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kingfisher.py
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kingfisher.py
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import datetime
from ib_insync import *
from transitions import Machine
from yahooquery import Ticker
import os
class Merchant(object):
def __init__(self, account, target, quantity, price_step, fraction_of_spread, wait_for_fill, position_reconciled):
self.account = account
self.target = target
self.quantity = quantity
self.price_step = price_step
self.fraction_of_spread = fraction_of_spread
self.wait_for_fill = wait_for_fill
self.position_reconciled = position_reconciled
self.order = None
self.stock = Contract(symbol=target, exchange='SMART', secType='STK', currency='USD')
self.reset()
# Reset desired quantity back to init quantity. To ready the Merchant for a new cycle of buy and sell.
def reset(self):
self.buy_quantity = self.quantity
self.sell_quantity = self.quantity
# Refreshes bid/ask/spread.
def get_spread(self):
ticker = Ticker(self.target, validate=True)
ticker_details = ticker.summary_detail
self.bid = ticker_details[self.target].get("bid")
self.ask = ticker_details[self.target].get("ask")
self.spread = round((self.ask - self.bid), 2)
if self.spread < .5:
print("Spread on", self.target, "is less than 50 cents")
exit(51)
def buy_low(self):
max_price = round(self.bid + (self.spread * self.fraction_of_spread), 2)
# If currently short and want to reconcile, buy extra to cover.
if not self.position_reconciled:
additional_buy = 0
print("Current positions:", ib.positions(account=self.account))
for i in ib.positions(account=self.account):
if self.target == i.contract.symbol:
if i.position < 0:
print("Currently own", i.position, "shares of", i.contract.symbol, "buying additional shares to reconcile")
additional_buy = abs(i.position)
self.buy_quantity = self.quantity + additional_buy
self.position_reconciled = True
print(datetime.datetime.now(), "Bidding up from bid of", self.bid, "to max price of", max_price, "in steps of", self.price_step, "with buy quantity of", self.buy_quantity)
# Create new order if order has not been initialized.
if self.order == None:
trade = ib.placeOrder(self.stock, LimitOrder('BUY', self.buy_quantity, self.bid))
ib.sleep(1)
self.order = trade.order
else:
self.order.lmtPrice = self.bid
trade = ib.placeOrder(self.stock, self.order)
# Modify the order incrementing the bid until max_price is reached, then return leftover order.
while self.bid < max_price:
timer = 0
while timer < self.wait_for_fill:
ib.sleep(1)
print(datetime.datetime.now(), "Submitted price:", self.bid, "status:", trade.orderStatus.status)
if trade.orderStatus.status == "Cancelled":
print("Order cancelled")
exit(52)
timer += 1
if trade.orderStatus.remaining == 0:
self.buy_quantity = trade.orderStatus.remaining
self.order = None
return trade.orderStatus.remaining
else:
self.bid = round(self.bid + self.price_step, 2)
self.order.lmtPrice = self.bid
trade = ib.placeOrder(self.stock, self.order)
self.buy_quantity = trade.orderStatus.remaining
return trade.orderStatus.remaining
def sell_high(self):
min_price = round(self.ask - (self.spread * self.fraction_of_spread), 2)
# If currently own and want to reconcile, sell down to zero.
if not self.position_reconciled:
additional_sell = 0
print("Current positions:", ib.positions(account=self.account))
for i in ib.positions(account=self.account):
if self.target == i.contract.symbol:
if i.position > 0:
print("Currently own", i.position, "shares of", i.contract.symbol, "selling additional shares to reconcile")
additional_sell = abs(i.position)
self.sell_quantity = self.quantity + additional_sell
self.position_reconciled = True
print(datetime.datetime.now(), "Asking down from ask of", self.ask, "to min price of", min_price, "in steps of", self.price_step, "with sell quantity of", self.sell_quantity)
# Create new order if order has not been initialized.
if self.order == None:
trade = ib.placeOrder(self.stock, LimitOrder('SELL', self.sell_quantity, self.ask))
ib.sleep(1)
self.order = trade.order
else:
self.order.lmtPrice = self.ask
trade = ib.placeOrder(self.stock, self.order)
# Modify the order incrementing the bid until max_price is reached, then return leftover order.
while self.ask > min_price:
timer = 0
while timer < self.wait_for_fill:
ib.sleep(1)
print(datetime.datetime.now(), "Submitted price:", self.ask, "status:", trade.orderStatus.status)
timer += 1
if trade.orderStatus.remaining == 0:
self.sell_quantity = trade.orderStatus.remaining
self.order = None
return trade.orderStatus.remaining
else:
self.ask = round(self.ask - self.price_step, 2)
self.order.lmtPrice = self.ask
trade = ib.placeOrder(self.stock, self.order)
self.sell_quantity = trade.orderStatus.remaining
return trade.orderStatus.remaining
target = os.getenv("KINGFISHER_TARGET")
strategy = os.getenv("KINGFISHER_STRATEGY")
quantity = int(os.getenv("KINGFISHER_QUANTITY"))
price_step = float(os.getenv("KINGFISHER_PRICE_STEP"))
fraction_of_spread = float(os.getenv("KINGFISHER_FRACTION_OF_SPREAD"))
wait_for_fill = int(os.getenv("KINGFISHER_WAIT_FOR_FILL"))
position_reconciled = bool(os.getenv("KINGFISHER_POSITION_RECONCILED"))
client_id = int(os.getenv("KINGFISHER_CLIENT_ID"))
ib_account = os.getenv("KINGFISHER_IB_ACCOUNT")
ib_host = os.getenv("KINGFISHER_IB_ADDRESS")
ib_port = int(os.getenv("KINGFISHER_IB_PORT"))
cleaning_mode = bool(os.getenv("KINGFISHER_CLEANING_MODE"))
print("target:", target)
print("strategy:", strategy)
print("quantity:", quantity)
print("price_step:", price_step)
print("fraction_of_spread:", fraction_of_spread)
print("wait_for_fill:", wait_for_fill)
print("position_reconciled:", position_reconciled)
print("client_id:", client_id)
print("ib_account:", ib_account)
print("ib_host:", ib_host)
print("ib_port:", ib_port)
ib = IB()
ib.connect(ib_host, ib_port, clientId=client_id)
anfortas = Merchant(account=ib_account, target=target, quantity=quantity, price_step=price_step, fraction_of_spread=fraction_of_spread, wait_for_fill=wait_for_fill, position_reconciled=position_reconciled)
# Declare state, transitions and prereqs.
machine = Machine(anfortas, ['content', 'greedy', 'fearful'], initial='content')
machine.add_transition('buy', 'content', 'greedy', before='get_spread', after='buy_low')
machine.add_transition('buy', 'greedy', 'greedy', before='get_spread', after='buy_low')
machine.add_transition('buy', 'fearful', 'greedy', before='get_spread', after='buy_low')
machine.add_transition('sell', 'content', 'fearful', before='get_spread', after='sell_high')
machine.add_transition('sell', 'greedy', 'fearful', before='get_spread', after='sell_high')
machine.add_transition('sell', 'fearful', 'fearful', before='get_spread', after='sell_high')
machine.add_transition('sleep', 'content', 'content', before='reset')
machine.add_transition('sleep', 'greedy', 'content', before='reset')
machine.add_transition('sleep', 'fearful', 'content', before='reset')
# For clean.sh, cancel all orders.
if cleaning_mode:
if len(ib.reqOpenOrders()) > 0:
for i in ib.reqOpenOrders():
print("Canceling order:", i)
ib.cancelOrder(i)
exit()
if strategy == "buy_first":
while True:
# While there's leftover, keep buying.
anfortas.buy()
while anfortas.buy_quantity > 0:
anfortas.buy()
# While there's leftover, keep selling.
anfortas.sell()
while anfortas.sell_quantity > 0:
anfortas.sell()
# Reset quantity.
anfortas.sleep()
elif strategy == "sell_first":
while True:
anfortas.sell()
while anfortas.sell_quantity > 0:
anfortas.sell()
anfortas.buy()
while anfortas.buy_quantity > 0:
anfortas.buy()
anfortas.sleep()