This commit is contained in:
2026-04-25 23:43:28 +00:00
parent b0d031d452
commit dac490ca5b
13 changed files with 591 additions and 260 deletions

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@@ -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
}

11
algo_config.json Normal file
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@@ -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
}

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@@ -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}")
@@ -53,14 +63,19 @@ 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:
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__':

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@@ -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"]

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@@ -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"
@@ -54,7 +65,7 @@ services:
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:

291
main.py
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@@ -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]
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
EXTEND_NOTIONAL_POSITION = float(pos_dict.get('value', 0)) - float(unrealized_pnl)
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: {EXTEND_NOTIONAL_POSITION:.2f}; UR PNL: {unrealized_pnl:.2f}; MULT: {EXTEND_MULT:.0f}; resp: {bool(resp)}')
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:
@@ -566,10 +411,15 @@ 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'''
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
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}
@@ -580,11 +430,11 @@ async def run_algo():
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}]
TGT NOTIONAL: $ {MAX_TARGET_NOTIONAL if not Flags.NET_FUNDING_IS_ZERO else 0.00}
TGT NOTIONAL: $ {ALGO_CONFIG.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: {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}
@@ -592,20 +442,21 @@ async def run_algo():
--- 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()

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@@ -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)
)

181
modules/structs.py Normal file
View File

@@ -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))

36
ng.py Normal file
View File

@@ -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('''
<meta name="darkreader-lock">
<link rel="stylesheet" type="text/css" href="/static/styles.css">
<script type="text/javascript" src="https://unpkg.com/lightweight-charts/dist/lightweight-charts.standalone.production.js"></script>
<script src="/static/script.js"></script>
'''
)
# ui.add_head_html('<meta name="darkreader-lock">')
# 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('<div id="tv" style="width:100%; height:800px;"></div>', sanitize=False).classes('w-full')
ui.run_javascript('await create_tv();')
ui.run(root, storage_secret="123ABC", reload=True, dark=True, title='Atwater_Trading')

View File

@@ -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: