from tradersbot import TradersBot
'''t = TradersBot('mangocore.pw:10914', '*****@*****.**', 'never-open-students')'''
t = TradersBot('localhost', 'trader0', 'trader0')
C = ['EUR', 'USD', 'CHF', 'JPY', 'CAD']
id = {'EUR': 0, 'USD': 1, 'CHF': 2, 'JPY': 3, 'CAD': 4}
LP = {}
for cur in C:
LP[cur] = {}
for cur2 in C:
LP[cur][cur2] = 0.0
def conv(a, b):
if id[a] > id[b]:
a, b = b, a
return a + b
count = 0
def f(msg, order):
global count
count += 1
if count < 10:
count += 1
return
else:
count = 0
import mibian
'''
c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20)
print c.callPrice
'''
from tradersbot import TradersBot
import time
t = TradersBot('mangocore.pw', '*****@*****.**', 'never-open-students')
'''t = TradersBot('localhost', 'trader0', 'trader0')'''
P = {90: 0.0, 95: 0.0, 100: 0.0, 105: 0.0, 110: 0.0}
C = {90: 0.0, 95: 0.0, 100: 0.0, 105: 0.0, 110: 0.0}
TMX = 100.0
vols = {90: 0.0, 95: 0.0, 100: 0.0, 105: 0.0, 110: 0.0}
prices = [90, 95, 100, 105, 110]
endTime = time.time()+450
def calc():
global TMX
global endTime
for K in prices:
c = mibian.BS([TMX, K, 0.0, (endTime-time.time())/15.0], callPrice = C[K])
VOL = c.impliedVolatility
print VOL
vols[K] = VOL
print
count = 0
def upd(msg, order):
'sold': False,
'done': False,
'dark_at_news': None,
'dark_at_eval': None,
'dark_advantage': None
}
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):
from tradersbot import TradersBot
from assignQValue import estimate_distribution_mean
#initialize tradersbot
t = TradersBot('localhost', 'trader0', 'trader0')
buzz = {'TRA': [], 'DER': [], 'SA': [], 'TM': [], 'IT': []}
assoc = {'TRA': [], 'DER': [], 'SA': [], 'TM': [], 'IT': []}
alpha = {'TRA': [], 'DER': [], 'SA': [], 'TM': [], 'IT': []}
god = {'TRA': [], 'DER': [], 'SA': [], 'TM': [], 'IT': []}
buzz_time = []
assoc_time = []
alpha_time = []
god_time = []
#gets estimation data from news
def news_Callback(msg, TradersOrder):
temp = msg["news"]["body"].split(";")
tempTRA = temp[0].split(" ")
tempDER = temp[1].split(" ")
tempSA = temp[2].split(" ")
tempTM = temp[3].split(" ")
tempIT = temp[4].split(" ")
if msg["news"]["source"] == 'Buzzfeed':
buzz['TRA'].append(float(tempTRA[-1]))
buzz['DER'].append(float(tempDER[-1]))
buzz['SA'].append(float(tempSA[-1]))
buzz['TM'].append(float(tempTM[-1]))
buzz['IT'].append(float(tempIT[-1]))
from model import ridge_model_comp
from tradersbot import TradersBot
import numpy as np
hostname = 'mangocore.pw'
username = '******'
password = '******'
t = TradersBot(hostname, username, password)
ridge = ridge_model_comp()
news = []
def updatePredict(msg, order):
newsBody = msg["news"]["body"]
newsBody = str(newsBody).split(' ')
vals = [float(item.replace(';','')) for item in newsBody if ';' in item]
vals.append(float(newsBody[-1]))
news.append(vals)
print 'Data ', news
if len(news) >= 2:
x = []
d1 = np.array(news[-2])
d0 = np.delete(np.array(news[-1]),[2])
x = np.append(x, d0)
x = np.append(x,d1)
print 'Prediction: ', ridge.predict([x])[0]
t.onNews = updatePredict
def hi(msg,order):
print "hey"
from tradersbot import TradersBot
import argparse
import csv
import pandas as pd
import statsmodels.formula.api as smf
import math
### TRADERSBOT INITIALIZATION
parser = argparse.ArgumentParser(description='Run a TradersBot')
parser.add_argument('--addr', help='IP/URL', default='127.0.0.1')
parser.add_argument('--user', help='Username', default='trader0')
parser.add_argument('--pw', help='Password', default='trader0')
args = parser.parse_args()
t = TradersBot(args.addr, args.user, args.pw)
### GLOBAL VARIABLES
case_meta = {}
model = {}
res = {}
outcry_data = []
pred_counter = 1
### HELPER FUNCTIONS
def center_data(lst):
# center data to mean 0, variance 1
mean = sum(lst) / float(len(lst))
from tradersbot import TradersBot
import math
from scipy.stats import norm
import datetime
import time
import random
t = TradersBot('127.0.0.1', 'trader0', 'trader0')
START_TIME = time.time()
def exp_time():
global START_TIME
return (time.time() - START_TIME) / (7.5 * 60 * 12)
DELTA_MAX = 1000
VEGA_MAX = 9000
INTEREST_RATE = 0
TRADE_FEE = 0.005
OPTIONS_LIM = 5000
FUTURES_LIM = 2500
# 1. Exploit inconsistencies in implied volatility across different strike prices
# 2. Market make when spreads are large, without becoming overly exposed to risk
# 3. Hedge positions to reduce risk
# Our portfolio. Keeps track of:
# List of our securities
# - all default information
from tradersbot import TradersBot
t = TradersBot('127.0.0.1:10914', 'trader0', 'trader0')
from tradersbot import TradersBot
import numpy as np
import random
from math import *
t = TradersBot(host='127.0.0.1', id='trader0', password='******')
tick = 0
dx = .01
tickers = ['USDCHF','USDJPY','EURUSD','USDCAD','CHFJPY','EURJPY','EURCHF','EURCAD' ]
public_ticker = {'USDCAD','EURUSD','USDCHF','USDJPY'}
dark_tickers = {'EURCAD','EURJPY','EURCHF','CHFJPY'}
price_list = {}
for tc in tickers:
price_list[tc] = []
def on_update(msg,order):
global tick
ms = msg['market_state']
tck = ms['ticker']
last_price = msg['market_state']['last_price']
price_list[tck].append(last_price)
#if tck in dark_tickers: print(ms)
if len(price_list[tck]) > 5:
sma = np.mean(np.array(price_list[tck][-6:-1]))
diff = abs(sma - last_price)/last_price
diff *= (10/0.015)
from tradersbot import TradersBot
'''t = TradersBot('mangocore.pw:10914', '*****@*****.**', 'never-open-students')'''
t = TradersBot('localhost', 'trader0', 'trader0')
def showNews(msg, order):
a = msg['news']['body'].split()
val = []
for word in a:
word = word.strip(';')
try:
num = float(word)
val.append(num)
except:
continue
print val
idx =
t.onNews = showNews
t.run()
from tradersbot import TradersBot
from spread import calc_spread
from buy import update
from volatility import ack_register, calc_reg
t = TradersBot('127.0.0.1', 'trader0', 'trader0')
def main():
t.onAckRegister = ack_register
t.onMarketUpdate = calc_reg
t.onTrade = update
t.run()
if __name__ == "__main__":
main()
from tradersbot import TradersBot
t = TradersBot('mangocore.pw', '*****@*****.**', 'never-open-students')
'''t = TradersBot('localhost', 'trader0', 'trader0')'''
def showNews(msg, order):
a = msg['news']['body'].split()
val = []
for word in a:
word = word.strip(';')
try:
num = float(word)
val.append(num)
except:
continue
print val
idx = 1007.000526+0.003418564*(val[0])+0.625699427*(val[1])+0.000172214*(val[3])-0.332956566*(val[4])+0.886297842*(val[5])-0.000955673*(val[6])-0.003855885*(val[7])-0.001290652*(val[8])-0.005253481*(val[9])
print 'Estimated index: ' + str(idx)
t.onNews = showNews
t.run()
### IMPORTS
from tradersbot import TradersBot
import argparse
import time
### TRADERSBOT INITIALIZATION
parser = argparse.ArgumentParser(description='Run a TradersBot')
parser.add_argument('--addr', help='IP/URL', default='127.0.0.1')
parser.add_argument('--user', help='Username', default='trader0')
parser.add_argument('--pw', help='Password', default='trader0')
parser.add_argument('--threshold', help='Arbitrage Threshold', default=0.005)
args = parser.parse_args()
t = TradersBot(args.addr, args.user, args.pw)
### GLOBAL VARIABLES
case_meta = {}
orderbook = {}
cash = {'USD': 100000, 'JPY': 0, 'EUR': 0, 'CHF': 0, 'CAD': 0}
cycles = [['EURCHF', 'CHFJPY', 'EURJPY'], ['USDCAD', 'EURUSD', 'EURCAD'], ['CHFJPY', 'USDCHF', 'USDJPY']]
time_last_order = time.time() # prevent order overflow
time_last_clear = time.time()
time_last_threshold_update = time.time()
arb_threshold = float(args.threshold)
pnl_deltas = [0 for _ in range(5)]
current_pnl = 1
transaction_fee = 0.0001
import math
import time
import argparse
import scipy.optimize
import matplotlib.pyplot as plt
from scipy.stats import norm
### TRADERSBOT INITIALIZATION
parser = argparse.ArgumentParser(description='Run a TradersBot')
parser.add_argument('--addr', help='IP/URL', default='127.0.0.1')
parser.add_argument('--user', help='Username', default='trader0')
parser.add_argument('--pw', help='Password', default='trader0')
args = parser.parse_args()
t = TradersBot(args.addr, args.user, args.pw)
### GLOBAL VARIABLES
case_meta = {}
orderbook = {}
total_time = 450
elapsed_time = 0
implied_vols = {
'T100C': 1,
'T110P': 1,
'T105C': 1,
'T105P': 1,
'T110C': 1,
'T110P': 1,
'T90C': 1,
from tradersbot import TradersBot
t = TradersBot('160.39.148.119', 'trader0', 'trader0')