def get_spread(self, a, q=5, bias=0, spread_size=0.5, better=0):
better = better or self.sp["better"]
p = a.status["pos"]; q=abs(q)
if not bias: bias = -p or q*u.sign(random.random()-0.49) # slight buy bias (:
get = lambda cls,i: cls.lst[i]["price"] if len(cls.lst)-i>0 else 0
if not get(a.mbids, 0) or not get(a.masks, 0): return # get_out if no bid or no ask !
wbid, wask = [a.mbids.lst[-1]["price"] - better, a.masks.lst[-1]["price"] + better]
for cls in [a.mbids, a.masks]:
price = get(cls, 0) + better * min(1, bias / q) # increase with position
price = u.between(wbid, price, wask)
live = 0 if abs(p) > 3*q and cls.sens == u.sign(p) else 1
for k in self.watch: self.prep[k] += cls.sens*q * self.assets[cls.name].status[k] # greeks if/after filled
self.prep["trades"].append( {"name":cls.name, "price":price, "quantity": cls.sens*q, "live": live} )
async def best_order1(self, a, q, lm=0, better=0, force_mod=False):
better = better or self.sp["better"]
sens = u.sign(q); cls = a.mbids if sens > 0 else a.masks
p = cls.best_price()
if not p: return {"price": 0} # there is no market price if best_price is 0
h = {"name":a.name, "price": p + sens*better, "quantity": q, "order_type": lm, "live": 1}
self.debug("trading:", h)
return await self.execute_trade(h, force_mod)
def json_representation(data, code, headers=None):
resp = utils.json_dumps(data)
signature = utils.sign(resp)
response = make_response(resp, code)
response.headers.extend(headers or {})
response.headers.add('signature', signature)
response.headers.set("Content-Type", "application/json")
return response
async def random(self, q=0): # this is stupid random trades.
t = self
m = t.master
q = q or m.sp["quantity"]
if random.random() < 0.5: # only trade 25% (0.5*0.5) of the time
for k, a in t.assets.items(): # place new orders
if random.random() < 0.5: continue # cancel half the time
await m.best_order(
a,
u.sign(random.random() - 0.49) * (abs(q) or 1), "L")
async def christian(self): # this is stupid random trades.
t = self
m = t.master
# mxcycles=2000
# if t.num == mxcycles:
# t.info("final=", m.pairs)
# throw(ValueError("done"))
# parameters
siz = size_of_spread = m.sp[
"quantity"] # todo: put in config both siz and step
step = m.sp[
"step"] # we probably pay 0.04 to open and cancel spread, no point for less. To be tested
m.store = {}
for pair, pr in m.pairs.items():
pri = self.pairdiff(pair)
if not pri: continue
if not pr.get("pos"): pr.update({"pos": 0, "cur": 0})
pr["cur"] = pri # current price
pos = pr["pos"] # current pos
dma = pr["dma"] = pri - pr[
"avg"] # difference with the "real" price
tgt = pr["tgt"] = -int(round(dma / step,
0)) # if dma > 0, we should sell
sens = u.sign(tgt - pos) or 1
# ex: dma>0 -> tgt = -10, pos = -7, sign = sign(-3) = -1
def trade():
for i in range(pos, tgt, sens):
if t.tradespread(siz * sens, pair): pr["pos"] += sens
return pr["pos"]
if tgt == 0 or u.sign(tgt) != u.sign(pr["pos"]):
pos = trade() # came back to mean: liquidate position
# if abs(pr["pos"]) - abs(tgt) > 6: pos = trade() # not yet to mean, but lock in some profit in case it goes back
if abs(tgt) > abs(pos): trade() # increase position
def best_order(self, a, q, name="standing", lm="L", add=None, better=None, force_mod=False):
if not q: return
sens = u.sign(q); mcls = a.mbids if sens > 0 else a.masks; ocls = mcls.orders
if lm == "M": return [ocls.place_order, {"name":a.name, "quantity": q, "order_type": lm}]
p = mcls.best_price()
if not p: return # there is no market price if best_price is 0
better = better if better != None else (self.sp["better"] or 0.01)
pa = p+add if add != None else p + sens*better
o = {"name":a.name, "price": pa, "quantity": q, "order_type": lm}
allorders = ocls.get_live()
x = exist = allorders[0] if len(allorders) else 0 # will modify the first order if it exists
exc = lambda: [x.mock_modify_order, o] if exist else [ocls.place_order, o]
return 0 if (x and abs(x.h["price"] - o["price"])<0.02) else exc()
async def add_fill(self, f):
o = f.order
oid = o.order_id
fp = round(f.fill_price, 2)
fq = round(f.filled_quantity * u.sign(o.quantity))
self.status["pos"] += fq
self.status["cash"] -= fq * fp
h = {
"price": fp,
"quantity": fq,
"typ": "bids" if fq > 0 else "asks"
} #, "size":abs(fq)
self.info(f"filled-{oid[-6:]} ({fq} at {fp})", h)
ok = self.exist_order(oid, "fill_order", p=o.price, q=o.quantity)
h["ok"] = 1 if ok else 0
ok.fill(f) if ok else 0
return [h, f]
def fill(self, f):
o = f.order
oid = o.order_id
op = round(f.fill_price, 2)
oq = round(f.filled_quantity * u.sign(o.quantity))
if self.cancelled:
self.warning("Sorry, cancelled order was filled:",
self.show({"fill": oq}))
def err(fv, typ, m): # check (well you never know....)
msg = f'{self.all.name}: {m} {typ} when filling {self.sid}: {fv} vs {self.h[typ]} {self.h}'
self.fatal(msg)
diff_price = d = self.h["price"] - op if self.h["price"] else 0
if d != 0 and d * self.all.sens < 0: err(op, "price", "worse")
if f.filled_quantity > abs(self.h["qleft"]):
err(f.filled_quantity, 'quantity', 'too much')
self.filled += oq
self.h["qleft"] -= oq
self.h["size"] -= f.filled_quantity
if self.h["size"] <= 0: self.mark_cancelled()
self.debug(f"filled-{self.sid}", self.show())
return self