def compute_hedge(self):
self.current_back = self.prices[self.selection_id]["back"]
self.current_lay = self.prices[self.selection_id]["lay"]
self.unhedged_position = self.pricer.compute_unhedged_position()
if self.current_back is None:
self.current_back = MIN_PRICE
if self.current_lay is None:
self.current_lay = MAX_PRICE
td = ticks_difference(self.current_back, self.current_lay)
if td <= 2:
get_logger().debug(
"very tight market, sitting at the current odds",
market_id=self.market_id,
tick_difference=td,
lay=self.current_lay,
back=self.current_back)
mk_back = self.current_lay
mk_lay = self.current_back
else:
mk_back = price_ticks_away(self.current_lay, -1)
mk_lay = price_ticks_away(self.current_back, 1)
self.hedge_order_lay["side"] = "lay"
self.hedge_order_lay["size"] = min(
max(round(STARTING_STAKE + (self.unhedged_position / mk_lay), 2),
MIN_STAKE), MAX_STAKE)
self.hedge_order_lay["size"] += self.pricer.position_lay
self.hedge_order_lay["price"] = mk_lay
get_logger().debug("order hedging by lay",
market_id=self.market_id,
lay=self.current_lay,
size=self.hedge_order_lay["size"])
self.hedge_order_back["side"] = "back"
self.hedge_order_back["size"] = min(
max(round(STARTING_STAKE - (self.unhedged_position / mk_back), 2),
MIN_STAKE), MAX_STAKE)
self.hedge_order_back["size"] += self.pricer.position_back
self.hedge_order_back["price"] = mk_back
get_logger().debug("order hedging by back",
market_id=self.market_id,
back=self.current_back,
size=self.hedge_order_back["size"])
def place_passif_bet(self):
selection_id = self.list_runner[self.active]["selection_id"]
market_id = self.list_runner[self.active]["market_id"]
size = self.stake
if self.current_lay is None:
price = nearest_price(max(self.current_back * 10, 200))
else:
price = price_ticks_away(self.current_lay, -1)
pricer = Execution(market_id, selection_id)
pricer.quote(price, size, Side.BACK)
def place_passif_bet(self):
selection_id = self.list_runner[self.the_draw]["selection_id"]
market_id = self.list_runner[self.the_draw]["market_id"]
size = self.stake
if self.current_lay is None:
price = nearest_price(max(self.current_back * 10, 200))
else:
price = price_ticks_away(self.current_lay, -1)
price = max(self.draw_limit, price)
pricer = Execution(market_id, selection_id, self.customer_ref,
self.strategy_id)
pricer.quote(price, size, Side.BACK)
def passif_bet(self, selection_id, stake, per_of_spread = 1.0, max_odds =200, min_odds=1.01, odds_multip_if_no_spread = 10):
selection_id = self.list_runner[selection_id]["selection_id"]
market_id = self.list_runner[selection_id]["market_id"]
size = stake
if self.current_lay is None:
price = nearest_price(max(self.current_back * odds_multip_if_no_spread, max_odds))
else:
price = price_ticks_away(self.current_lay, -1) * (per_of_spread) + self.current_back * (1-per_of_spread)
price = nearest_price(price)
price = max(min_odds, price)
pricer = Execution(market_id, selection_id, self.customer_ref, self.strategy_id)
pricer.quote(price, size, Side.BACK)
def test_price_ticks_away(price, n_ticks, expected):
assert price_ticks_away(price, n_ticks) == expected
def test_price_ticks_away(price, n_ticks, expected):
assert price_ticks_away(price, n_ticks) == expected