def prepare(self):
t = self
m = t.master
a = t.assets = m.assets
t.perf = m.perf
t.alerts = []
t.fills = {}
t.watch = []
t.meta = {}
t.fines = u.update({}, m.fines)
t.prep = {"trades": []}
t.pos = u.update({}, m.pos_model)
t.pos_updated = m.pos_updated
t.save_pu = u.update({}, t.pos_updated) # to calculate fines later
for k, v in a.items():
t.fills[k] = {"bids": [], "asks": []} # prepare the fills dict
t.fills_to_clean = []
t.trades_to_execute = []
def show(self, h={}): # just print for logs
if not self.oklog:
return "nothing" # we don't want to spend cpu time on json.dumps for nothing
s = u.update(
{
"p": self.h["price"],
"q": self.h["quantity"],
"r": self.h["qleft"]
}, h)
return f'{self.all.name}: {json.dumps(s)}'
def __init__(self, name, master, o={}, opt={}):
if not o.get("flag", 0) in ["c", "p"]:
raise NotImplementedError("no valid flag set")
if not o.get("K", 0): raise NotImplementedError("no valid strike set")
self.opt = u.update(o, {"r": 0, "t": 1 / 6})
x = opt.get("spread", 0)
self.spread = x if x else 0.6
x = opt.get("rounding", 0)
self.rounding = x if x else 2
Instrument.__init__(self, name, master, o)
self.histo = False
def __init__(self, file):
SendExchangeGrpcClient.__init__(self, file)
self.perf = u.Perf(0, self.logger)
s=self.p["strategies"]; self.sp = u.update({}, s["random"], s.get(self.p.get("strategy")))
self.pos_updated = Instrument.status0.copy()
self.pos_model = self.pos_updated.copy()
self.trades = 0; self.volume = 0
self.mult = lambda s, p: {"pnl":1, "price":1, "pos":1}.get(p, s["pos"])
self.fines_detail = {"max":0, "seconds":0, "val":0}
async def real_modify_order(self, h):
if self.all.sens * h["quantity"] <= 0:
return None # quantity and sens must be the same
temp = u.update({}, self.h, {"modified": self.all.master.num}, h)
o = self.make_order(temp)
resp = await self.all.master.modify_order(self.oid, o)
if type(resp) != ModifyOrderResponse:
return self.error(
"Could NOT modify_order", self.sid,
f'(created:{self.created}, last modif:{self.modified})', temp,
resp)
self.h = temp
self.modified = self.h["modified"]
self.debug(f"modified-{self.sid}", self.show())
return self
def all_set(self, h):
errs = []
b = u.update({
"F": 0,
"sigma": 0,
"price": 0
}, h, self.opt)
for k in ["F"]:
errs.append(f'missing {k}') if b[k] == 0 else 0
e = 'need either sigma or price, both are missing'
errs.append(
e) if not b.get("sigma", 0) and not b.get("price", 0) else 0
if b.get("sigma", 0) and b.get("price", 0):
b["sigma"] = 0 # price superseeds sigma if both present
if not len(errs): return b
for e in errs:
print(f'err: {e}')
return 0
def __init__(self, name, master, opt={}):
self.logname = f"{name}"
self.logger = master.logger.thisClassLogger(self)
x = opt.get("spread", 0)
self.spread = x if x else 0.6
self.name = name
self.master = master
self.infos = opt
self.orders = {}
self.wo = {}
self.obids = Orders(1, name, self)
self.oasks = Orders(-1, name, self)
self.mbids = Markets(1, name, self.obids)
self.masks = Markets(-1, name, self.oasks)
self.to_clean = []
self.mid = {"num": 0, "price": 0}
self.histo = []
self.status = u.update({"name": name}, self.status0)
self.greeks = ["price", "delta", "gamma", "vega", "sigma"]