def execution_updated_cb(trader: shift.Trader, order_id: str):
order = trader.get_order(order_id)
if order.status == shift.Order.Status.FILLED:
price = order.executed_price
else:
price = order.price
print("Report:")
print("%6s\t%16s\t%7.2f\t\t%4d\t\t%4d\t%36s\t%23s\t\t%26s" % (
order.symbol,
order.type,
price,
order.size,
order.executed_size,
order.id,
order.status,
order.timestamp,
))
def marketMaker(trader: shift.Trader,
ticker,
dayEnd,
allocation,
orderType,
lag=3,
fillTime=30,
spreadWiden=0.00):
# Datetime of simulation
rightNow = trader.get_last_trade_time()
fillTime = fillTime * 10
# While the time is before end of day...
while dayEnd > rightNow:
time.sleep(lag) # Give prices some time to change
"""
Make Trades Here:
"""
onHand = trader.get_portfolio_item(ticker).get_shares() * (
(trader.get_best_price(ticker).get_bid_price() +
trader.get_best_price(ticker).get_ask_price()) / 2
) # Portfolio value of the stock
maxAllowed = allocation * (
1000000 + trader.get_portfolio_summary().get_total_realized_pl()
) # Maximum portfolio allocation for this stock
print(ticker, "on hand:", round(onHand, 2), "max:", round(maxAllowed),
" P/L:",
round(trader.get_portfolio_summary().get_total_realized_pl(),
2), " Waiting list:", trader.get_waiting_list_size())
if onHand > maxAllowed and orderType == shift.Order.Type.LIMIT_BUY: # Holding too much
continue # Allow Sell side to catch up
elif onHand < -maxAllowed and orderType == shift.Order.Type.LIMIT_SELL: # Short too much
continue # Allow Buy side to catch up
time.sleep(lag) # Give prices some time to change
# Submit an order
bid = trader.get_best_price(ticker).get_bid_price()
ask = trader.get_best_price(ticker).get_ask_price()
spreadWiden = max(.01, (ask - bid) * .25)
if (ask - bid) < .05: # If spread is too tight, widen it
spreadWiden = -spreadWiden
if orderType == shift.Order.Type.LIMIT_BUY:
size = max(
1, round(trader.get_best_price(ticker).get_ask_size() / 5)
) # Only buy as much as you can sell. Divide by 5 so buying power lasts on high volume. At least 1
price = bid + spreadWiden # Can buy above bid if wide spread, or below bid if high volume
elif orderType == shift.Order.Type.LIMIT_SELL:
size = max(
1, round(trader.get_best_price(ticker).get_ask_size() / 5)
) # Only sell as much as you can buy back. Divide by 5 to decrease risk. At least 1
price = ask - spreadWiden # Can sell below ask if wide spread, or above ask if high volume
order = shift.Order(orderType, ticker, size, price)
trader.submit_order(order)
#print(orderType, size, ticker, "@", price)
# Give the order time to fill
waitCount = 1
while trader.get_order(
order.id
).status != shift.Order.Status.FILLED and waitCount <= fillTime and trader.get_order(
order.id).status != shift.Order.Status.REJECTED:
#print(waitCount, ticker, "Status:",trader.get_order(order.id).status)
time.sleep(.1)
waitCount = waitCount + 1
#print(waitCount, trader.get_order(order.id).status)
# Cancel the buy order if never filled and was not rejected
if trader.get_order(
order.id
).status != shift.Order.Status.REJECTED and trader.get_order(
order.id).status != shift.Order.Status.FILLED:
trader.submit_cancellation(order)
#print("Cancelled", ticker)
rightNow = trader.get_last_trade_time() # Reset datetime of right now
# 30 minutes till end of trading day
closePositions(trader, ticker)
# Done trading
return
