121 lines
4.2 KiB
Python
121 lines
4.2 KiB
Python
from collections import deque
|
|
|
|
|
|
CONVERSION_FEE = 5
|
|
|
|
class StateManager:
|
|
def __init__(self, tick_size=20):
|
|
symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
|
|
self.positions = {s: 0 for s in symbols}
|
|
self.orders = {s: {} for s in symbols}
|
|
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.tick_size = tick_size
|
|
self.price_ticks = {s: deque(maxlen=tick_size) 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.last_prices = {}
|
|
self.etf_components = {
|
|
"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}
|
|
}
|
|
self.etf_shares = {"XLF": 10}
|
|
|
|
def add_price_tick(self, symbol: str, price: int):
|
|
self.price_ticks[symbol].append(price)
|
|
self.last_prices[symbol] = price
|
|
|
|
def get_price_ticks(self, symbol: str):
|
|
return list(self.price_ticks.get(symbol, []))
|
|
|
|
def get_last_price(self, symbol: str):
|
|
return self.last_prices.get(symbol)
|
|
|
|
def get_avg_price(self, symbol: str):
|
|
ticks = self.get_price_ticks(symbol)
|
|
if ticks:
|
|
return sum(ticks) / len(ticks)
|
|
return None
|
|
|
|
def get_ma(self, symbol: str, period: int):
|
|
ticks = self.get_price_ticks(symbol)
|
|
if len(ticks) >= period:
|
|
return sum(list(ticks)[-period:]) / period
|
|
return None
|
|
|
|
def update_position(self, symbol: str, quantity: int):
|
|
self.positions[symbol] = self.positions.get(symbol, 0) + quantity
|
|
|
|
def update_bid_price(self, symbol: str, price: int):
|
|
self.bid_prices[symbol] = price
|
|
|
|
def update_ask_price(self, symbol: str, price: int):
|
|
self.ask_prices[symbol] = 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 update_last_price(self, symbol: str, price: int):
|
|
self.last_prices[symbol] = price
|
|
|
|
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:
|
|
mid_price = self.get_mid_price(symbol)
|
|
imbalance = self.get_imbalance(symbol)
|
|
if mid_price is not None:
|
|
return self.get_last_price(symbol)
|
|
|
|
|
|
def update_fair_value(self):
|
|
valbz_price = self.get_mid_price("VALBZ")
|
|
if valbz_price is not None:
|
|
self.fair_values["VALBZ"] = valbz_price
|
|
self.fair_values["VALE"] = valbz_price - self.conversion_fee
|
|
|
|
bond_price = self.get_mid_price("BOND")
|
|
gs_price = self.get_mid_price("GS")
|
|
ms_price = self.get_mid_price("MS")
|
|
wfc_price = self.get_mid_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)
|