import tradersbot as tt
import time, threading
# news trading
t = tt.TradersBot('52.90.204.149', 'UTexas2', '45396823')
prices = {}
history = {} # ticker : [isBuy, quantity, price]
order_id = []
info = []
last_trade = 0.0
last = time.time()
# Initialize variables: positions, expectations, future customer orders, etc
position_limit = 5000
case_length = 450
cash = 0
position_lit = 0
position_dark = 0
topBid = 0
topAsk = 0
# Keeps track of prices
SECURITIES = {}
UNDERLYINGS = {}
MARKET_STATES = {}
TRADER_STATE = {}
end_time = None
import tradersbot as tt
import random
t = tt.TradersBot(host='127.0.0.1', id='trader0', password='******')
# Keeps track of prices
SECURITIES = {}
# Initializes the prices
def ack_register_method(msg, order):
global SECURITIES
security_dict = msg['case_meta']['securities']
for security in security_dict.keys():
if not (security_dict[security]['tradeable']):
continue
SECURITIES[security] = security_dict[security]['starting_price']
# Updates latest price
def market_update_method(msg, order):
global SECURITIES
SECURITIES[msg['market_state']
['ticker']] = msg['market_state']['last_price']
# Buys or sells in a random quantity every time it gets an update
# You do not need to buy/sell here
def trader_update_method(msg, order):
global SECURITIES
import numpy as np
import pandas as pd
from scipy.stats import norm
from scipy.optimize import brentq
import re
import tradersbot as tt
import sys
import datetime
t = tt.TradersBot(host=sys.argv[1], id=sys.argv[2], password=sys.argv[3])
# Keeps track of prices
SECURITIES = {}
HIST_VOL_CURVE = {}
TIME = 0
UNDERLYING_TICKER = 'TMXFUT'
TRADING_THRESHOLD = 0.05
LAST_ORDER_TIME = datetime.datetime.now()
ONE_SECOND = datetime.timedelta(seconds=1)
# Supporting Black Scholes
def d1(S, K, t, r, sigma): # see Hull, page 292
"""Calculate the d1 component of the Black-Scholes PDE.
"""
N = norm.cdf
sigma_squared = sigma * sigma
numerator = np.log(S / float(K)) + (r + sigma_squared / 2.) * t
denominator = sigma * np.sqrt(t)
if not denominator:
import tradersbot as tt import random import numpy as np import sklearn as sk import pandas as pd import pickle import sys from copy import deepcopy ########################################################### # Make sure you run pip install tradersbot before running # ########################################################### # Make a tradersbot t = tt.TradersBot(host='3.90.186.196', id='Harvard4', password='******') # Constants POS_LIMIT = 500 ORDER_LIMIT = 100 # Hyperparameters START_RELIABILITY = 30 MIN_RELIABILITY = 5 MEDIUM_RELIABILITY = 10 DEFAULT_CONFIDENCE = 5 MAX_TRADE_SZ = 1000 EDGE_DEMANDED = 0.5 MIN_EDGE_REQUIRED = 0.5
heapq.heappush(PREDICTIONS,
(prediction_time, ticker, source, prediction_price))
### HELPER FUNCTIONS
def deviation_to_probability(deviation):
return math.exp(-EPSILON * deviation**2)
def clean_up_positions(current_time, order):
while TO_CLEAR and TO_CLEAR[0][0] <= current_time:
_, ticker, volume = heapq.heappop(TO_CLEAR)
order.addBuy(ticker=ticker, quantity=volume, price=None)
def update_deviations(current_time):
while PREDICTIONS and PREDICTIONS[0][0] <= current_time:
_, ticker, source, prediction_price = heapq.heappop(PREDICTIONS)
difference = prediction_price - PRICES[ticker]
difference /= PRICES[ticker]
NEWS_DEVIATIONS[source] = NEWS_DEVIATIONS.get(source, 0) + difference
### OVERRIDE & RUN
bot = tt.TradersBot(**LOGIN)
bot.onAckRegister = ack_register_method
bot.onMarketUpdate = market_update_method
bot.onTraderUpdate = trader_update_method
bot.onNews = news_method
bot.run()
import tradersbot as tt
import time
import numpy
import pickle as pkl
import random
import string
import sys
i = int(sys.argv[1])
time.sleep(5)
t = tt.TradersBot(host='127.0.0.1', id='darkbot0', password='******')
tradelist = pkl.load(open('./utils/pkls/trade{0}.pkl'.format(i), 'r'))
tick = 0
ticks = {}
tokens = {}
ids = {}
def f(order):
global tick
global tokens
global ticks
global ids
if tick - 1 in ids:
xx = ids[tick - 1]
for cancel in xx:
order.addCancel(cancel[1], cancel[0])
token = ''.join(
random.choice(string.ascii_uppercase + string.digits)
