from x10.utils.http import WrappedApiResponse from x10.perpetual.trading_client.trading_client import PerpetualTradingClient import asyncio import json import logging import math import os import time import traceback from datetime import datetime, timezone from decimal import ROUND_DOWN, ROUND_UP, ROUND_HALF_UP, Decimal from typing import AsyncContextManager from dataclasses import dataclass, asdict from typing import Any import numpy as np import pandas as pd import requests # import talib import valkey from dotenv import load_dotenv from sqlalchemy import text from sqlalchemy.ext.asyncio import create_async_engine from x10.models.order import OrderSide, PlacedOrderModel import modules.utils as utils import modules.aster_auth as aster_auth import modules.extended_auth as extend_auth import modules.structs as structs ### Clients ### EXTEND_CLIENT: PerpetualTradingClient CON: AsyncContextManager VAL_KEY: valkey.Valkey ### Logging ### load_dotenv() LOG_FILEPATH: str = f'{os.getenv(key="LOGS_PATH")}/Fund_Rate_Algo.log' ### Algo Config ### Config: structs.Algo_Config ### Exchanges ### Aster: structs.Perpetual_Exchange Extend: structs.Perpetual_Exchange ### Globals ### Open_Symbols: list[str] = [] Last_Aster_Fill_Time_Ts: float = 0.00 Just_Rejected_Or_Expired: bool = False Aster_Open_Orders: list[dict] = [] Extend_Open_Orders: list[dict] = [] ### Flags ### # Flags = structs.Flags() ### Define Ordering Logic ### ''' Notes - handle increasing vs flattening - if increasing, set not reduce only - if flattening, set as reduce only and make sure allowed to trade below min notional, and qty calc should be exact - handle opportunistic vs immediate - handle cancel-replace manually for aster and sometimes manually for extend (e.g. cant change certain things on an existing order) - gracefully handle err responses (well known err codes e.g.) and response errors (e.g. json fails to parse) ''' async def cancel_aster_order(open_order_id: str): global Aster_Open_Orders start = time.time() cancel_order: dict = { "url": "/fapi/v3/order", "method": "DELETE", "params": { 'symbol': Aster.symbol, 'orderId': open_order_id, } } cr: dict = await aster_auth.post_authenticated_url(cancel_order) # ty:ignore[invalid-assignment] if cr.get('status', None) == 'CANCELED': Aster_Open_Orders.pop(0) else: logging.warning(f'ASTER ORDER FAILED TO CANCEL DURING CR ({open_order_id}): RESP {cr}') logging.info(f'TIMING - cancel_aster_order: {(time.time() - start)*1000:.2f}') async def post_aster_order( symbol: str, side: str, qty: Decimal, price: Decimal, reduceOnly: bool, postOnly: bool ): global Aster_Open_Orders global Just_Rejected_Or_Expired if postOnly: timeInForce = 'GTX' else: timeInForce = 'GTC' post_order = { "url": "/fapi/v3/order", "method": "POST", "params": { 'symbol': symbol, 'side': side, 'type': 'LIMIT', 'timeInForce': timeInForce, 'quantity': qty, 'price': price, 'reduceOnly': reduceOnly } } order_resp: dict = await aster_auth.post_authenticated_url(post_order) # ty:ignore[invalid-assignment] if order_resp.get('orderId', None) is not None: order_resp['original_price'] = price order_resp['order_status'] = order_resp['status'] Aster_Open_Orders.append(order_resp) Just_Rejected_Or_Expired = False utils.send_tg_alert(f'FR_ALGO - ASTER Order ({order_resp['orderId']}). Start_$: {Aster.notional_position:.4f}; {side}: {float(qty)*float(price):.4f}; Price: {float(price):.4f}') logging.info(f'ASTER ORDER PLACED SUCCESS: {order_resp}') # print_summary(use_logging=True) else: logging.critical(f'*** Aster Order Response Abnormal: {order_resp}; post_order: {post_order}') await kill_algo() async def cancel_extend_order(order_id: str): r = EXTEND_CLIENT.orders.cancel_order(order_id=order_id) r = dict(r) if r.get('status', None) == 'OK': logging.info(f'EXTEND ORDER CANCELLED: {order_id}') else: logging.warning(f'EXTEND ORDER FAILED TO CANCEL DURING CR ({order_id}): RESP {r}') async def post_extend_order( symbol: str, side: str, qty: Decimal, price: Decimal, reduceOnly: bool, postOnly: bool, cxl_prev_order_id: str | None = None, ): global Extend_Open_Orders global Just_Rejected_Or_Expired side = OrderSide.BUY if side == 'BUY' else OrderSide.SELL taker_fee = Decimal("0.00025") try: order_resp: WrappedApiResponse[PlacedOrderModel] = await EXTEND_CLIENT.place_order( market_name=symbol, amount_of_synthetic=qty, price=price, side=side, taker_fee=taker_fee, previous_order_id=cxl_prev_order_id, post_only=postOnly, reduce_only=reduceOnly ) except Exception as e: logging.critical(e) order_resp_dict = dict(order_resp) if order_resp_dict.get('status', None) == 'ERROR': if order_resp_dict['error']['code']==1142: logging.info('Cant find edit order for Extend, skipping cancel.') else: logging.critical(f'*** Extend Order Response Abnormal: {order_resp};') await kill_algo() if order_resp_dict.get('status', None) == 'OK': if Extend_Open_Orders: Extend_Open_Orders.pop(0) order_dict = dict(order_resp_dict['data']) order_dict['status'] = 'NEW' order_dict['price'] = str(price) order_dict['qty'] = str(qty) order_dict['filled_qty'] = str(0) order_dict['side'] = str(side) Extend_Open_Orders.append(order_dict) Just_Rejected_Or_Expired = False utils.send_tg_alert(f'FR_ALGO - EXTEND Order ({order_dict.get('id', None)}). Start_$: {Extend.notional_position:.2f}; {str(side)}: {float(qty)*float(price):.2f}; Price: {float(price):.2f}') logging.info(f'EXTEND ORDER PLACED SUCCESS: {order_dict}') # print_summary(use_logging=True) else: logging.critical(f'*** Extend Order Response Abnormal: {order_resp};') await kill_algo() ### OPEN ORDERS ### async def handle_order_updates(exch: str, local_open_orders: list[dict], ws_open_orders: list[dict]) -> list[dict]: # exch = 'ASTER' | 'EXTEND' global Just_Rejected_Or_Expired global Last_Aster_Fill_Time_Ts if ws_open_orders: for idx, o in enumerate(local_open_orders): o = dict(o) if o.get('order_id') is not None: ws_order_id_field = 'order_id' elif o.get('orderId') is not None: ws_order_id_field = 'orderId' else: ws_order_id_field = 'id' order_id = o[ws_order_id_field] order_orig_status: str = o.get('status') if o.get('status') is not None else o['order_status'] # ty:ignore[invalid-assignment] order_update: list[dict] = [dict(ou) for ou in ws_open_orders if dict(ou).get('order_id', None) == order_id] if len(order_update) > 0: order_update: dict = order_update[0] order_update_status: str = order_update.get('status') if order_update.get('status') is not None else order_update['order_status'] # ty:ignore[invalid-assignment] order_status_changed: bool = order_orig_status.upper() != order_update_status.upper() local_open_orders[idx]['order_id'] = order_id local_open_orders[idx]['status'] = order_update_status local_open_orders[idx]['price'] = order_update.get('price', 0) if order_update.get('price') is not None else order_update['original_price'] if order_status_changed: logging.info(f'{exch} ORDER ({order_id}): {order_orig_status} -> {order_update_status}') local_open_orders[idx] = order_update if order_update_status in ['CANCELLED','CANCELED','EXPIRED','REJECTED']: logging.info(f'{exch} ORDER CANCELLED or EXPIRED: {order_id}') local_open_orders.pop(idx) Just_Rejected_Or_Expired = True utils.send_tg_alert(f'FR_ALGO - {exch} REJECTED ({order_id})') elif order_update_status in ['PARTIALLY_FILLED']: logging.info(f'{exch} ORDER PARTIALLY FILLED: {order_id}') # await get_aster_collateral() if exch=='ASTER': await get_aster_notional_position(resp=ws_open_orders) Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000 else: await get_extend_notional() utils.send_tg_alert(f'FR_ALGO - {exch} PARTIALLY FILLED ({order_id})') elif order_update_status in ['FILLED']: logging.info(f'{exch} ORDER FILLED: {order_id}') local_open_orders.pop(idx) # await get_aster_collateral() if exch=='ASTER': await get_aster_notional_position(resp=ws_open_orders) Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000 else: await get_extend_notional() utils.send_tg_alert(f'FR_ALGO - {exch} FILLED ({order_id})') else: logging.critical(f'{exch} ORDER STATUS CHG TO UNEXPECTED VALUE, KILLING... ({order_id}): {order_orig_status} -> {order_update_status}') await kill_algo() return local_open_orders async def get_aster_open_orders(): global Aster_Open_Orders fut_acct_openOrders = { "url": "/fapi/v3/openOrders", "method": "GET", "params": {} } Aster_Open_Orders = await aster_auth.post_authenticated_url(fut_acct_openOrders) # ty:ignore[invalid-assignment] async def get_extend_open_orders(): global Extend_Open_Orders Extend_Open_Orders = list(dict(await EXTEND_CLIENT.account.get_open_orders()).get('data', 0)) ### WALLLET ### async def get_aster_account_open_symbols() -> list[str]: fut_acct_positionRisk: dict = { "url": "/fapi/v3/positionRisk", "method": "GET", "params": { 'symbol':'' } } try: resp: list = await aster_auth.post_authenticated_url(req=fut_acct_positionRisk) # ty:ignore[invalid-assignment] except Exception as e: logging.critical(f'JSONDecodeError trying to get Aster open orders: {e}; resp: {resp}') await kill_algo() resp: list = [] ld = [ utils.symbol_to_extend_fmt(x['symbol']) for x in resp if abs(float(x.get('positionAmt', 0))) > 0] return ld async def get_aster_notional_position(resp: list | None = None): global Aster previous_notional_obj = Aster.notional_obj previous_notional_position = Aster.notional_position if resp: pos_dict = [x for x in resp if x.get('symbol', None) == Aster.symbol] if pos_dict: pos_dict = pos_dict[0] else: pos_dict = {} pos_dict['side'] = 'LONG' pos_dict['entry_price'] = 0.00 pos_dict['position_amount'] = 0.00 pos_dict['unrealized_pnl'] = 0.00 pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) # logging.info('get_aster_notional - No Positions') else: logging.info('Getting Aster Notionals from API') fut_acct_positionRisk: dict = { "url": "/fapi/v3/positionRisk", "method": "GET", "params": { 'symbol': Aster.symbol, } } try: resp: list = await aster_auth.post_authenticated_url(req=fut_acct_positionRisk) # ty:ignore[invalid-assignment] except Exception as e: logging.critical(f'JSONDecodeError trying to get Aster notional: {e}; resp: {resp}') await kill_algo() resp: list = [] pos_dict = [x for x in resp if x.get('symbol', None) == Aster.symbol] if pos_dict: pos_dict = pos_dict[0] else: pos_dict = {} pos_dict['side'] = 'LONG' pos_dict['entry_price'] = 0.00 pos_dict['position_amount'] = 0.00 pos_dict['unrealized_pnl'] = 0.00 logging.info('get_aster_notional - No Positions') pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) if previous_notional_obj: if previous_notional_obj['timestamp_arrival'] > pos_dict['timestamp_arrival']: # logging.info(f'ASTER NOTIONAL: prev timestamp ({pd.to_datetime(previous_notional_obj['timestamp_arrival'], unit='ms')}) > new timestamp ({pd.to_datetime(pos_dict['timestamp_arrival'], unit='ms')}); skipping') return Aster.notional_obj = pos_dict if len(pos_dict) < 1: logging.info(f'BAD NOTIONAL - ASTER CHANGE: Empty pos_dict: {pos_dict}; resp: {resp}') await kill_algo() Aster.unrealized_pnl = float(pos_dict['unrealized_pnl']) if pos_dict.get('unrealized_pnl') is not None else float(pos_dict['unRealizedProfit']) if pos_dict.get('notional') is not None: Aster.notional_position = float(pos_dict['notional']) - Aster.unrealized_pnl else: Aster.notional_position = float(pos_dict['position_amount'])*float(pos_dict['entry_price']) if pos_dict.get('leverage') is not None: Aster.mult = int(pos_dict['leverage']) if abs(Aster.notional_position) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio: logging.info(f'BAD NOTIONAL - ASTER CHANGE: {previous_notional_position} -> {Aster.notional_position}; UR PNL: {Aster.unrealized_pnl}; MULT: {Aster.mult}; pos_dict: {pos_dict}; resp: {resp}; max_tgt_notional: {Config.Config.Max_Target_Notional}') await kill_algo() if Aster.notional_position != previous_notional_position: logging.info(f'ASTER NOTIONAL CHANGE: {previous_notional_position:.2f} -> {Aster.notional_position:.2f}; UR PNL: {Aster.unrealized_pnl:.2f}; MULT: {Aster.mult:.0f}; resp: {bool(resp)}') async def get_extend_account_open_symbols() -> list[str]: resp = dict(await EXTEND_CLIENT.account.get_positions()).get('data', []) ld = [x.market for x in list(resp) if abs(float(x.size)) > 0] return ld async def set_comb_open_symbols() -> None: global Open_Symbols open_aster_symbols = await get_aster_account_open_symbols() open_extend_symbols = await get_extend_account_open_symbols() Open_Symbols = list(set(open_aster_symbols + open_extend_symbols)) async def get_extend_notional(resp: list | None = None): global Extend previous_notional_obj = Extend.notional_obj previous_notional_position = Extend.notional_position if not resp: resp = dict(await EXTEND_CLIENT.account.get_positions()).get('data', []) pos_dict = [dict(d) for d in resp if dict(d).get('market') == Extend.symbol] if pos_dict: pos_dict = pos_dict[0] pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) else: pos_dict = {} pos_dict['side'] = 'LONG' pos_dict['value'] = 0.00 pos_dict['unrealised_pnl'] = 0.00 pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) logging.info('get_extend_notional - No Positions') else: pos_dict = [dict(d) for d in resp if dict(d).get('market') == Extend.symbol] if pos_dict: pos_dict = pos_dict[0] else: pos_dict = {} pos_dict['side'] = 'LONG' pos_dict['value'] = 0.00 pos_dict['unrealised_pnl'] = 0.00 pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) # logging.info('get_extend_notional - No Positions') # pos_dict['timestamp_arrival'] = round(datetime.now().timestamp()*1000) if previous_notional_obj: if previous_notional_obj['timestamp_arrival'] > pos_dict['timestamp_arrival']: # logging.info(f'EXTEND NOTIONAL: prev timestamp ({pd.to_datetime(previous_notional_obj['timestamp_arrival'], unit='ms')}) > new timestamp ({pd.to_datetime(pos_dict['timestamp_arrival'], unit='ms')}); skipping') return else: previous_notional_obj = {} Extend.notional_obj = pos_dict Extend.unrealized_pnl = pos_dict.get('unrealised_pnl', 0) 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(Extend.unrealized_pnl) Extend.mult = pos_dict.get('leverage', Extend.mult) if abs(Extend.notional_position) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio: logging.info(f'BAD NOTIONAL - EXTEND CHANGE: {previous_notional_position} -> {Extend.notional_position}; UR PNL: {Extend.unrealized_pnl}; MULT: {Extend.mult}; pos_dict: {pos_dict}; resp: {resp}') await kill_algo() if Extend.notional_position != previous_notional_position: logging.info(f'EXTEND NOTIONAL CHANGE: {previous_notional_position} [{previous_notional_obj.get('timestamp_arrival')}] -> {Extend.notional_position:.2f} [{Extend.notional_obj['timestamp_arrival']}]; UR PNL: {Extend.unrealized_pnl:.2f}; MULT: {Extend.mult}; resp: {bool(resp)}') ### EXCHANGE INFO ### async def get_aster_exch_info(symbol_override: str | None = None): global Aster if symbol_override: Aster.symbol = utils.symbol_to_aster_fmt(symbol_override) fut_acct_exchangeInfo: dict = { "url": "/fapi/v3/exchangeInfo", "method": "GET", "params": {} } r: dict = await aster_auth.post_authenticated_url(fut_acct_exchangeInfo) # ty:ignore[invalid-assignment] s: list = r['symbols'] d: dict = [d for d in s if d.get('symbol', None) == Aster.symbol][0] f: dict = [f for f in d['filters'] if f.get('filterType', None) == 'LOT_SIZE'][0] q: dict = [f for f in d['filters'] if f.get('filterType', None) == 'PRICE_FILTER'][0] n: dict = [f for f in d['filters'] if f.get('filterType', None) == 'MIN_NOTIONAL'][0] min_qty = float(f['minQty']) min_qty = int(min_qty) if min_qty == int(min_qty) else min_qty min_price = float(q['minPrice']) min_price = int(min_price) if min_price == int(min_price) else min_price Aster.min_order_size = min_qty Aster.min_price = min_price Aster.min_notional = float(n['notional']) async def get_extend_exch_info(symbol_override: str | None = None): global Extend if symbol_override: Extend.symbol = utils.symbol_to_extend_fmt(symbol_override) r = await EXTEND_CLIENT.markets_info.get_markets_dict() Extend.min_order_size = float(r[Extend.symbol].trading_config.min_order_size) Extend.min_price = float(r[Extend.symbol].trading_config.min_price_change) ### CANCEL ORDERS ### async def aster_cancel_all_orders(): cancel_all_open_orders = { "url": "/fapi/v3/allOpenOrders", "method": "DELETE", "params": { 'symbol': Aster.symbol, } } r = await aster_auth.post_authenticated_url(cancel_all_open_orders) logging.info(f'ASTER CANCEL ALL OPEN ORDERS RESP: {r}') async def extend_cancel_all_orders(): r = await EXTEND_CLIENT.orders.mass_cancel(markets=[Extend.symbol]) logging.info(f'EXTEND CANCEL ALL OPEN ORDERS RESP: {r}') ### KILL ALGO ### async def kill_algo(): await aster_cancel_all_orders() await extend_cancel_all_orders() logging.info('ALGO KILL FLAG ACTIVATED; CANCELLING OPEN ORDERS AND SHUTTING DOWN') raise ValueError('KILL FLAG ACTIVATED') ### ALGO LOOP ### async def run_algo(): global Config global Aster global Extend global Open_Symbols global Last_Aster_Fill_Time_Ts global Just_Rejected_Or_Expired global Aster_Open_Orders global Extend_Open_Orders # global Flags try: while True: loop_start = time.time() # print('__________Start___________') ### Load Algo Config ### Config = json.loads(VAL_KEY.get('fr_orchestrator_output')) # ty:ignore[invalid-argument-type] Config = structs.Algo_Config(**Config) Config.Config.Max_Target_Notional = float(min([Aster.mult, Extend.mult]) * Config.Config.Target_Open_Cash_Position) ### Load Data from Feedhandlers ### best_symbol_by_exchange: dict = json.loads(s=VAL_KEY.get(name='fr_engine_best_fund_rate_output')) # ty:ignore[invalid-argument-type] best_symbol_by_exchange_aster = structs.Perpetual_Exchange(**best_symbol_by_exchange['ASTER']) best_symbol_by_exchange_extend = structs.Perpetual_Exchange(**best_symbol_by_exchange['EXTEND']) # Fund Rates # aster_fund_rate_dict: Any = VAL_KEY.get('fund_rate_aster') # aster_fund_rate_dict: dict = json.loads(s=aster_fund_rate_dict) if aster_fund_rate_dict is not None else {} # if aster_fund_rate_dict.get('symbol', None) != Aster.symbol: # aster_fund_rate: float = Aster.initial_funding_rate # # logging.info(f'ASTER Symbol mismatch: {ASTER_FUND_RATE_DICT}; expected symbol: {ASTER.symbol}') # # raise ValueError(f'ASTER Symbol mismatch: {ASTER_FUND_RATE_DICT}; expected symbol: {ASTER.symbol}') # else: # aster_fund_rate: float = float(aster_fund_rate_dict.get('funding_rate', 0)) # extend_fund_rate_dict: Any = VAL_KEY.get('fund_rate_extended') # extend_fund_rate_dict: dict = json.loads(s=extend_fund_rate_dict) if extend_fund_rate_dict is not None else {} # if extend_fund_rate_dict.get('symbol', None) != Extend.symbol: # extend_fund_rate: float = Extend.initial_funding_rate # # logging.info(f'ASTER Symbol mismatch: {EXTENDED_FUND_RATE_DICT}; expected symbol: {EXTEND.symbol}') # # raise ValueError(f'ASTER Symbol mismatch: {EXTENDED_FUND_RATE_DICT}; expected symbol: {EXTEND.symbol}') # else: # extend_fund_rate: float = float(extend_fund_rate_dict.get('funding_rate', 0)) # if Config.Overrides.Flip_Side_For_Testing: # aster_fund_rate = aster_fund_rate * -1 # extend_fund_rate = extend_fund_rate * -1 # aster_fund_rate_time = float(aster_fund_rate_dict.get('next_funding_time_ts_ms', 0)) # aster_fund_rate_time = aster_fund_rate_time+(60*60*1000) if aster_fund_rate_time < (datetime.now().timestamp()*1000) else aster_fund_rate_time # extend_fund_rate_time = max([float(extend_fund_rate_dict.get('next_funding_time_ts_ms', 0)), 0]) # extend_fund_rate_time = extend_fund_rate_time+(60*60*1000) if extend_fund_rate_time < (datetime.now().timestamp()*1000) else extend_fund_rate_time # Tickers aster_ticker_dict: Any = VAL_KEY.get('fut_ticker_aster') aster_ticker_dict: dict = json.loads(s=aster_ticker_dict) if aster_ticker_dict is not None else {} if ( aster_ticker_dict.get('symbol', None) != Aster.symbol ) and not(Config.Overrides.Flatten_Open_Positions): logging.warning(f'ASTER Symbol mismatch: {aster_ticker_dict}; expected symbol: {Aster.symbol}') VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)})) time.sleep(5) continue # raise ValueError(f'ASTER Symbol mismatch: {ASTER_TICKER_DICT}; expected symbol: {ASTER.symbol}') extend_ticker_dict: Any = VAL_KEY.get('fut_ticker_extended') extend_ticker_dict: dict = json.loads(s=extend_ticker_dict) if extend_ticker_dict is not None else {} if ( extend_ticker_dict.get('symbol', None) != Extend.symbol) and not(Config.Overrides.Flatten_Open_Positions): logging.warning(f'EXTEND Symbol mismatch: {extend_ticker_dict}; expected symbol: {Extend.symbol}') VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)})) time.sleep(5) continue # raise ValueError(f'EXTEND Symbol mismatch: {EXTENDED_TICKER_DICT}; expected symbol: {EXTEND.symbol}') ### Load Local Notional Updates from WS ### aster_ws_pos_updates: Any = VAL_KEY.get(name='fr_aster_user_positions') aster_ws_pos_updates: list = json.loads(s=aster_ws_pos_updates) if aster_ws_pos_updates is not None else [] extend_ws_pos_updates: Any = VAL_KEY.get('fr_extended_user_positions') extend_ws_pos_updates: list = json.loads(extend_ws_pos_updates) if extend_ws_pos_updates is not None else [] if len(aster_ws_pos_updates) > 0: await get_aster_notional_position(resp=aster_ws_pos_updates) if len(extend_ws_pos_updates) > 0: await get_extend_notional(resp=extend_ws_pos_updates) ### Load Local Order Updates from WS ### aster_ws_order_updates: Any = VAL_KEY.get('fr_aster_user_orders') aster_ws_order_updates: list = json.loads(aster_ws_order_updates) if aster_ws_order_updates is not None else [] extend_ws_order_updates: Any = VAL_KEY.get('fr_extended_user_orders') extend_ws_order_updates: list = json.loads(extend_ws_order_updates) if extend_ws_order_updates is not None else [] ### CHECK NO MORE THAN 1 OPEN ORDER ON EITHER EXCHANGE ### if len(Aster_Open_Orders) > 1 or len(Extend_Open_Orders) > 1: logging.info(f'MORE THAN 1 ORDER OPEN - KILLING ALGO: ASTER_OPEN_ORDERS ({len(Aster_Open_Orders)}): {Aster_Open_Orders}; EXTEND_OPEN_ORDERS ({len(Extend_Open_Orders)}): {Extend_Open_Orders}') await kill_algo() raise ValueError('NOT HERE: MORE THAN 1 ORDER OPEN - KILLING ALGO: ASTER_OPEN_ORDERS') ### Update Local Open Orders w Changes from WS ### Aster_Open_Orders = await handle_order_updates(exch='ASTER', local_open_orders=Aster_Open_Orders, ws_open_orders=aster_ws_order_updates) Extend_Open_Orders = await handle_order_updates(exch='EXTEND', local_open_orders=Extend_Open_Orders, ws_open_orders=extend_ws_order_updates) ### Decisions ### ### Logging ### def print_summary(use_logging: bool = False): OUT: Any = logging.info if use_logging else print # ASTER: [ Available Collateral: {ASTER_AVAIL_COLLATERAL:.4f} ] | EXTEND: [ Available Collateral: {EXTEND_AVAIL_COLLATERAL:.4f} ] OUT(f''' FLIP SIDES FOR TESTING?: {Config.Overrides.Flip_Side_For_Testing}; ASTER ORDER ENABLED? {Config.Overrides.Allow_Ordering_Aster}; EXTEND ORDER ENABLED? {Config.Overrides.Allow_Ordering_Extend} MKT : Aster: {Aster.symbol:<10} (best: {best_symbol_by_exchange_aster.symbol}) | Extend: {Extend.symbol:<10} (best: {best_symbol_by_exchange_extend.symbol}) {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: {'LONG PAYS SHORT' if aster_fund_rate > 0 else 'SHORT PAYS LONG'} | EXTEND: {'LONG PAYS SHORT' if extend_fund_rate > 0 else 'SHORT PAYS LONG'} ASTER: [ Notional Position $ : {Aster.notional_position:.4f} ] | EXTEND: [ Notional Position $ : {Extend.notional_position:.4f} ] ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}] ALPHA SIGNAL: {alpha_signal}; Current {current_ratio:.4f} [{current_ratio*10_000:.2f}scl] {">" if ALPHA_CARRY_SIDE=='BUY' else "<"} Model {alpha_model_ratio:.4f} [{alpha_model_ratio*10_000:.2f}scl] TGT NOTIONAL: $ {abs(ALPHA_TGT_NOTIONAL_FINAL):.2f}; Flatten Open Positions Flag? {Config.Overrides.Flatten_Open_Positions}; Opportunistic? {Config.Overrides.Flatten_Open_Positions_Opportunistic} AT TARGET? : {at_notional_target.value}; is_locked?: {at_notional_target.is_locked} --- ASTER OPEN ORDERS --- {Aster_Open_Orders} --- EXTEND OPEN ORDERS --- {Extend_Open_Orders} ''') if Config.Logging.Log_Summary_Each_Loop: print_summary(use_logging=True) if Config.Logging.Print_Summary_Each_Loop: print_summary(use_logging=False) ### ASTER if Config.Overrides.Allow_Ordering_Aster and ASTER_TGT_TAIL_ORDERABLE: # Tier 1 Overrides if alpha_signal or Config.Overrides.Flatten_Open_Positions: # Tier 2 Overrides / Alpha skip = False side = 'BUY' if ASTER_TGT_TAIL_BASE_QTY > 0.00 else 'SELL' qty = Decimal(value=str(abs(ASTER_TGT_TAIL_BASE_QTY))) price = ASTER_TOB_PX - ( float(Aster.min_price)*int(Config.Config.Price_Worsener_Aster) ) if side == 'BUY' else ASTER_TOB_PX + ( float(Aster.min_price)*int(Config.Config.Price_Worsener_Aster) ) if abs( ( float(ASTER_TGT_TAIL_BASE_QTY)*float(price) ) + Aster.notional_position ) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio: 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 kill_algo() if Aster_Open_Orders: # Cancel Open Order? 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',0)) if Aster_Open_Orders[0].get('price') is not None else float(Aster_Open_Orders[0]['original_price']) open_order_dict = dict(Aster_Open_Orders[0]) open_order_id = str(open_order_dict['order_id']) open_order_px = float(open_order_dict['price']) min_price = Aster.min_price min_price = int(min_price) if min_price == int(min_price) else min_price if Decimal(str( float(open_order_px) - float(price) )).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP) == 0.00: if Config.Logging.Print_Summary_Each_Loop: print('ASTER OPEN ORDER NO PX CHG; SKIPPING') skip = True else: await cancel_aster_order(open_order_id) # ty:ignore[invalid-argument-type] if ASTER_TGT_TAIL_BASE_QTY == 0.00: logging.info('ASTER TRYNG TO ORDER 0.00 BASE QTY, SKIPPING') skip = True if not skip: min_price = Aster.min_price min_price = int(min_price) if min_price == int(min_price) else min_price price: Decimal = Decimal(str(price)).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP) if price == Decimal(str(0.00)).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP): logging.info('ASTER TRYNG TO ORDER with A PRICE OF 0.00, SKIPPING') continue if ( qty < Aster.min_order_size ) or ( (qty*price) < Aster.min_notional ): reduceOnly = True else: reduceOnly = False await post_aster_order( symbol=Aster.symbol, side=side, qty=qty, price=price, reduceOnly=reduceOnly, postOnly=True, ) else: pass elif not(ASTER_TGT_TAIL_ORDERABLE) and Aster_Open_Orders: logging.info('ASTER HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS') await extend_cancel_all_orders() ### EXTEND ### if Config.Overrides.Allow_Ordering_Extend and EXTEND_TGT_TAIL_ORDERABLE: # Tier 1 Overrides if alpha_signal or Config.Overrides.Flatten_Open_Positions: # Tier 2 Overrides / Alpha skip = False side = 'BUY' if EXTEND_TGT_TAIL_BASE_QTY > 0.00 else 'SELL' qty = Decimal(value=str(abs(EXTEND_TGT_TAIL_BASE_QTY))) price = EXTEND_TOB_PX - ( float(Extend.min_price)*int(Config.Config.Price_Worsener_Extend) ) if side == 'BUY' else EXTEND_TOB_PX + ( float(Extend.min_price)*int(Config.Config.Price_Worsener_Extend) ) # ty:ignore[invalid-assignment] if abs( ( float(EXTEND_TGT_TAIL_BASE_QTY)*float(price) ) + Extend.notional_position ) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio: logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - EXTEND: {Extend.notional_position} + {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price)} (qty: {float(EXTEND_TGT_TAIL_BASE_QTY):.2f}; px: {float(price):.2f})') await kill_algo() if Extend_Open_Orders: # Cancel Open Order? open_order_dict = dict(Extend_Open_Orders[0]) open_order_id = str(open_order_dict['external_id']) open_order_px = float(open_order_dict['price']) min_price = Extend.min_price min_price = int(min_price) if min_price == int(min_price) else min_price if Decimal(str( float(open_order_px) - float(price) )).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP) == 0.00: if Config.Logging.Print_Summary_Each_Loop: print('EXTEND OPEN ORDER NO PX CHG; SKIPPING') skip = True else: open_order_id = None if EXTEND_TGT_TAIL_BASE_QTY == 0.00: logging.info('EXTEND TRYNG TO ORDER 0.00 BASE QTY, SKIPPING') skip = True if not skip: min_price = Extend.min_price min_price = int(min_price) if min_price == int(min_price) else min_price price: Decimal = Decimal(str(price)).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP) if price == Decimal(str(0.00)).quantize(Decimal(str(min_price)), rounding=ROUND_HALF_UP): logging.info('EXTEND TRYNG TO ORDER with A PRICE OF 0.00, SKIPPING') continue if ( qty < Extend.min_order_size ) or ( (qty*price) < Extend.min_notional ): reduceOnly = True else: reduceOnly = False await post_extend_order( symbol=Extend.symbol, side=side, qty=qty, price=price, reduceOnly=reduceOnly, postOnly=True, cxl_prev_order_id=open_order_id ) else: pass elif not(EXTEND_TGT_TAIL_ORDERABLE) and Extend_Open_Orders: logging.info('EXTEND HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS') await extend_cancel_all_orders() ### Continue immediately or sleep ### if Aster_Open_Orders or Extend_Open_Orders: if Config.Logging.Print_Summary_Each_Loop: print(f'_____ Open Orders _____ (Algo Engine ms: {(time.time() - loop_start)*1000:.2f}); Continuing...') continue else: if Config.Logging.Print_Summary_Each_Loop: print(f'_____ End No Open Orders _____ (Algo Engine ms: {(time.time() - loop_start)*1000:.2f}); Sleeping for sec: {Config.Config.Loop_Sleep_Sec:.0f}') time.sleep(Config.Config.Loop_Sleep_Sec) except KeyboardInterrupt: logging.info('CANCELLING OPEN ORDERS') await kill_algo() except Exception as e: logging.error(traceback.format_exc()) logging.critical(f'*** ALGO ENGINE CRASHED: {e}') logging.info('CANCELLING OPEN ORDERS') utils.send_tg_alert(f'FR_ALGO_CRASHED: {str(e)}') await kill_algo() ### MAIN STARTUP ### async def main(): global EXTEND_CLIENT global VAL_KEY global CON global Config global Aster global Extend global Open_Symbols _, 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') await set_comb_open_symbols() best_symbol_by_exchange: dict = json.loads(s=VAL_KEY.get(name='fr_engine_best_fund_rate_output')) # ty:ignore[invalid-argument-type] if Open_Symbols: logging.info(f'OPEN SYMBOLS: {Open_Symbols}') master_data = json.loads(s=VAL_KEY.get(name='fr_engine_best_fund_rate_master')) # ty:ignore[invalid-argument-type] open_symbol_to_work = Open_Symbols[0] current_pos_master_ast = [d for d in master_data if d.get('symbol_ext') == open_symbol_to_work][0] Aster = structs.Perpetual_Exchange( mult = int(current_pos_master_ast['max_leverage_ast']), lh_asset = current_pos_master_ast['lh_asset_ast'], rh_asset = current_pos_master_ast['rh_asset_ast'], symbol_asset_separator = '', initial_funding_rate=float(current_pos_master_ast['funding_rate_ast']), min_price=float(current_pos_master_ast['min_price_ast']), min_order_size=float(current_pos_master_ast['min_order_size_ast']), min_lot_size=float(current_pos_master_ast['min_lot_size_ast']), min_notional=float(current_pos_master_ast['min_notional_ast']), buy_ratio=float(current_pos_master_ast['buy_ratio_ast']), ) Extend = structs.Perpetual_Exchange( mult = int(current_pos_master_ast['max_leverage_ext']), lh_asset = current_pos_master_ast['lh_asset_ext'], rh_asset = current_pos_master_ast['rh_asset_ext'], symbol_asset_separator = '-', initial_funding_rate=float(current_pos_master_ast['funding_rate_ext']), min_price=float(current_pos_master_ast['min_price_ext']), min_order_size=float(current_pos_master_ast['min_order_size_ext']), min_lot_size=float(current_pos_master_ast['min_lot_size_ext']), min_notional=float(current_pos_master_ast['min_notional_ext']), buy_ratio=float(current_pos_master_ast['buy_ratio_ext']), ) Open_Symbols.pop(0) else: Aster = structs.Perpetual_Exchange(**best_symbol_by_exchange['ASTER']) Extend = structs.Perpetual_Exchange(**best_symbol_by_exchange['EXTEND']) # await get_aster_exch_info(symbol_override=Open_Symbols[0]) # await get_extend_exch_info(symbol_override=Open_Symbols[0]) with open('algo_config.json', mode='r', encoding='utf-8') as file: Config = json.load(file) Config = structs.Algo_Config(**Config) Config.Config.Max_Target_Notional = float(min([Aster.mult, Extend.mult]) * Config.Config.Target_Open_Cash_Position) # logging.info(f'Initial Algo Config: {ALGO_CONFIG}') VAL_KEY.set(name='fr_orchestrator_output', value=json.dumps(obj=Config.model_dump())) VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)})) async with engine.connect() as CON: ### ASTER SETUP ### # await get_aster_collateral() await get_aster_notional_position() await get_aster_exch_info() await get_aster_open_orders() ### EXTEND SETUP ### # await get_extend_collateral() await get_extend_notional() await get_extend_exch_info() await get_extend_open_orders() await run_algo() if __name__ == '__main__': START_TIME = round(datetime.now().timestamp()*1000) logging.info(f'Log FilePath: {LOG_FILEPATH}') logging.basicConfig( force=True, filename=LOG_FILEPATH, level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s', filemode='w' ) logging.info(f"STARTED: {START_TIME}") asyncio.run(main())