stevekeyharvey/Funding_Rate
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

initial algo logic

Browse Source
This commit is contained in:
stevekeyharvey
2026-04-23 06:39:51 +00:00
parent 539e6004cf
commit ff209603b6
3 changed files with 215 additions and 17 deletions
Download Patch File Download Diff File Expand all files Collapse all files

30
extended.ipynb
View File

@@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
"execution_count": null,
"execution_count": 4,
"id": "6c70a8c3",
"metadata": {},
"outputs": [],
@@ -21,13 +21,13 @@
"import asyncio\n",
"import logging\n",
"from decimal import Decimal\n",
"\n",
"import modules.extended_auth as extend_auth\n",
"\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 5,
"id": "ff971ca9",
"metadata": {},
"outputs": [],
@@ -47,6 +47,16 @@
"ORDER_PRICE = Decimal(\"75000\")"
]
},
{
"cell_type": "code",
"execution_count": 8,
"id": "fc2c6d2b",
"metadata": {},
"outputs": [],
"source": [
"client, trading_client = await extend_auth.create_auth_account_and_trading_client()"
]
},
{
"cell_type": "code",
"execution_count": null,
@@ -54,13 +64,13 @@
"metadata": {},
"outputs": [],
"source": [
"placed_order = await trading_client.place_order(\n",
" market_name=ORDER_MARKET,\n",
" amount_of_synthetic=ORDER_QTY,\n",
" price=ORDER_PRICE,\n",
" side=ORDER_SIDE,\n",
" taker_fee=Decimal(\"0.00025\")\n",
")"
"# placed_order = await trading_client.place_order(\n",
"# market_name=ORDER_MARKET,\n",
"# amount_of_synthetic=ORDER_QTY,\n",
"# price=ORDER_PRICE,\n",
"# side=ORDER_SIDE,\n",
"# taker_fee=Decimal(\"0.00025\")\n",
"# )"
]
},
{

202
main.py
View File

@@ -17,10 +17,11 @@ import requests
import valkey
from sqlalchemy import text
from sqlalchemy.ext.asyncio import create_async_engine
import modules.aster_auth as aster_auth
import modules.extended_auth as extend_auth
### Database ###
CLIENT = None
EXTEND_CLIENT = None
CON: AsyncContextManager | None = None
VAL_KEY = None
@@ -28,9 +29,53 @@ VAL_KEY = None
load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo.log'
### CONSTANTS ###
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
ASTER_AVAIL_COLLATERAL = 0
ASTER_NOTIONAL_POSITION = 0
EXTEND_AVAIL_COLLATERAL = 0
EXTEND_NOTIONAL_POSITION = 0
ASTER_OPEN_POSITIONS = []
EXTEND_OPEN_POSITIONS = []
ASTER_OPEN_ORDERS = []
EXTEND_OPEN_ORDERS = []
### FLAGS ###
LIQUIDATE_POS_AND_KILL_ALGO_FLAG: bool = False
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
async def run_algo():
try:
while True:
loop_start = time.time()
@@ -48,14 +93,84 @@ async def run_algo():
ASTER_FUND_RATE = float(ASTER_FUND_RATE_DICT.get('funding_rate', 0))
EXTEND_FUND_RATE = float(EXTENDED_FUND_RATE_DICT.get('funding_rate', 0))
ASTER_FUND_RATE_TIME = float(ASTER_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
EXTEND_FUND_RATE_TIME = float(EXTENDED_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
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) )
if ( abs(ASTER_FUND_RATE) > abs(EXTEND_FUND_RATE) ) and FUNDINGS_AT_SAME_TIME_NEXT_HR:
ALPHA_EXCH = 'ASTER'
ALPHA_FUND_RATE = ASTER_FUND_RATE
else:
ALPHA_EXCH = 'EXTEND'
ALPHA_FUND_RATE = EXTEND_FUND_RATE
if ALPHA_FUND_RATE < 0:
ALPHA_CARRY_SIDE = 'BUY'
ALPHA_TGT_NOTIONAL = MAX_TARGET_NOTIONAL
else:
ALPHA_CARRY_SIDE = 'SELL'
ALPHA_TGT_NOTIONAL = 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:
return ASTER_FUND_RATE + EXTEND_FUND_RATE
else:
return EXTEND_FUND_RATE
NEXT_NET_FUNDING_RATE = calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR)
if ALPHA_EXCH == 'EXTEND':
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
else:
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
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
print(f'''
ASTER FR: {ASTER_FUND_RATE:.6%} | EXTEND FR: {EXTEND_FUND_RATE:.6%}
{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}
NET FUNDING : {NEXT_NET_FUNDING_RATE:.6%} [{NEXT_NET_FUNDING_RATE*10_000:.2f}bps] [{NEXT_NET_FUNDING_RATE*1_000_000:.0f}pips]
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} ]
''')
### SCAN VALKEY USER FEEDS FOR BALANCE UPDATES ###
# or just to begin hit the rest API before ordering and update bals then
### ROUTES ###
if ASTER_TGT_TAIL_ORDERABLE:
await aster_remainder_route()
if EXTEND_TGT_TAIL_ORDERABLE:
await extend_remainder_route()
print(f'__________ End ___________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
time.sleep(5)
print(f'__________________________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
except KeyboardInterrupt:
print('...algo stopped')
# await cancel_all_orders(CLIENT=CLIENT)
@@ -63,17 +178,90 @@ async def run_algo():
logging.critical(f'*** ALGO ENGINE CRASHED: {e}')
logging.error(traceback.format_exc())
# await cancel_all_orders(CLIENT=CLIENT)
### WALLLET ###
async def get_aster_collateral():
global ASTER_AVAIL_COLLATERAL
fut_acct_balances = {
"url": "/fapi/v3/balance",
"method": "GET",
"params": {}
}
r = 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'))
async def get_aster_notional_position():
global ASTER_NOTIONAL_POSITION
global ASTER_MULT
fut_acct_positionRisk = {
"url": "/fapi/v3/positionRisk",
"method": "GET",
"params": {}
}
r = aster_auth.post_authenticated_url(fut_acct_positionRisk)
d = [d for d in r if d.get('symbol', None) == ASTER_TICKER][0]
ASTER_NOTIONAL_POSITION = float(d.get('notional' ,0))
ASTER_MULT = float(d.get('leverage', ASTER_MULT))
async def get_extend_collateral():
global EXTEND_AVAIL_COLLATERAL
get_bals = dict(dict(await EXTEND_CLIENT.account.get_balance()).get('data', {}))
EXTEND_AVAIL_COLLATERAL = get_bals.get('available_for_trade', 0) if get_bals.get('collateral_name', None)==EXTEND_RH_ASSET else 0
async def get_extend_notional():
global EXTEND_NOTIONAL_POSITION
global EXTEND_MULT
get_pos = dict(await EXTEND_CLIENT.account.get_positions()).get('data', {})
pos_dict = [d for d in get_pos if d.get('market') == EXTEND_TICKER]
if pos_dict:
pos_dict = pos_dict[0]
EXTEND_NOTIONAL_POSITION = pos_dict.get('value', 0)
EXTEND_MULT = pos_dict.get('leverage', EXTEND_MULT)
else:
EXTEND_NOTIONAL_POSITION = 0
### EXCHANGE INFO ###
async def get_aster_exch_info():
global ASTER_MIN_ORDER_QTY
fut_acct_exchangeInfo = {
"url": "/fapi/v3/exchangeInfo",
"method": "GET",
"params": {}
}
r = aster_auth.post_authenticated_url(fut_acct_exchangeInfo)
s = r['symbols']
d = [d for d in s if d.get('symbol', None) == 'ETHUSDT'][0]
f = [f for f in d['filters'] if f.get('filterType', None) == 'LOT_SIZE'][0]
ASTER_MIN_ORDER_QTY = float(f['minQty'])
async def get_extend_exch_info():
global EXTEND_MIN_ORDER_QTY
r = await EXTEND_CLIENT.markets_info.get_markets_dict()
EXTEND_MIN_ORDER_QTY = float(r['ETH-USD'].trading_config.min_order_size)
async def main():
global CLIENT
global EXTEND_CLIENT
global VAL_KEY
global CON
_, 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')
async with engine.connect() as CON:
# await create_executions_orders_table(CON=CON)
await get_aster_collateral()
await get_aster_notional_position()
await get_extend_collateral()
await get_extend_notional()
await run_algo()
if __name__ == '__main__':

BIN
modules/__pycache__/extended_auth.cpython-313.pyc
View File

Binary file not shown.