def status(msg, order): global TMX global endTime totalDelta = 0.0 totalVega = 0.0 for key in msg['trader_state']['positions']: quant = msg['trader_state']['positions'][key] print key, quant try: K = int(key[1:-1]) except: continue v = vols[K] if vols[K] == 0.0 or vols[K] == None: v = 20 c = mibian.BS([TMX, K, 0.0, (endTime-time.time())/15.0], volatility = v) type = key[-1] if type == 'P': totalDelta += (c.putDelta)*quant else: totalDelta += (c.callDelta)*quant totalVega += c.vega*quant print 'Total delta: ' + str(totalDelta*100) print 'Total vega: ' + str(totalVega*100) t.onMarketUpdate = upd t.onTraderUpdate = status t.run()
pending_orders.append(new_order)
except:
print('Unable to parse headline: Unknown error')
DEBUG = True
algo_bot = None
if len(sys.argv) >= 4:
algo_bot = TradersBot(host=sys.argv[1],
id=sys.argv[2],
password=sys.argv[3])
# DEBUG = False
CANCEL_TRADES = False
else:
algo_bot = TradersBot('127.0.0.1', 'trader0', 'trader0')
algo_bot.onAckRegister = onAckRegister
algo_bot.onMarketUpdate = onMarketUpdate
algo_bot.onTraderUpdate = onTraderUpdate
algo_bot.onTrade = onTrade
algo_bot.onAckModifyOrders = onAckModifyOrders
algo_bot.onNews = onNews
if not DEBUG:
def f(*args):
return None
print = f
algo_bot.run()