elif p < 0:
e.insert_order(s,
price=100000,
volume=-p,
side='bid',
order_type='ioc')
print(e.get_positions())
instrument_id = 'PHILIPS_A'
book = e.get_last_price_book(instrument_id)
print(book.bids)
instrument_id = 'PHILIPS_A'
#result = e.insert_order(instrument_id, price=98, volume=40, side='bid', order_type='limit')
#print(f"Order Id: {result}")
tradeticks = e.poll_new_trade_ticks(instrument_id)
def moving_avg(price_book):
average = []
t_end = time.time() + 10
count = 0
while time.time() < t_end:
for i in price_book.bids:
average.append(i.price)
#for j in average:
count = sum(average)
mean = count / len(average)
return (mean)
class Bot:
instruments = ["PHILIPS_A", "PHILIPS_B"]
def __init__(self):
self.e = Exchange()
logging.info(self.e.connect())
logging.info("Setup was successful.")
def get_out_of_positions(self):
# Get out of all positions you are currently holding, regardless of the loss involved. That means selling whatever
# you are long, and buying-back whatever you are short. Be sure you know what you are doing when you use this logic.
print(self.e.get_positions())
for s, p in self.e.get_positions().items():
if p > 0:
self.e.insert_order(s,
price=1,
volume=p,
side='ask',
order_type='ioc')
elif p < 0:
self.e.insert_order(s,
price=100000,
volume=-p,
side='bid',
order_type='ioc')
print(self.e.get_positions())
# Logging functions
def log_new_trade_ticks(self):
logger.info("Polling new trade ticks")
for i in self.instruments:
tradeticks = self.e.poll_new_trade_ticks(i)
for t in tradeticks:
logger.info(
f"[{t.instrument_id}] price({t.price}), volume({t.volume}), aggressor_side({t.aggressor_side}), buyer({t.buyer}), seller({t.seller})"
)
def log_positions_cash(self):
logger.info(self.e.get_positions_and_cash())
def log_all_outstanding_orders(self):
for i in self.instruments:
logger.info(self.e.get_outstanding_orders(i))
def wait_until_orders_complete(self):
orders_outstanding = True
while orders_outstanding:
orders_outstanding = False
for i in self.instruments:
if len(self.e.get_outstanding_orders(i)) > 0:
orders_outstanding = True
self.log_all_outstanding_orders()
#time.sleep(0.1)
def mainloop(self):
while True:
# check for trade differences
# m1 ask < m2 bid
#logger.info("Checking for discrepancies:")
books = [self.e.get_last_price_book(x) for x in self.instruments]
for m1, m2 in [(0, 1), (1, 0)]:
m1_id = self.instruments[m1]
m2_id = self.instruments[m2]
try:
m1_ask = books[m1].asks[0]
m2_bid = books[m2].bids[0]
if m1_ask.price < m2_bid.price:
logger.info(
f"Can profit: buy {m1_id} at {m1_ask} and sell {m2_id} at {m2_bid}"
)
self.e.insert_order(m1_id,
price=m1_ask.price,
volume=1,
side='bid',
order_type='limit')
self.e.insert_order(m2_id,
price=m2_bid.price,
volume=1,
side='ask',
order_type='limit')
self.log_all_outstanding_orders()
self.wait_until_orders_complete()
self.log_positions_cash()
except Exception as e:
print(logger.error(e))
continue
time.sleep(1.0 / 25)