from optibook.synchronous_client import Exchange
import logging
logger = logging.getLogger('client')
logger.setLevel('ERROR')
print("Setup was successful.")
instrument_id = 'PHILIPS_A'
e = Exchange()
a = e.connect()
print("Exchange connected")
#print(e.is_connected())
#result = e.insert_order(instrument_id, price=1., volume=1, side='bid', order_type='limit')
#print(f"Order Id: {result}")
#print(e.is_connected())
orders = e.get_outstanding_orders(instrument_id)
for o in orders.values():
print(o)
print(orders)
print("Orders checked")
class Bot:
instruments = ["PHILIPS_A", "PHILIPS_B"]
def __init__(self):
self.e = Exchange()
logging.info(self.e.connect())
logging.info("Setup was successful.")
def get_out_of_positions(self):
# Get out of all positions you are currently holding, regardless of the loss involved. That means selling whatever
# you are long, and buying-back whatever you are short. Be sure you know what you are doing when you use this logic.
print(self.e.get_positions())
for s, p in self.e.get_positions().items():
if p > 0:
self.e.insert_order(s,
price=1,
volume=p,
side='ask',
order_type='ioc')
elif p < 0:
self.e.insert_order(s,
price=100000,
volume=-p,
side='bid',
order_type='ioc')
print(self.e.get_positions())
# Logging functions
def log_new_trade_ticks(self):
logger.info("Polling new trade ticks")
for i in self.instruments:
tradeticks = self.e.poll_new_trade_ticks(i)
for t in tradeticks:
logger.info(
f"[{t.instrument_id}] price({t.price}), volume({t.volume}), aggressor_side({t.aggressor_side}), buyer({t.buyer}), seller({t.seller})"
)
def log_positions_cash(self):
logger.info(self.e.get_positions_and_cash())
def log_all_outstanding_orders(self):
for i in self.instruments:
logger.info(self.e.get_outstanding_orders(i))
def wait_until_orders_complete(self):
orders_outstanding = True
while orders_outstanding:
orders_outstanding = False
for i in self.instruments:
if len(self.e.get_outstanding_orders(i)) > 0:
orders_outstanding = True
self.log_all_outstanding_orders()
#time.sleep(0.1)
def mainloop(self):
while True:
# check for trade differences
# m1 ask < m2 bid
#logger.info("Checking for discrepancies:")
books = [self.e.get_last_price_book(x) for x in self.instruments]
for m1, m2 in [(0, 1), (1, 0)]:
m1_id = self.instruments[m1]
m2_id = self.instruments[m2]
try:
m1_ask = books[m1].asks[0]
m2_bid = books[m2].bids[0]
if m1_ask.price < m2_bid.price:
logger.info(
f"Can profit: buy {m1_id} at {m1_ask} and sell {m2_id} at {m2_bid}"
)
self.e.insert_order(m1_id,
price=m1_ask.price,
volume=1,
side='bid',
order_type='limit')
self.e.insert_order(m2_id,
price=m2_bid.price,
volume=1,
side='ask',
order_type='limit')
self.log_all_outstanding_orders()
self.wait_until_orders_complete()
self.log_positions_cash()
except Exception as e:
print(logger.error(e))
continue
time.sleep(1.0 / 25)
B_best_bid = e.get_last_price_book(instrument_id2).bids[0].price
B_best_ask = e.get_last_price_book(instrument_id2).asks[0].price
# print(A_best_bid, A_best_ask, B_best_bid, B_best_ask)
if A_best_bid > B_best_ask:
A_best_bid_vol = e.get_last_price_book(instrument_id1).bids[0].volume
B_best_ask_vol = e.get_last_price_book(instrument_id2).asks[0].volume
volume = min(A_best_bid_vol, B_best_ask_vol)
result = e.insert_order(instrument_id1, price = A_best_bid, volume=volume, side='bid', order_type='limit')
result = e.insert_order(instrument_id2, price = B_best_ask, volume=volume, side='ask', order_type='limit')
print(f"Order Id: {result}")
if B_best_bid > A_best_ask:
A_best_ask_vol = e.get_last_price_book(instrument_id1).asks[0].volume
B_best_bid_vol = e.get_last_price_book(instrument_id2).bids[0].volume
volume = min(A_best_ask_vol, B_best_bid_vol)
result = e.insert_order(instrument_id2, price = B_best_bid, volume=volume, side='bid', order_type='limit')
result = e.insert_order(instrument_id1, price = A_best_ask, volume=volume, side='ask', order_type='limit')
print(f"Order Id: {result}")
time.sleep(0.25)
if len(e.get_outstanding_orders(instrument_id1)) != 0:
e.delete_orders(instrument_id1)
if len(e.get_outstanding_orders(instrument_id2)) != 0:
e.delete_orders(instrument_id2)
if (bestAsk is not None):
e.insert_order(highLiq,
price=bestAsk + 0.1,
volume=5,
side='ask',
order_type='limit')
time.sleep(get_lag() - 2)
currentTradeId = e.insert_order(lowLiq,
price=bestAsk,
volume=5,
side='bid',
order_type='limit')
print("Sell to A")
count_trades = count_trades + 1
#trades = e.poll_new_trades("PHILIPS_B")
time.sleep(3)
if (e.get_outstanding_orders("PHILIPS_B").values()):
# While there are still outstanding orders
e.insert_order(highLiq,
price=bestAsk,
volume=5,
side='bid',
order_type='limit')
e.delete_order(currentTradeId, order_id=lowLiq)
print("Buy from B")
else:
print("No best ask")
# noSold = trades[0].volume
printTrades(e)
i += 1
if (i == 100):
trades = e.get_trade_history('PHILIPS_A')
for t in trades:
print(
f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
)
trades = e.get_trade_history('PHILIPS_B')
for t in trades:
print(
f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
)
printOutstanding()
i = 0
outstanding = e.get_outstanding_orders("PHILIPS_A")
for o in outstanding.values():
print(
f"Outstanding order: order_id({o.order_id}), instrument_id({o.instrument_id}), price({o.price}), volume({o.volume}), side({o.side})"
)
outstanding = e.get_outstanding_orders("PHILIPS_B")
for o in outstanding.values():
print(
f"Outstanding order: order_id({o.order_id}), instrument_id({o.instrument_id}), price({o.price}), volume({o.volume}), side({o.side})"
)
trades = e.get_trade_history('PHILIPS_A')
for t in trades:
print(
f"[TRADED {t.instrument_id}] price({t.price}), volume({t.volume}), side({t.side})"
)