Exemplo n.º 1
0
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
Exemplo n.º 2
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):
Exemplo n.º 3
0
            '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):
Exemplo n.º 4
0
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]))
Exemplo n.º 5
0
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"
Exemplo n.º 6
0
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))
Exemplo n.º 7
0
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
Exemplo n.º 8
0
from tradersbot import TradersBot

t = TradersBot('127.0.0.1:10914', 'trader0', 'trader0')
Exemplo n.º 9
0
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)
Exemplo n.º 10
0
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()
Exemplo n.º 11
0
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()
Exemplo n.º 12
0
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()
Exemplo n.º 13
0
### 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,
Exemplo n.º 15
0
from tradersbot import TradersBot

t = TradersBot('160.39.148.119', 'trader0', 'trader0')