in range( 0, MAX_LAYERS ):
if i < nbids:
###print(i)
if i > 0:
prc = ticksize_floor( min( bids[ i ], bids[ i - 1 ] - tsz ), tsz )
else:
prc = bids[ 0 ]
#qty = ( prc * qtybtc / con_sz )
qty = self.equity_usd / 48 / 10 / 2
qty = float(min( qty, MIN_ORDER_SIZE))
max_bad_arb = int(self.MAX_SKEW )
#
###print('qty: ' + str(qty))
###print(max_bad_arb)
qty = qty
qty = round(qty) * (i+1)
if qty <= 1:
qty = 1
###print('qty: ' + str(qty))
if self.MAX_SKEW < qty * 10 :
self.MAX_SKEW = qty * 10
if self.place_asks[fut] == False:
self.MAX_SKEW = self.MAX_SKEW * 3
qty = qty * 10
ob = self.client.getorderbook( fut )
bids1 = ob[ 'bids' ]
asks1 = ob[ 'asks' ]
prc = ticksize_floor(( bids1[0]['price']), tsz )
if qty + self.skew_size[fut[0:3]] > self.MAX_SKEW:
print(fut+ ' bid self.MAX_SKEW return ...')
for xyz in bid_ords:
cancel_oids.append( xyz['orderId'] )
#self.execute_cancels(fut, nbids, nasks, bid_ords, ask_ords, qtybtc, con_sz, tsz, cancel_oids, len_bid_ords, len_ask_ords)
continue
##print(len_bid_ords)
###print('i less')
try:
if i < len_bid_ords:
sleep(RATE_LIMIT)
###print('i less')
try:
oid = bid_ords[ i ][ 'orderId' ]
self.restartflag = False
self.client.edit( oid, qty, prc )
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
PrintException()
elif len_bid_ords <= MAX_LAYERS:
if 'PERPETUAL' not in fut:
if self.longperp == False:
if self.arbmult[fut]['arb'] > 0 and (self.positions[fut]['size'] - qty <= max_bad_arb ):
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] < 0 :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('buy qty * 1.1, 1' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
else:
print(self.longperp)
if self.longperp == True:
qty = qty * 2
print(qty)
print(self.arbmult[fut]['arb'])
print(self.positions[fut]['size'])
print(max_bad_arb)
if self.arbmult[fut]['arb'] < 0 and (self.positions[fut]['size'] - qty <= max_bad_arb ):
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] > 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('buy qty * 1.1, 2' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
elif len_bid_ords <= MAX_LAYERS:
sleep(RATE_LIMIT)
if 'PERPETUAL' not in fut:
if self.longperp == False:
if self.arbmult[fut]['arb'] > 0 and (self.positions[fut]['size'] - qty <= max_bad_arb ):
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] < 0 :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('buy qty * 1.1, 1' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
else:
if self.longperp == True:
qty = qty * 2
if self.arbmult[fut]['arb'] < 0 and (self.positions[fut]['size'] - qty <= max_bad_arb ):
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] > 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('buy qty * 1.1, 2' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.buy( fut, qty, prc, 'true' )
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
PrintException()
self.logger.warn( 'Bid order failed: %s bid for %s'
% ( prc, qty ))
# OFFERS
# ASKS
###print('# OFFERS')
if i < nasks:
if i > 0:
prc = ticksize_ceil( max( asks[ i ], asks[ i - 1 ] + tsz ), tsz )
else:
prc = asks[ 0 ]
qty = self.equity_usd / 48 / 10 / 2
qty = float(min( qty, MIN_ORDER_SIZE))
#10
max_bad_arb = int(self.MAX_SKEW )
###print('qty: ' + str(qty))
###print(max_bad_arb)
qty = qty
qty = round(qty) * (i+1)
if qty <= 1:
qty = 1
if self.MAX_SKEW < qty * 10 :
self.MAX_SKEW = qty * 10
if self.place_bids[fut] == False:
self.MAX_SKEW = self.MAX_SKEW * 3
qty = qty * 10
ob = self.client.getorderbook( fut )
bids1 = ob[ 'bids' ]
asks1 = ob[ 'asks' ]
prc = ticksize_ceil(( asks1[0]['price']), tsz )
###print('qty: ' + str(qty))
####print('skew_size: ' + str(self.skew_size))
####print('max_soew: ' + str(self.MAX_SKEW))
if qty + self.skew_size[fut[0:3]] * -1 > self.MAX_SKEW:
print(fut + ' offer self.MAX_SKEW return ...')
for xyz in ask_ords:
cancel_oids.append( xyz['orderId'] )
#self.execute_cancels(fut, nbids, nasks, bid_ords, ask_ords, qtybtc, con_sz, tsz, cancel_oids, len_bid_ords, len_ask_ords)
continue
##print(len_ask_ords)
try:
if i < len_ask_ords:
sleep(RATE_LIMIT)
###print('i less')
try:
oid = ask_ords[ i ][ 'orderId' ]
self.restartflag = False
self.client.edit( oid, qty, prc )
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
PrintException()
elif len_ask_ords <= MAX_LAYERS:
if 'PERPETUAL' not in fut:
if self.longperp == True:
if self.arbmult[fut]['arb'] >= 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('sell qty * 1.1, 1' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] <= 0 and self.positions[fut]['size'] + qty * -1 >=-1 * max_bad_arb :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
else:
if self.longperp == False:
#print(self.arbmult)
qty = qty * 2
if self.arbmult[fut]['arb'] <= 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('sell qty * 1.1, 2' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] >= 0 and self.positions[fut]['size'] + qty * -1 >=-1 * max_bad_arb :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
elif len_ask_ords <= MAX_LAYERS:
sleep(RATE_LIMIT)
if 'PERPETUAL' not in fut:
if self.longperp == True:
if self.arbmult[fut]['arb'] >= 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('sell qty * 1.1, 1' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] <= 0 and self.positions[fut]['size'] + qty * -1 >=-1 * max_bad_arb :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
else:
if self.longperp == False:
qty = qty * 2
if self.arbmult[fut]['arb'] <= 0:
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
qty = int(qty * 3)
###print('sell qty * 1.1, 2' + fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
if self.arbmult[fut]['arb'] >= 0 and self.positions[fut]['size'] + qty * -1 >=-1 * max_bad_arb :
if 'ETH' in fut or 'XRP' in fut:
qty = qty / self.get_bbo(fut[0:3] + 'USD')['bid']
if 'USD' in fut:
qty = qty / self.get_multiplier(fut)
if qty <= 1:
qty = 1
self.restartflag = False
self.client.sell( fut, qty, prc, 'true' )#self.client.sell( fut, qty, prc, 'true' )
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
PrintException()
self.logger.warn( 'Offer order failed: %s at %s'
% ( qty, prc ))
if nbids < len( bid_ords ):
cancel_oids += [ o[ 'orderId' ] for o in bid_ords[ nbids : ]]
if nasks < len( ask_ords ):
cancel_oids += [ o[ 'orderId' ] for o in ask_ords[ nasks : ]]
for oid in cancel_oids:
try:
self.client.cancel( oid )
except:
self.logger.warn( 'Order cancellations failed: %s' % oid )
def restart( self ):
try:
strMsg = 'RESTARTING'
#print( strMsg )
self.client.cancelall()
strMsg += ' '
for i in range( 0, 5 ):
strMsg += '.'
#print( strMsg )
sleep( 1 )
except:
pass
finally:
os.execv( sys.executable, [ sys.executable ] + sys.argv )
def run( self ):
self.run_first()
self.output_status()
t_ts = t_out = t_loop = t_mtime = datetime.utcnow()
while True:
bbos = []
arbs = {}
#self.client.buy( 'BTC-PERPETUAL', size, mid * 1.02)
expdays = {}
for k in self.futures.keys():
bbo = self.get_bbo( k[0:3] + '-PERPETUAL' )
bid_mkt = bbo[ 'bid' ]
ask_mkt = bbo[ 'ask' ]
mid = 0.5 * ( bbo[ 'bid' ] + bbo[ 'ask' ] )
m = self.get_bbo(k)
bid = m['bid']
ask=m['ask']
mid1 = 0.5 * (bid + ask)
if k == 'ETHM20' or k == 'XRPM20':
mid1 = mid1 * self.get_spot()
arb = mid1 / mid
arbs[k] = float(arb)
#if 'PERPETUAL' not in k:
###print('perp is ' + str(mid) + ' ' + k + ' is ' + str(mid1) + ' and arb is ' + str(arb) + ' positive is sell negative is bbuy')
expsecs = (self.futures[k]['expi_dt'] - datetime.now()).total_seconds()
expday = expsecs / 60 / 24
expdays[k]=float(expday)
bbos.append({k: mid1 - self.get_spot()})
fundvsprem = {}
newarbs = {}
self.arbmult = {}
for k in arbs:
if 'PERPETUAL' not in k:
doin = ((-1*(1-arbs[k]) / expdays[k])* 100)
###print(k[0:3])
#print(k + '! Premium arb is ' + str(math.fabs(doin)) + ' %!')
fundvsprem[k] = 'premium'
newarbs[k] = doin
self.arbmult[k] = {}
arbs = newarbs
for token in arbs:
if arbs[token] < 0:
self.arbmult[token] = ({'coin': token, 'long': 'futs', 'short': 'perp', 'arb': (arbs[token])})
else:
self.arbmult[token] = ({'coin': token, 'long': 'perp', 'short': 'futs', 'arb': (arbs[token])})
#funding: {'ETH': {'coin': 'ETH', 'long': 'futs', 'short': 'perp', 'arb': -0.00030000000000000003}, 'XBT': {'coin': 'XBT', 'long': 'perp', 'short': 'futs', 'arb': 0.000153}, 'XRP': {'coin': 'XRP', 'long': 'futs', 'short': 'perp', 'arb': -0.0007440000000000001}}
#premium: {'ETH': {'coin': 'ETH', 'long': 'futs', 'short': 'perp', 'arb': -0.00013291636050582245}, 'XBT': {'coin': 'XBT', 'long': 'perp', 'short': 'futs', 'arb': 3.722894995661838e-05}, 'XRP': {'coin': 'XRP', 'long': 'futs', 'short': 'perp', 'arb': -6.462857850516617e-05}}
perplongs = 0
perpshorts = 0
for arb in self.arbmult:
if self.arbmult[arb]['long'] == 'perp':
perplongs = perplongs + 1
else:
perpshorts = perpshorts + 1
if perplongs >= perpshorts:
self.longperp = True
self.arbmult['BTC-PERPETUAL'] = ({'coin': 'BTC-PERPETUAL', 'long': 'perp', 'short': 'futs', 'arb': 0.5})
else:
self.longperp = False
self.arbmult['BTC-PERPETUAL'] = ({'coin': 'BTC-PERPETUAL', 'long': 'futs', 'short': 'perp', 'arb': -0.5})
#print('self.longpperp? ' + str(self.longperp))
#print(self.arbmult)
t = 0
c = 0
for arb in self.arbmult:
t = t + math.fabs(self.arbmult[arb]['arb'])
c = c + 1
#print('t: ' + str(t))
for arb in self.arbmult:
self.arbmult[arb]['perc'] = math.fabs(round((self.arbmult[arb]['arb']) / t * 1000) / 1000) #* 1.41425
#print(self.arbmult)
##print(self.arbmult)
for coin in arbs:
self.LEV_LIM[coin] = LEVERAGE_MAX / 2
for coin in arbs:
self.LEV_LIM[coin] = self.LEV_LIM[coin] * self.arbmult[coin]['perc']
self.LEV_LIM['BTC-PERPETUAL'] = LEVERAGE_MAX / 2
#print(self.LEV_LIM)
skewingpos = 0
skewingneg = 0
positionSize = 0
for p in self.positions:
positionSize = positionSize + self.positions[p]['size']
if self.positions[p]['size'] > 0:
skewingpos = skewingpos + 1
elif self.positions[p]['size'] < 0:
skewingneg = skewingneg + 1
self.get_futures()
# Restart if a new contract is listed
if len( self.futures ) != len( self.futures_prv ):
self.restart()
self.update_positions()
t_now = datetime.utcnow()
# Update time series and vols
if ( t_now - t_ts ).total_seconds() >= WAVELEN_TS:
t_ts = t_now
self.update_timeseries()
self.update_vols()
self.place_orders()
# Display status to terminal
if self.output:
t_now = datetime.utcnow()
if ( t_now - t_out ).total_seconds() >= WAVELEN_OUT:
self.output_status(); t_out = t_now
# Restart if file change detected
t_now = datetime.utcnow()
if ( t_now - t_mtime ).total_seconds() > WAVELEN_MTIME_CHK:
t_mtime = t_now
if getmtime( __file__ ) > self.this_mtime:
self.restart()
t_now = datetime.utcnow()
looptime = ( t_now - t_loop ).total_seconds()
# Estimate mean looptime
w1 = EWMA_WGT_LOOPTIME
w2 = 1.0 - w1
t1 = looptime
t2 = self.mean_looptime
self.mean_looptime = w1 * t1 + w2 * t2
t_loop = t_now
sleep_time = MIN_LOOP_TIME - looptime
if sleep_time > 0:
time.sleep( sleep_time )
if self.monitor:
time.sleep( WAVELEN_OUT )
def run_first( self ):
self.create_client()
self.client.cancelall()
self.logger = get_logger( 'root', LOG_LEVEL )
# Get all futures contracts
self.get_futures()
self.this_mtime = getmtime( __file__ )
self.symbols = [ BTC_SYMBOL ] + list( self.futures.keys()); self.symbols.sort()
self.deltas = OrderedDict( { s: None for s in self.symbols } )
# Create historical time series data for estimating vol
ts_keys = self.symbols + [ 'timestamp' ]; ts_keys.sort()
self.ts = [
OrderedDict( { f: None for f in ts_keys } ) for i in range( NLAGS + 1 )
]
self.vols = OrderedDict( { s: VOL_PRIOR for s in self.symbols } )
self.start_time = datetime.utcnow()
self.update_status()
self.equity_usd_init = self.equity_usd
self.equity_btc_init = self.equity_btc
def update_status( self ):
account = self.client.account()
spot = self.get_spot()
self.equity_btc = account[ 'equity' ]
self.equity_usd = self.equity_btc * spot
self.update_positions()
self.deltas = OrderedDict(
{ k: self.positions[ k ][ 'sizeBtc' ] for k in self.futures.keys()}
)
self.deltas[ BTC_SYMBOL ] = account[ 'equity' ]
def update_positions( self ):
self.positions = OrderedDict( { f: {
'size': 0,
'sizeBtc': 0,
'indexPrice': None,
'markPrice': None
} for f in self.futures.keys() } )
positions = self.client.positions()
for pos in positions:
if pos[ 'instrument' ] in self.futures:
self.positions[ pos[ 'instrument' ]] = pos
def update_timeseries( self ):
if self.monitor:
return None
for t in range( NLAGS, 0, -1 ):
self.ts[ t ] = cp.deepcopy( self.ts[ t - 1 ] )
spot = self.get_spot()
self.ts[ 0 ][ BTC_SYMBOL ] = spot
for c in self.futures.keys():
bbo = self.get_bbo( c )
bid = bbo[ 'bid' ]
ask = bbo[ 'ask' ]
if not bid is None and not ask is None:
mid = 0.5 * ( bbo[ 'bid' ] + bbo[ 'ask' ] )
else:
continue
self.ts[ 0 ][ c ] = mid
self.ts[ 0 ][ 'timestamp' ] = datetime.utcnow()
def update_vols( self ):
if self.monitor:
return None
w = EWMA_WGT_COV
ts = self.ts
t = [ ts[ i ][ 'timestamp' ] for i in range( NLAGS + 1 ) ]
p = { c: None for c in self.vols.keys() }
for c in ts[ 0 ].keys():
p[ c ] = [ ts[ i ][ c ] for i in range( NLAGS + 1 ) ]
if any( x is None for x in t ):
return None
for c in self.vols.keys():
if any( x is None for x in p[ c ] ):
return None
NSECS = SECONDS_IN_YEAR
cov_cap = COV_RETURN_CAP / NSECS
for s in self.vols.keys():
x = p[ s ]
dx = x[ 0 ] / x[ 1 ] - 1
dt = ( t[ 0 ] - t[ 1 ] ).total_seconds()
v = min( dx ** 2 / dt, cov_cap ) * NSECS
v = w * v + ( 1 - w ) * self.vols[ s ] ** 2
self.vols[ s ] = math.sqrt( v )
class MarketMaker(object):
def __init__(self, monitor=True, output=True):
self.equity_usd = None
self.equity_btc = None
self.eth = 0
self.equity_usd_init = None
self.equity_btc_init = None
self.con_size = float(CONTRACT_SIZE)
self.client = None
self.deltas = OrderedDict()
self.futures = OrderedDict()
self.futures_prv = OrderedDict()
self.logger = None
self.volatility = 0
self.bbw = {}
self.atr = {}
self.diffdeltab = {}
self.diff2 = 0
self.diff3 = 0
self.bands = {}
self.quantity_switch = []
self.price = []
self.buysellsignal = {}
self.directional = []
self.seriesData = {}
self.seriesData[(datetime.strptime(
(date.today() - timedelta(days=1)).strftime('%Y-%m-%d'),
'%Y-%m-%d'))] = 0
self.seriesPercent = {}
self.startUsd = {}
self.firstfirst = True
self.dsrsi = 50
self.minMaxDD = None
self.maxMaxDD = None
self.ws = {}
self.ohlcv = {}
self.mean_looptime = 1
self.monitor = monitor
self.output = output or monitor
self.positions = OrderedDict()
self.spread_data = None
self.this_mtime = None
self.ts = None
self.vols = OrderedDict()
self.multsShort = {}
self.multsLong = {}
self.diff = 1
def create_client(self):
self.client = RestClient(KEY, SECRET, URL)
def get_bbo(self, contract): # Get best b/o excluding own orders
j = self.ohlcv[contract].json()
fut2 = contract
#print(contract)
best_bids = []
best_asks = []
o = []
h = []
l = []
c = []
v = []
for b in j['result']['open']:
o.append(b)
for b in j['result']['high']:
h.append(b)
for b in j['result']['low']:
l.append(b)
for b in j['result']['close']:
c.append(b)
for b in j['result']['volume']:
v.append(b)
abc = 0
ohlcv2 = []
for b in j['result']['open']:
ohlcv2.append([o[abc], h[abc], l[abc], c[abc], v[abc]])
abc = abc + 1
ddf = pd.DataFrame(ohlcv2,
columns=['open', 'high', 'low', 'close', 'volume'])
if 1 in self.directional:
sleep(0)
try:
self.dsrsi = TA.STOCHRSI(ddf).iloc[-1] * 100
except:
self.dsrsi = 50
##print(self.dsrsi)
# Get orderbook
if 2 in self.volatility or 3 in self.price or 4 in self.quantity_switch:
self.bands[fut2] = TA.BBANDS(ddf).iloc[-1]
self.bbw[fut2] = (TA.BBWIDTH(ddf).iloc[-1])
#print(float(self.bands[fut2]['BB_UPPER'] - self.bands[fut2]['BB_LOWER']))
if (float(self.bands[fut2]['BB_UPPER'] -
self.bands[fut2]['BB_LOWER'])) > 0:
deltab = (self.get_spot() - self.bands[fut2]['BB_LOWER']) / (
self.bands[fut2]['BB_UPPER'] -
self.bands[fut2]['BB_LOWER'])
if deltab > 50:
self.diffdeltab[fut2] = (deltab - 50) / 100 + 1
if deltab < 50:
self.diffdeltab[fut2] = (50 - deltab) / 100 + 1
else:
self.diffdeltab[fut2] = 25 / 100 + 1
if 3 in self.volatility:
self.atr[fut2] = TA.ATR(ddf).iloc[-1]
if 0 in self.price:
ob = self.client.getorderbook(contract)
bids = ob['bids']
asks = ob['asks']
ords = self.client.getopenorders(contract)
bid_ords = [o for o in ords if o['direction'] == 'buy']
ask_ords = [o for o in ords if o['direction'] == 'sell']
best_bid = None
best_ask = None
err = 10**-(self.get_precision(contract) + 1)
for b in bids:
match_qty = sum([
o['quantity'] for o in bid_ords
if math.fabs(b['price'] - o['price']) < err
])
if match_qty < b['quantity']:
best_bid = b['price']
break
for a in asks:
match_qty = sum([
o['quantity'] for o in ask_ords
if math.fabs(a['price'] - o['price']) < err
])
if match_qty < a['quantity']:
best_ask = a['price']
break
best_asks.append(best_ask)
best_bids.append(best_bid)
if 1 in self.price:
dvwap = TA.VWAP(ddf)
##print(dvwap)
tsz = self.get_ticksize(contract)
try:
bid = ticksize_floor(dvwap.iloc[-1], tsz)
ask = ticksize_ceil(dvwap.iloc[-1], tsz)
except:
bid = ticksize_floor(self.get_spot(), tsz)
ask = ticksize_ceil(self.get_spot(), tsz)
#print( { 'bid': bid, 'ask': ask })
best_asks.append(best_ask)
best_bids.append(best_bid)
if 2 in self.quantity_switch:
dppo = TA.PPO(ddf)
self.buysellsignal[fut2] = 1
try:
if (dppo.iloc[-1].PPO > 0):
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 + PRICE_MOD)
else:
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 - PRICE_MOD)
if (dppo.iloc[-1].HISTO > 0):
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 + PRICE_MOD)
else:
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 - PRICE_MOD)
if (dppo.iloc[-1].SIGNAL > 0):
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 + PRICE_MOD)
else:
self.buysellsignal[fut2] = self.buysellsignal[fut2] * (
1 - PRICE_MOD)
except:
self.buysellsignal[fut2] = 1
##print({ 'bid': best_bid, 'ask': best_ask })
return {
'bid': self.cal_average(best_bids),
'ask': self.cal_average(best_asks)
}
def get_futures(self): # Get all current futures instruments
self.futures_prv = cp.deepcopy(self.futures)
insts = self.client.getinstruments()
self.futures = sort_by_key({
i['instrumentName']: i
for i in insts if ('BTC-PERPETUAL' in i['instrumentName'])
and i['kind'] == 'future' #
})
for k, v in self.futures.items():
self.futures[k]['expi_dt'] = datetime.strptime(
v['expiration'][:-4], '%Y-%m-%d %H:%M:%S')
def get_pct_delta(self):
self.update_status()
return sum(self.deltas.values()) / self.equity_btc
def get_spot(self):
return self.client.index()['btc']
def get_precision(self, contract):
return self.futures[contract]['pricePrecision']
def get_ticksize(self, contract):
return self.futures[contract]['tickSize']
def output_status(self):
startLen = (len(self.seriesData))
if self.startUsd != {}:
startUsd = self.startUsd
nowUsd = self.equity_usd
diff = 100 * ((nowUsd / startUsd) - 1)
print('diff')
print(diff)
if diff < self.diff2:
self.diff2 = diff
if diff > self.diff3:
self.diff3 = diff
if self.diff3 > self.maxMaxDD:
print('broke max max dd! sleep 24hr')
time.sleep(60 * 60 * 24)
self.diff3 = 0
self.startUsd = self.equity_usd
if self.diff2 < self.minMaxDD:
print('broke min max dd! sleep 24hr')
time.sleep(60 * 60 * 24)
self.diff2 = 0
self.startUsd = self.equity_usd
self.seriesData[(datetime.strptime(
datetime.today().strftime('%Y-%m-%d'),
'%Y-%m-%d'))] = self.diff2
endLen = (len(self.seriesData))
if endLen != startLen:
self.seriesPercent[(datetime.strptime(
datetime.today().strftime('%Y-%m-%d'), '%Y-%m-%d'))] = diff
self.diff2 = 0
self.diff3 = 0
self.startUsd = self.equity_usd
s = pd.Series(self.seriesData)
print(s)
print(qs.stats.max_drawdown(s))
if not self.output:
return None
self.update_status()
now = datetime.utcnow()
days = (now - self.start_time).total_seconds() / SECONDS_IN_DAY
print(
'********************************************************************'
)
print('Start Time: %s' %
self.start_time.strftime('%Y-%m-%d %H:%M:%S'))
print('Current Time: %s' % now.strftime('%Y-%m-%d %H:%M:%S'))
print('Days: %s' % round(days, 1))
print('Hours: %s' % round(days * 24, 1))
print('Spot Price: %s' % self.get_spot())
pnl_usd = self.equity_usd - self.equity_usd_init
pnl_btc = self.equity_btc - self.equity_btc_init
if self.firstfirst == True:
self.startUsd = self.equity_usd
self.firstfirst = False
print('Equity ($): %7.2f' % self.equity_usd)
print('P&L ($) %7.2f' % pnl_usd)
print('Equity (BTC): %7.4f' % self.equity_btc)
print('P&L (BTC) %7.4f' % pnl_btc)
##print( '%% Delta: %s%%'% round( self.get_pct_delta() / PCT, 1 ))
##print( 'Total Delta (BTC): %s' % round( sum( self.deltas.values()), 2 ))
#print_dict_of_dicts( {
# k: {
# 'BTC': self.deltas[ k ]
# } for k in self.deltas.keys()
# },
# roundto = 2, title = 'Deltas' )
print_dict_of_dicts(
{
k: {
'Contracts': self.positions[k]['size']
}
for k in self.positions.keys()
},
title='Positions')
if not self.monitor:
print_dict_of_dicts(
{k: {
'%': self.vols[k]
}
for k in self.vols.keys()},
multiple=100,
title='Vols')
#print( '\nMean Loop Time: %s' % round( self.mean_looptime, 2 ))
#print( '' )
for k in self.positions.keys():
self.multsShort[k] = 1
self.multsLong[k] = 1
if 'sizeEth' in self.positions[k]:
key = 'sizeEth'
else:
key = 'sizeBtc'
if self.positions[k][key] > 10:
self.multsShort[k] = (self.positions[k][key] /
10) * POS_MOD
if self.positions[k][key] < -1 * 10:
self.multsLong[k] = (-1 * self.positions[k]['currentQty'] /
10) * POS_MOD
#Vols
#print(self.multsLong)
#print(self.multsShort)
def place_orders(self):
if self.monitor:
return None
con_sz = self.con_size
for fut in self.futures.keys():
account = self.client.account()
spot = self.get_spot()
bal_btc = account['equity'] * 100
pos_lim_long = bal_btc * PCT_LIM_LONG / len(self.futures)
pos_lim_short = bal_btc * PCT_LIM_SHORT / len(self.futures)
expi = self.futures[fut]['expi_dt']
##print(self.futures[ fut ][ 'expi_dt' ])
if self.eth is 0:
self.eth = 200
if 'ETH' in fut:
if 'sizeEth' in self.positions[fut]:
pos = self.positions[fut][
'sizeEth'] * self.eth / self.get_spot()
else:
pos = 0
else:
pos = self.positions[fut]['sizeBtc']
tte = max(0, (expi - datetime.utcnow()).total_seconds() /
SECONDS_IN_DAY)
pos_decay = 1.0 - math.exp(-DECAY_POS_LIM * tte)
pos_lim_long *= pos_decay
pos_lim_short *= pos_decay
pos_lim_long -= pos
pos_lim_short += pos
pos_lim_long = max(0, pos_lim_long)
pos_lim_short = max(0, pos_lim_short)
min_order_size_btc = MIN_ORDER_SIZE / spot * CONTRACT_SIZE
#qtybtc = max( PCT_QTY_BASE * bal_btc, min_order_size_btc)
qtybtc = PCT_QTY_BASE * bal_btc
nbids = min(math.trunc(pos_lim_long / qtybtc), MAX_LAYERS)
nasks = min(math.trunc(pos_lim_short / qtybtc), MAX_LAYERS)
place_bids = nbids > 0
place_asks = nasks > 0
#buy bid sell ask
if self.dsrsi > 80: #over
place_bids = 0
if self.dsrsi < 20: #under
place_asks = 0
if not place_bids and not place_asks:
#print( 'No bid no offer for %s' % fut, min_order_size_btc )
continue
tsz = self.get_ticksize(fut)
# Perform pricing
vol = max(self.vols[BTC_SYMBOL], self.vols[fut])
if 1 in self.volatility:
eps = BP * vol * RISK_CHARGE_VOL
if 0 in self.volatility:
eps = BP * 0.5 * RISK_CHARGE_VOL
if 2 in self.price:
eps = eps * self.diff
if 3 in self.price:
if self.diffdeltab[fut] > 0 or self.diffdeltab[fut] < 0:
eps = eps * self.diffdeltab[fut]
if 2 in self.volatility:
eps = eps * (1 + self.bbw[fut])
if 3 in self.volatility:
eps = eps * (self.atr[fut] / 100)
riskfac = math.exp(eps)
bbo = self.get_bbo(fut)
bid_mkt = bbo['bid']
ask_mkt = bbo['ask']
mid = 0.5 * (bbo['bid'] + bbo['ask'])
mid_mkt = 0.5 * (bid_mkt + ask_mkt)
ords = self.client.getopenorders(fut)
cancel_oids = []
bid_ords = ask_ords = []
if place_bids:
bid_ords = [o for o in ords if o['direction'] == 'buy']
len_bid_ords = min(len(bid_ords), nbids)
bid0 = mid_mkt * math.exp(-MKT_IMPACT)
bids = [bid0 * riskfac**-i for i in range(1, nbids + 1)]
bids[0] = ticksize_floor(bids[0], tsz)
if place_asks:
ask_ords = [o for o in ords if o['direction'] == 'sell']
len_ask_ords = min(len(ask_ords), nasks)
ask0 = mid_mkt * math.exp(MKT_IMPACT)
asks = [ask0 * riskfac**i for i in range(1, nasks + 1)]
asks[0] = ticksize_ceil(asks[0], tsz)
for i in range(max(nbids, nasks)):
# BIDS
#print('nbids')
#print(nbids)
#print('nasks')
#print(nasks)
if place_bids and i < nbids:
if i > 0:
prc = ticksize_floor(min(bids[i], bids[i - 1] - tsz),
tsz)
else:
prc = bids[0]
qty = round(prc * qtybtc / (con_sz / 1))
if 'ETH' in fut:
qty = round(prc * 450 * qtybtc / (con_sz / 1))
if 4 in self.quantity_switch:
if self.diffdeltab[fut] > 0 or self.diffdeltab[fut] < 0:
qty = round(qty / (self.diffdeltab[fut]))
if 2 in self.quantity_switch:
qty = round(qty * self.buysellsignal[fut])
if 3 in self.quantity_switch:
qty = round(qty * self.multsLong[fut])
if 1 in self.quantity_switch:
qty = round(qty / self.diff)
if qty < 0:
qty = qty * -1
if i < len_bid_ords:
oid = bid_ords[i]['orderId']
try:
self.client.edit(oid, qty, prc)
except (SystemExit, KeyboardInterrupt):
raise
except:
try:
self.client.buy(fut, qty, prc, 'true')
cancel_oids.append(oid)
self.logger.warn('Edit failed for %s' % oid)
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Bid order failed: %s bid for %s' %
(prc, qty))
else:
try:
self.client.buy(fut, qty, prc, 'true')
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Bid order failed: %s bid for %s' % (prc, qty))
# OFFERS
if place_asks and i < nasks:
if i > 0:
prc = ticksize_ceil(max(asks[i], asks[i - 1] + tsz),
tsz)
else:
prc = asks[0]
qty = round(prc * qtybtc / (con_sz / 1))
if 'ETH' in fut:
qty = round(prc * 450 * qtybtc / (con_sz / 1))
#print(qty)
#print(qty)
#print(qty)
#print(qty)
if 4 in self.quantity_switch:
if self.diffdeltab[fut] > 0 or self.diffdeltab[fut] < 0:
qty = round(qty / (self.diffdeltab[fut]))
if 2 in self.quantity_switch:
qty = round(qty / self.buysellsignal[fut])
if 3 in self.quantity_switch:
qty = round(qty * self.multsShort[fut])
#print(qty)
#print(qty)
#print(qty)
#print(qty)
if 1 in self.quantity_switch:
qty = round(qty / self.diff)
if qty < 0:
qty = qty * -1
if i < len_ask_ords:
oid = ask_ords[i]['orderId']
try:
self.client.edit(oid, qty, prc)
except (SystemExit, KeyboardInterrupt):
raise
except:
try:
self.client.sell(fut, qty, prc, 'true')
cancel_oids.append(oid)
self.logger.warn('Sell Edit failed for %s' %
oid)
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Offer order failed: %s at %s' %
(qty, prc))
else:
try:
self.client.sell(fut, qty, prc, 'true')
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn('Offer order failed: %s at %s' %
(qty, prc))
if nbids < len(bid_ords):
cancel_oids += [o['orderId'] for o in bid_ords[nbids:]]
if nasks < len(ask_ords):
cancel_oids += [o['orderId'] for o in ask_ords[nasks:]]
for oid in cancel_oids:
try:
self.client.cancel(oid)
except:
self.logger.warn('Order cancellations failed: %s' % oid)
def restart(self):
try:
strMsg = 'RESTARTING'
#print( strMsg )
self.client.cancelall()
strMsg += ' '
for i in range(0, 5):
strMsg += '.'
#print( strMsg )
sleep(1)
except:
pass
finally:
os.execv(sys.executable, [sys.executable] + sys.argv)
def run(self):
self.run_first()
self.output_status()
t_ts = t_out = t_loop = t_mtime = datetime.utcnow()
while True:
self.get_futures()
# Directional
# 0: none
# 1: StochRSI
#
# Price
# 0: none
# 1: vwap
# 2: ppo
#
# Volatility
# 0: none
# 1: ewma
with open('deribit-settings.json', 'r') as read_file:
data = json.load(read_file)
self.maxMaxDD = data['maxMaxDD']
self.minMaxDD = data['minMaxDD']
self.directional = data['directional']
self.price = data['price']
self.volatility = data['volatility']
self.quantity_switch = data['quantity']
# Restart if a new contract is listed
if len(self.futures) != len(self.futures_prv):
self.restart()
self.update_positions()
t_now = datetime.utcnow()
# Update time series and vols
if (t_now - t_ts).total_seconds() >= WAVELEN_TS:
t_ts = t_now
for contract in self.futures.keys():
self.ohlcv[contract] = requests.get(
'https://test.deribit.com/api/v2/public/get_tradingview_chart_data?instrument_name='
+ contract + '&start_timestamp=' +
str(int(time.time()) * 1000 - 1000 * 60 * 60) +
'&end_timestamp=' + str(int(time.time()) * 1000) +
'&resolution=1')
self.update_timeseries()
self.update_vols()
self.place_orders()
# Display status to terminal
if self.output:
t_now = datetime.utcnow()
if (t_now - t_out).total_seconds() >= WAVELEN_OUT:
self.output_status()
t_out = t_now
# Restart if file change detected
t_now = datetime.utcnow()
if (t_now - t_mtime).total_seconds() > WAVELEN_MTIME_CHK:
t_mtime = t_now
if getmtime(__file__) > self.this_mtime:
self.restart()
t_now = datetime.utcnow()
looptime = (t_now - t_loop).total_seconds()
# Estimate mean looptime
w1 = EWMA_WGT_LOOPTIME
w2 = 1.0 - w1
t1 = looptime
t2 = self.mean_looptime
self.mean_looptime = w1 * t1 + w2 * t2
t_loop = t_now
sleep_time = MIN_LOOP_TIME - looptime
if sleep_time > 0:
time.sleep(sleep_time)
if self.monitor:
time.sleep(WAVELEN_OUT)
def cal_average(self, num):
sum_num = 0
for t in num:
sum_num = sum_num + t
avg = sum_num / len(num)
return avg
def run_first(self):
self.create_client()
self.client.cancelall()
self.logger = get_logger('root', LOG_LEVEL)
# Get all futures contracts
self.get_futures()
for k in self.futures.keys():
self.ohlcv[k] = requests.get(
'https://test.deribit.com/api/v2/public/get_tradingview_chart_data?instrument_name='
+ k + '&start_timestamp=' +
str(int(time.time()) * 1000 - 1000 * 60 * 60) +
'&end_timestamp=' + str(int(time.time()) * 1000) +
'&resolution=1')
self.bbw[k] = 0
self.bands[k] = []
self.atr[k] = 0
self.diffdeltab[k] = 0
self.buysellsignal[k] = 1
self.this_mtime = getmtime(__file__)
self.symbols = [BTC_SYMBOL] + list(self.futures.keys())
self.symbols.sort()
self.deltas = OrderedDict({s: None for s in self.symbols})
# Create historical time series data for estimating vol
ts_keys = self.symbols + ['timestamp']
ts_keys.sort()
self.ts = [
OrderedDict({f: None
for f in ts_keys}) for i in range(NLAGS + 1)
]
self.vols = OrderedDict({s: VOL_PRIOR for s in self.symbols})
self.start_time = datetime.utcnow()
self.update_status()
self.equity_usd_init = self.equity_usd
self.equity_btc_init = self.equity_btc
def update_status(self):
account = self.client.account()
spot = self.get_spot()
self.equity_btc = account['equity']
self.equity_usd = self.equity_btc * spot
self.update_positions()
# self.deltas = OrderedDict(
# { k: self.positions[ k ][ 'sizeBtc' ] for k in self.futures.keys()}
# )
# self.deltas[ BTC_SYMBOL ] = account[ 'equity' ]
def update_positions(self):
self.positions = OrderedDict({
f: {
'size': 0,
'sizeBtc': 0,
'indexPrice': None,
'markPrice': None
}
for f in self.futures.keys()
})
positions = self.client.positions()
for pos in positions:
if 'ETH' in pos['instrument']:
pos['size'] = pos['size'] / 10
if pos['instrument'] in self.futures:
self.positions[pos['instrument']] = pos
def update_timeseries(self):
if self.monitor:
return None
for t in range(NLAGS, 0, -1):
self.ts[t] = cp.deepcopy(self.ts[t - 1])
spot = self.get_spot()
self.ts[0][BTC_SYMBOL] = spot
for contract in self.futures.keys():
ob = self.client.getorderbook(contract)
bids = ob['bids']
asks = ob['asks']
ords = self.client.getopenorders(contract)
bid_ords = [o for o in ords if o['direction'] == 'buy']
ask_ords = [o for o in ords if o['direction'] == 'sell']
best_bid = None
best_ask = None
err = 10**-(self.get_precision(contract) + 1)
for b in bids:
match_qty = sum([
o['quantity'] for o in bid_ords
if math.fabs(b['price'] - o['price']) < err
])
if match_qty < b['quantity']:
best_bid = b['price']
break
for a in asks:
match_qty = sum([
o['quantity'] for o in ask_ords
if math.fabs(a['price'] - o['price']) < err
])
if match_qty < a['quantity']:
best_ask = a['price']
break
bid = best_bid
ask = best_ask
if not bid is None and not ask is None:
mid = 0.5 * (bid + ask)
else:
continue
self.ts[0][contract] = mid
self.ts[0]['timestamp'] = datetime.utcnow()
def update_vols(self):
if self.monitor:
return None
w = EWMA_WGT_COV
ts = self.ts
t = [ts[i]['timestamp'] for i in range(NLAGS + 1)]
p = {c: None for c in self.vols.keys()}
for c in ts[0].keys():
p[c] = [ts[i][c] for i in range(NLAGS + 1)]
if any(x is None for x in t):
return None
for c in self.vols.keys():
if any(x is None for x in p[c]):
return None
NSECS = SECONDS_IN_YEAR
cov_cap = COV_RETURN_CAP / NSECS
for s in self.vols.keys():
x = p[s]
#print(x)
dx = x[0] / x[1] - 1
#print(dx)
dt = (t[0] - t[1]).total_seconds()
v = min(dx**2 / dt, cov_cap) * NSECS
v = w * v + (1 - w) * self.vols[s]**2
self.vols[s] = math.sqrt(v)
for bids in bid_ords:
ob = client.getorderbook(bids['instrument'])
ivs[bids['instrument']] = ob['bidIv'] / 100
bida = ob['bids']
aska = ob['asks']
la = 99
hb = 0
for bid in bida:
if bid['price'] > hb:
hb = bid['price']
for ask in aska:
if ask['price'] < la:
la = ask['price']
if bids['price'] != hb:
client.edit(bids['orderId'],
bids['quantity'] - bids['filledQuantity'], hb)
print('edit options order for best bid!')
positions = client.positions()
for option in options:
bid_ords = [
o for o in positions
if remember[options[option]['instrumentName']]['optionType'] ==
'put' and options[option]['instrumentName'] == o['instrument']
]
for bid in bid_ords:
if remember[bid['instrument']] not in puts:
puts.append(remember[bid['instrument']])
amts[bid['instrument']] = bid['size']
bid_ords = [
o for o in positions
if remember[options[option]['instrumentName']]['optionType'] ==
class MarketMaker(object):
def __init__(self, monitor=True, output=True):
self.equity_usd = None
self.equity_btc = None
self.equity_usd_init = None
self.equity_btc_init = None
self.con_size = float(CONTRACT_SIZE)
self.client = None
self.deltas = OrderedDict()
self.futures = OrderedDict()
self.futures_prv = OrderedDict()
self.logger = None
self.mean_looptime = 1
self.monitor = monitor
self.output = output or monitor
self.positions = OrderedDict()
self.spread_data = None
self.this_mtime = None
self.ts = None
self.vols = OrderedDict()
def create_client(self):
self.client = RestClient(KEY, SECRET, URL)
def get_bbo(self, contract): # Get best b/o excluding own orders
# Get orderbook
ob = self.client.getorderbook(contract)
bids = ob['bids']
asks = ob['asks']
ords = self.client.getopenorders(contract)
bid_ords = [o for o in ords if o['direction'] == 'buy']
ask_ords = [o for o in ords if o['direction'] == 'sell']
best_bid = None
best_ask = None
err = 10**-(self.get_precision(contract) + 1)
for b in bids:
match_qty = sum([
o['quantity'] for o in bid_ords
if math.fabs(b['price'] - o['price']) < err
])
if match_qty < b['quantity']:
best_bid = b['price']
break
for a in asks:
match_qty = sum([
o['quantity'] for o in ask_ords
if math.fabs(a['price'] - o['price']) < err
])
if match_qty < a['quantity']:
best_ask = a['price']
break
return {'bid': best_bid, 'ask': best_ask}
def get_futures(self): # Get all current futures instruments
self.futures_prv = cp.deepcopy(self.futures)
insts = self.client.getinstruments()
self.futures = sort_by_key(
{i['instrumentName']: i
for i in insts if i['kind'] == 'future'})
for k, v in self.futures.items():
self.futures[k]['expi_dt'] = datetime.strptime(
v['expiration'][:-4], '%Y-%m-%d %H:%M:%S')
def get_pct_delta(self):
self.update_status()
return sum(self.deltas.values()) / self.equity_btc
def get_spot(self):
return self.client.index()['btc']
def get_precision(self, contract):
return self.futures[contract]['pricePrecision']
def get_ticksize(self, contract):
return self.futures[contract]['tickSize']
def output_status(self):
if not self.output:
return None
self.update_status()
now = datetime.utcnow()
days = (now - self.start_time).total_seconds() / SECONDS_IN_DAY
print(
'********************************************************************'
)
print('Start Time: %s' %
self.start_time.strftime('%Y-%m-%d %H:%M:%S'))
print('Current Time: %s' % now.strftime('%Y-%m-%d %H:%M:%S'))
print('Days: %s' % round(days, 1))
print('Hours: %s' % round(days * 24, 1))
print('Spot Price: %s' % self.get_spot())
pnl_usd = self.equity_usd - self.equity_usd_init
pnl_btc = self.equity_btc - self.equity_btc_init
print('Equity ($): %7.2f' % self.equity_usd)
print('P&L ($) %7.2f' % pnl_usd)
print('Equity (BTC): %7.4f' % self.equity_btc)
print('P&L (BTC) %7.4f' % pnl_btc)
print('%% Delta: %s%%' %
round(self.get_pct_delta() / PCT, 1))
print('Total Delta (BTC): %s' % round(sum(self.deltas.values()), 2))
print_dict_of_dicts(
{k: {
'BTC': self.deltas[k]
}
for k in self.deltas.keys()},
roundto=2,
title='Deltas')
print_dict_of_dicts(
{
k: {
'Contracts': self.positions[k]['size']
}
for k in self.positions.keys()
},
title='Positions')
if not self.monitor:
print_dict_of_dicts(
{k: {
'%': self.vols[k]
}
for k in self.vols.keys()},
multiple=100,
title='Vols')
print('\nMean Loop Time: %s' % round(self.mean_looptime, 2))
print('')
def place_orders(self):
if self.monitor:
return None
con_sz = self.con_size
for fut in self.futures.keys():
account = self.client.account()
spot = self.get_spot()
bal_btc = account['equity']
pos = self.positions[fut]['sizeBtc']
pos_lim_long = bal_btc * PCT_LIM_LONG / len(self.futures)
pos_lim_short = bal_btc * PCT_LIM_SHORT / len(self.futures)
expi = self.futures[fut]['expi_dt']
tte = max(0, (expi - datetime.utcnow()).total_seconds() /
SECONDS_IN_DAY)
pos_decay = 1.0 - math.exp(-DECAY_POS_LIM * tte)
pos_lim_long *= pos_decay
pos_lim_short *= pos_decay
pos_lim_long -= pos
pos_lim_short += pos
pos_lim_long = max(0, pos_lim_long)
pos_lim_short = max(0, pos_lim_short)
min_order_size_btc = MIN_ORDER_SIZE / spot * CONTRACT_SIZE
qtybtc = max(PCT_QTY_BASE * bal_btc, min_order_size_btc)
nbids = min(math.trunc(pos_lim_long / qtybtc), MAX_LAYERS)
nasks = min(math.trunc(pos_lim_short / qtybtc), MAX_LAYERS)
place_bids = nbids > 0
place_asks = nasks > 0
if not place_bids and not place_asks:
print('No bid no offer for %s' % fut, pos_lim_long)
continue
tsz = self.get_ticksize(fut)
# Perform pricing
vol = max(self.vols[BTC_SYMBOL], self.vols[fut])
eps = BP * vol * RISK_CHARGE_VOL
riskfac = math.exp(eps)
bbo = self.get_bbo(fut)
bid_mkt = bbo['bid']
ask_mkt = bbo['ask']
if bid_mkt is None and ask_mkt is None:
bid_mkt = ask_mkt = spot
elif bid_mkt is None:
bid_mkt = min(spot, ask_mkt)
elif ask_mkt is None:
ask_mkt = max(spot, bid_mkt)
mid_mkt = 0.5 * (bid_mkt + ask_mkt)
ords = self.client.getopenorders(fut)
cancel_oids = []
bid_ords = ask_ords = []
if place_bids:
bid_ords = [o for o in ords if o['direction'] == 'buy']
len_bid_ords = min(len(bid_ords), nbids)
bid0 = mid_mkt * math.exp(-MKT_IMPACT)
bids = [bid0 * riskfac**-i for i in range(1, nbids + 1)]
bids[0] = ticksize_floor(bids[0], tsz)
if place_asks:
ask_ords = [o for o in ords if o['direction'] == 'sell']
len_ask_ords = min(len(ask_ords), nasks)
ask0 = mid_mkt * math.exp(MKT_IMPACT)
asks = [ask0 * riskfac**i for i in range(1, nasks + 1)]
asks[0] = ticksize_ceil(asks[0], tsz)
for i in range(max(nbids, nasks)):
# BIDS
if place_bids and i < nbids:
if i > 0:
prc = ticksize_floor(min(bids[i], bids[i - 1] - tsz),
tsz)
else:
prc = bids[0]
qty = round(prc * qtybtc / con_sz)
if i < len_bid_ords:
oid = bid_ords[i]['orderId']
try:
self.client.edit(oid, qty, prc)
except (SystemExit, KeyboardInterrupt):
raise
except:
try:
self.client.buy(fut, qty, prc, 'true')
cancel_oids.append(oid)
self.logger.warn('Edit failed for %s' % oid)
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Bid order failed: %s bid for %s' %
(prc, qty))
else:
try:
self.client.buy(fut, qty, prc, 'true')
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Bid order failed: %s bid for %s' % (prc, qty))
# OFFERS
if place_asks and i < nasks:
if i > 0:
prc = ticksize_ceil(max(asks[i], asks[i - 1] + tsz),
tsz)
else:
prc = asks[0]
qty = round(prc * qtybtc / con_sz)
if i < len_ask_ords:
oid = ask_ords[i]['orderId']
try:
self.client.edit(oid, qty, prc)
except (SystemExit, KeyboardInterrupt):
raise
except:
try:
self.client.sell(fut, qty, prc, 'true')
cancel_oids.append(oid)
self.logger.warn('Sell Edit failed for %s' %
oid)
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn(
'Offer order failed: %s at %s' %
(qty, prc))
else:
try:
self.client.sell(fut, qty, prc, 'true')
except (SystemExit, KeyboardInterrupt):
raise
except Exception as e:
self.logger.warn('Offer order failed: %s at %s' %
(qty, prc))
if nbids < len(bid_ords):
cancel_oids += [o['orderId'] for o in bid_ords[nbids:]]
if nasks < len(ask_ords):
cancel_oids += [o['orderId'] for o in ask_ords[nasks:]]
for oid in cancel_oids:
try:
self.client.cancel(oid)
except:
self.logger.warn('Order cancellations failed: %s' % oid)
def restart(self):
try:
strMsg = 'RESTARTING'
print(strMsg)
self.client.cancelall()
strMsg += ' '
for i in range(0, 5):
strMsg += '.'
print(strMsg)
sleep(1)
except:
pass
finally:
os.execv(sys.executable, [sys.executable] + sys.argv)
def run(self):
self.run_first()
self.output_status()
t_ts = t_out = t_loop = t_mtime = datetime.utcnow()
while True:
self.get_futures()
# Restart if a new contract is listed
if len(self.futures) != len(self.futures_prv):
self.restart()
self.update_positions()
t_now = datetime.utcnow()
# Update time series and vols
if (t_now - t_ts).total_seconds() >= WAVELEN_TS:
t_ts = t_now
self.update_timeseries()
self.update_vols()
self.place_orders()
# Display status to terminal
if self.output:
t_now = datetime.utcnow()
if (t_now - t_out).total_seconds() >= WAVELEN_OUT:
self.output_status()
t_out = t_now
# Restart if file change detected
t_now = datetime.utcnow()
if (t_now - t_mtime).total_seconds() > WAVELEN_MTIME_CHK:
t_mtime = t_now
if getmtime(__file__) > self.this_mtime:
self.restart()
t_now = datetime.utcnow()
looptime = (t_now - t_loop).total_seconds()
# Estimate mean looptime
w1 = EWMA_WGT_LOOPTIME
w2 = 1.0 - w1
t1 = looptime
t2 = self.mean_looptime
self.mean_looptime = w1 * t1 + w2 * t2
t_loop = t_now
sleep_time = MIN_LOOP_TIME - looptime
if sleep_time > 0:
time.sleep(sleep_time)
if self.monitor:
time.sleep(WAVELEN_OUT)
def run_first(self):
self.create_client()
self.client.cancelall()
self.logger = get_logger('root', LOG_LEVEL)
# Get all futures contracts
self.get_futures()
self.this_mtime = getmtime(__file__)
self.symbols = [BTC_SYMBOL] + list(self.futures.keys())
self.symbols.sort()
self.deltas = OrderedDict({s: None for s in self.symbols})
# Create historical time series data for estimating vol
ts_keys = self.symbols + ['timestamp']
ts_keys.sort()
self.ts = [
OrderedDict({f: None
for f in ts_keys}) for i in range(NLAGS + 1)
]
self.vols = OrderedDict({s: VOL_PRIOR for s in self.symbols})
self.start_time = datetime.utcnow()
self.update_status()
self.equity_usd_init = self.equity_usd
self.equity_btc_init = self.equity_btc
def update_status(self):
account = self.client.account()
spot = self.get_spot()
self.equity_btc = account['equity']
self.equity_usd = self.equity_btc * spot
self.update_positions()
self.deltas = OrderedDict(
{k: self.positions[k]['sizeBtc']
for k in self.futures.keys()})
self.deltas[BTC_SYMBOL] = account['equity']
def update_positions(self):
self.positions = OrderedDict({
f: {
'size': 0,
'sizeBtc': 0,
'indexPrice': None,
'markPrice': None
}
for f in self.futures.keys()
})
positions = self.client.positions()
for pos in positions:
if pos['instrument'] in self.futures:
self.positions[pos['instrument']] = pos
def update_timeseries(self):
if self.monitor:
return None
for t in range(NLAGS, 0, -1):
self.ts[t] = cp.deepcopy(self.ts[t - 1])
spot = self.get_spot()
self.ts[0][BTC_SYMBOL] = spot
for c in self.futures.keys():
bbo = self.get_bbo(c)
bid = bbo['bid']
ask = bbo['ask']
if not bid is None and not ask is None:
mid = 0.5 * (bbo['bid'] + bbo['ask'])
else:
continue
self.ts[0][c] = mid
self.ts[0]['timestamp'] = datetime.utcnow()
def update_vols(self):
if self.monitor:
return None
w = EWMA_WGT_COV
ts = self.ts
t = [ts[i]['timestamp'] for i in range(NLAGS + 1)]
p = {c: None for c in self.vols.keys()}
for c in ts[0].keys():
p[c] = [ts[i][c] for i in range(NLAGS + 1)]
if any(x is None for x in t):
return None
for c in self.vols.keys():
if any(x is None for x in p[c]):
return None
NSECS = SECONDS_IN_YEAR
cov_cap = COV_RETURN_CAP / NSECS
for s in self.vols.keys():
x = p[s]
dx = x[0] / x[1] - 1
dt = (t[0] - t[1]).total_seconds()
v = min(dx**2 / dt, cov_cap) * NSECS
v = w * v + (1 - w) * self.vols[s]**2
self.vols[s] = math.sqrt(v)
