def bbtInit(self):
self.api = cl.bbCCXTInit(n=self.n)
riskDf = cl.bbtGetRiskDf(self.api, self.spotDict)
for ccy in self.validCcys:
if ccy in riskDf.index:
self.futures.loc[ccy, 'FutDelta']=cl.bbtGetFutPos(self.api,ccy)
self.liqDict[ccy] = riskDf.loc[ccy,'liq']
else:
self.liqDict[ccy] = 0
self.calcFuturesDeltaUSD()
#####
if self.n>=2: # trim list for auxiliary BBTs
self.validCcys=list(self.futures.index[self.futures['FutDelta'] != 0])
#####
self.oneDayIncome = 0
self.prevIncome = 0
if CR_CONFIGS_DICT['IS_CALC_PAYMENTS']:
pmts=pd.DataFrame()
for ccy in self.validCcys:
data = cl.bbtGetTradeExecutionList(self.api,ccy)
if not data is None:
pmts = pmts.append(pd.DataFrame(data).set_index('symbol', drop=False))
if len(pmts)>0:
cl.dfSetFloat(pmts, ['fee_rate', 'exec_fee'])
pmts.loc[['Sell' in z for z in pmts['order_id']],'fee_rate']*=-1 # Correction for fee_rate signs
pmts['incomeUSD'] = -pmts['exec_fee'] * self.spotDict['USDT']
pmts['date'] = [datetime.datetime.fromtimestamp(int(ts) / 1000) for ts in pmts['trade_time_ms']]
pmts = pmts.set_index('date').sort_index()
#####
self.oneDayIncome = pmts['incomeUSD'].sum()
self.prevIncome = pmts.loc[pmts.index[-1]]['incomeUSD'].sum()
self.setAnnRets()
#####
usdtDict=self.api.v2_private_get_wallet_balance({'coin': 'USDT'})['result']['USDT']
equity = float(usdtDict['equity'])
self.nav = equity * self.spotDict['USDT']
self.spots.loc['USDT', 'SpotDelta'] = equity
self.calcSpotDeltaUSD()
#####
for ccy in self.validCcys:
oneDayFunding = 0
prevFunding = 0
estFunding=0
estFunding2=0
if CR_CONFIGS_DICT['IS_CALC_PAYMENTS']:
if len(pmts)>0:
df=pmts.loc[pmts['symbol']==ccy+'USDT','fee_rate']
if len(df) > 0:
oneDayFunding = df.mean() * 3 * 365
prevFunding = df[df.index[-1]].mean() * 3 * 365
#####
if CR_CONFIGS_DICT['IS_CALC_ESTS']:
estFunding, estFunding2 = self.bbtGetEstFundings_fast(ccy)
self.makeFundingStr(ccy, oneDayFunding, prevFunding, estFunding, estFunding2)
#####
self.makeIncomesStr()
self.makeLiqStr(riskDf=riskDf,availableBalance=float(usdtDict['available_balance']))
self.isDone = True
if lev[side] < select_lev:
api.private_linear_post_position_set_leverage({
'symbol':
sym,
side.lower() + '_leverage':
select_lev,
opp_side.lower() + '_leverage':
lev[opp_side]
})
isMod = True
if isMod:
print(
f'{sym} {position_value:,.0f} -> Risk limit ({max_size:,.0f}) Leverage ({select_lev})'
)
break
######
# Init
######
cl.printHeader('BBTAutoRiskLimit - ' + cl.getCurrentTime())
apiDict = cl.getApiDict()
spotDict = dict()
spotDict['USDT'] = cl.ftxGetMid(apiDict['ftx'], 'USDT/USD')
# Traditional
for i in range(SHARED_EXCH_DICT['bbt']):
cl.printHeader('BBT' + str(i + 1))
bb = cl.bbCCXTInit(i + 1)
df = cl.bbtGetRiskDf(bb, spotDict)
autoRiskLimit(bb, df.index)