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RayLty/gist:d828ebe4391e564c3319680dbd0dc300

Created November 14, 2016 22:34
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Foreign Exchange Algorithmic Trading method
Raw
gistfile1.txt
from base import *
import datetime
class FXBot(BaseBot):
def __init__(self):
super(FXBot, self).__init__()
self.contracts = [0]*8 # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD
self.cash = [0]*8 # JPY/EUR/USD/CHF/CAD
self.limits = [102000000, 900000, 1000000, 980000, 1300000] # JPY/EUR/USD/CHF/CAD
self.bids = [] # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD
self.asks = [] # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD
self.tickers = ['EURJPY', 'CHFJPY', 'USDCHF', 'EURCHF', 'EURCAD', 'EURUSD', 'USDJPY', 'USDCAD']
self.bestBids = [0]*8
self.bestAsks = [0]*8
self.bestQuantityBids = [0]*8
self.bestQuantityAsks = [0]*8
self.lastActionTime = 0
self.currentTime = 0
def update_state(self, msg):
if self.options.get('verbose'):
print(msg)
message_type = msg.get('message_type')
orders = []
if msg.get('elapsed_time'):
self.currentTime = msg.get('elapsed_time')
if len(self.bids) > 0 and self.currentTime - self.lastActionTime >= 1:
self.lastActionTime = self.currentTime
self.bestBidAndQuantity()
self.bestAskAndQuantity()
orders.extend(self.arbitrage())
if len(orders) > 0:
action = {
'message_type': 'MODIFY ORDERS',
'orders': orders,
}
orders = dumps(action)
if message_type == 'ACK REGISTER':
market_states = msg['market_states']
self.bids = [market_states['EURJPY']['bids'], market_states['CHFJPY']['bids'], \
market_states['USDCHF']['bids'], market_states['EURCHF']['bids'],\
market_states['EURCAD']['bids'], market_states['EURUSD']['bids'],\
market_states['USDJPY']['bids'], market_states['USDCAD']['bids']]
self.asks = [market_states['EURJPY']['asks'], market_states['CHFJPY']['asks'], \
market_states['USDCHF']['asks'], market_states['EURCHF']['asks'],\
market_states['EURCAD']['asks'], market_states['EURUSD']['asks'],\
market_states['USDJPY']['asks'], market_states['USDCAD']['asks']]
positions = msg['trader_state']['positions']
self.contracts = [positions['EURJPY'], positions['CHFJPY'], \
positions['USDCHF'], positions['EURCHF'], positions['EURCAD'], \
positions['EURUSD'], positions['USDJPY'], positions['USDCAD']]
cash = msg['trader_state']['cash']
self.cash = [cash['JPY'], cash['EUR'], cash['USD'], cash['CHF'], cash['CAD']]
print('register')
elif message_type == 'TRADER UPDATE':
positions = msg['trader_state']['positions']
cash = msg['trader_state']['cash']
self.contracts = [positions['EURJPY'], positions['CHFJPY'], \
positions['USDCHF'], positions['EURCHF'], positions['EURCAD'], \
positions['EURUSD'], positions['USDJPY'], positions['USDCAD']]
self.cash = [cash['JPY'], cash['EUR'], cash['USD'], cash['CHF'], cash['CAD']]
elif message_type == 'MARKET UPDATE':
#print('market update')
ticker = msg['market_state']['ticker']
bids = msg['market_state']['bids']
asks = msg['market_state']['asks']
if ticker == 'EURJPY':
self.bids[0] = bids
self.asks[0] = asks
if ticker == 'CHFJPY':
self.bids[1] = bids
self.asks[1] = asks
if ticker == 'USDCHF':
self.bids[2] = bids
self.asks[2] = asks
if ticker == 'EURCHF':
self.bids[3] = bids
self.asks[3] = asks
if ticker == 'EURCAD':
self.bids[4] = bids
self.asks[4] = asks
if ticker == 'EURUSD':
self.bids[5] = bids
self.asks[5] = asks
if ticker == 'USDJPY':
self.bids[6] = bids
self.asks[6] = asks
if ticker == 'USDCAD':
self.bids[7] = bids
self.asks[7] = asks
elif message_type == 'NEWS':
print('News update:')
print(msg)
elif message_type == 'TRADE':
pass
elif message_type == 'PING':
pass
elif message_type == 'ACK MODIFY ORDERS':
#print(msg)
pass
else:
print('Other message:')
print(msg)
if len(orders) > 0:
return orders
else:
return None
def bestBidAndQuantity(self):
for index in range(8):
bids = self.bids[index]
highestBid = 0.0
quantity = 0
for bid in bids:
if float(bid) > highestBid:
highestBid = float(bid)
quantity = bids[bid]
self.bestBids[index] = highestBid
self.bestQuantityBids[index] = quantity
def bestAskAndQuantity(self):
for index in range(8):
asks = self.asks[index]
lowestAsk = 1000.0
quantity = 0
for ask in asks:
if float(ask) < lowestAsk:
lowestAsk = float(ask)
quantity = asks[ask]
self.bestAsks[index] = lowestAsk
self.bestQuantityAsks[index] = quantity
def idxBaseQuote(self, index):
if index == 0:
return (1, 0)
if index == 1:
return (3, 0)
if index == 2:
return (2, 3)
if index == 3:
return (1, 3)
if index == 4:
return (1, 4)
if index == 5:
return (1, 2)
if index == 6:
return (2, 0)
if index == 7:
return (2, 4)
def calculateQuantities(self, idx1, idx2, idx3, direction):
multiplier = -1.05
(base1, quote1) = self.idxBaseQuote(idx1)
(base2, quote2) = self.idxBaseQuote(idx2)
(base3, quote3) = self.idxBaseQuote(idx3)
quantity1 = 0
quantity2 = 0
quantity3 = 0
if direction == -1: # short
quantity1 = self.bestQuantityBids[idx1]
quantity2 = self.bestQuantityBids[idx2]
quantity3 = self.bestQuantityAsks[idx3]
exchange1 = self.bestBids[idx1]
exchange2 = self.bestBids[idx2]
exchange3 = self.bestAsks[idx3]
quantity1_limit = min(self.limits[base1]+self.cash[base1], 1.0/exchange1*(self.limits[quote1]-self.cash[quote1]), 1000)
quantity2_limit = min(self.limits[base2]+self.cash[base2], 1.0/exchange2*(self.limits[quote2]-self.cash[quote2]), 1000)
quantity3_limit = min(self.limits[base3]-self.cash[base3], 1.0/exchange3*(self.limits[quote3]+self.cash[quote3]), 1000)
quantity1 = min(quantity1, quantity1_limit)
quantity2 = min(quantity2, quantity2_limit)
quantity3 = min(quantity3, quantity3_limit)
quantity1 = min(quantity1, quantity3, quantity2/exchange1)
quantity1 = int(quantity1*multiplier)
quantity2 = int(quantity1*exchange1)
quantity3 = int(-quantity1)
else:
quantity1 = self.bestQuantityAsks[5]
quantity2 = self.bestQuantityAsks[7]
quantity3 = self.bestQuantityBids[4]
exchange1 = self.bestAsks[idx1]
exchange2 = self.bestAsks[idx2]
exchange3 = self.bestBids[idx3]
quantity1_limit = min(self.limits[base1]-self.cash[base1], 1.0/exchange1*(self.limits[quote1]+self.cash[quote1]), 1000)
quantity2_limit = min(self.limits[base2]-self.cash[base2], 1.0/exchange2*(self.limits[quote2]+self.cash[quote2]), 1000)
quantity3_limit = min(self.limits[base3]+self.cash[base3], 1.0/exchange3*(self.limits[quote3]-self.cash[quote3]), 1000)
quantity1 = min(quantity1, quantity1_limit)
quantity2 = min(quantity2, quantity2_limit)
quantity3 = min(quantity3, quantity3_limit)
quantity1 = min(quantity1, quantity3, quantity2/exchange1)
quantity1 = int(-quantity1*multiplier)
quantity2 = int(quantity1*exchange1)
quantity3 = int(-quantity1)
if abs(quantity1) < 10 or abs(quantity2) < 10 or abs(quantity3) < 10:
quantity1 = 0
quantity2 = 0
quantity3 = 0
return (quantity1, quantity2, quantity3)
def arbitrage(self):
orders = []
order_quantities = [0]*8 # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY
# EURUSD*USDCAD=EURCAD
if self.bestBids[5]*self.bestBids[7] > self.bestAsks[4]:
#print('arb1')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 7, 4, -1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[5]*self.bestBids[7]-self.bestAsks[4])/self.bestBids[7]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[7] + quantity2) >= 10 and abs(order_quantities[4] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[7] += quantity2
order_quantities[4] += quantity3
if self.bestAsks[5]*self.bestAsks[7] < self.bestBids[4]:
#print('arb2')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 7, 4, 1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[4]-self.bestAsks[5]*self.bestAsks[7])/self.bestAsks[7]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[7] + quantity2) >= 10 and abs(order_quantities[4] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[7] += quantity2
order_quantities[4] += quantity3
# EURUSD*USDCHF = EURCHF
if self.bestBids[5]*self.bestBids[2] > self.bestAsks[3]:
#print('arb3')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 2, 3, -1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[5]*self.bestBids[2]-self.bestAsks[3])/self.bestBids[2]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[2] + quantity2) >= 10 and abs(order_quantities[3] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[2] += quantity2
order_quantities[3] += quantity3
if self.bestAsks[5]*self.bestAsks[2] < self.bestBids[3]:
#print('arb4')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 2, 3, 1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[3]-self.bestAsks[5]*self.bestAsks[2])/self.bestAsks[2]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[2] + quantity2) >= 10 and abs(order_quantities[3] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[2] += quantity2
order_quantities[3] += quantity3
# EURUSD*USDJPY=EURJPY
if self.bestBids[5]*self.bestBids[6] > self.bestAsks[0]:
#print('arb5')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 6, 0, -1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[5]*self.bestBids[6]-self.bestAsks[0])/self.bestBids[6]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[6] + quantity2) >= 10 and abs(order_quantities[0] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[6] += quantity2
order_quantities[0] += quantity3
if self.bestAsks[5]*self.bestAsks[6] < self.bestBids[0]:
#print('arb6')
(quantity1, quantity2, quantity3) = self.calculateQuantities(5, 6, 0, 1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[0]-self.bestAsks[5]*self.bestAsks[6])/self.bestAsks[6]:
if abs(order_quantities[5] + quantity1) >= 10 and abs(order_quantities[6] + quantity2) >= 10 and abs(order_quantities[0] + quantity3) >= 10:
order_quantities[5] += quantity1
order_quantities[6] += quantity2
order_quantities[0] += quantity3
# USDCHF*CHFJPY=USDJPY
if self.bestBids[2]*self.bestBids[1] > self.bestAsks[6]:
#print('arb7')
(quantity1, quantity2, quantity3) = self.calculateQuantities(2, 1, 6, -1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[2]*self.bestBids[1]-self.bestAsks[6])/self.bestBids[6]:
if abs(order_quantities[2] + quantity1) >= 10 and abs(order_quantities[1] + quantity2) >= 10 and abs(order_quantities[6] + quantity3) >= 10:
order_quantities[2] += quantity1
order_quantities[1] += quantity2
order_quantities[6] += quantity3
if self.bestAsks[2]*self.bestAsks[1] < self.bestBids[6]:
#print('arb8')
(quantity1, quantity2, quantity3) = self.calculateQuantities(2, 1, 6, 1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[6]-self.bestAsks[2]*self.bestAsks[1])/self.bestAsks[6]:
if abs(order_quantities[2] + quantity1) >= 10 and abs(order_quantities[1] + quantity2) >= 10 and abs(order_quantities[6] + quantity3) >= 10:
order_quantities[2] += quantity1
order_quantities[1] += quantity2
order_quantities[6] += quantity3
# EURCHF*CHFJPY=EURJPY
if self.bestBids[3]*self.bestBids[1] > self.bestAsks[0]:
#print('arb9')
(quantity1, quantity2, quantity3) = self.calculateQuantities(3, 1, 0, -1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[3]*self.bestBids[1]-self.bestAsks[0])/self.bestBids[6]:
if abs(order_quantities[3] + quantity1) >= 10 and abs(order_quantities[1] + quantity2) >= 10 and abs(order_quantities[0] + quantity3) >= 10:
order_quantities[3] += quantity1
order_quantities[1] += quantity2
order_quantities[0] += quantity3
if self.bestAsks[3]*self.bestAsks[1] < self.bestBids[0]:
#print('arb10')
(quantity1, quantity2, quantity3) = self.calculateQuantities(3, 1, 0, 1)
#if 0.005*(abs(quantity1)+abs(quantity2)+abs(quantity3)) < 1.0*abs(quantity1)*(self.bestBids[0]-self.bestAsks[3]*self.bestAsks[1])/self.bestAsks[6]:
if abs(order_quantities[3] + quantity1) >= 10 and abs(order_quantities[1] + quantity2) >= 10 and abs(order_quantities[0] + quantity3) >= 10:
order_quantities[3] += quantity1
order_quantities[1] += quantity2
order_quantities[0] += quantity3
for i in range(len(order_quantities)):
if order_quantities[i]:
ticker = self.tickers[i]
buy = order_quantities[i] > 0
quantity = abs(order_quantities[i])
orders.append({
'ticker': ticker,
'buy': buy,
'quantity': quantity,
})
# print('trade: ', order_quantities)
# print('bids: ', self.bestBids)
# print('asks: ', self.bestAsks)
# print('quantitybid: ', self.bestQuantityBids)
# print('quantityask: ', self.bestQuantityAsks)
# if (datetime.datetime.now() - self.last_time) > datetime.timedelta(microseconds = 30)
# self.last_time = datetime.datetime.now()
return orders
def process(self, msg):
orders = super(FXBot, self).process(msg)
#print(orders)
return orders
if __name__ == '__main__':
bot = FXBot()
print "options are", bot.options.data
for t in bot.makeThreads():
t.daemon = True
t.start()
while not bot.done:
sleep(0.03)
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