Esempio n. 1
0
from threading import Thread

# Use README for more detail on strategy and functions

e = Exchange()
a = e.connect()

TIME_PERIOD = 0.13
TIME_RUNNING = 1200
TRADES = TIME_RUNNING / TIME_PERIOD
ORDER_VOLUME = 24
WEIGHTING_FACTOR = 0.1 / ORDER_VOLUME
VOLUME_WEIGHTING = 1 / 2
INSTRUMENT = "PHILIPS_B"

e.poll_new_trades(INSTRUMENT)

diagonosticsOutput = ""

firstTrader = Trader(exchange=e,
                     instrument=INSTRUMENT,
                     instrumentB="PHILIPS_A",
                     orderVolume=ORDER_VOLUME,
                     weightingFactor=WEIGHTING_FACTOR,
                     volumeWeighting=VOLUME_WEIGHTING)
executing = True
count = 0
while executing:
    firstTrader.trade()
    firstTrader.hedge()
Esempio n. 2
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# import matplotlib as plt

e = Exchange()
a = e.connect()

# pnl = []

TIME_PERIOD = 0.2
TIME_RUNNING = 300
TRADES = TIME_RUNNING / TIME_PERIOD
ORDER_VOLUME = 5
WEIGHTING_FACTOR = 0.1 / ORDER_VOLUME  #0.001
VOLUME_WEIGHTING = 1 / 2
INSTRUMENT = "PHILIPS_B"

e.poll_new_trades(INSTRUMENT)

diagonosticsOutput = ""

firstTrader = Trader(exchange=e,
                     instrument=INSTRUMENT,
                     instrumentB="PHILIPS_A",
                     orderVolume=ORDER_VOLUME,
                     weightingFactor=WEIGHTING_FACTOR,
                     volumeWeighting=VOLUME_WEIGHTING)
executing = True
count = 0
while executing:
    order_book = e.get_last_price_book(instrument_id="PHILIPS_A")
    # pnl.append(e.get_pnl)
    bidAskDict = firstTrader.trade()
Esempio n. 3
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a = e.connect()

# you can also define host/user/pass yourself
# when not defined, it is taken from ~/.optibook file if it exists
# if that file does not exists, an error is thrown

#e = Exchange(host='host-to-connect-to')
#a = e.connect(username='******', password='******')

# Returns all currently outstanding orders
orders = e.get_outstanding_orders(instrument_id)
for o in orders.values():
    print('outstanding orders: ' + o)

# Returns all trades you have done since the last time this function was called
trades = e.poll_new_trades(instrument_id)
for t in trades:
    print(
        f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
    )

# Returns all trades you have done since since the instantiation of the Exchange
trades = e.get_trade_history(instrument_id)
for t in trades:
    print(
        f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
    )

# Returns all current positions
positions = e.get_positions()
for p in positions:
Esempio n. 4
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    # this function could also export statistics and data for further analysis if it were nexessary
            
last_trades_update = time.time()
last_position = (0, 0)
done = False
while not done:
    try:
        while not e.is_connected():
            print(timestamp() + 'disconnected, trying to reconnect...')
            time.sleep(1)
            e.connect()
            
        positions = e.get_positions()
        position = (positions.get(pha), positions.get(phb))
        
        if position != last_position:
            last_position = position
            trades = e.poll_new_trades(pha) + e.poll_new_trades(phb)
            if trades:
                summarize_trades(trades)
            print(timestamp() + f"==> POSITION: PHA: {position[0]}, PHB: {position[1]}")
        
        books = e.get_last_price_book(pha), e.get_last_price_book(phb)
        try_to_trade(0, books, position) # buy PHA, sell PHB
        try_to_trade(1, books, position) # buy PHB, sell PHA
        
    except KeyboardInterrupt:
        done = True
    except Exception as exc:
        print(timestamp() + "error: " + str(exc))