algo logic 1

main.py

@@ -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 = []
+ASTER_NOTIONAL_POSITION = 0
-EXTEND_OPEN_POSITIONS = []
+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' 
@@ -210,19 +226,36 @@ 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
+            ASTER_TGT_TAIL_BASE_QTY = Decimal(str(ASTER_TGT_TAIL / ASTER_TOB_PX)).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
-            EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL) >= EXTEND_MIN_ORDER_QTY
+            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()):})
@@ -231,14 +264,14 @@ async def run_algo():
             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}
+            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]
+            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 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)