diff --git a/algo.ipynb b/algo.ipynb
index e69de29..118f65b 100644
--- a/algo.ipynb
+++ b/algo.ipynb
@@ -0,0 +1,196 @@
+{
+ "cells": [
+ {
+ "cell_type": "code",
+ "execution_count": 28,
+ "id": "ac27075d",
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "import json\n",
+ "from dataclasses import dataclass, asdict\n",
+ "\n",
+ "@dataclass(kw_only=True)\n",
+ "class Algo_Config:\n",
+ " Allow_Ordering_Aster: bool\n",
+ " Allow_Ordering_Extend: bool\n",
+ " Loop_Sleep_Sec: int\n",
+ " Min_Time_To_Funding_Minutes: int\n",
+ " Price_Worsener_Aster: float\n",
+ " Price_Worsener_Extend: float\n",
+ " Target_Open_Cash_Position: int"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 29,
+ "id": "d1eed397",
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "with open('algo_config.json', 'r', encoding='utf-8') as file:\n",
+ " ALGO_CONFIG = json.load(file, object_hook=lambda d: Algo_Config(**d))"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 30,
+ "id": "286bf2d2",
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "Algo_Config(Allow_Ordering_Aster=True, Allow_Ordering_Extend=True, Loop_Sleep_Sec=1, Min_Time_To_Funding_Minutes=7, Price_Worsener_Aster=0.0, Price_Worsener_Extend=0.0, Target_Open_Cash_Position=10)"
+ ]
+ },
+ "execution_count": 30,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "ALGO_CONFIG"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 35,
+ "id": "0cbed6d4",
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "d = asdict(ALGO_CONFIG)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 41,
+ "id": "daa47980",
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "d_update = {'Allow_Ordering_Aster': False}"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 42,
+ "id": "aba7797b",
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "{'Allow_Ordering_Aster': True,\n",
+ " 'Allow_Ordering_Extend': True,\n",
+ " 'Loop_Sleep_Sec': 1,\n",
+ " 'Min_Time_To_Funding_Minutes': 7,\n",
+ " 'Price_Worsener_Aster': 0.0,\n",
+ " 'Price_Worsener_Extend': 0.0,\n",
+ " 'Target_Open_Cash_Position': 10}"
+ ]
+ },
+ "execution_count": 42,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "d"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 43,
+ "id": "3250cb84",
+ "metadata": {},
+ "outputs": [
+ {
+ "ename": "SyntaxError",
+ "evalue": "expected ':' (3324129842.py, line 1)",
+ "output_type": "error",
+ "traceback": [
+ " \u001b[36mCell\u001b[39m\u001b[36m \u001b[39m\u001b[32mIn[43]\u001b[39m\u001b[32m, line 1\u001b[39m\n\u001b[31m \u001b[39m\u001b[31mif d.get(d_update)\u001b[39m\n ^\n\u001b[31mSyntaxError\u001b[39m\u001b[31m:\u001b[39m expected ':'\n"
+ ]
+ }
+ ],
+ "source": [
+ "if d.get(d_update)"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "id": "e283b819",
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "dict_keys(['Allow_Ordering_Aster'])"
+ ]
+ },
+ "execution_count": 46,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "list(d_update.keys())"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "id": "6f067c02",
+ "metadata": {},
+ "outputs": [],
+ "source": []
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "id": "d2e26271",
+ "metadata": {},
+ "outputs": [],
+ "source": []
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "id": "a0df43de",
+ "metadata": {},
+ "outputs": [],
+ "source": []
+ },
+ {
+ "cell_type": "code",
+ "execution_count": null,
+ "metadata": {},
+ "outputs": [],
+ "source": []
+ }
+ ],
+ "metadata": {
+ "kernelspec": {
+ "display_name": "py_313",
+ "language": "python",
+ "name": "python3"
+ },
+ "language_info": {
+ "codemirror_mode": {
+ "name": "ipython",
+ "version": 3
+ },
+ "file_extension": ".py",
+ "mimetype": "text/x-python",
+ "name": "python",
+ "nbconvert_exporter": "python",
+ "pygments_lexer": "ipython3",
+ "version": "3.13.12"
+ }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}
diff --git a/algo_config.json b/algo_config.json
new file mode 100644
index 0000000..e0d945f
--- /dev/null
+++ b/algo_config.json
@@ -0,0 +1,11 @@
+{
+ "Config_Updated_Timestamp": 1777098091913,
+ "Allow_Ordering_Aster": true,
+ "Allow_Ordering_Extend": true,
+ "Loop_Sleep_Sec": 1,
+ "Max_Target_Notional": 0.00,
+ "Min_Time_To_Funding_Minutes": 60,
+ "Price_Worsener_Aster": 0.0,
+ "Price_Worsener_Extend": 0.0,
+ "Target_Open_Cash_Position": 10
+}
\ No newline at end of file
diff --git a/algo_orchestrator.py b/algo_orchestrator.py
index b8c7316..ccd76e4 100644
--- a/algo_orchestrator.py
+++ b/algo_orchestrator.py
@@ -2,19 +2,20 @@ import asyncio
import json
import logging
import os
-import time
import traceback
from datetime import datetime
from typing import AsyncContextManager
import valkey
from dotenv import load_dotenv
-from sqlalchemy import text
-from sqlalchemy.ext.asyncio import create_async_engine
+# from sqlalchemy.ext.asyncio import create_async_engine
+'''
+TO DO:
+- Insert config changes into database for analysis later / general tracking
+'''
### Database ###
-EXTEND_CLIENT = None
CON: AsyncContextManager | None = None
VAL_KEY = None
VK_IN = 'fr_orchestrator_input'
@@ -24,12 +25,12 @@ VK_OUT = 'fr_orchestrator_output'
load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo_Orchestrator.log'
-### ALGO GLOBALS ###
-ASTER_ALLOW_ORDERING: bool = True
-EXTEND_ALLOW_ORDERING: bool = True
-LOOP_SLEEP_SEC = 1
+ALGO_CONFIG: None | dict
+# ALGO_CONFIG: None | Algo_Config = None
async def orchestrator() -> None:
+ global ALGO_CONFIG
+
try:
VK_PUBSUB = VAL_KEY.pubsub()
VK_PUBSUB.subscribe(VK_IN)
@@ -37,11 +38,20 @@ async def orchestrator() -> None:
print(f"Subscribed to '{VK_IN}'. Waiting for messages...")
for message in VK_PUBSUB.listen():
- # Valkey sends a 'subscribe' message first; we usually want to skip it
if message['type'] == 'message':
- data = message['data']
- channel = message['channel']
- print(f"[{channel}] Received: {data}")
+ timestamp = round(datetime.now().timestamp()*1000)
+ data = json.loads(message['data'])
+ # channel = message['channel']
+
+ for k, v in data.items():
+ if ALGO_CONFIG.get(k, None) is not None:
+ ALGO_CONFIG[k] = v
+
+ ALGO_CONFIG['Config_Updated_Timestamp'] = timestamp
+ VAL_KEY.set(VK_OUT, json.dumps(ALGO_CONFIG))
+ with open('algo_config.json', 'w', encoding='utf-8') as f:
+ json.dump(ALGO_CONFIG, f, indent=4)
+ print(f"Algo Config Updated @ {timestamp}; {data}")
except valkey.exceptions.ConnectionError as e:
print(f"Could not connect to Valkey. Please check the publish server is up; {e}")
@@ -53,15 +63,20 @@ async def orchestrator() -> None:
### MAIN STARTUP ###
async def main() -> None:
- global EXTEND_CLIENT
global VAL_KEY
global CON
+ global ALGO_CONFIG
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)
- engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
+ # engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
- async with engine.connect() as CON:
- await orchestrator()
+ with open('algo_config.json', 'r', encoding='utf-8') as f:
+ # ALGO_CONFIG = json.load(f, object_hook=lambda d: Algo_Config(**d))
+ ALGO_CONFIG = json.load(f)
+ ALGO_CONFIG['Config_Updated_Timestamp'] = round(datetime.now().timestamp()*1000)
+
+ # async with engine.connect() as CON:
+ await orchestrator()
if __name__ == '__main__':
START_TIME = round(datetime.now().timestamp()*1000)
diff --git a/algo_orchestrator/Dockerfile b/algo_orchestrator/Dockerfile
new file mode 100644
index 0000000..bd579d7
--- /dev/null
+++ b/algo_orchestrator/Dockerfile
@@ -0,0 +1,19 @@
+FROM python:3.13-slim
+
+RUN apt-get update && \
+ apt-get install -y build-essential
+
+RUN gcc --version
+RUN rm -rf /var/lib/apt/lists/*
+
+WORKDIR /app
+
+COPY requirements.txt .
+
+RUN pip install --no-cache-dir -r requirements.txt
+
+COPY . .
+
+# Finally, run gunicorn.
+CMD [ "python", "-u" ,"algo_orchestrator.py"]
+# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
\ No newline at end of file
diff --git a/docker-compose.yml b/docker-compose.yml
index 3615543..b6c42fb 100644
--- a/docker-compose.yml
+++ b/docker-compose.yml
@@ -8,6 +8,7 @@ services:
context: ./
dockerfile: ./algo/Dockerfile
depends_on:
+ - algo_orchestrator
- ws_aster
- ws_aster_user
- ws_extended_fund_rate
@@ -17,6 +18,16 @@ services:
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
network_mode: "host"
+ algo_orchestrator:
+ container_name: algo_orchestrator
+ restart: "unless-stopped"
+ build:
+ context: ./
+ dockerfile: ./algo_orchestrator/Dockerfile
+ volumes:
+ - /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
+ - /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
+ network_mode: "host"
ws_aster:
container_name: ws_aster
restart: "unless-stopped"
@@ -51,10 +62,10 @@ services:
container_name: ws_extended_orderbook
restart: "unless-stopped"
build:
- context: ./
+ context: ./
dockerfile: ./ws_extended_orderbook/Dockerfile
volumes:
- - /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
+ - /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to dataw
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
network_mode: "host"
ws_extended_user:
diff --git a/main.py b/main.py
index 432d5ea..9b55f9f 100644
--- a/main.py
+++ b/main.py
@@ -25,6 +25,7 @@ from x10.models.order import OrderSide
import modules.utils as utils
import modules.aster_auth as aster_auth
import modules.extended_auth as extend_auth
+import modules.structs as structs
### Database ###
EXTEND_CLIENT = None
@@ -35,28 +36,24 @@ VAL_KEY = None
load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo.log'
+### Algo Config ###
+ALGO_CONFIG: structs.Algo_Config = None
+
### CONSTANTS ###
-ASTER_ALLOW_ORDERING: bool = False
-EXTEND_ALLOW_ORDERING: bool = False
-LOOP_SLEEP_SEC = 1
-PRICE_WORSENER_ASTER = 0.00
-PRICE_WORSENER_EXTEND = 0.0
+ASTER = structs.Perpetual_Exchange(
+ mult = 150,
+ lh_asset = 'ETH',
+ rh_asset = 'USDT',
+ symbol_asset_separator = '',
+)
-MIN_TIME_TO_FUNDING: int = 1000 * 60 * 7 # 5 minutes.
-
-ASTER_LH_ASSET: str = 'ETH'
-ASTER_RH_ASSET: str = 'USDT'
-ASTER_TICKER: str = ASTER_LH_ASSET + ASTER_RH_ASSET
EXTEND_LH_ASSET: str = 'ETH'
EXTEND_RH_ASSET: str = 'USD'
EXTEND_TICKER: str = EXTEND_LH_ASSET + '-' + EXTEND_RH_ASSET
-TARGET_OPEN_CASH_POSITION: float = 10 # Each side (alpha and hedge)
-
### GLOBALS ###
ASTER_MULT = 150
EXTEND_MULT = 50
-MAX_TARGET_NOTIONAL = min([ASTER_MULT, EXTEND_MULT]) * TARGET_OPEN_CASH_POSITION
ASTER_MIN_ORDER_QTY = 0.001
EXTEND_MIN_ORDER_QTY = 0.01
@@ -73,164 +70,10 @@ EXTEND_OPEN_ORDERS = []
# ASTER_OPEN_POSITIONS = []
# EXTEND_OPEN_POSITIONS = []
-@dataclass(kw_only=True)
-class Valkey_Stream:
- channel: str
- data: Any = None
- none_fill: Any = None
-
- async def update(self):
- r = VAL_KEY.get(self.channel)
- self.data = json.loads(r) if r is not None else self.none_fill
-
-@dataclass(kw_only=True)
-class Position:
- market: str
- notional: float
- qty: float
-
-@dataclass(kw_only=True)
-class Open_Positions:
- Valkey: Valkey_Stream
- Positions: list[Position] = field(default_factory = list)
-
- async def update(self) -> None:
- self.Valkey = await self.Valkey.update()
-
-### Collateral ###
-@dataclass(kw_only=True)
-class Asset:
- symbol: str
- balance: float
- # min_order_qty: float
-
-@dataclass(kw_only=True)
-class Collateral:
- Valkey: Valkey_Stream
- # Last_Updated_Ts_Ms: int
- # Last_Pulled_Ts_Ms: int
- Assets: list[Asset] = field(default_factory = list)
-
- async def update(self) -> None:
- self.Valkey = await self.Valkey.update()
-
-### Orders ###
-@dataclass(kw_only=True)
-class Order:
- symbol: str
- order_id: str
- client_order_id: str
- side: str
- order_type: str
- original_qty: float
- original_price: float
- order_status: str
- last_filled_qty: float
- last_filled_price: float
- commission: float
- trade_is_maker: bool
-
-@dataclass(kw_only=True)
-class Order_Updates:
- # Last_Updated_Ts_Ms: int
- # Last_Pulled_Ts_Ms: int
- Valkey: Valkey_Stream
- Orders: list[Order] = field(default_factory = list)
-
- async def update(self) -> None:
- self.Valkey = await self.Valkey.update()
-
-### Funding Rate ###
-@dataclass(kw_only=True)
-class Funding_Rate:
- # Last_Updated_Ts_Ms: int
- # Last_Pulled_Ts_Ms: int
- Valkey: Valkey_Stream
- timestamp_arrival: int
- timestamp_msg: int
- symbol: str
- funding_rate: float
- next_funding_time_ts_ms: int
- mark_price: float
- index_price: float
- estimated_settle_price: float
-
- 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_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_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):
- 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 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
-Flags = Flags()
-
+Flags = structs.Flags()
### UTILS ###
def round_decimal_down(value, decimal_places):
@@ -265,7 +108,7 @@ async def get_aster_collateral():
"params": {}
}
r = await aster_auth.post_authenticated_url(fut_acct_balances)
- ASTER_AVAIL_COLLATERAL = float([d for d in r if d.get('asset')==ASTER_RH_ASSET][0].get('availableBalance'))
+ ASTER_AVAIL_COLLATERAL = float([d for d in r if d.get('asset')==ASTER.rh_asset][0].get('availableBalance'))
async def get_aster_notional_position(resp: dict | None = None):
global ASTER_NOTIONAL_POSITION
@@ -276,15 +119,16 @@ async def get_aster_notional_position(resp: dict | None = None):
"url": "/fapi/v3/positionRisk",
"method": "GET",
"params": {
- 'symbol': ASTER_TICKER,
+ 'symbol': ASTER.symbol,
}
}
resp = await aster_auth.post_authenticated_url(fut_acct_positionRisk)
- d = [x for x in resp if x.get('symbol', None) == ASTER_TICKER][0]
+ d = [x for x in resp if x.get('symbol', None) == ASTER.symbol][0]
+
if len(d) < 1:
logging.info(f'BAD NOTIONAL - ASTER CHANGE: Empty d: {d}; resp: {resp}')
- kill_algo()
+ await kill_algo()
aster_unrealized_pnl = float(d['unrealized_pnl']) if d.get('unrealized_pnl') is not None else float(d['unRealizedProfit'])
@@ -297,11 +141,11 @@ async def get_aster_notional_position(resp: dict | None = None):
ASTER_NOTIONAL_POSITION = notional - aster_unrealized_pnl
if not resp:
ASTER_MULT = float(d['leverage'])
- if abs(ASTER_NOTIONAL_POSITION) > MAX_TARGET_NOTIONAL*1.01:
+ if abs(ASTER_NOTIONAL_POSITION) > ALGO_CONFIG.Max_Target_Notional*1.01:
logging.info(f'BAD NOTIONAL - ASTER CHANGE: {ASTER_NOTIONAL_POSITION}; UR PNL: {aster_unrealized_pnl}; MULT: {ASTER_MULT}; d: {d}; resp: {resp}')
- kill_algo()
+ await kill_algo()
if ASTER_NOTIONAL_POSITION != previous_notional_position:
- logging.info(f'ASTER NOTIONAL CHANGE: {ASTER_NOTIONAL_POSITION:.2f}; UR PNL: {aster_unrealized_pnl:.2f}; MULT: {ASTER_MULT:.0f}; resp: {bool(resp)}')
+ logging.info(f'ASTER NOTIONAL CHANGE: {previous_notional_position} -> {ASTER_NOTIONAL_POSITION:.2f}; UR PNL: {aster_unrealized_pnl:.2f}; MULT: {ASTER_MULT:.0f}; resp: {bool(resp)}')
async def get_extend_collateral():
global EXTEND_AVAIL_COLLATERAL
@@ -317,14 +161,26 @@ async def get_extend_notional(resp: dict | None = None):
resp = dict(await EXTEND_CLIENT.account.get_positions()).get('data', {})
pos_dict = [dict(d) for d in resp if dict(d).get('market') == EXTEND_TICKER]
- pos_dict = pos_dict[0]
- unrealized_pnl = pos_dict.get('unrealised_pnl', 0)
- previous_notional_position = EXTEND_NOTIONAL_POSITION
- EXTEND_NOTIONAL_POSITION = float(pos_dict.get('value', 0)) - float(unrealized_pnl)
- EXTEND_MULT = pos_dict.get('leverage', EXTEND_MULT)
- if EXTEND_NOTIONAL_POSITION != previous_notional_position:
- logging.info(f'EXTEND NOTIONAL CHANGE: {EXTEND_NOTIONAL_POSITION:.2f}; UR PNL: {unrealized_pnl:.2f}; MULT: {EXTEND_MULT:.0f}; resp: {bool(resp)}')
-
+
+ if not pos_dict:
+ logging.info('get_extend_notional - No Positions')
+ else:
+ pos_dict = pos_dict[0]
+ unrealized_pnl = pos_dict.get('unrealised_pnl', 0)
+ previous_notional_position = EXTEND_NOTIONAL_POSITION
+ position_side = pos_dict['side'] # LONG or SHORT
+ notional_pos_abs = abs(float(pos_dict['value']))
+ if position_side == 'LONG':
+ notional_pos_sided = notional_pos_abs
+ elif position_side == 'SHORT':
+ notional_pos_sided = notional_pos_abs * -1
+ else:
+ logging.info(f'EXTEND BAD SIDE ON POSITION UPDATE: {pos_dict}')
+
+ EXTEND_NOTIONAL_POSITION = notional_pos_sided - float(unrealized_pnl)
+ EXTEND_MULT = pos_dict.get('leverage', EXTEND_MULT)
+ if EXTEND_NOTIONAL_POSITION != previous_notional_position:
+ logging.info(f'EXTEND NOTIONAL CHANGE: {previous_notional_position} -> {EXTEND_NOTIONAL_POSITION:.2f}; UR PNL: {unrealized_pnl:.2f}; MULT: {EXTEND_MULT:.0f}; resp: {bool(resp)}')
### EXCHANGE INFO ###
async def get_aster_exch_info():
@@ -370,29 +226,19 @@ async def kill_algo():
logging.info('ALGO KILL FLAG ACTIVATED; CANCELLING OPEN ORDERS AND SHUTTING DOWN')
raise ValueError('KILL FLAG ACTIVATED')
-### ROUTES ###
-# async def aster_remainder_route():
-# # Check open orders...cancel replace or new order?
-# # Check collateral to confirm you have enough money to trade
-# # if CR, what should be the new price? has it changed? maybe no action needed? how long has it been working?
-# # if not enough collateral then need to liquidate and kill algo - flip flag
-
-# # if good to order, then create and post order. ADD to LOCAL OPEN ORDERS LIST
-
-
-# pass
-
-# async def extend_remainder_route():
-# pass
-
-
### ALGO LOOP ###
async def run_algo():
+ global ALGO_CONFIG
try:
while True:
loop_start = time.time()
- print('__________Start___________')
+ # print('__________Start___________')
+ ### ALGO CONIFG ###
+ ALGO_CONFIG = json.loads(VAL_KEY.get('fr_orchestrator_output'), object_hook=lambda d: structs.Algo_Config(**d))
+ ALGO_CONFIG.Max_Target_Notional = float(min([ASTER_MULT, EXTEND_MULT]) * ALGO_CONFIG.Target_Open_Cash_Position)
+
+ MIN_TIME_TO_FUNDING = ALGO_CONFIG.Min_Time_To_Funding_Minutes * 60 * 1000
### Load Data from Feedhandlers ###
ASTER_FUND_RATE_DICT = json.loads(VAL_KEY.get('fund_rate_aster'))
@@ -521,11 +367,10 @@ async def run_algo():
if ALPHA_FUND_RATE < 0:
ALPHA_CARRY_SIDE = 'BUY'
- ALPHA_TGT_NOTIONAL = MAX_TARGET_NOTIONAL
+ ALPHA_TGT_NOTIONAL = ALGO_CONFIG.Max_Target_Notional
else:
ALPHA_CARRY_SIDE = 'SELL'
- ALPHA_TGT_NOTIONAL = MAX_TARGET_NOTIONAL*-1
-
+ ALPHA_TGT_NOTIONAL = ALGO_CONFIG.Max_Target_Notional*-1
def calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR: bool) -> float:
if FUNDINGS_AT_SAME_TIME_NEXT_HR:
@@ -566,46 +411,52 @@ async def run_algo():
ASTER_TGT_TAIL_BASE_QTY = Decimal(str(float(ASTER_TGT_TAIL) / float(ASTER_TOB_PX))).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
EXTEND_TGT_TAIL_BASE_QTY = Decimal(str(float(EXTEND_TGT_TAIL) / float(EXTEND_TOB_PX))).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
- ASTER_TGT_TAIL_ORDERABLE = abs(ASTER_TGT_TAIL_BASE_QTY) >= ASTER_MIN_ORDER_QTY
- EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL_BASE_QTY) >= EXTEND_MIN_ORDER_QTY
+ MAX_MIN_ORDER_QTY = max([ASTER_MIN_ORDER_QTY, EXTEND_MIN_ORDER_QTY])
- print(f'''
- {pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')-datetime.now()):}) | {pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')-datetime.now()):})
- ASTER: {ASTER_FUND_RATE:.6%} [{ASTER_FUND_RATE*10_000:.2f}bps] [{ASTER_FUND_RATE*1_000_000:.0f}pips] | EXTEND: {EXTEND_FUND_RATE:.6%} [{EXTEND_FUND_RATE*10_000:.2f}bps] [{EXTEND_FUND_RATE*1_000_000:.0f}pips]
- ASTER: {ASTER_PAYOUT_DIRECTION_STR} | EXTEND: {EXTEND_PAYOUT_DIRECTION_STR}
- ASTER: [ Available Collateral: {ASTER_AVAIL_COLLATERAL:.4f} ] | EXTEND: [ Available Collateral: {EXTEND_AVAIL_COLLATERAL:.4f} ]
- ASTER: [ Notional Position $ : {ASTER_NOTIONAL_POSITION:.4f} ] | EXTEND: [ Notional Position $ : {EXTEND_NOTIONAL_POSITION:.4f} ]
-
- SAME TIME? : {FUNDINGS_AT_SAME_TIME_NEXT_HR} [ Minutes Between Fundings: {min_between_fundings} ]
- NET FUNDING : {NEXT_NET_FUNDING_RATE:.6%} [{NEXT_NET_FUNDING_RATE*10_000:.2f}bps] [{NEXT_NET_FUNDING_RATE*1_000_000:.0f}pips]; Is Zero?: {Flags.NET_FUNDING_IS_ZERO}
- ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}]
+ ASTER_TGT_TAIL_ORDERABLE = abs(ASTER_TGT_TAIL_BASE_QTY) >= MAX_MIN_ORDER_QTY
+ EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL_BASE_QTY) >= MAX_MIN_ORDER_QTY
- TGT NOTIONAL: $ {MAX_TARGET_NOTIONAL if not Flags.NET_FUNDING_IS_ZERO else 0.00}
+ def print_summary(use_logging: bool = False):
+ OUT: print | logging.info = logging.info if use_logging else print
+
+ OUT(f'''
+ {pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')-datetime.now()):}) | {pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')-datetime.now()):})
+ ASTER: {ASTER_FUND_RATE:.6%} [{ASTER_FUND_RATE*10_000:.2f}bps] [{ASTER_FUND_RATE*1_000_000:.0f}pips] | EXTEND: {EXTEND_FUND_RATE:.6%} [{EXTEND_FUND_RATE*10_000:.2f}bps] [{EXTEND_FUND_RATE*1_000_000:.0f}pips]
+ ASTER: {ASTER_PAYOUT_DIRECTION_STR} | EXTEND: {EXTEND_PAYOUT_DIRECTION_STR}
+ ASTER: [ Available Collateral: {ASTER_AVAIL_COLLATERAL:.4f} ] | EXTEND: [ Available Collateral: {EXTEND_AVAIL_COLLATERAL:.4f} ]
+ ASTER: [ Notional Position $ : {ASTER_NOTIONAL_POSITION:.4f} ] | EXTEND: [ Notional Position $ : {EXTEND_NOTIONAL_POSITION:.4f} ]
+
+ SAME TIME? : {FUNDINGS_AT_SAME_TIME_NEXT_HR} [ Minutes Between Fundings: {min_between_fundings} ]
+ NET FUNDING : {NEXT_NET_FUNDING_RATE:.6%} [{NEXT_NET_FUNDING_RATE*10_000:.2f}bps] [{NEXT_NET_FUNDING_RATE*1_000_000:.0f}pips]; Is Zero?: {Flags.NET_FUNDING_IS_ZERO}
+ ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}]
- 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} ]
+ TGT NOTIONAL: $ {ALGO_CONFIG.Max_Target_Notional if not Flags.NET_FUNDING_IS_ZERO else 0.00}
- --- ASTER OPEN ORDERS ---
- {ASTER_OPEN_ORDERS}
-
- --- EXTEND OPEN ORDERS ---
- {EXTEND_OPEN_ORDERS}
- ''')
-
+ 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} > {MAX_MIN_ORDER_QTY:.4f} min [ Order: {ASTER_TGT_TAIL_ORDERABLE} ] | EXTEND: {EXTEND_TGT_TAIL_BASE_QTY:.4f} > {MAX_MIN_ORDER_QTY:.4f} min [ Order: {EXTEND_TGT_TAIL_ORDERABLE} ]
+
+ --- ASTER OPEN ORDERS ---
+ {ASTER_OPEN_ORDERS}
+
+ --- EXTEND OPEN ORDERS ---
+ {EXTEND_OPEN_ORDERS}
+ ''')
+ if ALGO_CONFIG.print_summary_each_loop:
+ print_summary()
+ # print_summary()
### ROUTES ###
# ASTER
- if ASTER_TGT_TAIL_ORDERABLE and ASTER_ALLOW_ORDERING:
- symbol = ASTER_TICKER
+ if ASTER_TGT_TAIL_ORDERABLE and ALGO_CONFIG.Allow_Ordering_Aster:
+ symbol = ASTER.symbol
side = 'BUY' if ASTER_TGT_TAIL_BASE_QTY > 0.00 else 'SELL'
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
+ price = ASTER_TOB_PX - ALGO_CONFIG.Price_Worsener_Aster if side == 'BUY' else ASTER_TOB_PX + ALGO_CONFIG.Price_Worsener_Aster
- if abs(abs(float(ASTER_TGT_TAIL_BASE_QTY))*float(price)) + abs(ASTER_NOTIONAL_POSITION) > MAX_TARGET_NOTIONAL*1.01:
- pass
+ if abs( ( float(ASTER_TGT_TAIL_BASE_QTY)*float(price) ) + ASTER_NOTIONAL_POSITION ) > ALGO_CONFIG.Max_Target_Notional*1.01:
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()
+ await kill_algo()
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']
open_order_px = float(ASTER_OPEN_ORDERS[0].get('price')) if ASTER_OPEN_ORDERS[0].get('price') is not None else float(ASTER_OPEN_ORDERS[0]['original_price'])
@@ -617,7 +468,7 @@ async def run_algo():
"url": "/fapi/v3/order",
"method": "DELETE",
"params": {
- 'symbol': ASTER_TICKER,
+ 'symbol': ASTER.symbol,
'orderId': open_order_id,
}
}
@@ -655,6 +506,7 @@ async def run_algo():
ASTER_OPEN_ORDERS.append(order_resp)
utils.send_tg_alert(f'FR_ALGO - ASTER Order. Start_$: {ASTER_NOTIONAL_POSITION:.2f}; Value: {float(ASTER_TGT_TAIL_BASE_QTY)*float(price):.2f}; Price: {float(price):.2f}')
logging.info(f'ASTER ORDER PLACED SUCCESS: {order_resp}')
+ print_summary(use_logging=True)
else:
logging.warning('ASTER PLACE ORDER CHECKS FAILED, SKIPPING')
@@ -663,16 +515,15 @@ async def run_algo():
await aster_cancel_all_orders()
# EXTEND
- if EXTEND_TGT_TAIL_ORDERABLE and EXTEND_ALLOW_ORDERING:
+ if EXTEND_TGT_TAIL_ORDERABLE and ALGO_CONFIG.Allow_Ordering_Extend:
symbol = EXTEND_TICKER
side = OrderSide.BUY if EXTEND_TGT_TAIL_BASE_QTY > 0.00 else OrderSide.SELL
qty = Decimal(str(abs(EXTEND_TGT_TAIL_BASE_QTY)))
- price = EXTEND_TOB_PX - PRICE_WORSENER_EXTEND if side == 'BUY' else EXTEND_TOB_PX + PRICE_WORSENER_EXTEND
+ price = EXTEND_TOB_PX - ALGO_CONFIG.Price_Worsener_Extend if side == 'BUY' else EXTEND_TOB_PX + ALGO_CONFIG.Price_Worsener_Extend
- if abs(float(EXTEND_TGT_TAIL_BASE_QTY)*float(price)) + abs(float(EXTEND_NOTIONAL_POSITION)) > MAX_TARGET_NOTIONAL*1.01:
+ if abs( ( float(EXTEND_TGT_TAIL_BASE_QTY)*float(price) ) + EXTEND_NOTIONAL_POSITION ) > ALGO_CONFIG.Max_Target_Notional*1.01:
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - EXTEND: {EXTEND_NOTIONAL_POSITION:.2f} + {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price):.2f} (qty: {float(EXTEND_TGT_TAIL_BASE_QTY):.2f}; px: {float(price):.2f})')
- pass
- # await extend_remainder_route()
+ await kill_algo()
if EXTEND_OPEN_ORDERS:
open_order_dict = dict(EXTEND_OPEN_ORDERS[0])
open_order_id = open_order_dict['external_id']
@@ -707,6 +558,7 @@ async def run_algo():
EXTEND_OPEN_ORDERS.append(order_dict)
utils.send_tg_alert(f'FR_ALGO - EXTEND Order. Start_$: {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}')
+ print_summary(use_logging=True)
else:
logging.warning('EXTEND PLACE ORDER CHECKS FAILED, SKIPPING')
@@ -716,7 +568,7 @@ async def run_algo():
print(f'__________ End ___________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
- time.sleep(LOOP_SLEEP_SEC)
+ time.sleep(ALGO_CONFIG.Loop_Sleep_Sec)
except KeyboardInterrupt:
logging.info('CANCELLING OPEN ORDERS')
@@ -734,11 +586,16 @@ async def main():
global EXTEND_CLIENT
global VAL_KEY
global CON
+ global ALGO_CONFIG
_, EXTEND_CLIENT = await extend_auth.create_auth_account_and_trading_client()
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
+ with open('algo_config.json', 'r', encoding='utf-8') as file:
+ ALGO_CONFIG = json.load(file, object_hook=lambda d: structs.Algo_Config(**d))
+ ALGO_CONFIG.Max_Target_Notional = float(min([ASTER_MULT, EXTEND_MULT]) * ALGO_CONFIG.Target_Open_Cash_Position)
+
async with engine.connect() as CON:
### ASTER SETUP ###
await get_aster_collateral()
diff --git a/main_update.py b/main_v0.py
similarity index 100%
rename from main_update.py
rename to main_v0.py
diff --git a/modules/__pycache__/db.cpython-313.pyc b/modules/__pycache__/db.cpython-313.pyc
index c7af759..eea2b4e 100644
Binary files a/modules/__pycache__/db.cpython-313.pyc and b/modules/__pycache__/db.cpython-313.pyc differ
diff --git a/modules/__pycache__/structs.cpython-313.pyc b/modules/__pycache__/structs.cpython-313.pyc
new file mode 100644
index 0000000..5b7fd84
Binary files /dev/null and b/modules/__pycache__/structs.cpython-313.pyc differ
diff --git a/modules/db.py b/modules/db.py
index 19ca86d..83080d6 100644
--- a/modules/db.py
+++ b/modules/db.py
@@ -18,7 +18,9 @@ async def insert_df_to_mysql(
if isinstance(params, dict):
params = [params]
df = pd.DataFrame(params)
-
+ else:
+ df = params
+ print(f'DB INSERT: table: {table_name}; CON: {CON}; params: {params}')
await CON.run_sync(
lambda sync_conn: df.to_sql(name=table_name, con=sync_conn, if_exists='append', index=False)
)
diff --git a/modules/structs.py b/modules/structs.py
new file mode 100644
index 0000000..a286ec0
--- /dev/null
+++ b/modules/structs.py
@@ -0,0 +1,181 @@
+import json
+from dataclasses import dataclass, field
+from typing import Any
+
+import valkey
+
+
+@dataclass(kw_only=True)
+class Algo_Config:
+ Config_Updated_Timestamp: int
+ Allow_Ordering_Aster: bool
+ Allow_Ordering_Extend: bool
+ Loop_Sleep_Sec: int
+ Max_Target_Notional: float
+ Min_Time_To_Funding_Minutes: int
+ Price_Worsener_Aster: float
+ Price_Worsener_Extend: float
+ Target_Open_Cash_Position: int
+
+@dataclass(kw_only=True)
+class Flags:
+ LIQUIDATE_POS_AND_KILL_ALGO_FLAG: bool = False
+ NET_FUNDING_IS_ZERO: bool = False
+
+
+@dataclass(kw_only=True)
+class Valkey_Stream:
+ client: valkey.Valkey
+ channel: str
+ data: Any = None
+ none_fill: Any = None
+
+ async def update(self):
+ r = self.client.get(self.channel)
+ self.data = json.loads(r) if r is not None else self.none_fill
+
+
+@dataclass(kw_only=True)
+class Position:
+ market: str
+ notional: float
+ qty: float
+
+
+@dataclass(kw_only=True)
+class Open_Positions:
+ Valkey: Valkey_Stream
+ Positions: list[Position] = field(default_factory = list)
+
+ async def update(self) -> None:
+ self.Valkey = await self.Valkey.update()
+
+
+### Collateral ###
+@dataclass(kw_only=True)
+class Asset:
+ symbol: str
+ balance: float
+ # min_order_qty: float
+
+
+@dataclass(kw_only=True)
+class Collateral:
+ Valkey: Valkey_Stream
+ # Last_Updated_Ts_Ms: int
+ # Last_Pulled_Ts_Ms: int
+ Assets: list[Asset] = field(default_factory = list)
+
+ async def update(self) -> None:
+ self.Valkey = await self.Valkey.update()
+
+
+### Orders ###
+@dataclass(kw_only=True)
+class Order:
+ symbol: str
+ order_id: str
+ client_order_id: str
+ side: str
+ order_type: str
+ original_qty: float
+ original_price: float
+ order_status: str
+ last_filled_qty: float
+ last_filled_price: float
+ commission: float
+ trade_is_maker: bool
+
+
+@dataclass(kw_only=True)
+class Order_Updates:
+ # Last_Updated_Ts_Ms: int
+ # Last_Pulled_Ts_Ms: int
+ Valkey: Valkey_Stream
+ Orders: list[Order] = field(default_factory = list)
+
+ async def update(self) -> None:
+ self.Valkey = await self.Valkey.update()
+
+
+### Funding Rate ###
+@dataclass(kw_only=True)
+class Funding_Rate:
+ # Last_Updated_Ts_Ms: int
+ # Last_Pulled_Ts_Ms: int
+ Valkey: Valkey_Stream
+ timestamp_arrival: int
+ timestamp_msg: int
+ symbol: str
+ funding_rate: float
+ next_funding_time_ts_ms: int
+ mark_price: float
+ index_price: float
+ estimated_settle_price: float
+
+ 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_Updates: Collateral
+ # Funding_Rate: Funding_Rate
+ # Markets: Markets_Details
+ mult: int
+ lh_asset: str
+ rh_asset: str
+ symbol_asset_separator: str = ''
+
+ async def update(self):
+ 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):
+ 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 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))
diff --git a/ng.py b/ng.py
new file mode 100644
index 0000000..3ecfad0
--- /dev/null
+++ b/ng.py
@@ -0,0 +1,36 @@
+import os
+from nicegui import ui, app
+from sqlalchemy import create_engine
+import json
+import valkey
+
+
+VALKEY_R = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)
+
+
+
+def root():
+ app.add_static_files(max_cache_age=0, url_path='/static', local_directory=os.path.join(os.path.dirname(__file__), 'nicegui_modules/static'))
+ ui.add_head_html('''
+
+
+
+
+ '''
+ )
+ # ui.add_head_html('')
+ # update_body_scroll(bool_override=ALLOW_BODY_SCROLL)
+
+ ui.sub_pages({
+ '/': controls_grid,
+ }).classes('w-full')
+
+
+async def controls_grid():
+ with ui.grid(columns=16).classes('w-full gap-0 auto-fit'):
+ with ui.card().tight().classes('w-full col-span-full no-shadow border border-black-200').style('overflow: auto;'):
+ ui.html('', sanitize=False).classes('w-full')
+ ui.run_javascript('await create_tv();')
+
+
+ui.run(root, storage_secret="123ABC", reload=True, dark=True, title='Atwater_Trading')
\ No newline at end of file
diff --git a/ws_extended_user.py b/ws_extended_user.py
index 2e39fe9..69154ac 100644
--- a/ws_extended_user.py
+++ b/ws_extended_user.py
@@ -130,6 +130,7 @@ async def ws_stream():
'created_time_ts': t['createdTime'],
'is_taker': t['isTaker'],
}
+ list_for_df.append(trade_update)
LOCAL_RECENT_TRADES = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_TRADES, trade_update, id='trade_id', seq_check_field='sequence_id')
LOCAL_RECENT_TRADES = [t for t in LOCAL_RECENT_TRADES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
@@ -187,15 +188,17 @@ async def ws_stream():
'tp_limit_price': float(p.get('tpLimitPrice', 0)),
'sl_trigger_price': float(p.get('slTriggerPrice', 0)),
'sl_limit_price': float(p.get('slLimitPrice', 0)),
- 'adl_percentile': p['adl'], # closer to 100 means higher chance of auto-deleveraging
+ 'adl_percentile': p.get('adl', 0), # closer to 100 means higher chance of auto-deleveraging
'created_at_ts': p['createdAt'],
'updated_at_ts': p['updatedAt'],
}
+ list_for_df.append(position_update)
LOCAL_RECENT_POSITIONS = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='position_id', seq_check_field='sequence_id')
LOCAL_RECENT_POSITIONS = [t for t in LOCAL_RECENT_POSITIONS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_POSITIONS)
VAL_KEY.set(VK_POSITIONS, VAL_KEY_OBJ)
+
await db.insert_df_to_mysql(table_name='fr_extended_user_position', params=list_for_df, CON=CON)
continue
case _:
@@ -231,8 +234,8 @@ async def main():
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
async with engine.connect() as CON:
await extended_db.create_fr_extended_user_balance(CON=CON)
- await extended_db.create_fr_extended_user_order(CON=CON)
await extended_db.create_fr_extended_user_position(CON=CON)
+ await extended_db.create_fr_extended_user_order(CON=CON)
await extended_db.create_fr_extended_user_trade(CON=CON)
await ws_stream()
else: