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algo orchestrator

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stevekeyharvey
2026-04-25 03:40:47 +00:00
parent afa2d1fd79
commit b0d031d452
11 changed files with 911 additions and 226 deletions
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84
main.py
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@@ -36,8 +36,8 @@ load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo.log'
### CONSTANTS ###
ASTER_ALLOW_ORDERING: bool = True
EXTEND_ALLOW_ORDERING: bool = True
ASTER_ALLOW_ORDERING: bool = False
EXTEND_ALLOW_ORDERING: bool = False
LOOP_SLEEP_SEC = 1
PRICE_WORSENER_ASTER = 0.00
PRICE_WORSENER_EXTEND = 0.0
@@ -102,6 +102,7 @@ class Open_Positions:
class Asset:
symbol: str
balance: float
# min_order_qty: float
@dataclass(kw_only=True)
class Collateral:
@@ -157,50 +158,77 @@ class Funding_Rate:
async def update(self) -> None:
self.Valkey = await self.Valkey.update()
### Markets Info ###
@dataclass(kw_only=True)
class Market:
symbol: str
min_order_qty: float
@dataclass(kw_only=True)
class Markets_Details:
Markets: list[Market] = field(default_factory=list)
### Exchanges ###
@dataclass(kw_only=True)
class Perpetual_Exchange:
Order_Updates: Order_Updates
Position_Updates: Open_Positions
Collateral: Collateral
Collateral_Updates: Collateral
Funding_Rate: Funding_Rate
Markets: Markets_Details
mult: int
lh_asset: str
rh_asset: str
symbol_asset_separator: str = ''
symbol: str
async def update(self):
await self.Collateral.update()
await self.Orders.update()
await self.Positions.update()
await self.Collateral_Updates.update()
await self.Order_Updates.update()
await self.Position_Updates.update()
await self.Funding_Rate.update()
def __post_init__(self) -> None:
self.symbol = f'{self.lh_asset.upper()}{self.symbol_asset_separator}{self.rh_asset.upper()}'
@dataclass(kw_only=True)
class Aster(Perpetual_Exchange):
name: str = 'Aster'
lh_asset: str = 'ETH'
rh_asset: str = 'USDT'
def __post_init__(self):
self.Collateral = Order_Updates(Valkey=Valkey_Stream(channel = 'fr_aster_user_balances', none_fills = []))
self.Orders = Collateral(Valkey=Valkey_Stream(channel = 'fr_aster_user_orders', none_fills = []))
self.Positions = Open_Positions(Valkey=Valkey_Stream(channel = 'fr_aster_user_positions', none_fills = []))
super().__post_init__()
self.Order_Updates = Order_Updates(Valkey=Valkey_Stream(channel = 'fr_aster_user_balances', none_fills = []))
self.Collateral_Updates = Collateral(Valkey=Valkey_Stream(channel = 'fr_aster_user_orders', none_fills = []))
self.Position_Updates = Open_Positions(Valkey=Valkey_Stream(channel = 'fr_aster_user_positions', none_fills = []))
self.Funding_Rate - Funding_Rate(Valkey=Valkey_Stream(channel = 'fund_rate_aster', none_fills = None))
# @dataclass(kw_only=True)
# class Exchanges:
# Aster: Aster
# Extend: Perpetual_Exchange
# async def update(self):
# await self.Aster.update()
# await self.Extend.update()
@dataclass(kw_only=True)
class Extend(Perpetual_Exchange):
name: str = 'Extended'
lh_asset: str = 'ETH'
rh_asset: str = 'USD'
symbol_asset_separator: str = '-'
def __post_init__(self):
super().__post_init__()
self.Order_Updates = Order_Updates(Valkey=Valkey_Stream(channel = 'fr_aster_user_balances', none_fills = []))
self.Collateral_Updates = Collateral(Valkey=Valkey_Stream(channel = 'fr_aster_user_orders', none_fills = []))
self.Position_Updates = Open_Positions(Valkey=Valkey_Stream(channel = 'fr_aster_user_positions', none_fills = []))
self.Funding_Rate - Funding_Rate(Valkey=Valkey_Stream(channel = 'fund_rate_aster', none_fills = None))
# EXCHANGES: list = [ Aster(), Extend() ]
### FLAGS ###
@dataclass(kw_only=True)
class Flags:
LIQUIDATE_POS_AND_KILL_ALGO_FLAG: bool = False
NET_FUNDING_IS_ZERO: bool = False
# list = field(init=False)
Flags = Flags()
@@ -508,7 +536,8 @@ async def run_algo():
NEXT_NET_FUNDING_RATE = calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR)
Flags.NET_FUNDING_IS_ZERO = NEXT_NET_FUNDING_RATE == 0.00
if Flags.NET_FUNDING_IS_ZERO:
logging.info('NET FUNDING = 0.00; Flattening Open Positions; Wait Until Non-Zero.')
logging.info('NET FUNDING = 0.00; Cancelling Open Orders; Wait Until Non-Zero.')
ALPHA_TGT_NOTIONAL = 0.00
if ALPHA_EXCH == 'EXTEND':
@@ -554,6 +583,7 @@ async def run_algo():
TGT NOTIONAL: $ {MAX_TARGET_NOTIONAL if not Flags.NET_FUNDING_IS_ZERO else 0.00}
ASTER: {ASTER_NOTIONAL_POSITION:.4f} -> {ASTER_TGT_NOTIONAL:.2f} [ Remain: {ASTER_TGT_TAIL:.4f} ] | EXTEND: {EXTEND_NOTIONAL_POSITION:.4f} -> {EXTEND_TGT_NOTIONAL:.2f} [ Remain: {EXTEND_TGT_TAIL:.4f} ]
ASTER: {ASTER_TGT_NOTIONAL:.4f} - {ASTER_NOTIONAL_POSITION:.4f} = Tail: {ASTER_TGT_TAIL:4f} | EXTEND: {EXTEND_TGT_NOTIONAL:.4f} - {EXTEND_NOTIONAL_POSITION:.4f} = Tail: {EXTEND_TGT_TAIL:4f}
ASTER: {ASTER_TGT_TAIL_BASE_QTY:.4f} > {ASTER_MIN_ORDER_QTY:.4f} min [ Order: {ASTER_TGT_TAIL_ORDERABLE} ] | EXTEND: {EXTEND_TGT_TAIL_BASE_QTY:.4f} > {EXTEND_MIN_ORDER_QTY:.4f} min [ Order: {EXTEND_TGT_TAIL_ORDERABLE} ]
--- ASTER OPEN ORDERS ---
@@ -572,8 +602,9 @@ async def run_algo():
qty = str(abs(ASTER_TGT_TAIL_BASE_QTY))
price = ASTER_TOB_PX - PRICE_WORSENER_ASTER if side == 'BUY' else ASTER_TOB_PX + PRICE_WORSENER_ASTER
if abs(qty*price) + abs(ASTER_NOTIONAL_POSITION) > MAX_TARGET_NOTIONAL*1.01:
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - ASTER: {ASTER_NOTIONAL_POSITION} + {qty*price} (qty: {qty}; px: {price})')
if abs(abs(float(ASTER_TGT_TAIL_BASE_QTY))*float(price)) + abs(ASTER_NOTIONAL_POSITION) > MAX_TARGET_NOTIONAL*1.01:
pass
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - ASTER: {ASTER_NOTIONAL_POSITION} + {float(ASTER_TGT_TAIL_BASE_QTY)*float(price)} (qty: {float(ASTER_TGT_TAIL_BASE_QTY):.2f}; px: {float(price):.2f})')
# await aster_remainder_route()
if ASTER_OPEN_ORDERS:
open_order_id = ASTER_OPEN_ORDERS[0].get('order_id') if ASTER_OPEN_ORDERS[0].get('order_id') is not None else ASTER_OPEN_ORDERS[0]['orderId']
@@ -622,7 +653,7 @@ async def run_algo():
if order_resp.get('orderId', None) is not None:
order_resp['original_price'] = price
ASTER_OPEN_ORDERS.append(order_resp)
utils.send_tg_alert(f'FR_ALGO - ASTER Order. Start_$: {ASTER_NOTIONAL_POSITION:.2f}; Value: {abs(qty*price):.2f}; Price: {str(price):.2f}')
utils.send_tg_alert(f'FR_ALGO - ASTER Order. Start_$: {ASTER_NOTIONAL_POSITION:.2f}; Value: {float(ASTER_TGT_TAIL_BASE_QTY)*float(price):.2f}; Price: {float(price):.2f}')
logging.info(f'ASTER ORDER PLACED SUCCESS: {order_resp}')
else:
logging.warning('ASTER PLACE ORDER CHECKS FAILED, SKIPPING')
@@ -638,8 +669,9 @@ async def run_algo():
qty = Decimal(str(abs(EXTEND_TGT_TAIL_BASE_QTY)))
price = EXTEND_TOB_PX - PRICE_WORSENER_EXTEND if side == 'BUY' else EXTEND_TOB_PX + PRICE_WORSENER_EXTEND
if abs(qty*price) + abs(EXTEND_NOTIONAL_POSITION) > MAX_TARGET_NOTIONAL*1.01:
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - EXTEND: {EXTEND_NOTIONAL_POSITION} + {qty*price} (qty: {qty}; px: {price})')
if abs(float(EXTEND_TGT_TAIL_BASE_QTY)*float(price)) + abs(float(EXTEND_NOTIONAL_POSITION)) > MAX_TARGET_NOTIONAL*1.01:
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - EXTEND: {EXTEND_NOTIONAL_POSITION:.2f} + {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price):.2f} (qty: {float(EXTEND_TGT_TAIL_BASE_QTY):.2f}; px: {float(price):.2f})')
pass
# await extend_remainder_route()
if EXTEND_OPEN_ORDERS:
open_order_dict = dict(EXTEND_OPEN_ORDERS[0])
@@ -673,7 +705,7 @@ async def run_algo():
order_dict['price'] = str(price)
EXTEND_OPEN_ORDERS.append(order_dict)
utils.send_tg_alert(f'FR_ALGO - EXTEND Order. Start_$: {EXTEND_NOTIONAL_POSITION:.2f}; Value: {abs(qty*price):.2f}; Price: {str(price):.2f}')
utils.send_tg_alert(f'FR_ALGO - EXTEND Order. Start_$: {EXTEND_NOTIONAL_POSITION:.2f}; Value: {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price):.2f}; Price: {float(price):.2f}')
logging.info(f'EXTEND ORDER PLACED SUCCESS: {order_dict}')
else:
logging.warning('EXTEND PLACE ORDER CHECKS FAILED, SKIPPING')