def fundamental_value(self, orderbook):
depth = Money('20', 'BTC')
try:
fundamental_value = midpoint.get_midpoint_from_orderbook(
orderbook, depth)
except:
# Some very illiquid exchanges don't always have 20 BTC of depth.
depth = Money('1', 'BTC')
fundamental_value = midpoint.get_midpoint_from_orderbook(
orderbook, depth)
return fundamental_value
def test_bigger_with_depth(self):
result = midpoint.get_midpoint_from_orderbook(
self.bigger_book(),
depth=Money('20', 'BTC'),
)
result.should.equal(Money('252', 'USD'))
def test_basic_with_depth(self):
result = midpoint.get_midpoint_from_orderbook(
self.basic_book(price_currency='BTC', vol_currency='ETH'),
depth=Money('0.5', 'ETH'),
)
result.should.equal(Money('250', 'BTC'))
def orderbook_strength_at_slippage_in_usd(orderbook, order_type, slippage):
"""
Get the amount of liquidity (bitcoin denominated) available within [slippage]
dollars of the top [order_type].
Returns a decimal.
"""
midpoint = midpoint_lib.get_midpoint_from_orderbook(
orderbook, Money('20', 'BTC'))
vol = Money('0', 'BTC')
if order_type == Consts.BID:
top_bid = orderbook['bids'][0]
price = top_bid.price - slippage
vol = available_volume.volume_available_at_price(
Consts.ASK, price, orderbook)
else:
top_ask = orderbook['asks'][0]
price = top_ask.price + slippage
vol = available_volume.volume_available_at_price(
Consts.BID, price, orderbook)
return vol.amount * midpoint.amount
def midpoint_centered_fixed_spread(orderbook, spread, quote_depth=None):
"""
"""
midpoint = midpoint_lib.get_midpoint_from_orderbook(orderbook,
depth=quote_depth)
bid_price = midpoint - (midpoint * spread)
ask_price = midpoint + (midpoint * spread)
return bid_price, ask_price
def orderbook_strength_at_slippages_in_usd(orderbook, order_type, slippages):
"""
Same as orderbook_strength_at_slippage but instead of returning the levels as a
bitcoin-denominated quantity, we return the levels as to the usd value of the
bitcoins at that level, which we definine as level * 20btc midpoint.
Returns a decimal: decimal dict.
"""
midpoint = midpoint_lib.get_midpoint_from_orderbook(
orderbook, Money('20', 'BTC'))
slippage_lookup = {}
if order_type == Consts.BID:
top_bid = orderbook['bids'][0]
prices = [top_bid.price - slippage for slippage in slippages]
slippage_lookup = {(top_bid.price - slippage).amount: slippage
for slippage in slippages}
levels = available_volume.volume_available_at_prices(
Consts.ASK,
prices,
orderbook,
)
else:
top_ask = orderbook['asks'][0]
prices = [top_ask.price + slippage for slippage in slippages]
slippage_lookup = {(top_ask.price + slippage).amount: slippage
for slippage in slippages}
levels = available_volume.volume_available_at_prices(
Consts.BID,
prices,
orderbook,
)
levels = {
slippage_lookup[price].amount: value.amount * midpoint.amount
for price, value in levels.items()
}
return levels
def tick(self, current_orders, eaten_order_ids):
self.logger.debug("--Strategy Tick--")
# Desk can be our runtime mock, when operating without exchange...
ob, current_orders, eaten_order_ids = self.desk.tick(
current_orders=current_orders, eaten_orders=eaten_order_ids)
# NOTE : we currently minimize the number of simultaneous trades, to avoid unintended tricky behavior...
balance = self.primary_exchange.get_balance()
midpoint = midpoint_lib.get_midpoint_from_orderbook(ob)
#self.midpoints += midpoint
self.logger.info("Current midpoint of orderbook : " + str(midpoint))
self.logger.info("Ephemeral position: " +
str(self.position_tracker.position))
# if self.position_tracker.position != self.primary_exchange.exchange_account.position:
# self.logger.warning("Exchange position: " + str(self.primary_exchange.exchange_account.position))
# Preparing to enter BET...
def on_bear_trend():
# Ultimately make decision
#self.logger.info("Attempting to enter a new position...")
#self.position_tracker.market_enter(bid_price=midpoint, bid_volume=self.base_volume)
pass
# TODO : reverse trend ? or only useful for mixed currency bag as quote ??
def on_bull_trend():
if not self.position_tracker.position or (
self.position_tracker.exited
and not self.position_tracker.entering):
# Ultimately make decision
self.logger.info("Attempting to enter at market price...")
self.position_tracker.market_enter(bid_volume=self.base_volume)
self.market_observer.tick(midpoint,
on_bull_trend=on_bull_trend,
on_bear_trend=on_bear_trend)
# If we currently track a position (from this run)
if self.position_tracker.position and self.position_tracker.entered and not self.position_tracker.exiting:
# we can attempt an exit
exit_profit_price = self.position_tracker.exit_profit_price(
quote_currency=self.quote_currency,
volume_currency=self.volume_currency)
self.logger.info("Targetted profit price: " +
str(exit_profit_price))
if exit_profit_price:
# TODO
# if timeout:
# else:
if midpoint > exit_profit_price:
#if midpoint is already above, exit at market !
self.logger.info(
"Attempting to exit at targetted profit price...")
self.position_tracker.market_exit()
else:
# else exit limit
self.logger.info("Attempting to exit at market price...")
self.position_tracker.limit_exit(exit_profit_price)
else:
self.logger.error("Cannot calculate exit profit price")
def test_bigger(self):
result = midpoint.get_midpoint_from_orderbook(self.basic_book())
result.should.equal(Money('250', 'USD'))
def test_basic_crypto_crypto(self):
result = midpoint.get_midpoint_from_orderbook(
self.basic_book(price_currency='BTC', vol_currency='ETH'),
)
result.should.equal(Money('250', 'BTC'))
def test_basic_non_btc(self):
result = midpoint.get_midpoint_from_orderbook(
self.basic_book(vol_currency='ETH'),
)
result.should.equal(Money('250', 'USD'))
def tick(self, current_orders):
self.logger.debug("--Strategy Tick--")
self.logger.info("Current Orders: " + str(current_orders))
# Question : Can we detect fulfilled orders ?
# upon fulfilled order we can increase spread base on volatility
# otherwise we should probably decrease spread to get order fulfilled....
ob = self.primary_exchange.get_orderbook()
self.midpoints += midpoint_lib.get_midpoint_from_orderbook(ob)
# SAFETY
# if (hasattr(self, 'last_ask_price') and self.last_ask_price < self.midpoint) or (hasattr(self, 'last_bid_price') and self.last_bid_price > self.midpoint):
# # spread was not high enough ! We likely lost money here -> correct quickly
# self.logger.warning("HIGH VOLATILITY encountered -> adjusting spread")
# self.spread *= self.spread_coef_on_loss
# #TODO : maybe terminate instead, with advice to change spread ? by some amount ?
# TODO : calculate local volatility... (or reuse some indicator ??? -> see TA-lib)
# Then based on volatility adjust spread | base_volume | tick_sleep, within exchange/user acceptable limits...
# since we cancel and reopen order, we only need local volatility.
# Note we probably do not want to slow down tick_sleep to not miss trend/volatility changes.
# -> We should play on spread + base_volume only
# OPTIMIZATION
if self.midpoints.volatility(last=1):
self.volat += self.midpoints.volatility(
last=1) # TODO : since last successful order...
if self.volat.last()[1] < 0:
self.logger.info("Price went down. skipping this tick...")
# TODO : manage bear markets with shorts and leverage...
elif self.volat.last(
)[1] > 0: # we only want bull micro market for now
# We bet on the volatility to come to be the same as the one past,
print("Volatility derivative :" + str(self.volat.deriv()))
# TODO : define what value derivative of volatility should be
# and set the spread based on that.
self.spread = self.volat.last()[1] / 2
# TODO : reduce spread if expectation failed (order not passed), to maximize likelyhood to pass order...
# TODO: increase spread if successful order passed, trying to maximize profit on volatile markets
# for constant tick period, we need increased spread, and reduced base_volume
#self.spread = self.spread_adjust_coef * (self.volat - self.last_volat) + self.spread # adjusting spread relative to volatility
self.logger.info("Volatility: " + str(self.volat))
self.logger.info("Spread: " + str(self.spread))
# TODO : take fees into account to remain profitable
exchange_fees = self.primary_exchange.exchange_wrapper.fee
if self.spread < exchange_fees * self.base_volume:
self.logger.info("Fees would be too high : " +
str(exchange_fees * self.base_volume) +
" vs spread of " + str(self.spread))
else:
self.logger.info("Spread : " + str(self.spread) +
" is larger than expected fees : " +
str(exchange_fees * self.base_volume))
# Base volume increase means increased risk (maybe more than spread decrease).
# We want to increase base volume when volatility doesnt change 'much'...
# TODO : self.relative_volat_change = abs(self.volat - self.last_volat) / self.last_volat
# relative change of base_volume
# TODO : self.base_volume = self.base_volume_adjust_coef * (1-self.relative_volat_change) * self.base_volume + self.base_volume
# TODO : have a minimum volume to exchange + slowly limit to that when volatility detected.
# TODO : increase volume on non volatility/'less volatile than expected'... + profit ? how to measure that here ?
# TODO: use profit measurement to adjust the adjust_coefs (machine learning stuff ?)...
# #Note : the speed of adjustment is critical to be in front of order fullfilment.
# -> Check control theory for a converging / asymptotic optimisation of control (yet easily reversible if needed...)
bid_price, ask_price = mm.midpoint_centered_fixed_spread(
ob, self.spread)
# TODO : improve by doing everything based on ohlcv since last check...
bid_volume, ask_volume = mm.simple_position_responsive_sizing(
self.base_volume,
self.position,
)
self.logger.info("balance: " +
str(self.primary_exchange.get_balance()))
self.logger.info("bid volume: " + str(bid_volume) +
" price: " + str(bid_price))
self.logger.info("ask volume: " + str(ask_volume) +
" price: " + str(ask_price))
placeable_bid = self.primary_exchange.get_balance().get(
bid_price.currency
).amount >= bid_price.amount * bid_volume.amount
placeable_ask = self.primary_exchange.get_balance().get(
ask_volume.currency).amount >= ask_volume.amount
# TODO : maybe we do not need to cancel everything everytime ?
self.primary_exchange.cancel_all_open_orders()
# Place order only if we can...
if placeable_bid:
self.primary_exchange.limit_order(
Consts.BID, bid_volume, bid_price)
# Place order only if we can...
if placeable_ask:
self.primary_exchange.limit_order(
Consts.ASK, ask_volume, ask_price)
self.last_bid_price = bid_price
self.last_ask_price = ask_price