def generate_QBO(self, time, countdown, lob, verbose):
if len(self.qbo_orders) < 1:
self.active = False
order = None
else:
osrid = self.qbo_orders[0].osrid
biid = self.qbo_orders[0].order.orderid
bi_order = self.qbo_orders[0].order
qty = bi_order.qty
price = bi_order.price
limitprice = bi_order.limitprice
MES = bi_order.MES
subtype = 'QBO'
# check if the order request has expired >0.5?
if time - self.qbo_orders[0].time > 0.5:
self.active = False
order = Order(self.tid, self.job, "CAN", price, qty, time, None, -1, limitprice, MES, subtype, None, osrid)
else:
self.active = True
total_price = 0
total_qty = 0
for trn in self.qbo_orders[0].trns:
total_price += trn['price']*trn['qty']
total_qty += trn['qty']
# price = total_price/total_qty
# qty = random.randint(total_qty, qty)
order = Order(self.tid, self.job, "LIM", price, qty, time, None, -1, limitprice, MES, subtype, 'Drk', osrid, biid)
self.lastquote = order
order.myref = bi_order.myref
del self.qbo_orders[0]
return order
def getorder(self, time, countdown, lob, verbose):
if verbose: print('ZIP getorder(): LOB=%s' % lob)
# random coefficient, multiplier on trader's own estimate of worst possible bid/ask prices
# currently in arbitrarily chosen range [2, 5]
worst_coeff = 2 + (3 * random.random())
if len(self.orders) < 1:
self.active = False
order = None
else:
self.active = True
self.limit = self.orders[0].price
self.job = self.orders[0].atype
if self.job == 'Bid':
# currently a buyer (working a bid order)
self.margin = self.margin_buy
# what is the worst bid price on the LOB right now?
if len(lob['bids']['lob']) > 0 :
# take price of final entry on LOB
worst_bid = lob['bids']['lob'][-1][0]
else:
# local pessimistic estimate of the worst bid price (own version of stub quote)
worst_bid = max(1, int(self.limit / worst_coeff))
if self.worst_bidprice == None: self.worst_bidprice = worst_bid
elif self.worst_bidprice > worst_bid: self.worst_bidprice = worst_bid
else:
# currently a seller (working a sell order)
self.margin = self.margin_sell
# what is the worst ask price on the LOB right now?
if len(lob['asks']['lob']) > 0 :
# take price of final entry on LOB
worst_ask = lob['asks']['lob'][-1][0]
else:
# local pessimistic estimate of the worst ask price (own version of stub quote)
worst_ask = int(self.limit * worst_coeff)
if self.worst_askprice == None: self.worst_askprice = worst_ask
elif self.worst_askprice < worst_ask: self.worst_askprice = worst_ask
quoteprice = int(self.limit * (1 + self.margin))
self.price = quoteprice
# set limitprice and MES
limitprice = quoteprice
MES = 0
marketid = None
# only big block order can be BI or BDN order
subtype = None
big_block = 200
# cancel BI order when its reputation is lower than threshold
threshold = 50
if self.reputation < threshold:
self.biweight = 0
if self.orders[0].qty >= big_block:
subtype = random.choices(population=['BI','BDN', None],weights=[0.5, 0.5, 0],k=1)[0]
order = Order(self.tid, self.job, "LIM", quoteprice, self.orders[0].qty, time, None, -1, limitprice, MES, subtype, marketid)
order.myref = self.orders[0].assignmentid
if self.orders[0].qty < big_block:
print('Why')
if subtype != 'BI':
self.lastquote = order
return order