def trade_handler(s):
#get all revelant data
crzy_m_book = api_calls.get_trading_data(s, 'CRZY_M')
crzy_a_book = api_calls.get_trading_data(s, 'CRZY_A')
#decision buy all sell
crzy_m_bid, crzy_m_ask = ticker_bid_ask(crzy_m_book)
crzy_a_bid, crzy_a_ask = ticker_bid_ask(crzy_a_book)
if crzy_m_bid == -1 or crzy_a_bid == -1:
return
if crzy_m_bid > crzy_a_ask:
print("M BID Greater than A ask")
print(crzy_m_bid, crzy_a_ask)
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_bid, 'bids')
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_ask, 'asks')
volume = min(crzy_m_vol, crzy_a_vol)
if volume > 10000:
volume = 10000
print(volume)
crzy_a_params = {
'ticker': 'CRZY_A',
'type': 'MARKET',
'quantity': volume,
'action': 'BUY'
}
crzy_m_params = {
'ticker': 'CRZY_M',
'type': 'MARKET',
'quantity': volume,
'action': 'SELL'
}
s.post('http://localhost:9999/v1/orders', params=crzy_a_params)
s.post('http://localhost:9999/v1/orders', params=crzy_m_params)
if crzy_a_bid > crzy_m_ask:
print("A BID Greater than M ask")
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_bid, 'bids')
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_ask, 'asks')
volume = min(crzy_a_vol, crzy_m_vol)
print(crzy_a_bid, crzy_m_ask)
if volume > 10000:
volume = 10000
print(volume)
crzy_a_params = {
'ticker': 'CRZY_A',
'type': 'MARKET',
'quantity': volume,
'action': 'SELL'
}
crzy_m_params = {
'ticker': 'CRZY_M',
'type': 'MARKET',
'quantity': volume,
'action': 'BUY'
}
s.post('http://localhost:9999/v1/orders', params=crzy_a_params)
s.post('http://localhost:9999/v1/orders', params=crzy_m_params)
def microtrade(self, ticker, action, price, session,vol):
book = api_calls.get_trading_data(session, ticker)
#if we want to sell, check is buying price has stayed same or gone higher
quantity = 0
if action == "SELL":
if price >= book['bids'][0]['price']:
bid_price = book['bids'][0]['price']
for i in book['bids']:
if i['price'] == bid_price:
quantity += (i['quantity'] - i['quantity_filled'])
if quantity >=25000:
quantity = 25000
resp = api_calls.send_order(session, ticker, min(quantity,abs(vol)), "LIMIT", "SELL", bid_price)
if resp != -1:
return resp['order_id']
elif action == "BUY":
if price <= book['asks'][0]['price']:
ask_price = book['asks'][0]['price']
for i in book['asks']:
if i['price'] == ask_price:
quantity = i['quantity'] - i['quantity_filled']
if quantity >=25000:
quantity = 25000
resp = api_calls.send_order(session, ticker, min(quantity,abs(vol)), "LIMIT", "BUY", ask_price)
if resp != -1:
return resp['order_id']
def get_max_vol(s):
crzy_m_book = api_calls.get_trading_data(s, 'CRZY_M')
crzy_a_book = api_calls.get_trading_data(s, 'CRZY_A')
crzy_m_bid, crzy_m_ask = ticker_bid_ask(crzy_m_book)
crzy_a_bid, crzy_a_ask = ticker_bid_ask(crzy_a_book)
if crzy_m_bid == -1 or crzy_a_bid == -1:
return
if crzy_m_bid > crzy_a_ask:
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_bid, 'bids')
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_ask, 'asks')
volume = min(crzy_m_vol, crzy_a_vol)
payload = {"CRZY_A": "BUY", "CRZY_M": "SELL", "vol": volume}
if crzy_a_bid > crzy_m_ask:
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_bid, 'bids')
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_ask, 'asks')
volume = min(crzy_a_vol, crzy_m_vol)
payload = {"CRZY_A": "BUY", "CRZY_M": "SELL", "vol": volume}
def get_max_vol(s):
crzy_m_book = api_calls.get_trading_data(s, 'CRZY_M')
crzy_a_book = api_calls.get_trading_data(s, 'CRZY_A')
crzy_m_bid, crzy_m_ask = ticker_bid_ask(crzy_m_book)
crzy_a_bid, crzy_a_ask = ticker_bid_ask(crzy_a_book)
if crzy_m_bid == -1 or crzy_a_bid == -1:
return -1
if crzy_m_bid > crzy_a_ask:
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_bid, 'bids')
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_ask, 'asks')
volume = min(crzy_m_vol, crzy_a_vol)
mid_point = (crzy_m_bid+crzy_a_ask)/2
payload = {
"CRZY_M": {
"ACTION": "SELL",
"PRICE": mid_point
},
"CRZY_A": {
"ACTION": "BUY",
"PRICE": mid_point
},
'volume': volume
}
# print(volume//2)
return payload
if crzy_a_bid > crzy_m_ask:
crzy_a_vol = agg_volume(crzy_a_book, crzy_a_bid, 'bids')
crzy_m_vol = agg_volume(crzy_m_book, crzy_m_ask, 'asks')
volume = min(crzy_a_vol, crzy_m_vol)
mid_point = (crzy_a_bid+crzy_m_ask)/2
payload = {
"CRZY_A": {
"ACTION": "SELL",
"PRICE": mid_point
},
"CRZY_M": {
"ACTION": "BUY",
"PRICE": mid_point
},
'volume': volume
}
# print(volume)
return payload
return -1
def unwind_handler(self, tick, session):
print('hit unwind_handler')
print(self.data)
ticker_price = {'TAME': -1, 'CRZY': -1}
#first sell required amount to clear in required time
for ticker in self.tickers:
book = api_calls.get_trading_data(session, ticker)
if self.data[ticker]["time_to_sell"] != 0 and (
self.trade_limit[ticker] == False):
amount_required = self.data[ticker][
'current_stock'] // self.data[ticker]["time_to_sell"]
print("Amount Required", amount_required)
if amount_required > 0:
api_calls.send_order(session, ticker, abs(amount_required),
"MARKET", "SELL", 0)
self.data[ticker]["time_to_sell"] -= 1
self.data[ticker]['current_stock'] -= amount_required
ticker_price[ticker] = book['bids'][0]['price']
elif amount_required < 0:
api_calls.send_order(session, ticker, abs(amount_required),
"MARKET", "BUY", 0)
self.data[ticker]["time_to_sell"] -= 1
self.data[ticker]['current_stock'] -= amount_required
ticker_price[ticker] = book['asks'][0]['price']
else:
pass
for ticker in self.tickers:
if self.data[ticker]["time_to_sell"] != 0 and (
self.trade_limit[ticker] == False):
curr_stock = self.data[ticker]['current_stock']
if curr_stock > 0:
amount = self.microtrade(ticker, "SELL",
self.data[ticker]['tender_price'],
session, curr_stock,
ticker_price[ticker])
if amount != None:
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
self.data[ticker]['time_to_sell'] = (
(curr_stock - amount) /
curr_stock) * self.data[ticker]['time_to_sell']
elif curr_stock < 0:
amount = self.microtrade(ticker, "BUY",
self.data[ticker]['tender_price'],
session, curr_stock,
ticker_price[ticker])
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
if amount != None:
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
self.data[ticker]['time_to_sell'] = (
(curr_stock - amount) /
curr_stock) * self.data[ticker]['time_to_sell']
else:
pass
def microtrade(self, ticker, action, price, session, vol, prev_price):
book = api_calls.get_trading_data(session, ticker)
#if we want to sell, check is buying price has stayed same or gone higher
quantity = 0
if action == "SELL":
if price >= book['bids'][0]['price']:
print('additional scalp')
bid_price = book['bids'][0]['price']
for i in book['bids']:
if i['price'] == bid_price:
quantity += (i['quantity'] - i['quantity_filled'])
if ticker == "TAME":
if quantity >= 10000:
quantity = 10000
elif ticker == "CRZY":
if quantity >= 25000:
quantity = 25000
o_id = api_calls.send_order(session, ticker,
min(quantity, abs(vol)), "LIMIT",
"SELL", bid_price)['order_id']
order_exist = False
while (order_exist == False):
order_exist = api_calls.order_exists(session, o_id)
if api_calls.is_filled(session, o_id):
return min(quantity, abs(vol))
else:
api_calls.cancel_order(session, o_id)
return 0
elif action == "BUY":
if price <= book['asks'][0]['price']:
print('additional scalp')
ask_price = book['asks'][0]['price']
for i in book['asks']:
if i['price'] == ask_price:
quantity = i['quantity'] - i['quantity_filled']
if ticker == "TAME":
if quantity >= 10000:
quantity = 10000
elif ticker == "CRZY":
if quantity >= 25000:
quantity = 25000
o_id = api_calls.send_order(session, ticker,
min(quantity, abs(vol)), "LIMIT",
"BUY", ask_price)
order_exist = False
while (order_exist == False):
order_exist = api_calls.order_exists(session, o_id)
if api_calls.is_filled(session, o_id):
return min(quantity, abs(vol))
else:
api_calls.cancel_order(session, o_id)
return 0
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
})