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task-2-sample-solution.py
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task-2-sample-solution.py
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#description: Estimate market entry points using VWAP and derivative trends.
def place_market_order(side, ticker, quantity, price):
"""Place a market order - DO NOT MODIFY
Parameters
----------
side
Side of order to place ("BUY" or "SELL")
ticker
Ticker of order to place ("A", "B", or "C")
quantity
Volume of order to place
price
Price of order to place
Returns
-------
True if order succeeded, False if order failed due to rate limiting
((IMPORTANT))
You should handle the case where the order fails due to rate limiting (maybe wait and try again?)
"""
print(side, ticker, quantity, price)
class Strategy:
def __init__(self):
self.times = 0
self.holdings = {"A": 0, "B": 0, "C": 0}
self.funds = 100000
self.ABuy = {}
self.ASell = {}
self.ATrades = {}
self.AVWAP = []
self.APrices = []
self.BBuy = {}
self.BSell = {}
self.BTrades = {}
self.BVWAP = []
self.BPrices = []
self.CBuy = {}
self.CSell = {}
self.CTrades = {}
self.CVWAP = []
self.CPrices = []
def update_data(self, ticker, side, price, quantity):
if side == "BUY":
if ticker == "A":
if price in self.ABuy:
self.ABuy[price] += quantity
else:
self.ABuy[price] = quantity
elif ticker == "B":
if price in self.BBuy:
self.BBuy[price] += quantity
else:
self.BBuy[price] = quantity
else:
if price in self.CBuy:
self.CBuy[price] += quantity
else:
self.CBuy[price] = quantity
else:
if ticker == "A":
if price in self.ASell:
self.ASell[price] += quantity
else:
self.ASell[price] = quantity
elif ticker == "B":
if price in self.BSell:
self.BSell[price] += quantity
else:
self.BSell[price] = quantity
else:
if price in self.CSell:
self.CSell[price] += quantity
else:
self.CSell[price] = quantity
def update_VWAP(self, ticker):
cumulative_volume = 0
cumulative_price_volume = 0
if ticker == "A":
if self.ATrades == {}:
return
for price, volume in zip(list(self.ATrades.keys()), list(self.ATrades.values())):
cumulative_volume += volume
cumulative_price_volume += price * volume
self.AVWAP.append(cumulative_price_volume / cumulative_volume)
if len(self.AVWAP) > 50:
self.AVWAP = self.AVWAP[-50:]
elif ticker == "B":
if self.BTrades == {}:
return
for price, volume in zip(list(self.BTrades.keys()), list(self.BTrades.values())):
cumulative_volume += volume
cumulative_price_volume += price * volume
self.BVWAP.append(cumulative_price_volume / cumulative_volume)
if len(self.BVWAP) > 50:
self.BVWAP = self.BVWAP[-50:]
else:
if self.CTrades == {}:
return
for price, volume in zip(list(self.CTrades.keys()), list(self.CTrades.values())):
cumulative_volume += volume
cumulative_price_volume += price * volume
self.CVWAP.append(cumulative_price_volume / cumulative_volume)
if len(self.CVWAP) > 50:
self.CVWAP = self.CVWAP[-50:]
def update_price(self, ticker):
if ticker == "A":
if self.ABuy == {} or self.ASell == {}:
return
self.APrices.append((min(list(self.ASell.keys())) + max(list(self.ABuy.keys())))/2)
if len(self.APrices) > 50:
self.APrices = self.APrices[-50:]
elif ticker == "B":
if self.BBuy == {} or self.BSell == {}:
return
self.BPrices.append((min(list(self.BSell.keys())) + max(list(self.BBuy.keys()))) / 2)
else:
if self.CBuy == {} or self.CSell == {}:
return
self.APrices.append((min(list(self.CSell.keys())) + max(list(self.CBuy.keys()))) / 2)
def update_trades(self, ticker, price, quantity):
if ticker == "A":
if price in self.ATrades:
self.ATrades[price] += quantity
else:
self.ATrades[price] = quantity
if ticker == "B":
if price in self.BTrades:
self.BTrades[price] += quantity
else:
self.BTrades[price] = quantity
else:
if price in self.CTrades:
self.CTrades[price] += quantity
else:
self.CTrades[price] = quantity
def decision(self, ticker, limit):
if ticker == "A":
if self.ASell != {} and self.holdings["A"] == 0:
place_market_order("BUY", "A", limit//min(list(self.ASell.keys())), min(list(self.ASell.keys())))
if len(self.AVWAP) == 0 or len(self.APrices) < 2:
return
if self.AVWAP[-1] < self.APrices[-2] < self.APrices[-1]:
place_market_order("SELL", "A", self.holdings["A"], self.APrices[-2])
elif self.AVWAP[-1] > self.APrices[-2] > self.APrices[-1]:
place_market_order("BUY", "A", limit // self.APrices[-1], self.APrices[-1])
else:
return
elif ticker == "B":
if self.BSell != {} and self.holdings["B"] == 0:
place_market_order("BUY", "B", limit // min(list(self.BSell.keys())), min(list(self.BSell.keys())))
if len(self.BVWAP) == 0 or len(self.BPrices) < 2:
return
if self.BVWAP[-1] < self.BPrices[-2] < self.BPrices[-1]:
place_market_order("SELL", "B", self.holdings["B"], self.BPrices[-2])
elif self.BVWAP[-1] > self.BPrices[-2] > self.BPrices[-1]:
place_market_order("BUY", "B", limit // self.BPrices[-1], self.BPrices[-1])
else:
return
else:
if self.CSell != {} and self.holdings["C"] == 0:
place_market_order("BUY", "C", limit // min(list(self.CSell.keys())), min(list(self.CSell.keys())))
if len(self.CVWAP) == 0 or len(self.CPrices) < 2:
return
if self.CSell != {} and self.holdings["C"] == 0:
place_market_order("BUY", "C", min(list(self.CSell.keys())))
return
if self.CVWAP[-1] < self.CPrices[-2] < self.CPrices[-1]:
place_market_order("SELL", "C", self.holdings["C"], self.CPrices[-2])
elif self.CVWAP[-1] > self.CPrices[-2] > self.CPrices[-1]:
place_market_order("BUY", "C", limit // self.CPrices[-1], self.CPrices[-1])
else:
return
def on_trade_update(self, ticker: str, side, price, quantity):
"""Called whenever two orders match. Could be one of your orders, or two other people's orders.
Parameters
----------
ticker
Ticker of orders that were matched ("A", "B", or "C")
side
Side of orders that were matched ("BUY" or "SELL")
price
Price that trade was executed at
quantity
Volume traded
"""
self.times += 1
self.update_price(ticker)
self.update_trades(ticker, price, quantity)
self.decision(ticker, self.funds // 3)
def on_orderbook_update(self, ticker, side, price, quantity):
"""Called whenever the orderbook changes. This could be because of a trade, or because of a new order, or both.
Parameters
----------
ticker
Ticker that has an orderbook update ("A", "B", or "C")
side
Which orderbook was updated ("BUY" or "SELL")
price
Price of orderbook that has an update
quantity
Volume placed into orderbook
"""
self.times += 1
self.update_data(ticker, side, price, quantity)
self.update_VWAP(ticker)
self.update_price(ticker)
self.decision(ticker, self.funds // 3)
def on_account_update(self, ticker, side, price, quantity, capital_remaining):
"""Called whenever one of your orders is filled.
Parameters
----------
ticker
Ticker of order that was fulfilled ("A", "B", or "C")
side
Side of order that was fulfilled ("BUY" or "SELL")
price
Price that order was fulfilled at
quantity
Volume of order that was fulfilled
capital_remaining
Ammount of capital after fulfilling order
"""
self.funds = capital_remaining - 10000
if side == "BUY":
if ticker == "A":
self.holdings["A"] += quantity
elif ticker == "B":
self.holdings["B"] += quantity
else:
self.holdings["C"] += quantity
else:
if ticker == "A":
self.holdings["A"] -= quantity
elif ticker == "B":
self.holdings["B"] -= quantity
else:
self.holdings["C"] -= quantity