count = 0 def status(msg, order): global TMX global endTime totalDelta = 0.0 totalVega = 0.0 for key in msg['trader_state']['positions']: quant = msg['trader_state']['positions'][key] print key, quant try: K = int(key[1:-1]) except: continue v = vols[K] if vols[K] == 0.0 or vols[K] == None: v = 20 c = mibian.BS([TMX, K, 0.0, (endTime-time.time())/15.0], volatility = v) type = key[-1] if type == 'P': totalDelta += (c.putDelta)*quant else: totalDelta += (c.callDelta)*quant totalVega += c.vega*quant print 'Total delta: ' + str(totalDelta*100) print 'Total vega: ' + str(totalVega*100) t.onMarketUpdate = upd t.onTraderUpdate = status t.run()
}
pending_orders.append(new_order)
except:
print('Unable to parse headline: Unknown error')
DEBUG = True
algo_bot = None
if len(sys.argv) >= 4:
algo_bot = TradersBot(host=sys.argv[1],
id=sys.argv[2],
password=sys.argv[3])
# DEBUG = False
CANCEL_TRADES = False
else:
algo_bot = TradersBot('127.0.0.1', 'trader0', 'trader0')
algo_bot.onAckRegister = onAckRegister
algo_bot.onMarketUpdate = onMarketUpdate
algo_bot.onTraderUpdate = onTraderUpdate
algo_bot.onTrade = onTrade
algo_bot.onAckModifyOrders = onAckModifyOrders
algo_bot.onNews = onNews
if not DEBUG:
def f(*args):
return None
print = f
algo_bot.run()
def trade_method(msg, order):
global MARKET
print(MARKET['T85C']['price'])
trade_dict = msg['trades']
for trade in trade_dict:
security = MARKET[trade["ticker"]]
security['price'] = trade["price"]
# security['vol'] = calc_vol(security['type'] == 'C', trade['price'], 100, security['strike'], exp_time(), INTEREST_RATE)
# Buys or sells in a random quantity every time it gets an update
# You do not need to buy/sell here
def trader_update_method(msg, order):
global MARKET
positions = msg['trader_state']['positions']
for security in positions.keys():
if random.random() < 0.5:
quant = 10*random.randint(1, 10)
order.addBuy(security, quantity=quant,price=MARKET[security]['price'])
else:
quant = 10*random.randint(1, 10)
order.addSell(security, quantity=quant,price=MARKET[security]['price'])
t.onAckRegister = ack_register_method
t.onMarketUpdate = market_update_method
t.onTraderUpdate = trader_update_method
t.onTrade = trade_method
#t.onAckModifyOrders = ack_modify_orders_method
#t.onNews = news_method
t.run()
elif ticker == 'USDJPY':
if len(price_list['EURJPY'])>0:
val = 1/price_list['EURUSD'][-1]*price_list['EURJPY'][-1]
if val<(1-5*dx)*price:
return {'trade':'yes','USDJPY':('sell',amount(val,price)),'EURUSD':('sell',amount(val,price)),'EURJPY':('buy',amount(val,price))}
elif val>(1+5*dx)*price:
return {'trade':'yes','USDJPY':('buy',amount(val,price)),'EURUSD':('buy',amount(val,price)),'EURJPY':('sell',amount(val,price))}
if len(price_list['CHFJPY'])>0:
val = price_list['USDCHF'][-1]*price_list['CHFJPY'][-1]
if val<(1-5*dx)*price:
return {'trade':'yes','USDJPY':('sell',amount(val,price)),'USDCHF':('buy',amount(val,price)),'CHFJPY':('buy',amount(val,price))}
elif val>(1+5*dx)*price:
return {'trade':'yes','USDJPY':('buy',amount(val,price)),'USDCHF':('sell',amount(val,price)),'CHFJPY':('sell',amount(val,price))}
return {'trade':'no'}
def amount(val, price):
amt = abs(val-price)/price
amt *= (20/(5*dx))
return floor(amt)
t.onMarketUpdate = on_update
t.onTrade = trade
t.onTraderUpdate = get_info
t.run()
counter += 1
print('Orders cleared!')
time_last_clear = time.time()
pnl_deltas.append((msg['trader_state']['default_pnl'] - current_pnl))
pnl_deltas = pnl_deltas[1:]
total_delta = sum(pnl_deltas)
current_pnl = msg['trader_state']['default_pnl']
print(current_pnl)
if DELTASHIFT == 1 and time.time() - time_last_threshold_update > 5:
# if total_delta < 25 and total_delta > -100:
# # not making enough money, narrow in
# arb_threshold *= 0.95
# print('THRESHOLD CHANGE: ' + str(arb_threshold))
# time_last_threshold_update = time.time()
if total_delta < -100:
# losing too much money, push out
arb_threshold *= 1.1
print('THRESHOLD CHANGE: ' + str(arb_threshold))
time_last_threshold_update = time.time()
t.onTraderUpdate = adjust_params
## onTrade
def update_orderbook(msg, TradersOrder):
global orderbook
### RUN BOT
t.run()
def black_scholes_call(S, K, t, T, r, sigma):
d1 = np.log(S / K) + (r + .5 * sigma**2) * (T - t)
d1 = d1 / (sigma * np.sqrt(T - t))
d2 = d1 - sigma * np.sqrt(T - t)
return stats.norm.cdf(d1) * S - stats.norm.cdf(d2) * K * np.exp(-1 * r *
(T - t))
def black_scholes_put(S, K, t, T, r, sigma):
return black_scholes_call(S, K, t, T, r, sigma) + K * np.exp(-1 * r *
(T - t)) - S
# S = 100
# K = 100
# sigma = .2
# r = .01
# flag = 'p'
# t = .5
# print(black_scholes_put(S,K,t,1,r,sigma))
# p = black_scholes.black_scholes(flag,S,K,t,r,sigma)
# print(p)
t.onMarketUpdate = on_update
t.onTrade = trade
t.onTraderUpdate = curr_pos
t.run()