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algo logic 1

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stevekeyharvey
2026-04-23 17:33:01 +00:00
parent c12835a96d
commit ea46b173fa
2 changed files with 6858 additions and 62 deletions
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aster.ipynb
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main.py
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@@ -9,7 +9,7 @@ from dataclasses import asdict, dataclass
from datetime import datetime, timezone
from typing import AsyncContextManager
from dotenv import load_dotenv
from decimal import Decimal, ROUND_DOWN
import numpy as np
import pandas as pd
import requests
@@ -48,19 +48,27 @@ ASTER_MIN_ORDER_QTY = 0.001
EXTEND_MIN_ORDER_QTY = 0.01
ASTER_AVAIL_COLLATERAL = 0
ASTER_NOTIONAL_POSITION = 0
EXTEND_AVAIL_COLLATERAL = 0
EXTEND_NOTIONAL_POSITION = 0
ASTER_OPEN_POSITIONS = []
EXTEND_OPEN_POSITIONS = []
ASTER_NOTIONAL_POSITION = 0
EXTEND_NOTIONAL_POSITION = 0
ASTER_OPEN_ORDERS = []
EXTEND_OPEN_ORDERS = []
# ASTER_OPEN_POSITIONS = []
# EXTEND_OPEN_POSITIONS = []
### FLAGS ###
LIQUIDATE_POS_AND_KILL_ALGO_FLAG: bool = False
NET_FUNDING_IS_ZERO: bool = False
### UTILS ###
def round_decimal_down(value, decimal_places):
# Construct precision string like '0.01' for 2 places
fmt = f'0.{"0" * decimal_places}' if decimal_places > 0 else '0'
precision = Decimal(fmt)
return Decimal(str(value)).quantize(precision, rounding=ROUND_DOWN)
### OPEN ORDERS ###
async def get_aster_open_orders():
@@ -146,6 +154,11 @@ async def get_extend_exch_info():
EXTEND_MIN_ORDER_QTY = float(r['ETH-USD'].trading_config.min_order_size)
### CANCEL ORDERS ###
async def aster_cancel_all_orders():
### ROUTES ###
async def aster_remainder_route():
# Check open orders...cancel replace or new order?
@@ -186,7 +199,10 @@ async def run_algo():
ASTER_PAYOUT_DIRECTION_STR = 'LONG PAYS SHORT' if ASTER_FUND_RATE > 0 else 'SHORT PAYS LONG'
EXTEND_PAYOUT_DIRECTION_STR = 'LONG PAYS SHORT' if EXTEND_FUND_RATE > 0 else 'SHORT PAYS LONG'
FUNDINGS_AT_SAME_TIME_NEXT_HR = ( (ASTER_FUND_RATE_TIME < 60*60*1000) and (EXTEND_FUND_RATE < 60*60*1000) )
min_between_fundings = round((abs(ASTER_FUND_RATE_TIME - EXTEND_FUND_RATE_TIME) / 1000 / 60))
FUNDINGS_AT_SAME_TIME_NEXT_HR = min_between_fundings < 5
# FUNDINGS_AT_SAME_TIME_NEXT_HR = ( (ASTER_FUND_RATE_TIME < 60*60*1000) and (EXTEND_FUND_RATE < 60*60*1000) )
if ( abs(ASTER_FUND_RATE) > abs(EXTEND_FUND_RATE) ) and FUNDINGS_AT_SAME_TIME_NEXT_HR:
ALPHA_EXCH = 'ASTER'
@@ -210,35 +226,52 @@ async def run_algo():
return EXTEND_FUND_RATE
NEXT_NET_FUNDING_RATE = calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR)
NET_FUNDING_IS_ZERO = NEXT_NET_FUNDING_RATE == 0.00
if ALPHA_EXCH == 'EXTEND':
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
if ALPHA_CARRY_SIDE == 'BUY':
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_ask_px'])
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_bid_px'])
else:
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_bid_px'])
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_ask_px'])
else:
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
if ALPHA_CARRY_SIDE == 'BUY':
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_bid_px'])
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_ask_px'])
else:
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_ask_px'])
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_bid_px'])
ASTER_TGT_TAIL = ASTER_TGT_NOTIONAL - ASTER_NOTIONAL_POSITION
EXTEND_TGT_TAIL = EXTEND_TGT_NOTIONAL - EXTEND_NOTIONAL_POSITION
ASTER_TGT_TAIL_ORDERABLE = abs(ASTER_TGT_TAIL) >= ASTER_MIN_ORDER_QTY
EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL) >= EXTEND_MIN_ORDER_QTY
ASTER_TGT_TAIL_BASE_QTY = Decimal(str(ASTER_TGT_TAIL / ASTER_TOB_PX)).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
EXTEND_TGT_TAIL_BASE_QTY = Decimal(str(EXTEND_TGT_TAIL / 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
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_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}
NET FUNDING : {NEXT_NET_FUNDING_RATE:.6%} [{NEXT_NET_FUNDING_RATE*10_000:.2f}bps] [{NEXT_NET_FUNDING_RATE*1_000_000:.0f}pips]
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?: {NET_FUNDING_IS_ZERO}
ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}]
TGT NOTIONAL: $ {MAX_TARGET_NOTIONAL}
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} ]
ASTER: {ASTER_TGT_TAIL:.4f} > {ASTER_MIN_ORDER_QTY:.4f} min [ Order: {ASTER_TGT_TAIL_ORDERABLE} ] | EXTEND: {EXTEND_TGT_TAIL:.4f} > {EXTEND_MIN_ORDER_QTY:.4f} min [ Order: {EXTEND_TGT_TAIL_ORDERABLE} ]
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} ]
''')
@@ -250,13 +283,19 @@ async def run_algo():
### ROUTES ###
if ASTER_TGT_TAIL_ORDERABLE:
await aster_remainder_route()
if EXTEND_TGT_TAIL_ORDERABLE:
await extend_remainder_route()
if NET_FUNDING_IS_ZERO:
logging.info('NET FUNDING = 0.00; Cancelling Open Order and Flattening Open Positions; Wait Until Non-Zero.')
### ZERO NET FUNDING - CXL OPEN ORDERS, CLOSE POSITIONS, and WAIT
else:
if ASTER_TGT_TAIL_ORDERABLE:
await aster_remainder_route()
elif not(ASTER_TGT_TAIL_ORDERABLE) and ASTER_OPEN_ORDERS:
logging.info('ASTER HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS')
pass
if EXTEND_TGT_TAIL_ORDERABLE:
await extend_remainder_route()
print(f'__________ End ___________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
time.sleep(5)