1435 lines
72 KiB
Python
1435 lines
72 KiB
Python
'''
|
||
Atwater Trading: Perpetual Futures Funding Rate
|
||
|
||
TODO:
|
||
- Update switch signal to account for diff in leverage (right now its just pure rate)
|
||
- Can do by calculating based on expected alpha in dollar terms and then back over the collateral for percent - be careful fees are correctly accounted for in dollar terms.
|
||
- WS Stability
|
||
- Make sure every WS has reconnect and can handle failure scenarios
|
||
- Create health service (or add to orchestrator) to check that WS outputs are recent and not delayed, kill algo and alert if delayed.
|
||
- GUI
|
||
- NG basic dashboard to show algo summary, bfr, grid of trades/positions/orders/pnl, graph of ratios, prices, orders, fills, pnl, etc.
|
||
- Infra
|
||
- Move off AWS to a cheaper option (NYCServers, QuantVPS)
|
||
- Shutdown old VPS in NYC
|
||
|
||
'''
|
||
|
||
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
|
||
from decimal import ROUND_DOWN, ROUND_UP, ROUND_HALF_UP, Decimal
|
||
from typing import AsyncContextManager
|
||
from dataclasses import dataclass, asdict, field
|
||
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()
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||
LOG_FILEPATH: str = f'{os.getenv(key="LOGS_PATH")}/Fund_Rate_Algo.log'
|
||
|
||
### Algo Config ###
|
||
Config: structs.Algo_Config
|
||
Algo_Status: structs.Algo_Status
|
||
|
||
### Exchanges ###
|
||
Aster: structs.Perpetual_Exchange
|
||
Extend: structs.Perpetual_Exchange
|
||
|
||
### Globals ###
|
||
Open_Symbols: list[str] = []
|
||
Last_Aster_Fill_Time_Ts: float = 0.00
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||
Funding_Rates_Min_Remaining_Factor_Pcts: list[float] = []
|
||
|
||
Aster_Open_Orders: list[dict] = []
|
||
Extend_Open_Orders: list[dict] = []
|
||
|
||
### Flags ###
|
||
Flags = structs.Flags()
|
||
|
||
|
||
### Algo ###
|
||
async def output_algo_status(status: str) -> None:
|
||
global Algo_Status
|
||
|
||
Algo_Status.last_update_ts_ms = int(round(datetime.now().timestamp()*1000, 2))
|
||
Algo_Status.status = status
|
||
|
||
VAL_KEY.set('algo_status', json.dumps(Algo_Status.model_dump(), cls=utils.JSONEncoder_Decimal))
|
||
|
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def create_exchange_objs_from_dict(exchanges_dict: dict) -> tuple[structs.Perpetual_Exchange, structs.Perpetual_Exchange]:
|
||
Aster = structs.Perpetual_Exchange(
|
||
mult = int(exchanges_dict['max_leverage_ast']),
|
||
lh_asset = exchanges_dict['lh_asset_ast'],
|
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rh_asset = exchanges_dict['rh_asset_ast'],
|
||
symbol_asset_separator = '',
|
||
initial_funding_rate=float(exchanges_dict['funding_rate_ast']),
|
||
fund_rate_at_same_time=bool(exchanges_dict['next_funding_at_same_time']),
|
||
min_price=float(exchanges_dict['min_price_ast']),
|
||
min_order_size=float(exchanges_dict['min_order_size_ast']),
|
||
min_lot_size=float(exchanges_dict['min_lot_size_ast']),
|
||
min_notional=float(exchanges_dict['min_notional_ast']),
|
||
buy_ratio=float(exchanges_dict['buy_ratio_ast']),
|
||
buy_ratio_std=float(exchanges_dict['buy_ratio_std']),
|
||
)
|
||
Extend = structs.Perpetual_Exchange(
|
||
mult = int(exchanges_dict['max_leverage_ext']),
|
||
lh_asset = exchanges_dict['lh_asset_ext'],
|
||
rh_asset = exchanges_dict['rh_asset_ext'],
|
||
symbol_asset_separator = '-',
|
||
initial_funding_rate=float(exchanges_dict['funding_rate_ext']),
|
||
fund_rate_at_same_time=bool(exchanges_dict['next_funding_at_same_time']),
|
||
min_price=float(exchanges_dict['min_price_ext']),
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||
min_order_size=float(exchanges_dict['min_order_size_ext']),
|
||
min_lot_size=float(exchanges_dict['min_lot_size_ext']),
|
||
min_notional=float(exchanges_dict['min_notional_ext']),
|
||
buy_ratio=float(exchanges_dict['buy_ratio_ext']),
|
||
buy_ratio_std=float(exchanges_dict['buy_ratio_std']),
|
||
)
|
||
return Aster, Extend
|
||
|
||
async def symbol_switch(best_symbol_by_exchange_aster: structs.Perpetual_Exchange, best_symbol_by_exchange_extend: structs.Perpetual_Exchange):
|
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global Config
|
||
global Aster
|
||
global Extend
|
||
|
||
if (best_symbol_by_exchange_aster.symbol != Aster.symbol) or (best_symbol_by_exchange_extend.symbol != Extend.symbol):
|
||
if abs( Aster.notional_position ) > 0.00 or abs( Extend.notional_position ) > 0.00:
|
||
if Config.Logging.Print_Summary_Each_Loop:
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||
print(f'Symbol switch [{Aster.symbol} > {best_symbol_by_exchange_aster.symbol}] - Flattening Positions')
|
||
|
||
### Check if its worth switching - is this truly the best move fees included etc?
|
||
Config.Overrides.Flatten_Open_Positions_Opportunistic = True
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else:
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logging.info('Balances Flattened - Updating to Trade New Symbols:')
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logging.info(f' {Aster.symbol} -> {best_symbol_by_exchange_aster.symbol}')
|
||
logging.info(f' {Extend.symbol} -> {best_symbol_by_exchange_extend.symbol}')
|
||
|
||
await aster_cancel_all_orders()
|
||
await extend_cancel_all_orders()
|
||
|
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Config.Overrides.Flatten_Open_Positions_Opportunistic = False
|
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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]
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||
current_pos_master_ast = [d for d in master_data if d.get('symbol_ext') == open_symbol_to_work][0]
|
||
|
||
Aster, Extend = create_exchange_objs_from_dict(exchanges_dict=current_pos_master_ast)
|
||
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||
Open_Symbols.pop(0)
|
||
|
||
await get_aster_notional_position()
|
||
await get_extend_notional()
|
||
else:
|
||
Aster = best_symbol_by_exchange_aster
|
||
Extend = best_symbol_by_exchange_extend
|
||
|
||
|
||
if not Aster:
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||
logging.critical(f'Main Algo, Aster is none: {Aster}')
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||
await kill_algo()
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||
elif not Extend:
|
||
logging.critical(f'Main Algo, Extend is none: {Extend}')
|
||
await kill_algo()
|
||
else:
|
||
logging.info(f'setting fr_algo_working_symbol: Aster: {Aster}; Extend: {Extend}')
|
||
VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)}, cls=utils.JSONEncoder_Decimal))
|
||
|
||
def calc_fr_minutes_remaining_factor(
|
||
min_start_procedure: int = 15,
|
||
min_to_end_procedure: int = 15,
|
||
factor_exp_pct: float = 0.25
|
||
):
|
||
factors = [np.float64(0.00)]
|
||
for x in range(min_start_procedure+1,61-min_to_end_procedure):
|
||
y = (x)**(np.log(x)*factor_exp_pct)
|
||
factors.append(y)
|
||
|
||
pcts = list(factors / np.max(factors))
|
||
for x in range(61-min_to_end_procedure, 61):
|
||
pcts.append(1)
|
||
|
||
pcts.reverse()
|
||
|
||
return pcts
|
||
|
||
def get_fr_factor_by_minute(min_left: int, factor_pcts: list[float]) -> Decimal:
|
||
return Decimal(str(factor_pcts[min(len(factor_pcts) - 1, min_left)])).quantize(Decimal('0.0001'))
|
||
|
||
@dataclass(kw_only=True)
|
||
class Target:
|
||
exchange: str # ASTER | EXTEND
|
||
symbol: str # e.g. BTC-USD
|
||
side: str = ''
|
||
notional_tgt: Decimal
|
||
notional_tail: Decimal = Decimal('0.00')
|
||
min_order_notional: Decimal = Decimal('0.00')
|
||
min_order_base: Decimal = Decimal('0.00')
|
||
min_order_price: Decimal = Decimal('0.00')
|
||
min_lot_size: Decimal = Decimal('0.00')
|
||
|
||
def __post_init__(self):
|
||
if self.exchange == 'ASTER':
|
||
self.notional_tail = self.notional_tgt - Decimal( str(Aster.notional_position) ) #+ Decimal( str(Aster.unrealized_pnl) )
|
||
self.min_order_notional = Decimal(str(Aster.min_notional))
|
||
min_order_base = Decimal(str(Aster.min_order_size))
|
||
min_order_price = Decimal(str(Aster.min_price))
|
||
self.min_lot_size = Decimal(str(Aster.min_lot_size))
|
||
else:
|
||
self.notional_tail = self.notional_tgt - Decimal( str(Extend.notional_position) ) #+ Decimal( str(Extend.unrealized_pnl) )
|
||
self.min_order_notional = Decimal(str(Extend.min_notional))
|
||
min_order_base = Decimal(str(Extend.min_order_size))
|
||
min_order_price = Decimal(str(Extend.min_price))
|
||
self.min_lot_size = Decimal(str(Extend.min_lot_size))
|
||
|
||
self.min_order_base = Decimal(str(int(min_order_base))) if min_order_base == int(min_order_base) else Decimal(str(min_order_base))
|
||
self.min_order_price = Decimal(str(int(min_order_price))) if min_order_price == int(min_order_price) else Decimal(str(min_order_price))
|
||
self.side = 'BUY' if self.notional_tail > Decimal('0.00') else 'SELL'
|
||
|
||
def base_tgt(self, price: Decimal) -> Decimal:
|
||
tgt = Decimal(str(float(self.notional_tgt) / float(price))).quantize(Decimal(str(self.min_order_base)))
|
||
if self.min_lot_size > 0:
|
||
tgt = tgt - (tgt % self.min_lot_size)
|
||
return tgt.quantize(Decimal(str(self.min_order_base)))
|
||
|
||
def base_tail(self, price: Decimal) -> Decimal:
|
||
tail = Decimal(str(float(self.notional_tail) / float(price))).quantize(Decimal(str(self.min_order_base)))
|
||
if Decimal(str(self.min_lot_size)) > 0:
|
||
tail = tail - (tail % self.min_lot_size)
|
||
return tail.quantize(Decimal(str(self.min_order_base)))
|
||
|
||
def is_flattening(self) -> bool:
|
||
return self.notional_tgt == Decimal('0.00')
|
||
|
||
def is_reduce_only(self, price: Decimal) -> bool:
|
||
if abs(self.notional_tail) < abs(self.min_order_notional):
|
||
return True
|
||
if abs(self.base_tail(price=price)) < abs(self.min_order_base):
|
||
return True
|
||
|
||
return False
|
||
|
||
def is_orderable(self, price: Decimal) -> bool:
|
||
if self.notional_tail == Decimal('0.00'):
|
||
return False
|
||
if self.base_tail(price=price) == Decimal('0.00'):
|
||
return False
|
||
if self.exchange == 'ASTER' and not(Config.Overrides.Allow_Ordering_Aster):
|
||
return False
|
||
if self.exchange == 'EXTEND' and not(Config.Overrides.Allow_Ordering_Extend):
|
||
return False
|
||
if self.is_reduce_only(price=price) and not(self.is_flattening()):
|
||
return False
|
||
|
||
return True
|
||
|
||
|
||
@dataclass(kw_only=True)
|
||
class Signal:
|
||
signal: bool
|
||
exchange: str # ASTER | EXTEND
|
||
side: str # BUY | SELL
|
||
symbol: str # e.g. BTC-USD
|
||
expected_alpha: Decimal # e.g. BTC-USD
|
||
model_ratio: Decimal
|
||
current_ratio: Decimal
|
||
|
||
|
||
def signal_alpha_over_taker(
|
||
Aster: structs.Perpetual_Exchange,
|
||
Extend: structs.Perpetual_Exchange,
|
||
aster_ticker_dict: dict,
|
||
extend_ticker_dict: dict,
|
||
funding_rate_exch: str,
|
||
funding_rate_side: str,
|
||
funding_rate: Decimal = Decimal('0.00'),
|
||
funding_rate_switch: Decimal = Decimal('0.00'),
|
||
taker_fee: Decimal = Decimal(str(0.00025)),
|
||
alpha_hurdle_adj: Decimal = Decimal('0.00'),
|
||
) -> Signal:
|
||
|
||
|
||
if funding_rate_exch == 'ASTER':
|
||
if funding_rate_side == 'BUY':
|
||
aster_buy_fund_rate_return = abs(funding_rate)
|
||
extend_buy_fund_rate_return = abs(funding_rate) * -1
|
||
else:
|
||
aster_buy_fund_rate_return = abs(funding_rate) * -1
|
||
extend_buy_fund_rate_return = abs(funding_rate)
|
||
else: # funding_rate_exch == 'EXTEND':
|
||
if funding_rate_side == 'BUY':
|
||
aster_buy_fund_rate_return = abs(funding_rate) * -1
|
||
extend_buy_fund_rate_return = abs(funding_rate)
|
||
else:
|
||
aster_buy_fund_rate_return = abs(funding_rate)
|
||
extend_buy_fund_rate_return = abs(funding_rate) * -1
|
||
|
||
|
||
if Config.Overrides.Flatten_Open_Positions_Opportunistic:
|
||
if Decimal(str(Aster.notional_position)) > 0:
|
||
aster_buy_fund_rate_return = aster_buy_fund_rate_return
|
||
extend_buy_fund_rate_return = max([extend_buy_fund_rate_return, abs(funding_rate_switch)])
|
||
# funding_rate_exch = 'EXTEND'
|
||
# funding_rate_side = 'BUY'
|
||
else: # Decimal(str(Aster.notional_position)) < 0:
|
||
aster_buy_fund_rate_return = max([aster_buy_fund_rate_return, abs(funding_rate_switch)])
|
||
extend_buy_fund_rate_return = extend_buy_fund_rate_return
|
||
# funding_rate_exch = 'ASTER'
|
||
# funding_rate_side = 'BUY'
|
||
|
||
aster_mid_px: Decimal = ( Decimal(str(aster_ticker_dict['best_ask_px'])) + Decimal(str(aster_ticker_dict['best_bid_px'])) ) / 2
|
||
extend_mid_px: Decimal = ( Decimal(str(extend_ticker_dict['best_ask_px'])) + Decimal(str(extend_ticker_dict['best_bid_px'])) ) / 2
|
||
|
||
aster_buy_ratio: Decimal = Decimal(str((extend_mid_px / aster_mid_px) - 1))
|
||
extend_buy_ratio: Decimal = Decimal(str(aster_buy_ratio*-1))
|
||
|
||
aster_buy_ratio_min_taker_hurdle = ( aster_buy_ratio + aster_buy_fund_rate_return ) - taker_fee - alpha_hurdle_adj
|
||
extend_buy_ratio_min_taker_hurdle = ( extend_buy_ratio + extend_buy_fund_rate_return ) - taker_fee - alpha_hurdle_adj
|
||
|
||
aster_buy_expected_alpha: Decimal = ( aster_buy_ratio_min_taker_hurdle - Decimal(str(Aster.buy_ratio)) ).quantize(Decimal('0.000001'), rounding='ROUND_DOWN') # Decimal Price % Diff (x Qty = Alpha $)
|
||
extend_buy_expected_alpha: Decimal = ( extend_buy_ratio_min_taker_hurdle - Decimal(str(Extend.buy_ratio)) ).quantize(Decimal('0.000001'), rounding='ROUND_DOWN') # Decimal Price % Diff (x Qty = Alpha $)
|
||
best_expected_alpha = max([aster_buy_expected_alpha, extend_buy_expected_alpha])
|
||
|
||
# logging.info(f'aster_buy_ratio_min_taker_hurdle: ( {aster_buy_ratio} - {aster_buy_fund_rate_return} ) - {taker_fee} - {alpha_hurdle_adj} = {aster_buy_ratio_min_taker_hurdle}')
|
||
# logging.info(f'extend_buy_ratio_min_taker_hurdle: ( {extend_buy_ratio} - {extend_buy_fund_rate_return} ) - {taker_fee} - {alpha_hurdle_adj} = {extend_buy_ratio_min_taker_hurdle}')
|
||
# logging.info(f'aster_buy_expected_alpha: {aster_buy_ratio_min_taker_hurdle} - {Decimal(str(Aster.buy_ratio))} = {aster_buy_expected_alpha}')
|
||
# logging.info(f'extend_buy_expected_alpha: {extend_buy_ratio_min_taker_hurdle} - {Decimal(str(Extend.buy_ratio))} = {extend_buy_expected_alpha}')
|
||
|
||
# aster_buy_ratio_min_taker_hurdle : ( 0.000886878630659394261895260 + 0.000037000000000000005 ) - 0.00025 - 0.0 = 0.000673878630659394266895260
|
||
# extend_buy_ratio_min_taker_hurdle : ( -0.000886878630659394261895260 + -0.000037000000000000005 ) - 0.00025 - 0.0 = -0.001173878630659394266895260
|
||
# aster_buy_expected_alpha : 0.000673878630659394266895260 - 0.0014628375 = -0.0007
|
||
# extend_buy_expected_alpha : -0.001173878630659394266895260 - -0.0014628375 = 0.0002
|
||
|
||
if ( aster_buy_expected_alpha > 0 ) and ( best_expected_alpha == aster_buy_expected_alpha ):
|
||
signal: bool = True
|
||
exchange: str = 'ASTER'
|
||
side: str = 'BUY'
|
||
symbol: str = Extend.symbol # USING EXT SYMBOL AS DEFAULT
|
||
expected_alpha: Decimal = aster_buy_expected_alpha
|
||
model_ratio: Decimal = Decimal(str(Aster.buy_ratio))
|
||
current_ratio: Decimal = aster_buy_ratio_min_taker_hurdle
|
||
elif ( extend_buy_expected_alpha > 0 ) and ( best_expected_alpha == extend_buy_expected_alpha ):
|
||
signal: bool = True
|
||
exchange: str = 'EXTEND'
|
||
side: str = 'BUY'
|
||
symbol: str = Extend.symbol
|
||
expected_alpha: Decimal = extend_buy_expected_alpha
|
||
model_ratio: Decimal = Decimal(str(Extend.buy_ratio))
|
||
current_ratio: Decimal = extend_buy_ratio_min_taker_hurdle
|
||
else:
|
||
if best_expected_alpha == aster_buy_expected_alpha:
|
||
signal: bool = False
|
||
exchange: str = 'ASTER'
|
||
side: str = 'BUY'
|
||
symbol: str = Extend.symbol # USING EXT SYMBOL AS DEFAULT
|
||
expected_alpha: Decimal = aster_buy_expected_alpha
|
||
model_ratio: Decimal = Decimal(str(Aster.buy_ratio))
|
||
current_ratio: Decimal = aster_buy_ratio_min_taker_hurdle
|
||
else:
|
||
signal: bool = False
|
||
exchange: str = 'EXTEND'
|
||
side: str = 'BUY'
|
||
symbol: str = Extend.symbol
|
||
expected_alpha: Decimal = extend_buy_expected_alpha
|
||
model_ratio: Decimal = Decimal(str(Extend.buy_ratio))
|
||
current_ratio: Decimal = extend_buy_ratio_min_taker_hurdle
|
||
|
||
return Signal(
|
||
signal = signal,
|
||
exchange = exchange,
|
||
side = side,
|
||
symbol = symbol,
|
||
expected_alpha = expected_alpha,
|
||
model_ratio = model_ratio,
|
||
current_ratio = current_ratio,
|
||
)
|
||
|
||
### 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 Aster
|
||
|
||
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': abs(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['order_id'] = order_resp['orderId']
|
||
order_resp['original_price'] = price
|
||
order_resp['price'] = price
|
||
order_resp['order_status'] = order_resp['status']
|
||
|
||
Aster_Open_Orders.append(order_resp)
|
||
Aster.just_rejected_count = 0
|
||
|
||
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}')
|
||
'''
|
||
NEED TO HANDLE THE BELOW RESP
|
||
|
||
*** Aster Order Response Abnormal: {'code': -5018, 'msg': 'You’ve reached the maximum notional value limit for this symbol. You can still reduce or close your position to manage your risk.'}; post_order: {'url': '/fapi/v3/order', 'method': 'POST', 'params': {'symbol': 'ENAUSDT', 'side': 'SELL', 'type': 'LIMIT', 'timeInForce': 'GTX', 'quantity': Decimal('1900'), 'price': Decimal('0.1339100'), 'reduceOnly': False}}
|
||
*** Aster Order Response Abnormal: {'code': -4226, 'msg': 'Nonce used'}; post_order: {'url': '/fapi/v3/order', 'method': 'POST', 'params': {'symbol': 'BTCUSDT', 'side': 'SELL', 'type': 'LIMIT', 'timeInForce': 'GTX', 'quantity': Decimal('0.006'), 'price': Decimal('80520.0'), 'reduceOnly': False}}
|
||
'''
|
||
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 Extend
|
||
|
||
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=abs(qty),
|
||
price=price,
|
||
side=side,
|
||
taker_fee=taker_fee,
|
||
previous_order_id=cxl_prev_order_id,
|
||
post_only=postOnly,
|
||
reduce_only=reduceOnly
|
||
)
|
||
order_resp_dict = dict(order_resp)
|
||
except Exception as e:
|
||
logging.critical(f'e: {e}; 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}')
|
||
if '1140' in str(e): # Error response from https://api.starknet.extended.exchange/api/v1/user/order: {"status":"ERROR","error":{"code":1140,"message":"New order cost exceeds available balance","debugInfo":"Order cost 19.458300 exceeds available for trade 1.467180\nOrder price = 43.825, mark price = 43.832222240625 estimated market price = 44.045"}}
|
||
logging.info('EXTEND New order - cost exceeds available balance')
|
||
await kill_algo()
|
||
if '1121' in str(e): # Error response from https://api.starknet.extended.exchange/api/v1/user/order: code 400 - {"status":"ERROR","error":{"code":1121,"message":"Invalid quantity, wrong size increment"}}
|
||
logging.info('EXTEND New order - Invalid quantity')
|
||
await kill_algo()
|
||
if '1123' in str(e): # Error response from https://api.starknet.extended.exchange/api/v1/user/order: code 400 - {"status":"ERROR","error":{"code":1123,"message":"Invalid quantity precision"}}
|
||
logging.info('EXTEND New order - Invalid quantity precision')
|
||
await kill_algo()
|
||
elif '1142' in str(e): # 'Error response from https://api.starknet.extended.exchange/api/v1/user/order: code 400 - {"status":"ERROR","error":{"code":1142,"message":"Edit order not found"}};'
|
||
logging.info('EXTEND EDIT ORDER, NOT FOUND, CANCELLING and continuing')
|
||
await extend_cancel_all_orders()
|
||
|
||
# if Extend_Open_Orders:
|
||
# Extend_Open_Orders.pop(0)
|
||
# time.sleep(0.1)
|
||
return
|
||
|
||
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)
|
||
Extend.just_rejected_count = 0
|
||
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], ws_pos_updates: list[dict]) -> list[dict]: # exch = 'ASTER' | 'EXTEND'
|
||
global Aster
|
||
global Extend
|
||
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']:
|
||
logging.info(f'{exch} ORDER CANCELLED: {order_id}')
|
||
local_open_orders.pop(idx)
|
||
if exch=='ASTER':
|
||
Aster.cancel_request_pending = False
|
||
else:
|
||
Extend.cancel_request_pending = False
|
||
# utils.send_tg_alert(f'FR_ALGO - {exch} REJECTED ({order_id})')
|
||
elif order_update_status in ['EXPIRED','REJECTED']:
|
||
logging.info(f'{exch} ORDER REJECTED or EXPIRED: {order_id}')
|
||
local_open_orders.pop(idx)
|
||
if exch=='ASTER':
|
||
Aster.just_rejected_count = Aster.just_rejected_count + 1
|
||
Config.Config.Price_Worsener_Aster=1
|
||
Aster.cancel_request_pending = False
|
||
else:
|
||
Extend.just_rejected_count = Extend.just_rejected_count + 1
|
||
# Config.Config.Price_Worsener_Extend=1
|
||
Extend.cancel_request_pending = False
|
||
if Aster.just_rejected_count > 1 or Extend.just_rejected_count > 1:
|
||
time.sleep(1)
|
||
Aster.just_rejected_count = 0
|
||
Extend.just_rejected_count = 0
|
||
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()
|
||
Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000
|
||
Aster.cancel_request_pending = False
|
||
else:
|
||
await get_extend_notional()
|
||
Extend.cancel_request_pending = False
|
||
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 aster_cancel_all_orders()
|
||
await get_aster_notional_position()
|
||
Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000
|
||
Aster.cancel_request_pending = False
|
||
else:
|
||
await extend_cancel_all_orders()
|
||
Extend.cancel_request_pending = False
|
||
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()
|
||
|
||
try:
|
||
Aster.unrealized_pnl = float(pos_dict['unrealized_pnl']) if pos_dict.get('unrealized_pnl') is not None else float(pos_dict['unRealizedProfit'])
|
||
except Exception as e:
|
||
logging.critical(f'Aster.unrealized_pnl pos_dict: {pos_dict}')
|
||
raise ValueError(e)
|
||
|
||
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(Decimal(str(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(Decimal(str(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():
|
||
global Aster
|
||
global Aster_Open_Orders
|
||
|
||
cancel_all_open_orders = {
|
||
"url": "/fapi/v3/allOpenOrders",
|
||
"method": "DELETE",
|
||
"params": {
|
||
'symbol': Aster.symbol,
|
||
}
|
||
}
|
||
r: dict = await aster_auth.post_authenticated_url(cancel_all_open_orders) # ty:ignore[invalid-assignment]
|
||
if r.get('code') == 200 and Aster_Open_Orders:
|
||
Aster_Open_Orders.pop(0)
|
||
Aster.cancel_request_pending = False
|
||
else:
|
||
Aster.cancel_request_pending = True
|
||
logging.info(f'ASTER CANCEL ALL OPEN ORDERS RESP: {r}')
|
||
|
||
async def extend_cancel_all_orders():
|
||
global Extend_Open_Orders
|
||
|
||
r = await EXTEND_CLIENT.orders.mass_cancel(markets=[Extend.symbol])
|
||
if Extend_Open_Orders:
|
||
Extend_Open_Orders.pop(0)
|
||
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')
|
||
await output_algo_status('DEAD')
|
||
raise ValueError('KILL FLAG ACTIVATED')
|
||
|
||
|
||
### ALGO LOOP ###
|
||
async def run_algo():
|
||
global Config
|
||
global Algo_Status
|
||
|
||
global Aster
|
||
global Extend
|
||
|
||
global Open_Symbols
|
||
global Last_Aster_Fill_Time_Ts
|
||
|
||
global Aster_Open_Orders
|
||
global Extend_Open_Orders
|
||
|
||
global Flags
|
||
global Funding_Rates_Min_Remaining_Factor_Pcts
|
||
|
||
|
||
try:
|
||
while True:
|
||
loop_start = time.time()
|
||
# print('__________Start___________')
|
||
|
||
### Load Algo Config ###
|
||
fr_orchestrator_output: str = VAL_KEY.get('fr_orchestrator_output') # ty:ignore[invalid-assignment]
|
||
if fr_orchestrator_output:
|
||
Config = json.loads(fr_orchestrator_output)
|
||
Config = structs.Algo_Config(**Config)
|
||
Config.Config.Max_Target_Notional = float(min([Aster.mult, Extend.mult]) * Config.Config.Target_Open_Cash_Position)
|
||
else:
|
||
logging.critical(f'fr_orchestrator_output is empty: {fr_orchestrator_output}; reloading from disk and continuing.')
|
||
|
||
with open('algo_config.json', mode='r', encoding='utf-8') as file:
|
||
Config = json.load(file)
|
||
Config = structs.Algo_Config(**Config)
|
||
|
||
if not Config.model_dump():
|
||
logging.critical(f'fr_orchestrator_output is empty - killing: {fr_orchestrator_output};')
|
||
|
||
Config.Config.Max_Target_Notional = float(min([Aster.mult, Extend.mult]) * Config.Config.Target_Open_Cash_Position)
|
||
VAL_KEY.set(name='fr_orchestrator_output', value=json.dumps(obj=Config.model_dump(), cls=utils.JSONEncoder_Decimal))
|
||
|
||
min_time_to_funding = Config.Config.Min_Time_To_Funding_Minutes * 60 * 1000
|
||
|
||
|
||
### Load Data from Feedhandlers ###
|
||
vk_get: str = VAL_KEY.get(name='fr_engine_best_fund_rate_output') # ty:ignore[invalid-assignment]
|
||
if vk_get:
|
||
best_symbol_by_exchange: dict = json.loads(vk_get)
|
||
else:
|
||
logging.critical(f'best_symbol_by_exchange is none: {vk_get}')
|
||
await kill_algo()
|
||
raise ValueError(f'best_symbol_by_exchange is none: {vk_get}')
|
||
# 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'])
|
||
|
||
if Config.Overrides.Allow_Symbol_Change:
|
||
await symbol_switch(best_symbol_by_exchange_aster=best_symbol_by_exchange_aster, best_symbol_by_exchange_extend=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 = max([float(aster_fund_rate_dict.get('next_funding_time_ts_ms', 0)), 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
|
||
|
||
now_ms = round(datetime.now().timestamp()*1000)
|
||
time_to_funding_ms = min([aster_fund_rate_time, extend_fund_rate_time]) - now_ms
|
||
time_to_funding_minutes = int(time_to_funding_ms/1000/60)
|
||
min_between_fundings = round((abs(aster_fund_rate_time - extend_fund_rate_time) / 1000 / 60))
|
||
next_funding_at_same_time = min_between_fundings < 5
|
||
|
||
def calc_next_net_fund_rate(next_funding_at_same_time: bool, fund_rate_ast: float, fund_rate_ext: float) -> tuple[float, str, str]:
|
||
if next_funding_at_same_time:
|
||
net_fr = max([fund_rate_ast, fund_rate_ext]) - min([fund_rate_ast, fund_rate_ext])
|
||
fr_best_exch = 'ASTER' if max([abs(fund_rate_ast), abs(fund_rate_ext)]) == abs(fund_rate_ast) else 'EXTEND'
|
||
fr_best_rate = fund_rate_ast if max([abs(fund_rate_ast), abs(fund_rate_ext)]) == abs(fund_rate_ast) else fund_rate_ext
|
||
fr_best_side = 'BUY' if fr_best_rate < 0 else 'SELL'
|
||
|
||
if fr_best_side == 'SELL':
|
||
fr_best_exch = 'ASTER' if fr_best_exch == 'EXTEND' else 'EXTEND'
|
||
fr_best_side = 'BUY'
|
||
|
||
return net_fr, fr_best_exch, fr_best_side
|
||
else:
|
||
fr_best_exch = 'EXTEND'
|
||
fr_best_side = 'BUY' if fund_rate_ext < 0 else 'SELL'
|
||
|
||
if fr_best_side == 'SELL':
|
||
fr_best_exch = 'ASTER'
|
||
fr_best_side = 'BUY'
|
||
|
||
return fund_rate_ext, fr_best_exch, fr_best_side
|
||
|
||
next_net_funding_rate, fr_best_exch, fr_best_side = calc_next_net_fund_rate(next_funding_at_same_time, fund_rate_ast=aster_fund_rate, fund_rate_ext=extend_fund_rate)
|
||
Flags.NET_FUNDING_IS_ZERO = ( next_net_funding_rate >= ( (Config.Config.Min_Fund_Rate_Pct_To_Trade*-1) / 100) ) and ( next_net_funding_rate <= ( Config.Config.Min_Fund_Rate_Pct_To_Trade / 100 ) )
|
||
|
||
# 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}')
|
||
|
||
if not Aster:
|
||
logging.critical(f'Main Algo, Aster is none: {Aster}')
|
||
await kill_algo()
|
||
elif not Extend:
|
||
logging.critical(f'Main Algo, Extend is none: {Extend}')
|
||
await kill_algo()
|
||
else:
|
||
logging.info(f'setting fr_algo_working_symbol: Aster: {Aster}; Extend: {Extend}')
|
||
VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)}, cls=utils.JSONEncoder_Decimal))
|
||
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}')
|
||
|
||
if not Aster:
|
||
logging.critical(f'Main Algo, Aster is none: {Aster}')
|
||
await kill_algo()
|
||
elif not Extend:
|
||
logging.critical(f'Main Algo, Extend is none: {Extend}')
|
||
await kill_algo()
|
||
else:
|
||
logging.info(f'setting fr_algo_working_symbol: Aster: {Aster}; Extend: {Extend}')
|
||
VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)}, cls=utils.JSONEncoder_Decimal))
|
||
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 []
|
||
|
||
### 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, ws_pos_updates=aster_ws_pos_updates)
|
||
Extend_Open_Orders = await handle_order_updates(exch='EXTEND', local_open_orders=Extend_Open_Orders, ws_open_orders=extend_ws_order_updates, ws_pos_updates=extend_ws_pos_updates)
|
||
|
||
### 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')
|
||
|
||
### Decisions ###
|
||
fr_factor: Decimal = get_fr_factor_by_minute(time_to_funding_minutes, Funding_Rates_Min_Remaining_Factor_Pcts)
|
||
funding_rate_factored = Decimal(str(next_net_funding_rate)) * fr_factor
|
||
|
||
funding_rate_switch_net, _, _ = calc_next_net_fund_rate(best_symbol_by_exchange_aster.fund_rate_at_same_time, fund_rate_ast=float(best_symbol_by_exchange_aster.initial_funding_rate), fund_rate_ext=float(best_symbol_by_exchange_extend.initial_funding_rate))
|
||
funding_rate_switch_net_factored = Decimal(str(funding_rate_switch_net)) * fr_factor
|
||
# funding_rate_switch_net_factored = Decimal(str(funding_rate_switch_net)) * Decimal('15')
|
||
|
||
signal: Signal = signal_alpha_over_taker(
|
||
Aster=Aster,
|
||
Extend=Extend,
|
||
aster_ticker_dict=aster_ticker_dict,
|
||
extend_ticker_dict=extend_ticker_dict,
|
||
funding_rate_exch=fr_best_exch,
|
||
funding_rate_side=fr_best_side,
|
||
funding_rate=funding_rate_factored,
|
||
funding_rate_switch=funding_rate_switch_net_factored,
|
||
alpha_hurdle_adj=Decimal(str(Config.Config.Min_Fund_Rate_Pct_To_Trade)),
|
||
)
|
||
Algo_Status.expected_alpha = float(signal.expected_alpha)
|
||
Algo_Status.model_ratio = float(signal.model_ratio)
|
||
Algo_Status.current_ratio = float(signal.current_ratio)
|
||
if signal.signal:
|
||
### True signal, standard target
|
||
alpha_target_notional = Decimal(str(Config.Config.Max_Target_Notional))
|
||
else:
|
||
### False signal, set target equal to current position
|
||
if signal.exchange == 'ASTER':
|
||
alpha_target_notional = Decimal(str(Aster.notional_position))
|
||
else:
|
||
alpha_target_notional = Decimal(str(Aster.notional_position*-1))
|
||
|
||
### Apply Overrides ###
|
||
if signal.exchange == 'ASTER':
|
||
aster_tgt = alpha_target_notional
|
||
else:
|
||
aster_tgt = Decimal(str(alpha_target_notional*-1))
|
||
|
||
if Config.Overrides.Flatten_Open_Positions:
|
||
aster_tgt = Decimal('0.00')
|
||
elif Config.Overrides.Flatten_Open_Positions_Opportunistic or (signal.exchange != fr_best_exch):
|
||
if signal.signal:
|
||
if signal.exchange == 'EXTEND' and Decimal(str(Aster.notional_position)) >= 0:
|
||
aster_tgt = Decimal('0.00')
|
||
if signal.exchange == 'EXTEND' and Decimal(str(Aster.notional_position)) < 0:
|
||
pass
|
||
if signal.exchange == 'ASTER' and Decimal(str(Aster.notional_position)) > 0:
|
||
pass
|
||
if signal.exchange == 'ASTER' and Decimal(str(Aster.notional_position)) <= 0:
|
||
aster_tgt = Decimal('0.00')
|
||
|
||
aster_target = Target(
|
||
exchange = 'ASTER',
|
||
symbol = Aster.symbol,
|
||
notional_tgt = aster_tgt,
|
||
)
|
||
extend_target = Target(
|
||
exchange = 'EXTEND',
|
||
symbol = Extend.symbol,
|
||
notional_tgt = Decimal(str(Aster.notional_position*-1)),
|
||
)
|
||
|
||
### 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})
|
||
FR SWITCH : {funding_rate_switch_net:.6%} [{funding_rate_switch_net*10_000:.2f}bps] [{funding_rate_switch_net*1_000_000:.0f}pips]
|
||
|
||
{pd.to_datetime(aster_fund_rate_time, unit='ms')} ({(pd.to_datetime(aster_fund_rate_time, unit='ms') - pd.to_datetime(datetime.now().timestamp()*1000, unit='ms')) }) | {pd.to_datetime(extend_fund_rate_time, unit='ms')} ({(pd.to_datetime(extend_fund_rate_time, unit='ms')-pd.to_datetime(datetime.now().timestamp()*1000, unit='ms'))})
|
||
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} ]
|
||
|
||
SAME TIME? : {next_funding_at_same_time} [ 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?: {Flags.NET_FUNDING_IS_ZERO} [Min: {Config.Config.Min_Fund_Rate_Pct_To_Trade}]
|
||
FR BEST : {fr_best_side:<5} at {fr_best_exch}; FR Factor %: {fr_factor:.4%} * {next_net_funding_rate:.4%} = {float(fr_factor)*float(next_net_funding_rate):.6%}
|
||
|
||
|
||
ALPHA SIDE : {signal.side:<5} at {signal.exchange}
|
||
ALPHA ALPHA : {signal.expected_alpha: .6f} [{signal.expected_alpha*100:.2f}bps] [{signal.expected_alpha*10_000:.2f}pips]; Current {signal.current_ratio:.6f} [{signal.current_ratio*10_000:.2f}scl] {">" if signal.side=='BUY' else "<"} Model {signal.model_ratio:.6f} [{signal.model_ratio*10_000:.2f}scl]
|
||
ALPHA St.Dev: Buy Ratio Std: {Aster.buy_ratio_std:.4%}
|
||
|
||
*** ALPHA SIGNAL: {signal.signal} ***
|
||
|
||
ASTER: [ Notional Position $ : {Aster.notional_position:05.4f} ] | EXTEND: [ Notional Position $ : {Extend.notional_position:05.4f} ]
|
||
ASTER: {Aster.notional_position:05.4f} -> {aster_target.notional_tgt:05.4f} [ Remain: {aster_target.notional_tail:05.4f} ] | EXTEND: {Extend.notional_position:05.4f} -> {extend_target.notional_tgt:05.4f} [ Remain: {extend_target.notional_tail:05.4f} ]
|
||
ASTER: {aster_target.notional_tgt:.2f} - {Aster.notional_position:.2f} + {Aster.unrealized_pnl:.2f} = {aster_target.notional_tail:2f} | EXTEND: {extend_target.notional_tgt:.2f} - {Extend.notional_position:.2f} + {Extend.unrealized_pnl:.2f} = {extend_target.notional_tail:2f}
|
||
|
||
TGT NOTIONAL: $ {abs(alpha_target_notional):.2f}; Flatten Open Positions Flag? {Config.Overrides.Flatten_Open_Positions}; Opportunistic? {Config.Overrides.Flatten_Open_Positions_Opportunistic}
|
||
|
||
--- 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
|
||
async def aster_order_logic():
|
||
skip = False
|
||
side = aster_target.side
|
||
price_worsener: Decimal = Decimal(str(Aster.min_price)) * Decimal(str(int(Config.Config.Price_Worsener_Aster)))
|
||
|
||
if side == 'BUY':
|
||
tob_px: Decimal = Decimal(str(aster_ticker_dict['best_bid_px']))
|
||
price: Decimal = tob_px - price_worsener
|
||
else:
|
||
tob_px: Decimal = Decimal(str(aster_ticker_dict['best_ask_px']))
|
||
price: Decimal = tob_px + price_worsener
|
||
|
||
qty: Decimal = aster_target.base_tail(price=price)
|
||
|
||
### CHECKS ###
|
||
if abs( (qty*price) + Decimal(str(Aster.notional_position)) ) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio:
|
||
logging.info(f'TRYING TO ORDER OVER MAX NOTIONAL - ASTER: {Aster.notional_position} + {(qty*price) + Decimal(str(Aster.notional_position))} (qty: {aster_target.base_tail(price=price)}; px: {price})')
|
||
skip = True
|
||
await kill_algo()
|
||
if not(aster_target.is_orderable(price=price)) and Aster_Open_Orders:
|
||
logging.info('ASTER HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS; SKIPPING')
|
||
skip = True
|
||
if not Aster.cancel_request_pending:
|
||
await aster_cancel_all_orders()
|
||
print_summary(use_logging=True)
|
||
|
||
if aster_target.is_orderable(price=price) and aster_target.base_tail(price=price) == Decimal('0.00'):
|
||
logging.info(f'ASTER TRYNG TO ORDER 0.00 BASE QTY, SKIPPING: base_qty: {aster_target.base_tail(price=price)}; {aster_target}')
|
||
skip = True
|
||
await kill_algo()
|
||
if aster_target.is_orderable(price=price) and price == Decimal(str(0.00)).quantize(Decimal(str(aster_target.min_order_price)), rounding="ROUND_DOWN"):
|
||
logging.info(f'ASTER TRYNG TO ORDER with A PRICE OF 0.00, SKIPPING: {aster_target}')
|
||
skip = True
|
||
await kill_algo()
|
||
### Order Path ###
|
||
if aster_target.is_orderable(price=price) and not(skip):
|
||
if Aster_Open_Orders: # Cancel Open Order?
|
||
open_order_dict = dict(Aster_Open_Orders[0])
|
||
open_order_id = str(open_order_dict['order_id'])
|
||
try:
|
||
open_order_px = float(open_order_dict['price']) if open_order_dict.get('price') is not None else float(open_order_dict['last_filled_price'])
|
||
except Exception as e:
|
||
logging.critical(f'Aster cant find price on order obj: {open_order_dict}; e: {e}')
|
||
await kill_algo()
|
||
|
||
if Decimal(str(float(open_order_px))) == price:
|
||
skip = True
|
||
if Config.Logging.Print_Summary_Each_Loop:
|
||
print('ASTER OPEN ORDER NO PX CHG; SKIPPING')
|
||
else:
|
||
await cancel_aster_order(open_order_id)
|
||
skip = False
|
||
|
||
if not (skip):
|
||
print_summary(use_logging=True)
|
||
await post_aster_order(
|
||
symbol=Aster.symbol,
|
||
side=side,
|
||
qty=qty,
|
||
price=price,
|
||
reduceOnly=aster_target.is_reduce_only(price=price),
|
||
postOnly=True,
|
||
)
|
||
|
||
### EXTEND
|
||
async def extend_order_logic():
|
||
skip = False
|
||
side = extend_target.side
|
||
time_since_last_aster_fill_ms = ( datetime.now().timestamp()*1000 ) - Last_Aster_Fill_Time_Ts
|
||
if time_since_last_aster_fill_ms > ( 1000 * Config.Config.Switch_To_Taker_Seconds ): # Change to allow taker orders if its been more than x seconds
|
||
post_only = False
|
||
price_worsener: Decimal = Decimal(str(Extend.min_price)) * Decimal(str(int(Config.Config.Price_Worsener_Extend)))
|
||
else:
|
||
post_only = True
|
||
price_worsener = Decimal('0')
|
||
|
||
if side == 'BUY':
|
||
tob_px: Decimal = Decimal(str(extend_ticker_dict['best_bid_px']))
|
||
price: Decimal = tob_px - price_worsener
|
||
else:
|
||
tob_px: Decimal = Decimal(str(extend_ticker_dict['best_ask_px']))
|
||
price: Decimal = tob_px + price_worsener
|
||
|
||
qty: Decimal = extend_target.base_tail(price=price)
|
||
|
||
### CHECKS ###
|
||
if abs( (qty*price) + Decimal(str(Extend.notional_position)) ) > Config.Config.Max_Target_Notional*Config.Config.Max_Order_Over_Notional_Ratio:
|
||
logging.info(f'TRYING TO ORDER OVER MAX NOTIONAL - EXTEND: {Extend.notional_position} + {(qty*price) + Decimal(str(Extend.notional_position))} (qty: {extend_target.base_tail(price=price)}; px: {price})')
|
||
skip = True
|
||
await kill_algo()
|
||
if not(extend_target.is_orderable(price=price)) and Extend_Open_Orders:
|
||
logging.info('EXTEND HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS; SKIPPING')
|
||
skip = True
|
||
await extend_cancel_all_orders()
|
||
if extend_target.is_orderable(price=price) and extend_target.base_tail(price=price) == Decimal('0.00'):
|
||
logging.info(f'EXTEND TRYNG TO ORDER 0.00 BASE QTY, SKIPPING: base_qty: {extend_target.base_tail(price=price)}; {extend_target}')
|
||
skip = True
|
||
await kill_algo()
|
||
if extend_target.is_orderable(price=price) and price == Decimal(str(0.00)).quantize(Decimal(str(extend_target.min_order_price)), rounding="ROUND_DOWN"):
|
||
logging.info(f'EXTEND TRYNG TO ORDER with A PRICE OF 0.00, SKIPPING: {extend_target}')
|
||
skip = True
|
||
await kill_algo()
|
||
### Order Path ###
|
||
if extend_target.is_orderable(price=price) and not(skip):
|
||
open_order_id = None
|
||
if Extend_Open_Orders: # Cancel Open Order?
|
||
open_order_dict = dict(Extend_Open_Orders[0])
|
||
open_order_id = str(open_order_dict['order_id'])
|
||
open_order_px = float(open_order_dict['price'])
|
||
|
||
if Decimal(str(float(open_order_px))) == price:
|
||
skip = True
|
||
if Config.Logging.Print_Summary_Each_Loop:
|
||
print('EXTEND OPEN ORDER NO PX CHG; SKIPPING')
|
||
else:
|
||
skip = False
|
||
|
||
if not (skip):
|
||
print_summary(use_logging=True)
|
||
await post_extend_order(
|
||
symbol=Extend.symbol,
|
||
side=side,
|
||
qty=qty,
|
||
price=price,
|
||
reduceOnly=extend_target.is_reduce_only(price=price),
|
||
postOnly=post_only,
|
||
cxl_prev_order_id=open_order_id
|
||
)
|
||
|
||
### Output Algo Status ###
|
||
await output_algo_status('HEALTHY')
|
||
|
||
### CHECK TIME TO FUNDING AND WHETHER TO BE ACTIVE ###
|
||
if ( time_to_funding_ms > min_time_to_funding ) and (not Aster_Open_Orders) and (not Extend_Open_Orders):
|
||
logging.info(f'Outside action window (minutes) and no active order (sleeping for 5 sec): {pd.to_datetime(time_to_funding_ms, unit='ms').minute} > {pd.to_datetime(min_time_to_funding, unit='ms').minute}')
|
||
time.sleep(5)
|
||
else:
|
||
await aster_order_logic()
|
||
await extend_order_logic()
|
||
|
||
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 output_algo_status('UNHEALTHY')
|
||
await kill_algo()
|
||
except Exception as e:
|
||
logging.error(traceback.format_exc())
|
||
logging.critical(f'*** ALGO ENGINE CRASHED: {e}')
|
||
logging.info('CANCELLING OPEN ORDERS')
|
||
await output_algo_status('UNHEALTHY')
|
||
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 Algo_Status
|
||
global Aster
|
||
global Extend
|
||
global Open_Symbols
|
||
global Funding_Rates_Min_Remaining_Factor_Pcts
|
||
|
||
_, 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()
|
||
# Open_Symbols = ['HYPE-USD']
|
||
|
||
vk_get: str = VAL_KEY.get(name='fr_engine_best_fund_rate_output') # ty:ignore[invalid-assignment]
|
||
if vk_get:
|
||
best_symbol_by_exchange: dict = json.loads(vk_get)
|
||
else:
|
||
best_symbol_by_exchange = None
|
||
raise ValueError('best_symbol_by_exchange is none')
|
||
|
||
if Open_Symbols or not(best_symbol_by_exchange):
|
||
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]
|
||
|
||
if not current_pos_master_ast:
|
||
logging.critical(f'Open symbol not found in master data, killing algo: symbol {open_symbol_to_work}; md: {current_pos_master_ast}')
|
||
await kill_algo()
|
||
|
||
Aster, Extend = create_exchange_objs_from_dict(exchanges_dict=current_pos_master_ast)
|
||
|
||
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)
|
||
|
||
# logging.info(f'Initial Algo Config: {ALGO_CONFIG}')
|
||
|
||
if not Config.model_dump():
|
||
raise ValueError(f'Main Algo, initial config is none: {Config}')
|
||
elif not Aster:
|
||
raise ValueError(f'Main Algo, Aster is none: {Aster}')
|
||
elif not Extend:
|
||
raise ValueError(f'Main Algo, Extend is none: {Extend}')
|
||
else:
|
||
Config.Config.Max_Target_Notional = float(min([Aster.mult, Extend.mult]) * Config.Config.Target_Open_Cash_Position)
|
||
|
||
VAL_KEY.set(name='fr_orchestrator_output', value=json.dumps(obj=Config.model_dump(), cls=utils.JSONEncoder_Decimal))
|
||
logging.info(f'setting fr_algo_working_symbol: Aster: {Aster}; Extend: {Extend}')
|
||
VAL_KEY.set(name='fr_algo_working_symbol', value=json.dumps(obj={'ASTER': asdict(obj=Aster), 'EXTEND': asdict(obj=Extend)}, cls=utils.JSONEncoder_Decimal))
|
||
|
||
Funding_Rates_Min_Remaining_Factor_Pcts = calc_fr_minutes_remaining_factor()
|
||
|
||
Algo_Status = structs.Algo_Status(
|
||
last_update_ts_ms = int(round(datetime.now().timestamp()*1000, 2)),
|
||
status = 'HEALTHY',
|
||
expected_alpha = 0.00,
|
||
model_ratio = 0.00,
|
||
current_ratio = 0.00,
|
||
)
|
||
await output_algo_status('HEALTHY')
|
||
|
||
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())
|