690 lines
34 KiB
Python
690 lines
34 KiB
Python
import asyncio
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import json
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import logging
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import math
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import os
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import time
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import traceback
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from dataclasses import asdict, dataclass, field
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from datetime import datetime, timezone
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from decimal import ROUND_DOWN, Decimal
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from typing import AsyncContextManager
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from typing import Any
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import numpy as np
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import pandas as pd
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import requests
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# import talib
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import valkey
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from dotenv import load_dotenv
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from sqlalchemy import text
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from sqlalchemy.ext.asyncio import create_async_engine
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from x10.models.order import OrderSide
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import modules.utils as utils
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import modules.aster_auth as aster_auth
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import modules.extended_auth as extend_auth
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import modules.structs as structs
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### Database ###
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EXTEND_CLIENT = None
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CON: AsyncContextManager | None = None
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VAL_KEY = None
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### Logging ###
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load_dotenv()
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LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo.log'
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### Algo Config ###
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ALGO_CONFIG: structs.Algo_Config = None
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MIN_TIME_TO_FUNDING: int
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### CONSTANTS ###
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ASTER = structs.Perpetual_Exchange(
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mult = 150,
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lh_asset = 'ETH',
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rh_asset = 'USDT',
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symbol_asset_separator = '',
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)
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EXTEND_LH_ASSET: str = 'ETH'
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EXTEND_RH_ASSET: str = 'USD'
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EXTEND_TICKER: str = EXTEND_LH_ASSET + '-' + EXTEND_RH_ASSET
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### GLOBALS ###
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ASTER_MULT = 150
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EXTEND_MULT = 50
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ASTER_MIN_ORDER_QTY = 0.001
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EXTEND_MIN_ORDER_QTY = 0.01
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ASTER_AVAIL_COLLATERAL = 0
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EXTEND_AVAIL_COLLATERAL = 0
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ASTER_NOTIONAL_POSITION = 0
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EXTEND_NOTIONAL_POSITION = 0
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ASTER_NOTIONAL_OBJ: dict | None = None
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EXTEND_NOTIONAL_OBJ: dict | None = None
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ASTER_UNREALIZED_PNL = 0
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EXTEND_UNREALIZED_PNL = 0
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ASTER_OPEN_ORDERS = []
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EXTEND_OPEN_ORDERS = []
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# ASTER_OPEN_POSITIONS = []
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# EXTEND_OPEN_POSITIONS = []
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# EXCHANGES: list = [ Aster(), Extend() ]
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### FLAGS ###
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Flags = structs.Flags()
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### UTILS ###
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def round_decimal_down(value, decimal_places):
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# Construct precision string like '0.01' for 2 places
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fmt = f'0.{"0" * decimal_places}' if decimal_places > 0 else '0'
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precision = Decimal(fmt)
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return Decimal(str(value)).quantize(precision, rounding=ROUND_DOWN)
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### OPEN ORDERS ###
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async def get_aster_open_orders():
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global ASTER_OPEN_ORDERS
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fut_acct_openOrders = {
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"url": "/fapi/v3/openOrders",
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"method": "GET",
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"params": {}
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}
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ASTER_OPEN_ORDERS = await aster_auth.post_authenticated_url(fut_acct_openOrders)
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async def get_extend_open_orders():
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global EXTEND_OPEN_ORDERS
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EXTEND_OPEN_ORDERS = list(dict(await EXTEND_CLIENT.account.get_open_orders()).get('data', 0))
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### WALLLET ###
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async def get_aster_collateral():
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global ASTER_AVAIL_COLLATERAL
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fut_acct_balances = {
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"url": "/fapi/v3/balance",
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"method": "GET",
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"params": {}
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}
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r = await aster_auth.post_authenticated_url(fut_acct_balances)
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ASTER_AVAIL_COLLATERAL = float([d for d in r if d.get('asset')==ASTER.rh_asset][0].get('availableBalance'))
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async def get_aster_notional_position(resp: dict | None = None):
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global ASTER_NOTIONAL_OBJ
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global ASTER_NOTIONAL_POSITION
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global ASTER_UNREALIZED_PNL
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global ASTER_MULT
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previous_notional_obj = ASTER_NOTIONAL_OBJ
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if not resp:
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fut_acct_positionRisk = {
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"url": "/fapi/v3/positionRisk",
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"method": "GET",
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"params": {
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'symbol': ASTER.symbol,
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}
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}
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resp = await aster_auth.post_authenticated_url(fut_acct_positionRisk)
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d = [x for x in resp if x.get('symbol', None) == ASTER.symbol][0]
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d['timestamp_arrival'] = round(datetime.now().timestamp()*1000)
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else:
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d = [x for x in resp if x.get('symbol', None) == ASTER.symbol][0]
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if previous_notional_obj is not None:
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if previous_notional_obj['timestamp_arrival'] > d['timestamp_arrival']:
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# logging.info(f'ASTER NOTIONAL: prev timestamp ({pd.to_datetime(previous_notional_obj['timestamp_arrival'], unit='ms')}) > new timestamp ({pd.to_datetime(d['timestamp_arrival'], unit='ms')}); skipping')
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return
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ASTER_NOTIONAL_OBJ = d
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if len(d) < 1:
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logging.info(f'BAD NOTIONAL - ASTER CHANGE: Empty d: {d}; resp: {resp}')
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await kill_algo()
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ASTER_UNREALIZED_PNL = float(d['unrealized_pnl']) if d.get('unrealized_pnl') is not None else float(d['unRealizedProfit'])
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if d.get('notional') is not None:
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ASTER_NOTIONAL_POSITION = float(d['notional']) - ASTER_UNREALIZED_PNL
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else:
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ASTER_NOTIONAL_POSITION = float(d['position_amount'])*float(d['entry_price'])
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previous_notional_position = ASTER_NOTIONAL_POSITION
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# if not resp: # this can never evaluate
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# ASTER_MULT = float(d['leverage'])
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# if abs(ASTER_NOTIONAL_POSITION) > ALGO_CONFIG.Max_Target_Notional*1.01:
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if abs(ASTER_NOTIONAL_POSITION) > ALGO_CONFIG.Max_Target_Notional*2.01:
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logging.info(f'BAD NOTIONAL - ASTER CHANGE: {previous_notional_position} -> {ASTER_NOTIONAL_POSITION}; UR PNL: {ASTER_UNREALIZED_PNL}; MULT: {ASTER_MULT}; d: {d}; resp: {resp}')
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await kill_algo()
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# if ASTER_NOTIONAL_POSITION != previous_notional_position:
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logging.info(f'ASTER NOTIONAL CHANGE: {previous_notional_position} -> {ASTER_NOTIONAL_POSITION:.2f}; UR PNL: {ASTER_UNREALIZED_PNL:.2f}; MULT: {ASTER_MULT:.0f}; resp: {bool(resp)}')
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async def get_extend_collateral():
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global EXTEND_AVAIL_COLLATERAL
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get_bals = dict(dict(await EXTEND_CLIENT.account.get_balance()).get('data', {}))
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EXTEND_AVAIL_COLLATERAL = get_bals.get('available_for_trade', 0) if get_bals.get('collateral_name', None)==EXTEND_RH_ASSET else 0
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async def get_extend_notional(resp: dict | None = None):
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global EXTEND_NOTIONAL_POSITION
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global EXTEND_UNREALIZED_PNL
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global EXTEND_MULT
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if not resp:
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resp = dict(await EXTEND_CLIENT.account.get_positions()).get('data', {})
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pos_dict = [dict(d) for d in resp if dict(d).get('market') == EXTEND_TICKER]
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if not pos_dict:
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logging.info('get_extend_notional - No Positions')
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else:
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pos_dict = pos_dict[0]
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EXTEND_UNREALIZED_PNL = pos_dict.get('unrealised_pnl', 0)
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previous_notional_position = EXTEND_NOTIONAL_POSITION
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position_side = pos_dict['side'] # LONG or SHORT
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notional_pos_abs = abs(float(pos_dict['value']))
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if position_side == 'LONG':
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notional_pos_sided = notional_pos_abs
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elif position_side == 'SHORT':
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notional_pos_sided = notional_pos_abs * -1
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else:
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logging.info(f'EXTEND BAD SIDE ON POSITION UPDATE: {pos_dict}')
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EXTEND_NOTIONAL_POSITION = notional_pos_sided - float(EXTEND_UNREALIZED_PNL)
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EXTEND_MULT = pos_dict.get('leverage', EXTEND_MULT)
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if abs(EXTEND_NOTIONAL_POSITION) > ALGO_CONFIG.Max_Target_Notional*2.01:
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logging.info(f'BAD NOTIONAL - EXTEND CHANGE: {previous_notional_position} -> {EXTEND_NOTIONAL_POSITION}; UR PNL: {EXTEND_UNREALIZED_PNL}; MULT: {EXTEND_MULT}; d: {pos_dict}; resp: {resp}')
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await kill_algo()
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if EXTEND_NOTIONAL_POSITION != previous_notional_position:
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logging.info(f'EXTEND NOTIONAL CHANGE: {previous_notional_position} -> {EXTEND_NOTIONAL_POSITION:.2f}; UR PNL: {EXTEND_UNREALIZED_PNL:.2f}; MULT: {EXTEND_MULT:.0f}; resp: {bool(resp)}')
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### EXCHANGE INFO ###
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async def get_aster_exch_info():
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global ASTER_MIN_ORDER_QTY
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fut_acct_exchangeInfo = {
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"url": "/fapi/v3/exchangeInfo",
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"method": "GET",
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"params": {}
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}
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r = await aster_auth.post_authenticated_url(fut_acct_exchangeInfo)
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s = r['symbols']
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d = [d for d in s if d.get('symbol', None) == 'ETHUSDT'][0]
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f = [f for f in d['filters'] if f.get('filterType', None) == 'LOT_SIZE'][0]
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ASTER_MIN_ORDER_QTY = float(f['minQty'])
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async def get_extend_exch_info():
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global EXTEND_MIN_ORDER_QTY
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r = await EXTEND_CLIENT.markets_info.get_markets_dict()
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EXTEND_MIN_ORDER_QTY = float(r['ETH-USD'].trading_config.min_order_size)
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### CANCEL ORDERS ###
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async def aster_cancel_all_orders():
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cancel_all_open_orders = {
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"url": "/fapi/v3/allOpenOrders",
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"method": "DELETE",
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"params": {
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'symbol': 'ETHUSDT',
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}
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}
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r = await aster_auth.post_authenticated_url(cancel_all_open_orders)
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logging.info(f'ASTER CANCEL ALL OPEN ORDERS RESP: {r}')
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async def extend_cancel_all_orders():
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r = await EXTEND_CLIENT.orders.mass_cancel(markets=[EXTEND_TICKER])
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logging.info(f'EXTEND CANCEL ALL OPEN ORDERS RESP: {r}')
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### KILL ALGO ###
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async def kill_algo():
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await aster_cancel_all_orders()
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await extend_cancel_all_orders()
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logging.info('ALGO KILL FLAG ACTIVATED; CANCELLING OPEN ORDERS AND SHUTTING DOWN')
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raise ValueError('KILL FLAG ACTIVATED')
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### ALGO LOOP ###
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async def run_algo():
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global ALGO_CONFIG
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global MIN_TIME_TO_FUNDING
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global ASTER_OPEN_ORDERS
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global EXTEND_OPEN_ORDERS
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try:
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while True:
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loop_start = time.time()
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# print('__________Start___________')
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### ALGO CONIFG ###
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ALGO_CONFIG = json.loads(VAL_KEY.get('fr_orchestrator_output'), object_hook=lambda d: structs.Algo_Config(**d))
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ALGO_CONFIG.Max_Target_Notional = float(min([ASTER_MULT, EXTEND_MULT]) * ALGO_CONFIG.Target_Open_Cash_Position)
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MIN_TIME_TO_FUNDING = ALGO_CONFIG.Min_Time_To_Funding_Minutes * 60 * 1000
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### Load Data from Feedhandlers ###
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ASTER_FUND_RATE_DICT = json.loads(VAL_KEY.get('fund_rate_aster'))
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EXTENDED_FUND_RATE_DICT = json.loads(VAL_KEY.get('fund_rate_extended'))
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ASTER_FUND_RATE = float(ASTER_FUND_RATE_DICT.get('funding_rate', 0))
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EXTEND_FUND_RATE = float(EXTENDED_FUND_RATE_DICT.get('funding_rate', 0))
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if ALGO_CONFIG.Flip_Side_For_Testing:
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ASTER_FUND_RATE = ASTER_FUND_RATE * -1
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EXTEND_FUND_RATE = EXTEND_FUND_RATE * -1
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ASTER_FUND_RATE_TIME = float(ASTER_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
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EXTEND_FUND_RATE_TIME = float(EXTENDED_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
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EXTEND_FUND_RATE_TIME = max([EXTEND_FUND_RATE_TIME, 0])
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ASTER_TICKER_DICT = json.loads(VAL_KEY.get('fut_ticker_aster'))
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EXTENDED_TICKER_DICT = json.loads(VAL_KEY.get('fut_ticker_extended'))
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### Manage Local Collateral Using Updates from WS ###
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ASTER_WS_COLLATERAL_UPDATES = VAL_KEY.get('fr_aster_user_positions')
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ASTER_WS_COLLATERAL_UPDATES = json.loads(ASTER_WS_COLLATERAL_UPDATES) if ASTER_WS_COLLATERAL_UPDATES is not None else []
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EXTEND_WS_COLLATERAL_UPDATES = VAL_KEY.get('fr_extended_user_positions')
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EXTEND_WS_COLLATERAL_UPDATES = json.loads(EXTEND_WS_COLLATERAL_UPDATES) if EXTEND_WS_COLLATERAL_UPDATES is not None else []
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### Manage Local Notionals Using Updates from WS ###
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ASTER_WS_POS_UPDATES = VAL_KEY.get('fr_aster_user_positions')
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ASTER_WS_POS_UPDATES = json.loads(ASTER_WS_POS_UPDATES) if ASTER_WS_POS_UPDATES is not None else []
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EXTEND_WS_POS_UPDATES = VAL_KEY.get('fr_extended_user_positions')
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EXTEND_WS_POS_UPDATES = json.loads(EXTEND_WS_POS_UPDATES) if EXTEND_WS_POS_UPDATES is not None else []
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### Manage Local Orders Using Updates from WS ###
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ASTER_WS_ORDER_UPDATES = VAL_KEY.get('fr_aster_user_orders')
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ASTER_WS_ORDER_UPDATES = json.loads(ASTER_WS_ORDER_UPDATES) if ASTER_WS_ORDER_UPDATES is not None else []
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EXTEND_WS_ORDER_UPDATES = VAL_KEY.get('fr_extended_user_orders')
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EXTEND_WS_ORDER_UPDATES = json.loads(EXTEND_WS_ORDER_UPDATES) if EXTEND_WS_ORDER_UPDATES is not None else []
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# CHECK NO MORE THAN 1 OPEN ORDER ON EITHER EXCHANGE #
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if len(ASTER_OPEN_ORDERS) > 1 or len(EXTEND_OPEN_ORDERS) > 1:
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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}')
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await kill_algo()
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raise ValueError('NOT HERE: MORE THAN 1 ORDER OPEN - KILLING ALGO: ASTER_OPEN_ORDERS')
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### CHECK TIME TO FUNDING AND WHETHER TO BE ACTIVE ###
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now_ms = round(datetime.now().timestamp()*1000)
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time_to_funding_ms = min([ASTER_FUND_RATE_TIME, EXTEND_FUND_RATE_TIME]) - now_ms
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if ( time_to_funding_ms > MIN_TIME_TO_FUNDING ) and (not ASTER_OPEN_ORDERS) and (not EXTEND_OPEN_ORDERS):
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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}')
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time.sleep(5)
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continue
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if len(ASTER_WS_POS_UPDATES) > 0:
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# await get_aster_notional_position()
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await get_aster_notional_position(resp=ASTER_WS_POS_UPDATES)
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###### *** returned 0 notional even though had a position, need to handle and safety check to not order above max notional.
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##### NEED TO UPDATE SO IT TAKES THE LATEST MSG, ie drop the WS msg if its older than the exisiting one from the API.
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if len(EXTEND_WS_POS_UPDATES) > 0:
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await get_extend_notional(resp=EXTEND_WS_POS_UPDATES)
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# await get_extend_notional() # ************** NOT USING WEBSOCKET FEED DUE TO ISSUES WITH IT OVERWRITING API DATA ie the WS just statically shows last update and doesnt pull new when you start the algo.
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### Also WS was just stale and caused issues where it sees a fill then gets new API Collateral (correct) and then the next loop would be the old incorrect collateral in the WS, causing bad orders. Do not have issue on ASTER.
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if ASTER_WS_ORDER_UPDATES is not None:
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for idx, o in enumerate(ASTER_OPEN_ORDERS):
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order_id = o.get('order_id') if o.get('order_id') is not None else o['orderId']
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order_orig_status = o.get('status') if o.get('status') is not None else o['order_status']
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order_update = [ou for ou in ASTER_WS_ORDER_UPDATES if ou.get('order_id', None) == order_id]
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if len(order_update) > 0:
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order_update = order_update[0]
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order_update_status = order_update.get('status') if order_update.get('status') is not None else order_update.get('order_status')
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order_status_changed = order_orig_status.upper() != order_update_status.upper()
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if order_status_changed:
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logging.info(f'ASTER ORDER ({order_id}): {order_orig_status} -> {order_update_status}')
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ASTER_OPEN_ORDERS[idx] = order_update
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if order_update_status in ['CANCELED','EXPIRED']:
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logging.info(f'ASTER ORDER CANCELLED or EXPIRED: {order_id}')
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ASTER_OPEN_ORDERS.pop(idx)
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elif order_update_status in ['PARTIALLY_FILLED']:
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logging.info(f'ASTER ORDER PARTIALLY FILLED: {order_id}')
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await get_aster_collateral()
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await get_aster_notional_position()
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elif order_update_status in ['FILLED']:
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logging.info(f'ASTER ORDER FILLED: {order_id}')
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ASTER_OPEN_ORDERS.pop(idx)
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await get_aster_collateral()
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await get_aster_notional_position()
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else:
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logging.critical(f'EXTEND ORDER STATUS CHG TO UNEXPECTED VALUE, KILLING... ({order_id}): {order_orig_status} -> {order_update_status}')
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if EXTEND_WS_ORDER_UPDATES is not None:
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for idx, o in enumerate(EXTEND_OPEN_ORDERS):
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o = dict(o)
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order_id = o.get('order_id') if o.get('order_id') is not None else o.get('id')
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order_orig_status = o['status']
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order_update = [dict(ou) for ou in EXTEND_WS_ORDER_UPDATES if dict(ou).get('order_id', None) == order_id]
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if len(order_update) > 0:
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order_update = order_update[0]
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order_update_status = order_update.get('status')
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order_status_changed = order_orig_status.upper() != order_update_status.upper()
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if order_status_changed:
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logging.info(f'EXTEND ORDER ({order_id}): {order_orig_status} -> {order_update_status}')
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EXTEND_OPEN_ORDERS[idx] = order_update
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if order_update_status in ['CANCELLED','EXPIRED','REJECTED']:
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logging.info(f'EXTEND ORDER CANCELLED or EXPIRED: {order_id}')
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EXTEND_OPEN_ORDERS.pop(idx)
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elif order_update_status in ['PARTIALLY_FILLED']:
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logging.info(f'EXTEND ORDER PARTIALLY FILLED: {order_id}')
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await get_extend_collateral()
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await get_extend_notional()
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elif order_update_status in ['FILLED']:
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logging.info(f'EXTEND ORDER FILLED: {order_id}')
|
|
EXTEND_OPEN_ORDERS.pop(idx)
|
|
await get_extend_collateral()
|
|
await get_extend_notional()
|
|
else:
|
|
logging.critical(f'EXTEND ORDER STATUS CHG TO UNEXPECTED VALUE, KILLING... ({order_id}): {order_orig_status} -> {order_update_status}')
|
|
|
|
|
|
min_between_fundings = round((abs(ASTER_FUND_RATE_TIME - EXTEND_FUND_RATE_TIME) / 1000 / 60))
|
|
FUNDINGS_AT_SAME_TIME_NEXT_HR = min_between_fundings < 5
|
|
# FUNDINGS_AT_SAME_TIME_NEXT_HR = ( (ASTER_FUND_RATE_TIME < 60*60*1000) and (EXTEND_FUND_RATE < 60*60*1000) )
|
|
|
|
|
|
if ( abs(ASTER_FUND_RATE) > abs(EXTEND_FUND_RATE) ) and FUNDINGS_AT_SAME_TIME_NEXT_HR:
|
|
ALPHA_EXCH = 'ASTER'
|
|
ALPHA_FUND_RATE = ASTER_FUND_RATE
|
|
else:
|
|
ALPHA_EXCH = 'EXTEND'
|
|
ALPHA_FUND_RATE = EXTEND_FUND_RATE
|
|
|
|
if ALPHA_FUND_RATE < 0:
|
|
ALPHA_CARRY_SIDE = 'BUY'
|
|
ALPHA_TGT_NOTIONAL = ALGO_CONFIG.Max_Target_Notional
|
|
else:
|
|
ALPHA_CARRY_SIDE = 'SELL'
|
|
ALPHA_TGT_NOTIONAL = ALGO_CONFIG.Max_Target_Notional*-1
|
|
|
|
def calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR: bool) -> float:
|
|
if FUNDINGS_AT_SAME_TIME_NEXT_HR:
|
|
return ASTER_FUND_RATE + EXTEND_FUND_RATE
|
|
else:
|
|
return EXTEND_FUND_RATE
|
|
|
|
NEXT_NET_FUNDING_RATE = calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR)
|
|
Flags.NET_FUNDING_IS_ZERO = NEXT_NET_FUNDING_RATE == 0.00
|
|
if Flags.NET_FUNDING_IS_ZERO:
|
|
logging.info('NET FUNDING = 0.00; Cancelling Open Orders; Wait Until Non-Zero.')
|
|
ALPHA_TGT_NOTIONAL = 0.00
|
|
|
|
if ALPHA_EXCH == 'EXTEND':
|
|
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
|
|
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
|
|
if ALPHA_CARRY_SIDE == 'BUY':
|
|
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_ask_px'])
|
|
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_bid_px'])
|
|
else:
|
|
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_bid_px'])
|
|
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_ask_px'])
|
|
else:
|
|
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
|
|
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
|
|
if ALPHA_CARRY_SIDE == 'BUY':
|
|
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_bid_px'])
|
|
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_ask_px'])
|
|
else:
|
|
ASTER_TOB_PX = float(ASTER_TICKER_DICT['best_ask_px'])
|
|
EXTEND_TOB_PX = float(EXTENDED_TICKER_DICT['best_bid_px'])
|
|
|
|
|
|
ASTER_TGT_TAIL = ASTER_TGT_NOTIONAL - ( float(ASTER_NOTIONAL_POSITION) + float(ASTER_UNREALIZED_PNL) )
|
|
EXTEND_TGT_TAIL = EXTEND_TGT_NOTIONAL - ( float(EXTEND_NOTIONAL_POSITION) + float(EXTEND_UNREALIZED_PNL) )
|
|
|
|
ASTER_TGT_TAIL_BASE_QTY = Decimal(str(float(ASTER_TGT_TAIL) / float(ASTER_TOB_PX))).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
|
|
EXTEND_TGT_TAIL_BASE_QTY = Decimal(str(float(EXTEND_TGT_TAIL) / float(EXTEND_TOB_PX))).quantize(Decimal(str(0.001)), rounding=ROUND_DOWN)
|
|
|
|
MAX_MIN_ORDER_QTY = max([ASTER_MIN_ORDER_QTY, EXTEND_MIN_ORDER_QTY])
|
|
|
|
ASTER_TGT_TAIL_ORDERABLE = abs(ASTER_TGT_TAIL_BASE_QTY) >= MAX_MIN_ORDER_QTY
|
|
EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL_BASE_QTY) >= MAX_MIN_ORDER_QTY
|
|
|
|
def print_summary(use_logging: bool = False):
|
|
OUT: print | logging.info = logging.info if use_logging else print
|
|
|
|
OUT(f'''
|
|
LOOP SLEEP (SEC): {ALGO_CONFIG.Loop_Sleep_Sec}
|
|
FLIP SIDES FOR TESTING?: {ALGO_CONFIG.Flip_Side_For_Testing}
|
|
{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: [ Available Collateral: {ASTER_AVAIL_COLLATERAL:.4f} ] | EXTEND: [ Available Collateral: {EXTEND_AVAIL_COLLATERAL:.4f} ]
|
|
ASTER: [ Notional Position $ : {ASTER_NOTIONAL_POSITION:.4f} ] | EXTEND: [ Notional Position $ : {EXTEND_NOTIONAL_POSITION:.4f} ]
|
|
|
|
SAME TIME? : {FUNDINGS_AT_SAME_TIME_NEXT_HR} [ 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}
|
|
ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}]
|
|
|
|
TGT NOTIONAL: $ {ALGO_CONFIG.Max_Target_Notional if not Flags.NET_FUNDING_IS_ZERO else 0.00}
|
|
|
|
ASTER: {ASTER_NOTIONAL_POSITION:.4f} -> {ASTER_TGT_NOTIONAL:.2f} [ Remain: {ASTER_TGT_TAIL:.4f} ] | EXTEND: {EXTEND_NOTIONAL_POSITION:.4f} -> {EXTEND_TGT_NOTIONAL:.2f} [ Remain: {EXTEND_TGT_TAIL:.4f} ]
|
|
ASTER: {ASTER_TGT_NOTIONAL:.2f} - {ASTER_NOTIONAL_POSITION:.2f} + {ASTER_UNREALIZED_PNL:.2f} = {ASTER_TGT_TAIL:2f} | EXTEND: {EXTEND_TGT_NOTIONAL:.2f} - {EXTEND_NOTIONAL_POSITION:.2f} + {EXTEND_UNREALIZED_PNL:.2f} = {EXTEND_TGT_TAIL:2f}
|
|
ASTER: {ASTER_TGT_TAIL_BASE_QTY:.4f} > {MAX_MIN_ORDER_QTY:.4f} min [ Order: {ASTER_TGT_TAIL_ORDERABLE} ] | EXTEND: {EXTEND_TGT_TAIL_BASE_QTY:.4f} > {MAX_MIN_ORDER_QTY:.4f} min [ Order: {EXTEND_TGT_TAIL_ORDERABLE} ]
|
|
|
|
--- ASTER OPEN ORDERS ---
|
|
{ASTER_OPEN_ORDERS}
|
|
|
|
--- EXTEND OPEN ORDERS ---
|
|
{EXTEND_OPEN_ORDERS}
|
|
''')
|
|
if ALGO_CONFIG.Log_Summary_Each_Loop:
|
|
print_summary(use_logging=True)
|
|
if ALGO_CONFIG.Print_Summary_Each_Loop:
|
|
print_summary(use_logging=False)
|
|
# print_summary()
|
|
|
|
### ROUTES ###
|
|
# ASTER
|
|
if ASTER_TGT_TAIL_ORDERABLE and ALGO_CONFIG.Allow_Ordering_Aster:
|
|
symbol = ASTER.symbol
|
|
side = 'BUY' if ASTER_TGT_TAIL_BASE_QTY > 0.00 else 'SELL'
|
|
qty = str(abs(ASTER_TGT_TAIL_BASE_QTY))
|
|
price = ASTER_TOB_PX - ALGO_CONFIG.Price_Worsener_Aster if side == 'BUY' else ASTER_TOB_PX + ALGO_CONFIG.Price_Worsener_Aster
|
|
|
|
if abs( ( float(ASTER_TGT_TAIL_BASE_QTY)*float(price) ) + ASTER_NOTIONAL_POSITION ) > ALGO_CONFIG.Max_Target_Notional*1.01:
|
|
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:
|
|
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')) if ASTER_OPEN_ORDERS[0].get('price') is not None else float(ASTER_OPEN_ORDERS[0]['original_price'])
|
|
if round(open_order_px - float(price), 2) == 0.00:
|
|
logging.info('ASTER OPEN ORDER NO PX CHG; SKIPPING')
|
|
place_order = False
|
|
else:
|
|
cancel_order = {
|
|
"url": "/fapi/v3/order",
|
|
"method": "DELETE",
|
|
"params": {
|
|
'symbol': ASTER.symbol,
|
|
'orderId': open_order_id,
|
|
}
|
|
}
|
|
cr = await aster_auth.post_authenticated_url(cancel_order)
|
|
if cr.get('status', None) == 'CANCELED':
|
|
ASTER_OPEN_ORDERS.pop(0)
|
|
place_order = True
|
|
else:
|
|
logging.warning(f'ASTER ORDER FAILED TO CANCEL DURING CR ({open_order_id}): RESP {cr}')
|
|
place_order = False
|
|
else:
|
|
place_order = True
|
|
|
|
if ASTER_TGT_TAIL_BASE_QTY == 0.00:
|
|
place_order = False
|
|
logging.info('ASTER TRYNG TO ORDER 0.00 BASE QTY, SKIPPING')
|
|
|
|
if place_order:
|
|
price = Decimal(str(price)).quantize(Decimal(str(0.01)), rounding=ROUND_DOWN)
|
|
post_order = {
|
|
"url": "/fapi/v3/order",
|
|
"method": "POST",
|
|
"params": {
|
|
'symbol': symbol,
|
|
'side': side,
|
|
'type': 'LIMIT',
|
|
'timeInForce': 'GTC',
|
|
'quantity': qty,
|
|
'price': price,
|
|
}
|
|
}
|
|
order_resp = await aster_auth.post_authenticated_url(post_order)
|
|
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)
|
|
utils.send_tg_alert(f'FR_ALGO - ASTER Order. Start_$: {ASTER_NOTIONAL_POSITION:.2f}; Value: {float(ASTER_TGT_TAIL_BASE_QTY)*float(price):.2f}; Price: {float(price):.2f}')
|
|
logging.info(f'ASTER ORDER PLACED SUCCESS: {order_resp}')
|
|
print_summary(use_logging=True)
|
|
else:
|
|
pass
|
|
# logging.warning('ASTER PLACE ORDER CHECKS FAILED, SKIPPING')
|
|
|
|
elif not(ASTER_TGT_TAIL_ORDERABLE) and ASTER_OPEN_ORDERS:
|
|
logging.info('ASTER HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS')
|
|
await aster_cancel_all_orders()
|
|
|
|
# EXTEND
|
|
if EXTEND_TGT_TAIL_ORDERABLE and ALGO_CONFIG.Allow_Ordering_Extend:
|
|
symbol = EXTEND_TICKER
|
|
side = OrderSide.BUY if EXTEND_TGT_TAIL_BASE_QTY > 0.00 else OrderSide.SELL
|
|
qty = Decimal(str(abs(EXTEND_TGT_TAIL_BASE_QTY)))
|
|
price = EXTEND_TOB_PX - ALGO_CONFIG.Price_Worsener_Extend if side == 'BUY' else EXTEND_TOB_PX + ALGO_CONFIG.Price_Worsener_Extend
|
|
|
|
if abs( ( float(EXTEND_TGT_TAIL_BASE_QTY)*float(price) ) + EXTEND_NOTIONAL_POSITION ) > ALGO_CONFIG.Max_Target_Notional*1.01:
|
|
logging.info(f'TRYING TO ORDER OVER MAX NOTIOANL - EXTEND: {EXTEND_NOTIONAL_POSITION:.2f} + {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price):.2f} (qty: {float(EXTEND_TGT_TAIL_BASE_QTY):.2f}; px: {float(price):.2f})')
|
|
await kill_algo()
|
|
if EXTEND_OPEN_ORDERS:
|
|
open_order_dict = dict(EXTEND_OPEN_ORDERS[0])
|
|
open_order_id = open_order_dict['external_id']
|
|
open_order_px = float(open_order_dict['price'])
|
|
open_order_filled_qty = float(open_order_dict['filled_qty'])
|
|
|
|
# qty = abs(float(qty)) - abs(float(open_order_filled_qty)) # Was trying to account for partial fills but thats not necessary, handled by position change so qty is correct w/o further adj.
|
|
# qty = Decimal(str(qty))
|
|
|
|
if qty >= MAX_MIN_ORDER_QTY:
|
|
place_order = True
|
|
else:
|
|
place_order = False
|
|
logging.info(f'EXTEND NOT ORDERING DUE TO FILLED QTY RESIDUAL < MIN ORDER; Filled: {float(open_order_filled_qty):.4f}; Residual: {qty:.4f}')
|
|
else:
|
|
open_order_id = None
|
|
open_order_px = 0
|
|
place_order = True
|
|
if place_order:
|
|
price = Decimal(str(price)).quantize(Decimal(str(0.01)), rounding=ROUND_DOWN)
|
|
if round(open_order_px - float(price), 2) == 0.00:
|
|
logging.info('EXTEND OPEN ORDER NO PX CHG; SKIPPING')
|
|
else:
|
|
try:
|
|
order_resp = await EXTEND_CLIENT.place_order(
|
|
market_name=symbol,
|
|
amount_of_synthetic=qty,
|
|
price=price,
|
|
side=side,
|
|
taker_fee=Decimal("0.00025"),
|
|
previous_order_id=open_order_id,
|
|
)
|
|
except Exception as e:
|
|
logging.error(f'EXTEND ORDER PLACEMENT FAILED - RESP: {order_resp}')
|
|
logging.error(f'EXTEND ORDER PLACEMENT FAILED: {e}')
|
|
logging.error(traceback.format_exc())
|
|
|
|
order_resp_dict = dict(order_resp)
|
|
|
|
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)
|
|
|
|
EXTEND_OPEN_ORDERS.append(order_dict)
|
|
utils.send_tg_alert(f'FR_ALGO - EXTEND Order. Start_$: {EXTEND_NOTIONAL_POSITION:.2f}; Value: {float(EXTEND_TGT_TAIL_BASE_QTY)*float(price):.2f}; Price: {float(price):.2f}')
|
|
logging.info(f'EXTEND ORDER PLACED SUCCESS: {order_dict}')
|
|
print_summary(use_logging=True)
|
|
else:
|
|
order_resp_dict.get
|
|
else:
|
|
logging.warning('EXTEND PLACE ORDER CHECKS FAILED, SKIPPING')
|
|
|
|
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()
|
|
|
|
# print(f'__________ End ___________ (Algo Engine ms: {(time.time() - loop_start)*1000}); Sleeping for sec: {ALGO_CONFIG.Loop_Sleep_Sec}')
|
|
|
|
time.sleep(ALGO_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 ALGO_CONFIG
|
|
|
|
_, 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')
|
|
|
|
with open('algo_config.json', 'r', encoding='utf-8') as file:
|
|
ALGO_CONFIG = json.load(file, object_hook=lambda d: structs.Algo_Config(**d))
|
|
ALGO_CONFIG.Max_Target_Notional = float(min([ASTER_MULT, EXTEND_MULT]) * ALGO_CONFIG.Target_Open_Cash_Position)
|
|
|
|
VAL_KEY.set('fr_orchestrator_output', json.dumps(asdict(ALGO_CONFIG)))
|
|
|
|
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())
|
|
|