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