def execute(self):
for order in self.orderbuf:
utils.cancel_order(order)
self.outgoingorder = []
for order in self.buf:
_temp = utils.new_order(common_pb2.NEW_ORDER, None, order[0],
order[1], order[2], order[3], order[4],
order[5])
self.outgoingorder.append(_temp)
self.buf = []
self.orderbuf = []
for instrument in instruments:
if counter == 0:
pass
else:
if (abs(instrument.last_price - lastp[instrument.symbol]) >
0.5):
Sli[instrument.symbol] = 0.02
else:
Sli[instrument.symbol] = 0.01
if instrument.symbol in SYMBOLS:
center_price[instrument.symbol] = instrument.last_price
for i in range(len(posbias)):
utils.new_order(
common_pb2.NEW_ORDER, None, common_pb2.BID,
instrument.symbol, posbias[i][1],
instrument.last_price - SLIPPER * posbias[i][0],
False, common_pb2.LONG)
# order.insert_openLongPosition(symbol=instrument.symbol, volume=posbias[i][1],
# price=center_price[instrument.symbol] - Sli[instrument.symbol]*posbias[i][0], is_market=False)
for j in range(len(negbias)):
utils.new_order(
common_pb2.NEW_ORDER, None, common_pb2.ASK,
instrument.symbol, negbias[i][1],
instrument.last_price - SLIPPER * negbias[i][0],
False, common_pb2.SHORT)
# order.insert_openShortPosition(symbol=instrument.symbol, volume=negbias[i][1],
# price=center_price[instrument.symbol] - Sli[instrument.symbol] * negbias[i][0],
# is_market=False)
lastp[instrument.symbol] = center_price[instrument.symbol]
continue
def execute(self):
for order in self.buf:
utils.new_order(common_pb2.NEW_ORDER, None, order[0], order[1],
order[2], order[3], order[4], order[5])
self.buf = []
import numpy as np
from scipy.stats import norm
if __name__=="__main__":
flag=dict()
for s in SYMBOLS:
flag[s]=0
channel = grpc.insecure_channel(MARKET_CHANNEL) # 57500
stub = broker_pb2_grpc.MarketDataStub(channel)
while 1:
response = stub.subscribe(common_pb2.Empty())
for market_data in response:
if int(market_data.instruments[0].timestamp)%900==899:
for instrument in market_data.instruments:
if instrument.symbol in SYMBOLS:
if instrument.last_price-instrument.deliver_price>0.1:
utils.new_order(common_pb2.NEW_ORDER,None,common_pb2.ASK,instrument.symbol,50,None,True,common_pb2.SHORT)
flag[s]=-1
print("233")
if instrument.last_price - instrument.deliver_price < -0.1:
utils.new_order(common_pb2.NEW_ORDER, None, common_pb2.BID, instrument.symbol, 50, None,
True, common_pb2.LONG)
flag[s]=1
print("233")
else:
if int(market_data.instruments[0].timestamp) % 900 == 1:
for s in SYMBOLS:
if flag[s]==-1:
utils.new_order(common_pb2.NEW_ORDER, None, common_pb2.BID, instrument.symbol, 50, None,
True, common_pb2.SHORT)
if flag[s]==1:
utils.new_order(common_pb2.NEW_ORDER, None, common_pb2.ASK, instrument.symbol, 50, None,
flag2 = 0
# if mktposition.occupiedcashlong[instrument.symbol] > 10000:
# utils.new_order(common_pb2.NEW_ORDER, None, common_pb2.ASK, instrument.symbol,
# mktposition.marketLongPosition[instrument.symbol], None,
# True, common_pb2.LONG)
if mktposition.unrealizedPnllong[
instrument.
symbol] < -1000 or mktposition.unrealizedPnllong[
instrument.
symbol] > 1000 or mktposition.occupiedcashlong[
instrument.
symbol] > 10000 or mktposition.marketLongPosition[
instrument.symbol] > 150:
utils.new_order(
common_pb2.NEW_ORDER, None, common_pb2.ASK,
instrument.symbol,
mktposition.marketLongPosition[instrument.symbol],
None, True, common_pb2.LONG)
flag1 = 1
# if mktposition.occupiedcashshort[instrument.symbol] > 10000:
# utils.new_order(common_pb2.NEW_ORDER, None, common_pb2.BID, instrument.symbol,
# mktposition.marketShortPosition[instrument.symbol], None,
# True, common_pb2.SHORT)
if mktposition.unrealizedPnlshort[
instrument.
symbol] < -1000 or mktposition.unrealizedPnlshort[
instrument.
symbol] > 1000 or mktposition.occupiedcashshort[
instrument.
symbol] > 10000 or mktposition.marketShortPosition[
instrument.symbol] > 120:
def orderhelper(self, request_type, order_id, side, symbol, volume, price,
is_market, pos_type):
self.outgoingorder.append(
utils.new_order(request_type, order_id, side, symbol, volume,
price, is_market, pos_type))