94 lines
3.4 KiB
Python
94 lines
3.4 KiB
Python
CONVERSION_FEE = 5
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class StateManager:
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def __init__(self):
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symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
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self.positions = {s: 0 for s in symbols}
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self.orders = {s: {} for s in symbols}
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self.bid_prices = {s: None for s in symbols}
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self.ask_prices = {s: None for s in symbols}
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self.bid_depths = {s: 0 for s in symbols}
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self.ask_depths = {s: 0 for s in symbols}
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self.last_prices = {s: None for s in symbols}
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self.fair_values = {
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"BOND": 1000,
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"VALBZ": None,
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"VALE": None,
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"GS": None,
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"MS": None,
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"WFC": None,
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"XLF": None,
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}
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self.predicted_prices = {s: None for s in symbols}
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self.etf_components = {
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"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}
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}
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self.etf_shares = {"XLF": 10}
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def get_last_price(self, symbol: str):
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return self.last_prices.get(symbol)
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def update_position(self, symbol: str, quantity: int):
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self.positions[symbol] = self.positions.get(symbol, 0) + quantity
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def update_bid_ask_price(self, symbol: str, bid_price: int, ask_price: int):
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self.bid_prices[symbol] = bid_price
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self.ask_prices[symbol] = ask_price
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def get_position(self, symbol: str) -> int:
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return self.positions.get(symbol, 0)
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def get_spread(self, symbol: str) -> int:
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bid = self.bid_prices.get(symbol)
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ask = self.ask_prices.get(symbol)
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if bid is not None and ask is not None:
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return ask - bid
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return None
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def get_mid_price(self, symbol: str):
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bid = self.bid_prices[symbol]
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ask = self.ask_prices[symbol]
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if bid is not None and ask is not None:
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return (bid + ask) // 2
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return self.last_prices.get(symbol)
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def update_depth(self, symbol: str, bid_depth: int, ask_depth: int):
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self.bid_depths[symbol] = bid_depth
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self.ask_depths[symbol] = ask_depth
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def get_imbalance(self, symbol: str) -> int:
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bid_depth = self.bid_depths[symbol]
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ask_depth = self.ask_depths[symbol]
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return bid_depth - ask_depth
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def get_predicted_price(self, symbol: str) -> int:
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return self.predicted_prices.get(symbol)
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def update_predicted_price(self, symbol: str):
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mid = self.get_mid_price(symbol)
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if mid is not None:
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self.predicted_prices[symbol] = mid
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def update_fair_value(self):
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valbz_price = self.get_predicted_price("VALBZ")
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if valbz_price is not None:
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self.fair_values["VALBZ"] = valbz_price
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self.fair_values["VALE"] = valbz_price
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bond_price = self.get_predicted_price("BOND")
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gs_price = self.get_predicted_price("GS")
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ms_price = self.get_predicted_price("MS")
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wfc_price = self.get_predicted_price("WFC")
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if all(p is not None for p in [bond_price, gs_price, ms_price, wfc_price]):
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component_value = (
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bond_price * self.etf_components["XLF"]["BOND"]
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+ gs_price * self.etf_components["XLF"]["GS"]
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+ ms_price * self.etf_components["XLF"]["MS"]
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+ wfc_price * self.etf_components["XLF"]["WFC"]
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) / self.etf_shares["XLF"]
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self.fair_values["XLF"] = component_value
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def get_fair_value(self, symbol: str) -> int:
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return self.fair_values.get(symbol)
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