exchange.connect()
START_PNL = exchange.get_pnl()
ma_A = MovingAverage(exchange, "PHILIPS_A")
tick = 1
while not should_kill_attempt(exchange, START_PNL):
time.sleep(0.11)
print(f"tick {tick}")
tick += 1
ma_A.update()
# Don't want to balance our trades from our MM positions
exchange.delete_orders("PHILIPS_A")
if balance_positions(exchange, total_threshold=40):
print("Balanced positions")
continue
arbitrage(exchange)
stoikov_mm(exchange, "PHILIPS_A", ma_A.volatile(), delta=0.1, volume=50)
if START_PNL is None:
START_PNL = exchange.get_pnl()
print("Exit")
B_best_bid = e.get_last_price_book(instrument_id2).bids[0].price
B_best_ask = e.get_last_price_book(instrument_id2).asks[0].price
# print(A_best_bid, A_best_ask, B_best_bid, B_best_ask)
if A_best_bid > B_best_ask:
A_best_bid_vol = e.get_last_price_book(instrument_id1).bids[0].volume
B_best_ask_vol = e.get_last_price_book(instrument_id2).asks[0].volume
volume = min(A_best_bid_vol, B_best_ask_vol)
result = e.insert_order(instrument_id1, price = A_best_bid, volume=volume, side='bid', order_type='limit')
result = e.insert_order(instrument_id2, price = B_best_ask, volume=volume, side='ask', order_type='limit')
print(f"Order Id: {result}")
if B_best_bid > A_best_ask:
A_best_ask_vol = e.get_last_price_book(instrument_id1).asks[0].volume
B_best_bid_vol = e.get_last_price_book(instrument_id2).bids[0].volume
volume = min(A_best_ask_vol, B_best_bid_vol)
result = e.insert_order(instrument_id2, price = B_best_bid, volume=volume, side='bid', order_type='limit')
result = e.insert_order(instrument_id1, price = A_best_ask, volume=volume, side='ask', order_type='limit')
print(f"Order Id: {result}")
time.sleep(0.25)
if len(e.get_outstanding_orders(instrument_id1)) != 0:
e.delete_orders(instrument_id1)
if len(e.get_outstanding_orders(instrument_id2)) != 0:
e.delete_orders(instrument_id2)