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autotrader_arb.py
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# Copyright 2021 Optiver Asia Pacific Pty. Ltd.
#
# This file is part of Ready Trader Go.
#
# Ready Trader Go is free software: you can redistribute it and/or
# modify it under the terms of the GNU Affero General Public License
# as published by the Free Software Foundation, either version 3 of
# the License, or (at your option) any later version.
#
# Ready Trader Go is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
#
# You should have received a copy of the GNU Affero General Public
# License along with Ready Trader Go. If not, see
# <https://www.gnu.org/licenses/>.
import asyncio
import itertools
from typing import List
from ready_trader_go import BaseAutoTrader, Instrument, Lifespan, MAXIMUM_ASK, MINIMUM_BID, Side
LOT_SIZE = 10
POSITION_LIMIT = 100
TICK_SIZE_IN_CENTS = 100
class AutoTrader(BaseAutoTrader):
"""Example Auto-trader.
When it starts this auto-trader places ten-lot bid and ask orders at the
current best-bid and best-ask prices respectively. Thereafter, if it has
a long position (it has bought more lots than it has sold) it reduces its
bid and ask prices. Conversely, if it has a short position (it has sold
more lots than it has bought) then it increases its bid and ask prices.
"""
def __init__(self, loop: asyncio.AbstractEventLoop, team_name: str, secret: str):
"""Initialise a new instance of the AutoTrader class."""
super().__init__(loop, team_name, secret)
self.order_ids = itertools.count(1)
self.bids = set()
self.asks = set()
self.ask_id = self.ask_price = self.bid_id = self.bid_price = self.position = 0
def on_error_message(self, client_order_id: int, error_message: bytes) -> None:
"""Called when the exchange detects an error.
If the error pertains to a particular order, then the client_order_id
will identify that order, otherwise the client_order_id will be zero.
"""
self.logger.warning("error with order %d: %s", client_order_id, error_message.decode())
if client_order_id != 0:
self.on_order_status_message(client_order_id, 0, 0, 0)
def on_hedge_filled_message(self, client_order_id: int, price: int, volume: int) -> None:
"""Called when one of your hedge orders is filled, partially or fully.
The price is the average price at which the order was (partially) filled,
which may be better than the order's limit price. The volume is
the number of lots filled at that price.
If the order was unsuccessful, both the price and volume will be zero.
"""
self.logger.info("received hedge filled for order %d with average price %d and volume %d", client_order_id,
price, volume)
def on_order_book_update_message(self, instrument: int, sequence_number: int, ask_prices: List[int],
ask_volumes: List[int], bid_prices: List[int], bid_volumes: List[int]) -> None:
"""Called periodically to report the status of an order book.
The sequence number can be used to detect missed or out-of-order
messages. The five best available ask (i.e. sell) and bid (i.e. buy)
prices are reported along with the volume available at each of those
price levels.
"""
self.logger.info("received order book for instrument %d with sequence number %d", instrument,
sequence_number)
# if instrument == Instrument.FUTURE:
# #self.position refers to total current holdings across all orders
# price_adjustment = - (self.position // LOT_SIZE) * TICK_SIZE_IN_CENTS
# #bid_prices is a tuple of five elements (most competitive buy prices), eg (82300, 82000, 81700, 81600, 81500)
# #therefore bid_prices[0] is the highest willing buyer
# new_bid_price = bid_prices[0] + price_adjustment if bid_prices[0] != 0 else 0
# new_ask_price = ask_prices[0] + price_adjustment if ask_prices[0] != 0 else 0
# #if we have a current buy order open, and the new bid price is not equal to the current bid price
# #ie if new bid price is not equal to old bid price
# if self.bid_id != 0 and new_bid_price not in (self.bid_price, 0):
# self.send_cancel_order(self.bid_id)
# self.bid_id = 0
# #if we have a current sell order open
# if self.ask_id != 0 and new_ask_price not in (self.ask_price, 0):
# self.send_cancel_order(self.ask_id)
# self.ask_id = 0
# #now we place the orders
# if self.bid_id == 0 and new_bid_price != 0 and self.position < POSITION_LIMIT:
# self.bid_id = next(self.order_ids)
# self.bid_price = new_bid_price
# self.send_insert_order(self.bid_id, Side.BUY, new_bid_price, LOT_SIZE, Lifespan.G)
# self.bids.add(self.bid_id)
# if self.ask_id == 0 and new_ask_price != 0 and self.position > -POSITION_LIMIT:
# self.ask_id = next(self.order_ids)
# self.ask_price = new_ask_price
# self.send_insert_order(self.ask_id, Side.SELL, new_ask_price, LOT_SIZE, Lifespan.G)
# self.asks.add(self.ask_id)
if instrument == Instrument.FUTURE:
self.futures_args = {"ask_prices": ask_prices, "ask_volumes": ask_volumes, "bid_prices":bid_prices, "bid_volumes":bid_volumes}
else:
highest_etf_buyprice = bid_prices[0]
highest_etf_buyvol = bid_volumes[0]
lowest_fut_sellprice = self.futures_args["ask_prices"][0]
lowest_fut_sellvol = self.futures_args["ask_volumes"][0]
lowest_etf_sellprice = ask_prices[0]
lowest_etf_sellvol = ask_volumes[0]
highest_fut_buyprice = self.futures_args["bid_prices"][0]
highest_fut_buyvol = self.futures_args["bid_volumes"][0]
if abs(self.position) > POSITION_LIMIT:
diffToLim = abs(self.position) - POSITION_LIMIT
if self.position < 0:
self.bid_id = next(self.order_ids)
self.bid_price = lowest_etf_sellprice
self.send_insert_order(self.bid_id, Side.BUY, lowest_etf_sellprice, diffToLim, Lifespan.FAK)
self.bids.add(self.bid_id)
else:
self.ask_id = next(self.order_ids)
self.ask_price = highest_etf_buyprice
self.send_insert_order(self.ask_id, Side.SELL, highest_etf_buyprice, diffToLim, Lifespan.FAK)
self.asks.add(self.ask_id)
#place sell order to equalise
else:
if highest_etf_buyprice > lowest_fut_sellprice:
diffToLim = self.position - (-1* POSITION_LIMIT)
self.ask_id = next(self.order_ids)
self.ask_price = highest_etf_buyprice
self.send_insert_order(self.ask_id, Side.SELL, highest_etf_buyprice, min(highest_etf_buyvol, lowest_fut_sellvol, diffToLim), Lifespan.FAK)
self.asks.add(self.ask_id)
if lowest_etf_sellprice < highest_fut_buyprice:
diffToLim = POSITION_LIMIT - self.position
self.bid_id = next(self.order_ids)
self.bid_price = lowest_etf_sellprice
self.send_insert_order(self.bid_id, Side.BUY, lowest_etf_sellprice, min(lowest_etf_sellvol, highest_fut_buyvol, diffToLim), Lifespan.FAK)
self.bids.add(self.bid_id)
def on_order_filled_message(self, client_order_id: int, price: int, volume: int) -> None:
"""Called when when of your orders is filled, partially or fully.
The price is the price at which the order was (partially) filled,
which may be better than the order's limit price. The volume is
the number of lots filled at that price.
"""
self.logger.info("received order filled for order %d with price %d and volume %d", client_order_id,
price, volume)
# if client_order_id in self.bids:
# self.position += volume
# #if you buy order is filled - ie, if you currently own the ETF, then place a sell order for the futures
# #hedge order
# #hedge is meant to execute/open the position immediately. the fact they place the sell order at price zero is just a market order
# self.send_hedge_order(next(self.order_ids), Side.ASK, MINIMUM_BID, volume)
# elif client_order_id in self.asks:
# self.position -= volume
# self.send_hedge_order(next(self.order_ids), Side.BID,
# MAXIMUM_ASK//TICK_SIZE_IN_CENTS*TICK_SIZE_IN_CENTS, volume)
if client_order_id in self.asks:
self.position -= volume
#if you buy order is filled - ie, if you currently own the ETF, then place a sell order for the futures
#hedge order
#hedge is meant to execute/open the position immediately. the fact they place the sell order at price zero is just a market order
self.send_hedge_order(next(self.order_ids), Side.BID, MAXIMUM_ASK//TICK_SIZE_IN_CENTS*TICK_SIZE_IN_CENTS, volume)
elif client_order_id in self.bids:
self.position += volume
self.send_hedge_order(next(self.order_ids), Side.ASK, MINIMUM_BID, volume)
def on_order_status_message(self, client_order_id: int, fill_volume: int, remaining_volume: int,
fees: int) -> None:
"""Called when the status of one of your orders changes.
The fill_volume is the number of lots already traded, remaining_volume
is the number of lots yet to be traded and fees is the total fees for
this order. Remember that you pay fees for being a market taker, but
you receive fees for being a market maker, so fees can be negative.
If an order is cancelled its remaining volume will be zero.
"""
self.logger.info("received order status for order %d with fill volume %d remaining %d and fees %d",
client_order_id, fill_volume, remaining_volume, fees)
if remaining_volume == 0:
if client_order_id == self.bid_id:
self.bid_id = 0
elif client_order_id == self.ask_id:
self.ask_id = 0
# It could be either a bid or an ask
self.bids.discard(client_order_id)
self.asks.discard(client_order_id)
def on_trade_ticks_message(self, instrument: int, sequence_number: int, ask_prices: List[int],
ask_volumes: List[int], bid_prices: List[int], bid_volumes: List[int]) -> None:
"""Called periodically when there is trading activity on the market.
The five best ask (i.e. sell) and bid (i.e. buy) prices at which there
has been trading activity are reported along with the aggregated volume
traded at each of those price levels.
If there are less than five prices on a side, then zeros will appear at
the end of both the prices and volumes arrays.
"""
self.logger.info("received trade ticks for instrument %d with sequence number %d", instrument,
sequence_number)