def tick_handler(self, session, tick):
print('hit tick handler')
print('tick', tick)
securities = api_calls.get_securities(session)
for ticker in self.tickers:
tas_data = api_calls.get_tas_param(session, ticker, self.lookback)
total_volume = 0
self.data[ticker]['VWAP'] = 0
for j in tas_data:
self.data[ticker]['VWAP'] += (j['quantity'] * j['price'])
total_volume += j['quantity']
if total_volume > 0:
self.data[ticker][
'VWAP'] = self.data[ticker]['VWAP'] / total_volume
else:
for h in securities:
if h['ticker'] == ticker:
self.data[ticker]['VWAP'] = h['start_price']
self.data[ticker]['estimated_max_vol'] = total_volume * (tick /
300)
for j in securities:
if j['ticker'] == ticker:
self.data[ticker]['current_stock'] = j['position']
self.limits = api_calls.get_limits(session)
tenders = api_calls.get_tenders(session)
for i in tenders:
if i['action'] == "BUY":
self.buy_handler(i, session)
else:
self.sell_handler(i, session)
for i in self.tickers:
self.trading(i, tick, session)
def tick_handler(self, session, tick):
print('hit tick handler')
print('tick', tick)
self.limits = api_calls.get_limits(session)
if (self.limits['gross']>self.limits['gross_limit']) or (self.limits['net']>self.limits['net_limit']):
print('limit somehow exceeded')
print(self.limits)
raise Exception
self.trade_limit = {
'TAME': False,
'CRZY': False
}
if tick == 0 or tick == 300:
return
securities = api_calls.get_securities(session)
for ticker in self.tickers:
tas_data = api_calls.get_tas(session, ticker)
total_volume = 0
self.data[ticker]['VWAP'] = 0
for j in tas_data:
self.data[ticker]['VWAP'] += (j['quantity']*j['price'])
total_volume += j['quantity']
if total_volume > 0:
self.data[ticker]['VWAP'] = self.data[ticker]['VWAP']/total_volume
else:
for h in securities:
if h['ticker']==ticker:
self.data[ticker]['VWAP']= h['start_price']
for h in securities:
if h['ticker'] == ticker:
self.data[ticker]['current_price'] = (h['bid']+h['ask'])/2
self.data[ticker]['bid'] = h['bid']
self.data[ticker]['ask'] = h['ask']
self.data[ticker]['estimated_max_vol'] = total_volume * (300/tick)
for j in securities:
if j['ticker']==ticker:
self.data[ticker]['current_stock']=j['position']
if tick >= 50:
history = api_calls.get_history(session,ticker)
stdev = []
for i in history:
stdev.append(i['close'])
self.data[ticker]['std'] = numpy.std(stdev)
self.limits = api_calls.get_limits(session)
tenders = api_calls.get_tenders(session)
for i in tenders:
if i['action'] == "BUY":
self.buy_handler(i, session, tick)
else:
self.sell_handler(i, session, tick)
self.limits = api_calls.get_limits(session)
if (self.limits['gross']>self.limits['gross_limit']) or (self.limits['net']>self.limits['net_limit']):
print('limit somehow exceeded')
print(self.limits)
raise Exception
self.unwind_handler(tick, session)
def gather_data(self, tick, tickers, s):
if tick == 300:
for ticker in tickers:
self.payload[ticker]['tas'] = api_calls.get_tas(s, ticker)
self.payload[ticker]['history'] = api_calls.get_history(
s, ticker)
self.payload['trader']['tick_data'].append({
"tick":
tick,
"nlv":
api_calls.get_trader_data(s)['nlv']
})
self.payload['orders'] = api_calls.get_all_orders(s)
self.db_insert()
else:
for ticker in tickers:
if ticker not in self.payload:
self.payload[ticker] = {"tick_data": []}
self.payload[ticker]["tick_data"].append({
"tick":
tick,
"book":
api_calls.get_trading_data(s, ticker)
})
self.payload['tenders']['tick_data'].append({
"tick":
tick,
"tenders":
api_calls.get_tenders(s)
})
securities = api_calls.get_securities(s)
temp = {}
for security in securities:
temp[security['ticker']] = {
"VWAP": security['vwap'],
"Position": security['position'],
"Volume": security['volume']
}
self.payload['trader']['tick_data'].append({
"tick":
tick,
"nlv":
api_calls.get_trader_data(s)['nlv'],
"securities_data":
temp
})