def connect():
logger = logging.getLogger('client')
logger.setLevel('ERROR')
print("Setup was successful.")
e = Exchange()
if not e.is_connected():
e.connect()
print('connected')
else:
print('already connected')
return e
logging.info(exchange.connect())
logging.info("Setup was successful.")
try:
# we can run multiple strategies at once, but really having separate bots to do this would be simpler
# since currently we can't ignore our own orders in aggregate data such as the pricebook
# strats = [dual_market_strat.DualMarketStrat(exchange, ["PHILIPS_A", "PHILIPS_B"])]
# strats = [safe_dual_strat.SafeDualStrat(exchange, ["PHILIPS_A", "PHILIPS_B"])]
# strats = [difference_strat.DifferenceStrat(exchange, ["PHILIPS_A", "PHILIPS_B"])]
#strats = [dual_paper_strat.DualPaperStrat(exchange, ["PHILIPS_A", "PHILIPS_B"])]
strats = [dual_hedge_strat.DualHedgeStrat(exchange, "PHILIPS_A", "PHILIPS_B")]
while True:
time.sleep(0.2)
for s in strats:
try:
s.update();
except AssertionError as e: # if get disconnected than do something else
# Try to reconnect
while not exchange.is_connected():
logger.info("disconnected, trying to reconnect")
time.sleep(15)
exchange.connect()
# Once reconnected, make strategy that experienced disconnection do cleanup
s.get_out_of_positions(300)
continue
# logger.info(exchange.get_cash())
except KeyboardInterrupt as e:
print(e)
strats[0].get_out_of_positions()
#raise
#sys.exit(0)
trades_sum[t.instrument_id][0] += sgn_cash
trades_sum[t.instrument_id][1] += sgn_vol
for instr, net in trades_sum.items():
if (net != [0,0]):
print(timestamp() + f"{'BOUGHT' if net[1]>0 else 'SOLD '} {abs(net[1])} lots of {'PHA' if instr==pha else 'PHB'} for {-(net[0]/net[1]):8.2f}")
# this function could also export statistics and data for further analysis if it were nexessary
last_trades_update = time.time()
last_position = (0, 0)
done = False
while not done:
try:
while not e.is_connected():
print(timestamp() + 'disconnected, trying to reconnect...')
time.sleep(1)
e.connect()
positions = e.get_positions()
position = (positions.get(pha), positions.get(phb))
if position != last_position:
last_position = position
trades = e.poll_new_trades(pha) + e.poll_new_trades(phb)
if trades:
summarize_trades(trades)
print(timestamp() + f"==> POSITION: PHA: {position[0]}, PHB: {position[1]}")
books = e.get_last_price_book(pha), e.get_last_price_book(phb)