def buyer_strategy(order_book, open_orders, spreads):
time.sleep(10)
while True:
time.sleep(0.001)
if not open_orders.open_bid_order_id:
open_bid_price = order_book.bids.price_tree.max_key() - spreads.bid_spread
if 0.01 * float(open_bid_price) < float(open_orders.accounts['USD']['available']):
order = {'size': '0.01',
'price': str(open_bid_price),
'side': 'buy',
'product_id': 'BTC-USD',
'post_only': True}
response = requests.post(exchange_api_url + 'orders', json=order, auth=exchange_auth)
try:
response = response.json()
except ValueError:
file_logger.error('Unhandled response: {0}'.format(pformat(response)))
if 'status' in response and response['status'] == 'pending':
open_orders.open_bid_order_id = response['id']
open_orders.open_bid_price = open_bid_price
open_orders.open_bid_rejections = Decimal('0.0')
file_logger.info('new bid @ {0}'.format(open_bid_price))
elif 'status' in response and response['status'] == 'rejected':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
open_orders.open_bid_rejections += Decimal('0.04')
file_logger.warn('rejected: new bid @ {0}'.format(open_bid_price))
elif 'message' in response and response['message'] == 'Insufficient funds':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
file_logger.warn('Insufficient USD')
elif 'message' in response and response['message'] == 'request timestamp expired':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
file_logger.warn('Request timestamp expired')
else:
file_logger.error('Unhandled response: {0}'.format(pformat(response)))
continue
if open_orders.open_bid_order_id and not open_orders.open_bid_cancelled:
bid_too_far_out = open_orders.open_bid_price < (order_book.bids.price_tree.max_key()
- spreads.bid_too_far_adjustment_spread)
bid_too_close = open_orders.open_bid_price > (order_book.bids.price_tree.max_key()
- spreads.bid_too_close_adjustment_spread)
cancel_bid = bid_too_far_out or bid_too_close
if cancel_bid:
if bid_too_far_out:
file_logger.info('CANCEL: open bid {0} too far from best bid: {1} spread: {2}'.format(
open_orders.open_bid_price,
order_book.bids.price_tree.max_key(),
order_book.bids.price_tree.max_key() - open_orders.open_bid_price))
if bid_too_close:
file_logger.info('CANCEL: open bid {0} too close to best bid: {1} spread: {2}'.format(
open_orders.open_bid_price,
order_book.bids.price_tree.max_key(),
order_book.bids.price_tree.max_key() - open_orders.open_bid_price))
open_orders.cancel('bid')
continue
def market_maker_strategy(open_orders, order_book, spreads):
time.sleep(10)
open_orders.get_open_orders()
open_orders.cancel_all()
while True:
time.sleep(0.005)
if order_book.asks.price_tree.min_key() - order_book.bids.price_tree.max_key() < 0:
file_logger.warn('Negative spread: {0}'.format(
order_book.asks.price_tree.min_key() - order_book.bids.price_tree.max_key()))
continue
if not open_orders.open_bid_order_id:
open_bid_price = order_book.asks.price_tree.min_key() - spreads.bid_spread - open_orders.open_bid_rejections
if 0.01 * float(open_bid_price) < float(open_orders.accounts['USD']['available']):
order = {'size': '0.01',
'price': str(open_bid_price),
'side': 'buy',
'product_id': 'BTC-USD',
'post_only': True}
response = requests.post(exchange_api_url + 'orders', json=order, auth=exchange_auth)
if 'status' in response.json() and response.json()['status'] == 'pending':
open_orders.open_bid_order_id = response.json()['id']
open_orders.open_bid_price = open_bid_price
open_orders.open_bid_rejections = Decimal('0.0')
file_logger.info('new bid @ {0}'.format(open_bid_price))
elif 'status' in response.json() and response.json()['status'] == 'rejected':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
open_orders.open_bid_rejections += Decimal('0.04')
file_logger.warn('rejected: new bid @ {0}'.format(open_bid_price))
elif 'message' in response.json() and response.json()['message'] == 'Insufficient funds':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
file_logger.warn('Insufficient USD')
else:
file_logger.error('Unhandled response: {0}'.format(pformat(response.json())))
continue
if not open_orders.open_ask_order_id:
open_ask_price = order_book.bids.price_tree.max_key() + spreads.ask_spread + open_orders.open_ask_rejections
if 0.01 < float(open_orders.accounts['BTC']['available']):
order = {'size': '0.01',
'price': str(open_ask_price),
'side': 'sell',
'product_id': 'BTC-USD',
'post_only': True}
response = requests.post(exchange_api_url + 'orders', json=order, auth=exchange_auth)
if 'status' in response.json() and response.json()['status'] == 'pending':
open_orders.open_ask_order_id = response.json()['id']
open_orders.open_ask_price = open_ask_price
file_logger.info('new ask @ {0}'.format(open_ask_price))
open_orders.open_ask_rejections = Decimal('0.0')
elif 'status' in response.json() and response.json()['status'] == 'rejected':
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
open_orders.open_ask_rejections += Decimal('0.04')
file_logger.warn('rejected: new ask @ {0}'.format(open_ask_price))
elif 'message' in response.json() and response.json()['message'] == 'Insufficient funds':
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
file_logger.warn('Insufficient BTC')
else:
file_logger.error('Unhandled response: {0}'.format(pformat(response.json())))
continue
if open_orders.open_bid_order_id and not open_orders.open_bid_cancelled:
bid_too_far_out = open_orders.open_bid_price < (order_book.asks.price_tree.min_key()
- spreads.bid_too_far_adjustment_spread)
bid_too_close = open_orders.open_bid_price > (order_book.bids.price_tree.max_key()
- spreads.bid_too_close_adjustment_spread)
cancel_bid = bid_too_far_out or bid_too_close
if cancel_bid:
if bid_too_far_out:
file_logger.info('CANCEL: open bid {0} too far from best ask: {1} spread: {2}'.format(
open_orders.open_bid_price,
order_book.asks.price_tree.min_key(),
open_orders.open_bid_price - order_book.asks.price_tree.min_key()))
if bid_too_close:
file_logger.info('CANCEL: open bid {0} too close to best bid: {1} spread: {2}'.format(
open_orders.open_bid_price,
order_book.bids.price_tree.max_key(),
open_orders.open_bid_price - order_book.bids.price_tree.max_key()))
open_orders.cancel('bid')
continue
if open_orders.open_ask_order_id and not open_orders.open_ask_cancelled:
ask_too_far_out = open_orders.open_ask_price > (order_book.bids.price_tree.max_key() +
spreads.ask_too_far_adjustment_spread)
ask_too_close = open_orders.open_ask_price < (order_book.asks.price_tree.min_key() -
spreads.ask_too_close_adjustment_spread)
cancel_ask = ask_too_far_out or ask_too_close
if cancel_ask:
if ask_too_far_out:
file_logger.info('CANCEL: open ask {0} too far from best bid: {1} spread: {2}'.format(
open_orders.open_ask_price,
order_book.bids.price_tree.max_key(),
open_orders.open_ask_price - order_book.bids.price_tree.max_key()))
if ask_too_close:
file_logger.info('CANCEL: open ask {0} too close to best ask: {1} spread: {2}'.format(
open_orders.open_ask_price,
order_book.asks.price_tree.min_key(),
open_orders.open_ask_price - order_book.asks.price_tree.min_key()))
open_orders.cancel('ask')
continue
def manage_orders():
max_bid = Decimal(order_book.bids.price_tree.max_key())
min_ask = Decimal(order_book.asks.price_tree.min_key())
if min_ask - max_bid < 0:
file_logger.warn('Negative spread: {0}'.format(min_ask - max_bid))
return False
if command_line:
print('Latency: {0:.6f} secs, '
'Min ask: {1:.2f}, Max bid: {2:.2f}, Spread: {3:.2f}, '
'Your ask: {4:.2f}, Your bid: {5:.2f}, Your spread: {6:.2f}'.format(
((datetime.now(tzlocal()) - order_book.last_time).microseconds * 1e-6),
min_ask, max_bid, min_ask - max_bid,
open_orders.float_open_ask_price, open_orders.float_open_bid_price,
open_orders.float_open_ask_price - open_orders.float_open_bid_price), end='\r')
if not open_orders.open_bid_order_id and not open_orders.insufficient_usd:
if open_orders.insufficient_btc:
size = 0.1
open_bid_price = Decimal(round(max_bid + Decimal(open_orders.open_bid_rejections), 2))
else:
size = 0.01
spreads.bid_spread = Decimal(round((random.randrange(15) + 6) / 100, 2))
open_bid_price = Decimal(round(min_ask - Decimal(spreads.bid_spread)
- Decimal(open_orders.open_bid_rejections), 2))
order = {'size': size,
'price': str(open_bid_price),
'side': 'buy',
'product_id': 'BTC-USD',
'post_only': True}
response = requests.post(exchange_api_url + 'orders', json=order, auth=exchange_auth)
if 'status' in response.json() and response.json()['status'] == 'pending':
open_orders.open_bid_order_id = response.json()['id']
open_orders.open_bid_price = open_bid_price
open_orders.open_bid_rejections = 0.0
file_logger.info('new bid @ {0}'.format(open_bid_price))
elif 'status' in response.json() and response.json()['status'] == 'rejected':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
open_orders.open_bid_rejections += 0.04
file_logger.warn('rejected: new bid @ {0}'.format(open_bid_price))
elif 'message' in response.json() and response.json()['message'] == 'Insufficient funds':
open_orders.insufficient_usd = True
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
file_logger.warn('Insufficient USD')
else:
file_logger.error('Unhandled response: {0}'.format(pformat(response.json())))
return False
return True
if not open_orders.open_ask_order_id and not open_orders.insufficient_btc:
if open_orders.insufficient_usd:
size = 0.10
open_ask_price = Decimal(round(min_ask + Decimal(open_orders.open_ask_rejections), 2))
else:
size = 0.01
spreads.ask_spread = Decimal(round((random.randrange(15) + 6) / 100, 2))
open_ask_price = Decimal(round(max_bid + Decimal(spreads.ask_spread)
+ Decimal(open_orders.open_ask_rejections), 2))
order = {'size': size,
'price': str(open_ask_price),
'side': 'sell',
'product_id': 'BTC-USD',
'post_only': True}
response = requests.post(exchange_api_url + 'orders', json=order, auth=exchange_auth)
if 'status' in response.json() and response.json()['status'] == 'pending':
open_orders.open_ask_order_id = response.json()['id']
open_orders.open_ask_price = open_ask_price
file_logger.info('new ask @ {0}'.format(open_ask_price))
open_orders.open_ask_rejections = 0
elif 'status' in response.json() and response.json()['status'] == 'rejected':
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
open_orders.open_ask_rejections += 0.04
file_logger.warn('rejected: new ask @ {0}'.format(open_ask_price))
elif 'message' in response.json() and response.json()['message'] == 'Insufficient funds':
open_orders.insufficient_btc = True
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
file_logger.warn('Insufficient BTC')
else:
file_logger.error('Unhandled response: {0}'.format(pformat(response.json())))
return False
return True
if open_orders.open_bid_order_id and Decimal(open_orders.open_bid_price) < round(
min_ask - Decimal(spreads.bid_adjustment_spread), 2):
file_logger.info('CANCEL: open bid {0} threshold {1} diff {2}'.format(
Decimal(open_orders.open_bid_price),
round(min_ask - Decimal(spreads.bid_adjustment_spread), 2),
Decimal(open_orders.open_bid_price) - round(min_ask - Decimal(spreads.bid_adjustment_spread), 2)))
open_orders.cancel('bid')
return True
if open_orders.open_ask_order_id and Decimal(open_orders.open_ask_price) > round(
max_bid + Decimal(spreads.ask_adjustment_spread), 2):
file_logger.info('CANCEL: open ask {0} threshold {1} diff {2}'.format(
Decimal(open_orders.open_ask_price),
round(max_bid - Decimal(spreads.ask_adjustment_spread), 2),
Decimal(open_orders.open_ask_price) - round(max_bid + Decimal(spreads.ask_adjustment_spread), 2)))
open_orders.cancel('ask')
return True
return True