simple_two_sided_quote.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "661d774d",
   "metadata": {},
   "outputs": [],
   "source": [
    "from numba import njit\n",
    "from hftbacktest import (\n",
    "    SingleAssetHftBacktest_,\n",
    "    HftBacktest,\n",
    "    FeedLatency,\n",
    "    SquareProbQueueModel,\n",
    "    Linear,\n",
    "    Stat,\n",
    "    BUY,\n",
    "    SELL,\n",
    "    GTX,\n",
    "    GTC, \n",
    "    ConstantLatency,\n",
    "    PartialFillExchange\n",
    ")\n",
    "from hftbacktest import COL_EXCH_TIMESTAMP, COL_SIDE, COL_PRICE, COL_QTY\n",
    "from hftbacktest import COL_EXCH_TIMESTAMP, COL_SIDE, COL_PRICE, COL_QTY\n",
    "from numba.typed import List\n",
    "from numba.types import Tuple, float64\n",
    "import numpy as np"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "3f00c716",
   "metadata": {},
   "outputs": [],
   "source": [
    "@njit\n",
    "def simple_two_sided_quote(hbt: SingleAssetHftBacktest_, stat, money=10000):\n",
    "    max_position = 10\n",
    "    half_spread = hbt.tick_size\n",
    "    skew = 0.01\n",
    "    order_qty = 1\n",
    "    last_order_id = -1\n",
    "    order_id = 0\n",
    " \n",
    "    bought = 1\n",
    "    # Checks every 0.1s\n",
    "    while hbt.elapse(100_000):\n",
    "        # Clears cancelled, filled or expired orders.\n",
    "        hbt.clear_inactive_orders()\n",
    "\n",
    "        # Obtains the current mid-price and compute the reservation price.\n",
    "        mid_price = (hbt.best_bid + hbt.best_ask) / 2.0\n",
    "\n",
    "        # \n",
    "        \n",
    "        buy_order_price = 133.5\n",
    "        sell_order_price = 134.5\n",
    "        last_order_id = -1\n",
    "        # Cancel all outstanding orders\n",
    "        for order in hbt.orders.values():\n",
    "            if order.cancellable:\n",
    "                hbt.cancel(order.order_id)\n",
    "                last_order_id = order.order_id\n",
    "\n",
    "        # All order requests are considered to be requested at the same time.\n",
    "        # Waits until one of the order cancellation responses is received.\n",
    "        if last_order_id >= 0:\n",
    "            hbt.wait_order_response(last_order_id)\n",
    "\n",
    "        # Clears cancelled, filled or expired orders.\n",
    "        hbt.clear_inactive_orders()\n",
    "\n",
    "        if hbt.position < max_position and (hbt.position * hbt.best_bid) < money:\n",
    "            # Submits a new post-only limit bid order.\n",
    "            order_id += 1\n",
    "            hbt.submit_buy_order(\n",
    "                order_id,\n",
    "                buy_order_price,\n",
    "                order_qty,\n",
    "                GTC\n",
    "            )\n",
    "            last_order_id = order_id\n",
    "\n",
    "        if hbt.position > -max_position and (hbt.position * hbt.best_ask) < money:\n",
    "            # Submits a new post-only limit ask order.\n",
    "            order_id += 1\n",
    "            hbt.submit_sell_order(\n",
    "                order_id,\n",
    "                sell_order_price,\n",
    "                order_qty,\n",
    "                GTC\n",
    "            )\n",
    "            last_order_id = order_id\n",
    "\n",
    "        # All order requests are considered to be requested at the same time.\n",
    "        # Waits until one of the order responses is received.\n",
    "        if last_order_id >= 0:\n",
    "            hbt.wait_order_response(last_order_id)\n",
    "\n",
    "        # Records the current state for stat calculation.\n",
    "        stat.record(hbt)\n",
    "\n",
    "@njit\n",
    "def print_trades(hbt):\n",
    "    while hbt.elapse(60 * 1e6):\n",
    "        print('-------------------------------------------------------------------------------')\n",
    "        print('current_timestamp:', hbt.current_timestamp)\n",
    "\n",
    "        num = 0\n",
    "        for trade in hbt.last_trades:\n",
    "            if num > 10:\n",
    "                print('...')\n",
    "                break\n",
    "            print(\n",
    "                'exch_timestamp:',\n",
    "                trade[COL_EXCH_TIMESTAMP],\n",
    "                'buy' if trade[COL_SIDE] == 1 else 'sell',\n",
    "                trade[COL_QTY],\n",
    "                '@',\n",
    "                trade[COL_PRICE]\n",
    "            )\n",
    "            num += 1\n",
    "\n",
    "        hbt.clear_last_trades()\n",
    "    return True\n",
    "\n",
    "\n",
    "@njit\n",
    "def print_3depth(hbt):\n",
    "    while hbt.elapse(60 * 1e6):\n",
    "        # a key of bid_depth or ask_depth is price in tick format.\n",
    "        # (integer) price_tick = price / tick_size\n",
    "        print('current_timestamp:', hbt.current_timestamp)\n",
    "        i = 0\n",
    "        for tick_price in range(hbt.best_ask_tick, hbt.high_ask_tick + 1):\n",
    "            if tick_price in hbt.ask_depth:\n",
    "                print(\n",
    "                    'ask: ',\n",
    "                    hbt.ask_depth[tick_price],\n",
    "                    '@',\n",
    "                    round(tick_price * hbt.tick_size, 3)\n",
    "                )\n",
    "                i += 1\n",
    "                if i == 3:\n",
    "                    break\n",
    "        i = 0\n",
    "        for tick_price in range(hbt.best_bid_tick, hbt.low_bid_tick - 1, -1):\n",
    "            if tick_price in hbt.bid_depth:\n",
    "                print(\n",
    "                    'bid: ',\n",
    "                    hbt.bid_depth[tick_price],\n",
    "                    '@',\n",
    "                    round(tick_price * hbt.tick_size, 3)\n",
    "                )\n",
    "                i += 1\n",
    "                if i == 3:\n",
    "                    break\n",
    "    return True\n",
    "\n",
    "@njit\n",
    "def orderbookimbalance(hbt, out):\n",
    "    while hbt.elapse(10 * 1e6):\n",
    "        mid_price = (hbt.best_bid + hbt.best_ask) / 2.0\n",
    "\n",
    "        sum_ask_qty_50bp = 0.0\n",
    "        sum_ask_qty = 0.0\n",
    "        for tick_price in range(hbt.best_ask_tick, hbt.high_ask_tick + 1):\n",
    "            if tick_price in hbt.ask_depth:\n",
    "                ask_price = tick_price * hbt.tick_size\n",
    "                depth_from_mid = (ask_price - mid_price) / mid_price\n",
    "                if depth_from_mid > 0.01:\n",
    "                    break\n",
    "                sum_ask_qty += hbt.ask_depth[tick_price]\n",
    "\n",
    "                if depth_from_mid <= 0.005:\n",
    "                    sum_ask_qty_50bp = sum_ask_qty\n",
    "\n",
    "\n",
    "        sum_bid_qty_50bp = 0.0\n",
    "        sum_bid_qty = 0.0\n",
    "        for tick_price in range(hbt.best_bid_tick, hbt.low_bid_tick - 1, -1):\n",
    "            if tick_price in hbt.bid_depth:\n",
    "                bid_price = tick_price * hbt.tick_size\n",
    "                depth_from_mid = (mid_price - bid_price) / mid_price\n",
    "                if depth_from_mid > 0.01:\n",
    "                    break\n",
    "                sum_bid_qty += hbt.bid_depth[tick_price]\n",
    "\n",
    "                if depth_from_mid <= 0.005:\n",
    "                    sum_bid_qty_50bp = sum_bid_qty\n",
    "\n",
    "        imbalance_50bp = sum_bid_qty_50bp - sum_ask_qty_50bp\n",
    "        imbalance_1pct = sum_bid_qty - sum_ask_qty\n",
    "        imbalance_tob = hbt.bid_depth[hbt.best_bid_tick] - hbt.ask_depth[hbt.best_ask_tick]\n",
    "\n",
    "        out.append((hbt.current_timestamp, imbalance_tob, imbalance_50bp, imbalance_1pct))\n",
    "    return True\n"
   ]
  },
  {
   "cell_type": "code",
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   "id": "16538a3f",
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   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
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    },
    {
     "data": {
      "text/plain": [
       "True"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# This backtest assumes market maker rebates.\n",
    "# https://www.binance.com/en/support/announcement/binance-upgrades-usd%E2%93%A2-margined-futures-liquidity-provider-program-2023-04-04-01007356e6514df3811b0c80ab8c83bf\n",
    "    \n",
    "hbt = HftBacktest(\n",
    "    [\n",
    "        \"/home/danny/hftbacktest/mbp/GOOG_20231215.npz\"\n",
    "    ],\n",
    "    tick_size=0.01,\n",
    "    lot_size=1,\n",
    "    maker_fee=0,\n",
    "    taker_fee=0.0,\n",
    "    order_latency=ConstantLatency(0.0001, 0.0001),\n",
    "    queue_model=SquareProbQueueModel(),\n",
    "    asset_type=Linear,\n",
    "    exchange_model=PartialFillExchange,\n",
    ")\n",
    "# print_3depth(hbt)\n",
    "# stat = Stat(hbt)\n",
    "print_trades(hbt)\n",
    "# stat.summary(trading_days=1)"
   ]
  }
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