def get_pl_from_open_orders(position_trades, exchange_name, open_orders):
"""
Given our current position, and the open orders on an exchange, what would our
realized p&l be if a market order came in and consumed our order entirely?
Details: we naively assume that our order is sized such that it would completely
close our position. If there is no open order on that exchange, we return None.
"""
bids = open_orders['bids']
asks = open_orders['asks']
pl = Money('0', 'USD')
open_position = positions.position_delta(position_trades)
unmatched_fees = revenue_lib.all_fees(position_trades)[0].to('USD')
fiat_position = open_position['fiat'].to('USD')
btc_position = open_position['BTC']
value_of_btc = Money(0, 'USD')
if btc_position > 0 and len(asks) > 0:
close_order = asks[
0] # Naively assume the first order is what we care about.
close_price = Money(close_order[0], 'USD')
value_of_btc = close_price * btc_position.amount
elif btc_position <= 0 and len(bids) > 0:
close_order = bids[0]
close_price = Money(close_order[0], 'USD')
value_of_btc = close_price * btc_position.amount
else:
return Money(0, 'USD'), Money(0, 'USD')
revenue = fiat_position + unmatched_fees + value_of_btc.to('USD')
exchange = exchange_factory.make_exchange_from_key(exchange_name)
new_fee = exchange.limit_order_fee * abs(value_of_btc.to('USD'))
fees = unmatched_fees + new_fee
return revenue, fees
def get_pl_from_limit_order(position_trades, orderbook, exchange_name):
"""
Given our current position and an exchange orderbook, what would our realized p&l
be on that position if we were the top order on this exchange, in the amount and
side that would exactly close our position, and a market order came through and took
the whole order?
"""
pl = Money('0', 'USD')
open_position = positions.position_delta(position_trades)
unmatched_fees = revenue_lib.all_fees(position_trades)[0].to('USD')
fiat_position = open_position['fiat'].to('USD')
btc_position = open_position['BTC']
value_of_btc = Money(0, 'USD')
if btc_position > 0:
# Then we're in a long position, we want to sell, so place an order in front
# of the top ask.
top_ask = orderbook['asks'][0]
close_price = top_ask.price - Money('0.01', top_ask.price.currency)
value_of_btc = close_price * btc_position.amount
else:
# Then we're in a long position, we want to sell, so place an order in front
# of the top bid.
top_bid = orderbook['bids'][0]
close_price = top_bid.price + Money('0.01', top_bid.price.currency)
value_of_btc = close_price * btc_position.amount
revenue = fiat_position + unmatched_fees + value_of_btc.to('USD')
exchange = exchange_factory.make_exchange_from_key(exchange_name)
new_fee = exchange.market_order_fee * abs(value_of_btc.to('USD'))
fees = unmatched_fees + new_fee
return revenue, fees
def get_pl_from_market_order(position_trades, orderbook, exchange_name):
"""
Given our current position and an exchange orderbook, what would our realized p&l
be if we closed that position right now with a market order?
"""
pl = Money('0', 'USD')
open_position = positions.position_delta(position_trades)
unmatched_fees = revenue_lib.all_fees(position_trades)[0].to('USD')
fiat_position = open_position['fiat'].to('USD')
btc_position = open_position['BTC']
value_of_btc = Money(0, 'BTC')
if btc_position > 0:
value_of_btc = quote_lib.price_quote_from_orderbook(
orderbook,
Order.ASK,
btc_position,
)['total_price']
else:
value_of_btc = quote_lib.price_quote_from_orderbook(
orderbook,
Order.BID,
btc_position,
)['total_price']
revenue = fiat_position + unmatched_fees + value_of_btc.to('USD')
exchange = exchange_factory.make_exchange_from_key(exchange_name)
new_fee = exchange.market_order_fee * abs(value_of_btc.to('USD'))
fees = unmatched_fees + new_fee
return revenue, fees
