Funding_Rate/algo.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "d1eed397",
   "metadata": {},
   "outputs": [],
   "source": [
    "import modules.structs as structs\n",
    "import json\n",
    "from dataclasses import dataclass, asdict\n",
    "import valkey\n",
    "import modules.utils as utils\n",
    "from decimal import Decimal, ROUND_DOWN\n",
    "\n",
    "with open('algo_config.json', 'r', encoding='utf-8') as file:\n",
    "    ALGO_CONFIG = json.load(file)\n",
    "    ALGO_CONFIG = structs.Algo_Config(**ALGO_CONFIG)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "c6151613",
   "metadata": {},
   "outputs": [],
   "source": [
    "VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 47,
   "id": "d83c61e5",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1"
      ]
     },
     "execution_count": 47,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "config_update = {\n",
    "    'Config': {\n",
    "    #     'Price_Worsener_Aster': 1,\n",
    "    #     'Price_Worsener_Extend': -1\n",
    "        'Min_Time_To_Funding_Minutes': 55\n",
    "    },\n",
    "    'Logging': {\n",
    "        'Log_Summary_Each_Loop': False,\n",
    "        'Print_Summary_Each_Loop': True,\n",
    "    },\n",
    "    # 'Overrides': {\n",
    "    #     'Allow_Ordering_Aster': True,\n",
    "    #     'Allow_Ordering_Extend': True,\n",
    "    #     'Allow_Symbol_Change': True,\n",
    "    #     'Flatten_Open_Positions_Opportunistic': False,\n",
    "    # },\n",
    "}\n",
    "VAL_KEY.publish('fr_orchestrator_input', json.dumps(config_update))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 52,
   "id": "f5260342",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1"
      ]
     },
     "execution_count": 52,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "order = {'order_id':'test_1'}\n",
    "VAL_KEY.publish('fr_engine_orders_input', json.dumps(order))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "34a85b2e",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Decimal('1.0')"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "Decimal('1.0').quantize()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "940586bb",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "'{\"stream\":\"btcusdt@bookTicker\",\"data\":{\"event_type\":\"bookTicker\",\"update_id\":458028589204,\"symbol\":\"BTCUSDT\",\"best_bid_price\":\"76414.9\",\"best_bid_qty\":\"0.507\",\"best_ask_price\":\"76415.0\",\"best_ask_qty\":\"0.878\",\"transaction_time\":1777565596460,\"event_time\":1777565596488}}'"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "VAL_KEY.get('test_key')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "cd600e0e",
   "metadata": {},
   "outputs": [],
   "source": [
    "from decimal import Decimal"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "db52edf9",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "0"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "int(Decimal(0.56))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Timestamp('2026-04-27 15:20:58.950000')"
      ]
     },
     "execution_count": 35,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import pandas as pd\n",
    "pd.to_datetime(1777303258950, unit='ms')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "5f7535df",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "'[{\"symbol_ext\":\"BTC-USD\",\"funding_rate_updated_ts_ms_ext\":1777831559598,\"funding_rate_ext\":-0.000009,\"funding_rate_updated_dt_ext\":1777831559598,\"assetName\":\"BTC\",\"status\":\"ACTIVE\",\"next_funding_ts_ext\":1777834800000.0,\"daily_volume_ext\":189468858.5763599873,\"min_order_size_ext\":\"0.0001\",\"min_price_ext\":\"1\",\"USDT_Symbol\":\"BTCUSDT\",\"time_delta_to_next_funding_ext\":2593202,\"symbol_ast\":\"BTCUSDT\",\"funding_rate_updated_ts_ms_ast\":1777832205000,\"funding_rate_ast\":-0.00002882,\"next_funding_ts_ast\":1777852800000,\"funding_rate_updated_dt_ast\":1777832205000,\"time_delta_to_next_funding_ast\":20593213,\"daily_volume_ast\":328819440.9900000095,\"min_order_size_ast\":\"0.001\",\"min_price_ast\":\"1\",\"next_funding_at_same_time\":false,\"net_funding_rate\":-0.000009,\"net_funding_rate_abs\":0.000009},{\"symbol_ext\":\"ETH-USD\",\"funding_rate_updated_ts_ms_ext\":1777831559598,\"funding_rate_ext\":-0.000019,\"funding_rate_updated_dt_ext\":1777831559598,\"assetName\":\"ETH\",\"status\":\"ACTIVE\",\"next_funding_ts_ext\":1777834800000.0,\"daily_volume_ext\":63224882.9324000031,\"min_order_size_ext\":\"0.01\",\"min_price_ext\":\"0.1\",\"USDT_Symbol\":\"ETHUSDT\",\"time_delta_to_next_funding_ext\":2593202,\"symbol_ast\":\"ETHUSDT\",\"funding_rate_updated_ts_ms_ast\":1777832205000,\"funding_rate_ast\":0.00009443,\"next_funding_ts_ast\":1777852800000,\"funding_rate_updated_dt_ast\":1777832205000,\"time_delta_to_next_funding_ast\":20593213,\"daily_volume_ast\":213809320.6999999881,\"min_order_size_ast\":\"0.001\",\"min_price_ast\":\"0.01\",\"next_funding_at_same_time\":false,\"net_funding_rate\":-0.000019,\"net_funding_rate_abs\":0.000019},{\"symbol_ext\":\"SOL-USD\",\"funding_rate_updated_ts_ms_ext\":1777831559598,\"funding_rate_ext\":0.000007,\"funding_rate_updated_dt_ext\":1777831559598,\"assetName\":\"SOL\",\"status\":\"ACTIVE\",\"next_funding_ts_ext\":1777834800000.0,\"daily_volume_ext\":10765070.9333999995,\"min_order_size_ext\":\"0.1\",\"min_price_ext\":\"0.01\",\"USDT_Symbol\":\"SOLUSDT\",\"time_delta_to_next_funding_ext\":2593202,\"symbol_ast\":\"SOLUSDT\",\"funding_rate_updated_ts_ms_ast\":1777832205000,\"funding_rate_ast\":0.0001,\"next_funding_ts_ast\":1777852800000,\"funding_rate_updated_dt_ast\":1777832205000,\"time_delta_to_next_funding_ast\":20593213,\"daily_volume_ast\":27067188.6099999994,\"min_order_size_ast\":\"0.01\",\"min_price_ast\":\"0.4200\",\"next_funding_at_same_time\":false,\"net_funding_rate\":0.000007,\"net_funding_rate_abs\":0.000007},{\"symbol_ext\":\"DOGE-USD\",\"funding_rate_updated_ts_ms_ext\":1777831559598,\"funding_rate_ext\":0.000013,\"funding_rate_updated_dt_ext\":1777831559598,\"assetName\":\"DOGE\",\"status\":\"ACTIVE\",\"next_funding_ts_ext\":1777834800000.0,\"daily_volume_ext\":1930324.1714000001,\"min_order_size_ext\":\"100\",\"min_price_ext\":\"0.00001\",\"USDT_Symbol\":\"DOGEUSDT\",\"time_delta_to_next_funding_ext\":2593202,\"symbol_ast\":\"DOGEUSDT\",\"funding_rate_updated_ts_ms_ast\":1777832205000,\"funding_rate_ast\":0.0001,\"next_funding_ts_ast\":1777852800000,\"funding_rate_updated_dt_ast\":1777832205000,\"time_delta_to_next_funding_ast\":20593213,\"daily_volume_ast\":13296700.8699999992,\"min_order_size_ast\":\"1\",\"min_price_ast\":\"0.002440\",\"next_funding_at_same_time\":false,\"net_funding_rate\":0.000013,\"net_funding_rate_abs\":0.000013},{\"symbol_ext\":\"BNB-USD\",\"funding_rate_updated_ts_ms_ext\":1777831559598,\"funding_rate_ext\":0.000013,\"funding_rate_updated_dt_ext\":1777831559598,\"assetName\":\"BNB\",\"status\":\"ACTIVE\",\"next_funding_ts_ext\":1777834800000.0,\"daily_volume_ext\":3295700.7066000002,\"min_order_size_ext\":\"0.01\",\"min_price_ext\":\"0.01\",\"USDT_Symbol\":\"BNBUSDT\",\"time_delta_to_next_funding_ext\":2593202,\"symbol_ast\":\"BNBUSDT\",\"funding_rate_updated_ts_ms_ast\":1777832205000,\"funding_rate_ast\":0.00010666,\"next_funding_ts_ast\":1777852800000,\"funding_rate_updated_dt_ast\":1777832205000,\"time_delta_to_next_funding_ast\":20593213,\"daily_volume_ast\":7790358.3200000003,\"min_order_size_a
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "VAL_KEY.get('fr_engine_best_fund_rate_master')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "b71bd50c",
   "metadata": {},
   "outputs": [],
   "source": [
    "min_lot = 10\n",
    "order = 601"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "56f77b83",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "600"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "order - ( order % min_lot )"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 34,
   "id": "7a566db7",
   "metadata": {},
   "outputs": [],
   "source": [
    "c = 500\n",
    "target = 400\n",
    "order = 10"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 35,
   "id": "c9d67074",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Should be selling, but its not - skipping\n"
     ]
    }
   ],
   "source": [
    "if (target < c) and ((c + order) > c):\n",
    "    print('Should be selling, but its not - skipping')\n",
    "else:\n",
    "    print('good')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 41,
   "id": "9eb7e9b5",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Timestamp('2026-05-03 15:00:00')"
      ]
     },
     "execution_count": 41,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import pandas as pd\n",
    "pd.to_datetime(1777820400000, unit='ms')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "101dbef1",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 51,
   "id": "3acaa8cd",
   "metadata": {},
   "outputs": [],
   "source": [
    "ASTER = structs.Perpetual_Exchange(\n",
    "    mult = 150,\n",
    "    lh_asset = 'ETH',\n",
    "    rh_asset = 'USD',\n",
    "    symbol_asset_separator = '',\n",
    ")\n",
    "EXTEND = structs.Perpetual_Exchange(\n",
    "    mult = 50,\n",
    "    lh_asset = 'ETH',\n",
    "    rh_asset = 'USD',\n",
    "    symbol_asset_separator = '-',\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "b417adad",
   "metadata": {},
   "outputs": [],
   "source": [
    "best_symbol_by_exchange: dict = json.loads(s=VAL_KEY.get(name='fr_engine_best_fund_rate_output'))  # ty:ignore[invalid-argument-type]\n",
    "best_symbol_by_exchange_aster = structs.Perpetual_Exchange(**best_symbol_by_exchange['ASTER'])\n",
    "best_symbol_by_exchange_extend = structs.Perpetual_Exchange(**best_symbol_by_exchange['EXTEND'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "ba98754e",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Perpetual_Exchange(lh_asset='WLFI', rh_asset='USDT', symbol='WLFIUSDT', symbol_asset_separator='', mult=25, initial_funding_rate=0.00087322, min_price=0.0001, min_order_size=1.0)"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "best_symbol_by_exchange_aster"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "fa5a8e85",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Perpetual_Exchange(lh_asset='WLFI', rh_asset='USD', symbol='WLFI-USD', symbol_asset_separator='-', mult=10, initial_funding_rate=4e-06, min_price=1e-05, min_order_size=100.0)"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "best_symbol_by_exchange_extend"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "d452385f",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "09571e38",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Decimal('1.0')"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Decimal('1.0').quantize()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1.0"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "x = 1.0\n",
    "x"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "70b57870",
   "metadata": {},
   "outputs": [],
   "source": [
    "f = ['b','a','z','e']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['b', 'a', 'z', 'e']"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "f"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "9fd60c6e",
   "metadata": {},
   "outputs": [],
   "source": [
    "f.sort()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "cd8b41de",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['a', 'b', 'e', 'z']"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "f"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 46,
   "id": "4c566e14",
   "metadata": {},
   "outputs": [],
   "source": [
    "price = float(0.9066)\n",
    "min_price = float(0.0001)\n",
    "\n",
    "min_price = int(min_price) if min_price == int(min_price) else min_price\n",
    "price: Decimal = Decimal(str(price)).quantize(Decimal(str(min_price)), rounding=ROUND_DOWN)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 49,
   "id": "ad6444a5",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "6"
      ]
     },
     "execution_count": 49,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "len(str(price))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 50,
   "id": "74a227cc",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Decimal('0.9066')"
      ]
     },
     "execution_count": 50,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "price"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "57fac02c",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "2331e29f",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": 33,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Decimal('0.000100000000000000004792173602385929598312941379845142364501953125')"
      ]
     },
     "execution_count": 33,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Decimal(min_price)\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "1c139413",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "a938b2e0",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "39667bd8",
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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  "kernelspec": {
   "display_name": "py_313",
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  "language_info": {
   "codemirror_mode": {
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   "file_extension": ".py",
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