def calc_price_for_depth(quote: Level, liq_behind):
quote_liq = quote.size
while quote_liq < liq_behind:
quote = quote.next_level
quote_liq += quote.size
return quote.price + Side.side(quote.side) * Decimal('0.0001')
def take_pnl(self):
if self.pos.position() == 0:
return Decimal('0')
exit_side = Side.opposite_side(self.position())
take_price = self.nbbo.side(Side.side(self.position()))
take_order = Position(pos=self.pos.abs_position(),
price=take_price,
side=exit_side)
take_pos = self.pos + take_order + take_order.fee_pos(self.fee)
return take_pos.balance
def test_with_params(pos, enter_price):
pnl = PNL('0.3')
book = Book()
book.quote_subscribers.append(pnl)
config = MMParams({
"min_levels": "5",
"liq_behind_exit": "0.02",
"liq_behind_entry": {
"BID": "0.41",
"ASK": "0.41"
},
"order_sizes": {
"BID": "0.07",
"ASK": "0.07"
},
"min_profit": "0.01",
"min_order_size": "0.01",
"buried_volume": "10",
"taker_exit_profit": "0.1",
"price_tolerance": "0.0005"
})
pnl.execution(Side.side(pos), abs(pos), abs(enter_price))
median = 1000
for i in range(0, 5):
book.increment_level(Side.ASK, Decimal(median + i),
Decimal(i / 100))
book.increment_level(Side.BID, Decimal(median - i),
Decimal(i / 100))
book.quote_changed(Side.BID)
book.quote_changed(Side.ASK)
print_book_and_orders(book, Broker(OrderManager()))
exit_price = hold_exit_price_strategy(book, pnl, config)
pnl.execution(Side.opposite(pnl.position_side()), abs(pos), exit_price)
return pnl.closed_pnl
def position_side(self):
return Side.side(self.position())
def adjusted_size(order_size, order_side, pos):
pos_side = Side.side(pos)
if pos_side == order_side:
return order_size - abs(pos)
else:
return order_size + abs(pos)
def side(self):
return Side.side(self.pos)