def liquidity_trader_order(simulation_id, stock_id):
simulation = Simulation.objects.get(pk=simulation_id)
stock = Stock.objects.get(pk=stock_id)
team = Team.objects.get(current_simulation_id=simulation_id, team_type=Team.LIQUIDITY_MANAGER)
shares = current_shares(team.id, stock.id)
day_duration = simulation.ticker.day_duration
first_order_type = [Order.BID, Order.ASK]
second_order_type = first_order_type.pop(randint(0, 1))
first_order_type = first_order_type[0]
first_order_time = randint(0, int(day_duration/4*3/2))
second_order_time = int(day_duration/4*3/2) - first_order_time + randint(0, int(day_duration/4*3/2))
#open_quantity = Order.objects.all().filter(stock_id=stock.id, order_type=second_order_type, price__isnull=False, quantity__lt=200).aggregate(Sum('quantity'))['quantity__sum']
#if open_quantity:
quantity = randint(0, int(shares*0.05))
if quantity > 0:
create_order.apply_async(args=[stock.id, team.id, first_order_type, quantity], countdown=first_order_time)
#open_quantity = Order.objects.all().filter(stock_id=stock.id, order_type=first_order_type, price__isnull=False, quantity__lt=200).aggregate(Sum('quantity'))['quantity__sum']
#if open_quantity:
quantity = randint(0, int(shares*0.05))
if quantity > 0:
create_order.apply_async(args=[stock.id, team.id, second_order_type, quantity], countdown=second_order_time)
def process_order(simulation, sell_order, buy_order, quantity, force=False):
"""
Fulfill two matching orders.
.. note:: This is called by :func:`check_matching_orders`
:param simulation: A simulation object.
:param sell_order: An order object (sell).
:param buy_order: An order object (buy).
:param quantity: The quantity to exchange (could be a partial fulfillment).
:return: Nothing.
"""
stock = Stock.objects.get(pk=sell_order.stock_id)
ready_to_process = True
new_transaction = Transaction(simulation=simulation, transaction_type=Transaction.ORDER)
new_transaction.save()
price = 0
new_sell_order = None
new_buy_order = None
if sell_order.price and not buy_order.price:
price = sell_order.price
elif buy_order.price and not sell_order.price:
price = buy_order.price
elif buy_order.price == sell_order.price:
price = sell_order.price
else:
# Due to rounding differences
price = (buy_order.price + sell_order.price)/2
print("PRICE: %s" % price)
if stock.price == 0 and stock.opening_price == 0:
# TODO: Check if we need to do something here
# We open the market
pass
elif force:
ready_to_process = True
if current_shares(sell_order.team_id, sell_order.stock_id) < quantity:
ready_to_process = False
sell_order.state = Order.FAILED
sell_order.save()
if current_cash(buy_order.team_id, simulation.id) < quantity * price:
ready_to_process = False
buy_order.state = Order.FAILED
buy_order.save()
if buy_order.team.team_type == Team.LIQUIDITY_MANAGER or sell_order.team.team_type == Team.LIQUIDITY_MANAGER:
# TODO tester qu'il y a au moins x teams avant de passer la transaction
bids = Order.objects.filter(state=Order.SUBMITTED, stock=stock, order_type=Order.BID).count()
asks = Order.objects.filter(state=Order.SUBMITTED, stock=stock, order_type=Order.ASK).count()
if bids > 3 and asks > 3:
try:
max_bid = Order.objects.filter(state=Order.SUBMITTED, stock=stock, order_type=Order.BID).order_by('-price')[0]
max_bid_price = max_bid.price
except IndexError:
max_bid_price = False
try:
min_ask = Order.objects.filter(state=Order.SUBMITTED, stock=stock, order_type=Order.ASK).order_by('price')[0]
min_ask_price = min_ask.price
except IndexError:
min_ask_price = False
# TODO Implement better test!
if price > Decimal(655.50):
ready_to_process = False
elif price > Decimal(1.5) * stock.price or price < Decimal(0.5) * stock.price:
ready_to_process = False
elif max_bid_price and min_ask_price:
try:
spread = min_ask_price - max_bid_price
mean = (min_ask_price + max_bid_price)/2
except:
spread = None
mean = 0
# It's too dangerous for the liquidity manager
if spread:
if spread > mean*Decimal(0.33):
# It's too dangerous for the liquidity manager
if buy_order.team.team_type == Team.LIQUIDITY_MANAGER:
buy_order.price = max_bid_price * Decimal(1.1)
buy_order.save()
ready_to_process = False
if sell_order.team.team_type == Team.LIQUIDITY_MANAGER:
sell_order.price = min_ask_price * Decimal(0.9)
sell_order.save()
ready_to_process = False
else:
ready_to_process = False
else:
ready_to_process = False
if price > 0 and ready_to_process:
sell = TransactionLine(transaction=new_transaction, stock=stock, team=sell_order.team,
quantity=-1*quantity, price=price, amount=-1*quantity*price,
asset_type=TransactionLine.STOCKS)
sell_revenue = TransactionLine(transaction=new_transaction, team=sell_order.team,
quantity=1, price=quantity*price, amount=quantity*price,
asset_type=TransactionLine.CASH)
buy = TransactionLine(transaction=new_transaction, stock=stock, team=buy_order.team,
quantity=quantity, price=price, amount=quantity*price,
asset_type=TransactionLine.STOCKS)
buy_cost = TransactionLine(transaction=new_transaction, team=buy_order.team,
quantity=quantity, price=-1*quantity*price, amount=-1*quantity*price,
asset_type=TransactionLine.CASH)
if sell_order.quantity != quantity:
new_sell_order = Order(stock=stock, team=sell_order.team, order_type=sell_order.order_type,
quantity=sell_order.quantity-quantity, price=sell_order.price,
created_at=sell_order.created_at)
sell_order.quantity = quantity
if buy_order.quantity != quantity:
new_buy_order = Order(stock=stock, team=buy_order.team, order_type=buy_order.order_type,
quantity=buy_order.quantity-quantity, price=buy_order.price,
created_at=buy_order.created_at)
buy_order.quantity = quantity
sell.save()
sell_revenue.save()
buy.save()
buy_cost.save()
sell_order.transaction = new_transaction
sell_order.state = Order.PROCESSED
sell_order.save()
buy_order.transaction = new_transaction
buy_order.state = Order.PROCESSED
buy_order.save()
set_stock_quote.apply_async([stock.id, price])
if new_sell_order:
new_sell_order.save()
if new_buy_order:
new_buy_order.save()
if simulation.transaction_cost > 0:
tc_sell = TransactionLine(transaction=new_transaction, team=sell_order.team,
quantity=-1, price=simulation.transaction_cost,
amount=-1*simulation.transaction_cost, asset_type=TransactionLine.TRANSACTIONS)
tc_buy = TransactionLine(transaction=new_transaction, team=buy_order.team,
quantity=-1, price=simulation.transaction_cost,
amount=-1*simulation.transaction_cost, asset_type=TransactionLine.TRANSACTIONS)
tc_sell.save()
tc_buy.save()
if simulation.variable_transaction_cost > 0:
transaction_price = float(price) * simulation.variable_transaction_cost / 100
tc_sell = TransactionLine(transaction=new_transaction, team=sell_order.team,
quantity=-1*quantity, price=Decimal(transaction_price),
amount=Decimal(-1*quantity*transaction_price),
asset_type=TransactionLine.TRANSACTIONS)
tc_buy = TransactionLine(transaction=new_transaction, team=buy_order.team,
quantity=-1*quantity, price=Decimal(transaction_price),
amount=Decimal(-1*quantity*transaction_price),
asset_type=TransactionLine.TRANSACTIONS)
tc_sell.save()
tc_buy.save()
def process_order(simulation, sell_order, buy_order, quantity, force=False):
"""
Fulfill two matching orders.
.. note:: This is called by :func:`check_matching_orders`
:param simulation: A simulation object.
:param sell_order: An order object (sell).
:param buy_order: An order object (buy).
:param quantity: The quantity to exchange (could be a partial fulfillment).
:return: Nothing.
"""
stock = Stock.objects.get(pk=sell_order.stock_id)
ready_to_process = True
new_transaction = Transaction(simulation=simulation,
transaction_type=Transaction.ORDER)
new_transaction.save()
price = 0
new_sell_order = None
new_buy_order = None
if sell_order.price and not buy_order.price:
price = sell_order.price
elif buy_order.price and not sell_order.price:
price = buy_order.price
elif buy_order.price == sell_order.price:
price = sell_order.price
else:
# Due to rounding differences
price = (buy_order.price + sell_order.price) / 2
print("PRICE: %s" % price)
if stock.price == 0 and stock.opening_price == 0:
# TODO: Check if we need to do something here
# We open the market
pass
elif force:
ready_to_process = True
if current_shares(sell_order.team_id, sell_order.stock_id) < quantity:
ready_to_process = False
sell_order.state = Order.FAILED
sell_order.save()
if current_cash(buy_order.team_id, simulation.id) < quantity * price:
ready_to_process = False
buy_order.state = Order.FAILED
buy_order.save()
if buy_order.team.team_type == Team.LIQUIDITY_MANAGER or sell_order.team.team_type == Team.LIQUIDITY_MANAGER:
# TODO tester qu'il y a au moins x teams avant de passer la transaction
bids = Order.objects.filter(state=Order.SUBMITTED,
stock=stock,
order_type=Order.BID).count()
asks = Order.objects.filter(state=Order.SUBMITTED,
stock=stock,
order_type=Order.ASK).count()
if bids > 3 and asks > 3:
try:
max_bid = Order.objects.filter(
state=Order.SUBMITTED, stock=stock,
order_type=Order.BID).order_by('-price')[0]
max_bid_price = max_bid.price
except IndexError:
max_bid_price = False
try:
min_ask = Order.objects.filter(
state=Order.SUBMITTED, stock=stock,
order_type=Order.ASK).order_by('price')[0]
min_ask_price = min_ask.price
except IndexError:
min_ask_price = False
# TODO Implement better test!
if price > Decimal(655.50):
ready_to_process = False
elif price > Decimal(1.5) * stock.price or price < Decimal(
0.5) * stock.price:
ready_to_process = False
elif max_bid_price and min_ask_price:
try:
spread = min_ask_price - max_bid_price
mean = (min_ask_price + max_bid_price) / 2
except:
spread = None
mean = 0
# It's too dangerous for the liquidity manager
if spread:
if spread > mean * Decimal(0.33):
# It's too dangerous for the liquidity manager
if buy_order.team.team_type == Team.LIQUIDITY_MANAGER:
buy_order.price = max_bid_price * Decimal(1.1)
buy_order.save()
ready_to_process = False
if sell_order.team.team_type == Team.LIQUIDITY_MANAGER:
sell_order.price = min_ask_price * Decimal(0.9)
sell_order.save()
ready_to_process = False
else:
ready_to_process = False
else:
ready_to_process = False
if price > 0 and ready_to_process:
sell = TransactionLine(transaction=new_transaction,
stock=stock,
team=sell_order.team,
quantity=-1 * quantity,
price=price,
amount=-1 * quantity * price,
asset_type=TransactionLine.STOCKS)
sell_revenue = TransactionLine(transaction=new_transaction,
team=sell_order.team,
quantity=1,
price=quantity * price,
amount=quantity * price,
asset_type=TransactionLine.CASH)
buy = TransactionLine(transaction=new_transaction,
stock=stock,
team=buy_order.team,
quantity=quantity,
price=price,
amount=quantity * price,
asset_type=TransactionLine.STOCKS)
buy_cost = TransactionLine(transaction=new_transaction,
team=buy_order.team,
quantity=quantity,
price=-1 * quantity * price,
amount=-1 * quantity * price,
asset_type=TransactionLine.CASH)
if sell_order.quantity != quantity:
new_sell_order = Order(stock=stock,
team=sell_order.team,
order_type=sell_order.order_type,
quantity=sell_order.quantity - quantity,
price=sell_order.price,
created_at=sell_order.created_at)
sell_order.quantity = quantity
if buy_order.quantity != quantity:
new_buy_order = Order(stock=stock,
team=buy_order.team,
order_type=buy_order.order_type,
quantity=buy_order.quantity - quantity,
price=buy_order.price,
created_at=buy_order.created_at)
buy_order.quantity = quantity
sell.save()
sell_revenue.save()
buy.save()
buy_cost.save()
sell_order.transaction = new_transaction
sell_order.state = Order.PROCESSED
sell_order.save()
buy_order.transaction = new_transaction
buy_order.state = Order.PROCESSED
buy_order.save()
set_stock_quote.apply_async([stock.id, price])
if new_sell_order:
new_sell_order.save()
if new_buy_order:
new_buy_order.save()
if simulation.transaction_cost > 0:
tc_sell = TransactionLine(transaction=new_transaction,
team=sell_order.team,
quantity=-1,
price=simulation.transaction_cost,
amount=-1 * simulation.transaction_cost,
asset_type=TransactionLine.TRANSACTIONS)
tc_buy = TransactionLine(transaction=new_transaction,
team=buy_order.team,
quantity=-1,
price=simulation.transaction_cost,
amount=-1 * simulation.transaction_cost,
asset_type=TransactionLine.TRANSACTIONS)
tc_sell.save()
tc_buy.save()
if simulation.variable_transaction_cost > 0:
transaction_price = float(
price) * simulation.variable_transaction_cost / 100
tc_sell = TransactionLine(transaction=new_transaction,
team=sell_order.team,
quantity=-1 * quantity,
price=Decimal(transaction_price),
amount=Decimal(-1 * quantity *
transaction_price),
asset_type=TransactionLine.TRANSACTIONS)
tc_buy = TransactionLine(transaction=new_transaction,
team=buy_order.team,
quantity=-1 * quantity,
price=Decimal(transaction_price),
amount=Decimal(-1 * quantity *
transaction_price),
asset_type=TransactionLine.TRANSACTIONS)
tc_sell.save()
tc_buy.save()
