def microtrade(self, ticker, action, price, session,vol):
book = api_calls.get_trading_data(session, ticker)
#if we want to sell, check is buying price has stayed same or gone higher
quantity = 0
if action == "SELL":
if price >= book['bids'][0]['price']:
bid_price = book['bids'][0]['price']
for i in book['bids']:
if i['price'] == bid_price:
quantity += (i['quantity'] - i['quantity_filled'])
if quantity >=25000:
quantity = 25000
resp = api_calls.send_order(session, ticker, min(quantity,abs(vol)), "LIMIT", "SELL", bid_price)
if resp != -1:
return resp['order_id']
elif action == "BUY":
if price <= book['asks'][0]['price']:
ask_price = book['asks'][0]['price']
for i in book['asks']:
if i['price'] == ask_price:
quantity = i['quantity'] - i['quantity_filled']
if quantity >=25000:
quantity = 25000
resp = api_calls.send_order(session, ticker, min(quantity,abs(vol)), "LIMIT", "BUY", ask_price)
if resp != -1:
return resp['order_id']
def unwind_handler(self, tick, session):
print('hit unwind_handler')
print(self.data)
ticker_price = {'TAME': -1, 'CRZY': -1}
#first sell required amount to clear in required time
for ticker in self.tickers:
book = api_calls.get_trading_data(session, ticker)
if self.data[ticker]["time_to_sell"] != 0 and (
self.trade_limit[ticker] == False):
amount_required = self.data[ticker][
'current_stock'] // self.data[ticker]["time_to_sell"]
print("Amount Required", amount_required)
if amount_required > 0:
api_calls.send_order(session, ticker, abs(amount_required),
"MARKET", "SELL", 0)
self.data[ticker]["time_to_sell"] -= 1
self.data[ticker]['current_stock'] -= amount_required
ticker_price[ticker] = book['bids'][0]['price']
elif amount_required < 0:
api_calls.send_order(session, ticker, abs(amount_required),
"MARKET", "BUY", 0)
self.data[ticker]["time_to_sell"] -= 1
self.data[ticker]['current_stock'] -= amount_required
ticker_price[ticker] = book['asks'][0]['price']
else:
pass
for ticker in self.tickers:
if self.data[ticker]["time_to_sell"] != 0 and (
self.trade_limit[ticker] == False):
curr_stock = self.data[ticker]['current_stock']
if curr_stock > 0:
amount = self.microtrade(ticker, "SELL",
self.data[ticker]['tender_price'],
session, curr_stock,
ticker_price[ticker])
if amount != None:
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
self.data[ticker]['time_to_sell'] = (
(curr_stock - amount) /
curr_stock) * self.data[ticker]['time_to_sell']
elif curr_stock < 0:
amount = self.microtrade(ticker, "BUY",
self.data[ticker]['tender_price'],
session, curr_stock,
ticker_price[ticker])
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
if amount != None:
print('SOLD additional', amount)
print("prev time", self.data[ticker]['time_to_sell'])
self.data[ticker]['time_to_sell'] = (
(curr_stock - amount) /
curr_stock) * self.data[ticker]['time_to_sell']
else:
pass
def microtrade(self, ticker, action, price, session, vol, prev_price):
book = api_calls.get_trading_data(session, ticker)
#if we want to sell, check is buying price has stayed same or gone higher
quantity = 0
if action == "SELL":
if price >= book['bids'][0]['price']:
print('additional scalp')
bid_price = book['bids'][0]['price']
for i in book['bids']:
if i['price'] == bid_price:
quantity += (i['quantity'] - i['quantity_filled'])
if ticker == "TAME":
if quantity >= 10000:
quantity = 10000
elif ticker == "CRZY":
if quantity >= 25000:
quantity = 25000
o_id = api_calls.send_order(session, ticker,
min(quantity, abs(vol)), "LIMIT",
"SELL", bid_price)['order_id']
order_exist = False
while (order_exist == False):
order_exist = api_calls.order_exists(session, o_id)
if api_calls.is_filled(session, o_id):
return min(quantity, abs(vol))
else:
api_calls.cancel_order(session, o_id)
return 0
elif action == "BUY":
if price <= book['asks'][0]['price']:
print('additional scalp')
ask_price = book['asks'][0]['price']
for i in book['asks']:
if i['price'] == ask_price:
quantity = i['quantity'] - i['quantity_filled']
if ticker == "TAME":
if quantity >= 10000:
quantity = 10000
elif ticker == "CRZY":
if quantity >= 25000:
quantity = 25000
o_id = api_calls.send_order(session, ticker,
min(quantity, abs(vol)), "LIMIT",
"BUY", ask_price)
order_exist = False
while (order_exist == False):
order_exist = api_calls.order_exists(session, o_id)
if api_calls.is_filled(session, o_id):
return min(quantity, abs(vol))
else:
api_calls.cancel_order(session, o_id)
return 0
def unwind_handler(self, tick, session):
print('hit unwind_handler')
print(self.data)
#first sell required amount to clear in required time
for ticker in self.tickers:
if self.data[ticker]["time_to_sell"]!=0 and (self.trade_limit[ticker]==False):
amount_required = self.data[ticker]['current_stock']//self.data[ticker]["time_to_sell"]
print("Amount Required", amount_required)
if amount_required>0:
api_calls.send_order(session, ticker, abs(amount_required), "MARKET", "SELL", 0)
self.data[ticker]["time_to_sell"] -=1
elif amount_required<0:
api_calls.send_order(session, ticker, abs(amount_required), "MARKET", "BUY", 0)
self.data[ticker]["time_to_sell"] -=1
else:
pass
def liquidate(s):
#get all orders
#cancel all orders
orders = api_calls.get_orders(s,"OPEN")
while len(orders)>0:
for order in orders:
api_calls.cancel_order(s, order['order_id'])
orders = api_calls.get_orders(s,"OPEN")
print('hit liquidate, no open orders found')
securities = api_calls.get_securities(s)
position = securities[0]['position']
if position !=0:
print('position', position)
if position >0:
max_bid = max(securities[0]['bid'], securities[1]['bid'])
for security in securities:
if security['bid'] == max_bid:
api_calls.send_order(s, security['ticker'], security['position'], "MARKET", "SELL", 0)
print('sent offsetting sell order')
break
else:
min_ask = min(securities[0]['ask'], securities[1]['ask'])
for security in securities:
if security['ask'] == min_ask:
api_calls.send_order(s, security['ticker'], -security['position'], "MARKET", "BUY", 0)
print('sent offsetting buy order')
break
securities = api_calls.get_securities(s)
position = securities[0]['position']
if position != 0:
time.sleep(1)
if api_calls.get_status(s) == "ACTIVE":
securities = api_calls.get_securities(s)
position = securities[0]['position']
if position !=0:
print('position', position)
if position >0:
max_bid = max(securities[0]['bid'], securities[1]['bid'])
for security in securities:
if security['bid'] == max_bid:
try:
api_calls.send_order(s, security['ticker'], security['position'], "MARKET", "SELL", 0)
except:
print('order failed')
print('sent offsetting sell order')
break
else:
min_ask = min(securities[0]['ask'], securities[1]['ask'])
for security in securities:
if security['ask'] == min_ask:
try:
api_calls.send_order(s, security['ticker'], -security['position'], "MARKET", "BUY", 0)
except:
print('order failed')
print('sent offsetting buy order')
break
def tick_handler(s, tick,tickers):
payload = get_max_vol(s)
if payload == -1:
return
target_volume = payload['volume']
curr_tick = tick
continue_arb = True
while target_volume!=0 and curr_tick == tick and continue_arb == True:
#make the order
if target_volume >=10000:
# print("Arbiting 10000")
o_id1 = api_calls.send_order(s, "CRZY_M", 10000, "LIMIT", payload['CRZY_M']['ACTION'], payload['CRZY_M']['PRICE'])['order_id']
o_id2 = api_calls.send_order(s, "CRZY_A", 10000, "LIMIT", payload['CRZY_A']['ACTION'], payload['CRZY_A']['PRICE'] )['order_id']
target_volume -= 10000
else:
# print("Arbiting", target_volume)
o_id1 = api_calls.send_order(s, "CRZY_M", target_volume, "LIMIT", payload['CRZY_M']['ACTION'], payload['CRZY_M']['PRICE'] )['order_id']
o_id2 = api_calls.send_order(s, "CRZY_A", target_volume, "LIMIT", payload['CRZY_A']['ACTION'], payload['CRZY_A']['PRICE'] )['order_id']
target_volume = 0
#wait for trades to be be on the order books
order1_exist = False
order2_exist = False
while (order1_exist == False) and (order2_exist == False):
order1_exist = api_calls.order_exists(s, o_id1)
order2_exist = api_calls.order_exists(s, o_id2)
time.sleep(0.1)
#wait for order to be completed
order1_filled = False
order2_filled = False
order1_filled = api_calls.is_filled(s,o_id1)
order2_filled = api_calls.is_filled(s,o_id2)
if order1_filled and order2_filled:
continue_arb = True
# print("ORDERS ALL FILLED")
else:
while (order1_filled == False) and (order2_filled == False):
order1_filled = api_calls.is_filled(s,o_id1)
order2_filled = api_calls.is_filled(s,o_id2)
# print('after filled')
api_calls.cancel_order(s,o_id1)
api_calls.cancel_order(s,o_id2)
#get positions and liquidate
liquidate(s)
continue_arb = False
def trading(self, ticker, tick, session):
#for each time period, sell x units
#assume volume is the same
rem_ticks = (299 - tick)
action = None
print(self.data[ticker]['current_stock'])
if self.data[ticker]['current_stock'] > 0:
action = "SELL"
elif self.data[ticker]['current_stock'] < 0:
action = "BUY"
if self.data[ticker]['current_stock'] != 0:
if rem_ticks == 0:
api_calls.send_order(session, ticker,
abs(self.data[ticker]['current_stock']),
"MARKET", action, 0)
else:
api_calls.send_order(
session, ticker,
abs(self.data[ticker]['current_stock'] // rem_ticks),
"MARKET", action, 0)