def test_cases(ses):
response = ses.get(base_url + '/case')
if response.ok:
case_obj1 = cases.case(ses)
case_obj2 = cases.Case(response.json())
if (case_obj1.__dict__ != case_obj2.__dict__):
raise AssertionError("Case objects not equal")
case_json1 = cases.case_json(ses)
case_json2 = response.json()
if (case_json1 != case_json2):
raise AssertionError("Case JSONs not equal")
enforce = cases.trade_lim_enforce_chk(ses)
else:
raise ApiException('Authorization Error: Please check API key.')
response = ses.get(base_url + '/limits')
if response.ok and enforce:
limits_json = response.json()
case_limit_obj1 = cases.case_limits(ses)
case_limit_obj2 = cases.CaseLimits(limits_json[0])
if (case_limit_obj1.__dict__ != case_limit_obj2.__dict__):
raise AssertionError("Case Lim obj not equal")
case_lim_json1 = cases.case_limits_json(ses)
case_lim_json2 = limits_json
if (case_lim_json1 != case_lim_json2):
raise AssertionError("Case lim JSON not equal")
else:
raise ApiException('Authorization Error: Please check API key.')
def main():
with requests.Session() as ses:
ses.headers.update(API_KEY)
current_case = cases.case(ses)
current_case_json = cases.case_json(ses)
current_case_lim = cases.case_limits(ses)
tick = current_case.tick
print(current_case_json)
def main():
arbitrage_qty = 1000 # arbitrage qunatity for one orders by default 1000
# checking for correct number of arguments entered
if len(sys.argv) != 3:
print('Usage arbitrage.py SEC_A SEC_B')
sys.exit()
# loading the two security names
sec1_a = (sys.argv[1]).upper()
sec1_b = (sys.argv[2]).upper()
with requests.Session() as ses:
ses.headers.update(API_KEY)
current_case = cases.case(ses)
current_case_lim = cases.case_limits(ses)
tick = current_case.tick
# the orders submission limits are a max of 10000 units per order
max_arbitrage_qty = min(10000, current_case_lim.gross_limit)
while tick > 5 and tick < 295 and not shutdown:
# get best bid and ask for security in both exchanges
sec1_a_bid = book.get_security_info(ses, sec1_a, 'bids', 'price')
sec1_a_ask = book.get_security_info(ses, sec1_a, 'asks', 'price')
sec1_b_bid = book.get_security_info(ses, sec1_b, 'bids', 'price')
sec1_b_ask = book.get_security_info(ses, sec1_b, 'asks', 'price')
# checking for crossed markets and arbitraging
if sec1_a_bid > sec1_b_ask: # if a_bid is higher than b_ask then buy at the lower b_ask and sell at the higher a_bid
# checking for the minumum qty between the two crossed orders not to prevent non-zero positions
sec1_b_qty = book.get_security_info(ses, sec1_b, 'bids',
'quantity')
sec1_a_qty = book.get_security_info(ses, sec1_a, 'asks',
'quantity')
arbitrage_qty = min(sec1_a_qty, sec1_b_qty) % max_arbitrage_qty
orders.market_order(ses, sec1_b, 'BUY', arbitrage_qty)
orders.market_order(ses, sec1_a, 'SELL', arbitrage_qty)
sleep(1)
if sec1_b_bid > sec1_a_ask: # if b_bid is higher than a_ask then buy at the lower a_ask and sell at the higher b_bid
# checking for the minumum qty between the two crossed orders not to prevent non-zero positions
sec1_b_qty = book.get_security_info(ses, sec1_b, 'asks',
'quantity')
sec1_a_qty = book.get_security_info(ses, sec1_a, 'bids',
'quantity')
arbitrage_qty = min(sec1_a_qty, sec1_b_qty) % max_arbitrage_qty
orders.market_order(ses, sec1_a, 'BUY', arbitrage_qty)
orders.market_order(ses, sec1_b, 'SELL', arbitrage_qty)
sleep(1)
# updating ticks to make sure the session is active
current_case = cases.case(ses)
tick = current_case.tick