def on_order_book(self, order_book: OrderBook):
"""
Actions to be performed when the strategy is running and receives an order book.
Parameters
----------
order_book : OrderBook
The order book received.
"""
# self.log.debug(
# f"Received {repr(order_book)}"
# ) # For debugging (must add a subscription)
if order_book.spread():
self.update_midpoint(order_book=order_book)
self.log.debug(f"on_order_book {self._in_flight}")
self.trigger()
class BetfairTestStrategy(TradingStrategy):
"""
A simple quoting strategy
Cancels all orders and flattens all positions on stop.
"""
def __init__(
self,
instrument_filter: dict,
trade_size: Decimal,
order_id_tag: str, # Must be unique at 'trader level'
theo_change_threshold=Decimal(0.01), # noqa (B008)
market_width=Decimal(0.05), # noqa (B008)
):
"""
Initialize a new instance of the ``BetfairTestStrategy`` class.
Parameters
----------
instrument_filter: dict
The dict of filters to search for an instrument
theo_change_threshold: Decimal
trade_size : Decimal
The position size per trade.
order_id_tag : str
The unique order identifier tag for the strategy. Must be unique
amongst all running strategies for a particular trader identifier.
"""
super().__init__(order_id_tag=order_id_tag)
self.instrument_filter = instrument_filter
self.theo_change_threshold = theo_change_threshold
self.instrument_id = None
self.midpoint = None
self.trade_size = trade_size
self.market_width = market_width
self._in_flight = set()
self._state = "START"
def on_start(self):
"""Actions to be performed on strategy start."""
self.request_data(
"BETFAIR",
DataType(InstrumentSearch, metadata=self.instrument_filter))
def on_event(self, event: Event):
self.log.info(f"on_event: {event}")
if isinstance(event, (OrderAccepted, OrderUpdated, OrderCanceled)):
self._in_flight.remove(event.client_order_id)
self.trigger()
def on_data(self, data: Data):
# self.log.debug(str(data))
if isinstance(data, InstrumentSearch):
# Find and set instrument
self.log.info(
f"Received {len(data.instruments)} from instrument search")
self.instrument_id = data.instruments[0].id
# Subscribe to live data
self.subscribe_order_book_deltas(
instrument_id=self.instrument_id,
level=BookLevel.L2,
)
self.book = OrderBook(
instrument_id=self.instrument_id,
level=BookLevel.L2,
)
def on_order_book_delta(self, delta: OrderBookDelta):
"""
Actions to be performed when the strategy is running and receives an order book.
Parameters
----------
delta : OrderBookDelta
The order book received.
"""
# self.log.debug(
# f"Received {repr(order_book)}"
# ) # For debugging (must add a subscription)
self.book.apply(delta)
if self.book.spread():
self.update_midpoint(order_book=self.book)
self.log.info(f"on_order_book {self._in_flight}")
self.trigger()
def on_order_book(self, order_book: OrderBook):
"""
Actions to be performed when the strategy is running and receives an order book.
Parameters
----------
order_book : OrderBook
The order book received.
"""
# self.log.debug(
# f"Received {repr(order_book)}"
# ) # For debugging (must add a subscription)
if order_book.spread():
self.update_midpoint(order_book=order_book)
self.log.info(f"on_order_book {self._in_flight}")
self.trigger()
def trigger(self):
if self._state == "START" and self.midpoint:
self.log.info("Sending orders", color=LogColor.YELLOW)
self.send_orders(midpoint=self.midpoint)
elif self._state == "UPDATE" and not self._in_flight:
self.log.info("Sending order update...", color=LogColor.YELLOW)
for client_order_id in self.cache.client_order_ids_working():
order = self.cache.order(client_order_id)
new_price = (order.price * 0.90 if order.side == OrderSide.BUY
else order.price * 1.10)
self._in_flight.add(order.client_order_id)
self.update_order(order=order,
price=Price(new_price, precision=5))
self._state = "CANCEL"
self.log.info(f"Trigger cancel {self._in_flight}",
color=LogColor.YELLOW)
elif self._state == "CANCEL" and not self._in_flight:
orders = self.cache.orders()
self.log.info(f"Sending cancel for orders: {orders}",
color=LogColor.YELLOW)
for order in orders:
self.cancel_order(order=order)
self._in_flight.add(order.client_order_id)
self._state = "COMPLETE"
elif self._state == "COMPLETE":
self.log.info("Complete - shutting down", color=LogColor.YELLOW)
self.stop()
def update_midpoint(self, order_book: OrderBook):
"""
Check if midpoint has moved more than threshold, if so , update quotes.
"""
midpoint = Decimal(order_book.best_ask_price() +
order_book.best_bid_price()) / Decimal(2.0)
self.log.info(f"midpoint: {midpoint}, prev: {self.midpoint}")
if (abs(midpoint - (self.midpoint or Decimal(-1e15))) >
self.theo_change_threshold):
self.log.info("Theo updating", LogColor.BLUE)
self.midpoint = midpoint
def send_orders(self, midpoint):
# sell_price = midpoint + (self.market_width / Decimal(2.0))
buy_price = midpoint - (self.market_width / Decimal(2.0))
self.buy(price=buy_price)
# self.sell(price=sell_price)
self._state = "UPDATE"
def buy(self, price):
"""
Users simple buy method (example).
"""
order: LimitOrder = self.order_factory.limit(
instrument_id=self.instrument_id,
price=Price(price, precision=5),
order_side=OrderSide.BUY,
quantity=Quantity(self.trade_size, precision=0),
time_in_force=TimeInForce.GTC,
)
self._in_flight.add(order.client_order_id)
self.submit_order(order)
def sell(self, price):
"""
Users simple sell method (example).
"""
order: LimitOrder = self.order_factory.limit(
instrument_id=self.instrument_id,
order_side=OrderSide.SELL,
price=Price(price + (self.market_width / Decimal(2.0)),
precision=5),
quantity=Quantity(self.trade_size, precision=0),
time_in_force=TimeInForce.GTC,
)
self._in_flight.add(order.client_order_id)
self.submit_order(order)
def on_stop(self):
"""
Actions to be performed when the strategy is stopped.
"""
self.cancel_all_orders(self.instrument_id)
self.flatten_all_positions(self.instrument_id)
