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September 19, 2015 13:55
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| import pykka | |
| import pykka.gevent | |
| import gevent | |
| import numpy as np | |
| import copy,sys, pprint , blist | |
| from collections import defaultdict | |
| import logging | |
| import signal | |
| import pykka.debug | |
| logging.basicConfig(level=logging.DEBUG) | |
| logger = logging.getLogger('pykka') | |
| def IdGenerator(): | |
| sid = 0 | |
| while True: | |
| sid +=1 | |
| yield sid | |
| orderId = IdGenerator() | |
| class orderbook(object): | |
| # XXX wip | |
| def __init__ (self): | |
| self.bids = blist.sorteddict() | |
| self.offers = blist.sorteddict() | |
| def addOrder(self, msg): | |
| order = msg.get(MessageKey.PAYLOAD) | |
| if order.get(MessageKey.SIDE) == Side.BUY: | |
| self.bids.setdefault(order.get(MessageKey.PRICE), []).append(order) | |
| elif order.get(MessageKey.SIDE) == Side.SELL: | |
| self.offers.setdefault(order.get(MessageKey.PRICE), []).append(order) | |
| self.match( order.get(MessageKey.SIDE) ) | |
| def match(self,newside): | |
| if len(self.bids) and len(self.offers): | |
| bbkey = self.bids.keys()[len(self.bids.keys())-1] | |
| bokey = self.offers.keys()[0] | |
| bestbid = self.bids[bbkey][0] | |
| bestoffer = self.offers[bokey][0] | |
| if bestbid[MessageKey.PRICE] >= bestoffer[MessageKey.PRICE]: | |
| bbqty = bestbid.get(MessageKey.QTY) | |
| boqty = bestoffer.get(MessageKey.QTY) | |
| #got match | |
| if newside==Side.BUY: | |
| if bbqty < boqty: | |
| bestoffer[MessageKey.QTY] = boqty - bbqty | |
| #trade on offer | |
| del self.bids[bbkey][0] | |
| if len(self.bids[bbkey])==0: | |
| del self.bids[bbkey] | |
| elif bbqty > boqty: | |
| bestbid[MessageKey.QTY] = bbqty - boqty | |
| del self.offers[bokey][0] | |
| if len(self.offers[bokey])==0: | |
| del self.offers[bokey] | |
| self.match(newside) | |
| elif bbqty == boqty: | |
| del self.bids[bbkey][0] | |
| if len(self.bids[bbkey])==0: | |
| del self.bids[bbkey] | |
| del self.offers[bokey][0] | |
| if len(self.offers[bokey])==0: | |
| del self.offers[bokey] | |
| if newside==Side.SELL: | |
| if bbqty > boqty: | |
| bestbid[MessageKey.QTY] = bbqty - boqty | |
| #trade on bid | |
| del self.offers[bokey][0] | |
| if len(self.offers[bokey])==0: | |
| del self.offers[bokey] | |
| elif bbqty < boqty: | |
| bestoffer[MessageKey.QTY] = boqty - bbqty | |
| del self.bids[bbkey][0] | |
| if len(self.bids[bbkey])==0: | |
| del self.bids[bbkey] | |
| self.match(newside) | |
| elif bbqty == boqty: | |
| del self.bids[bbkey][0] | |
| if len(self.bids[bbkey])==0: | |
| del self.bids[bbkey] | |
| del self.offers[bokey][0] | |
| if len(self.offers[bokey])==0: | |
| del self.offers[bokey] | |
| def displaybook(self): | |
| print 'BOOK' | |
| for k in reversed(self.offers.keys()): | |
| print k,self.offers[k] | |
| print '-------------------------------------------------------------------------' | |
| for k in reversed(self.bids.keys()): | |
| print k,':',self.bids[k] | |
| def __repr__(self): | |
| return pprint.pformat((self.offers ,"========================================", self.bids)) | |
| class position(object): | |
| def __init__ (self): | |
| pass | |
| class portfolio(object): | |
| def __init__ (self): | |
| self.positions = defaultdict(int) | |
| def addExecution(self,execution): | |
| self.positions[execution.get(MessageKey.ORDER).get(MessageKey.SYMBOL)] += execution.get(MessageKey.QTY) | |
| def __repr__ (self): | |
| return repr(self.positions) | |
| class ordermanager(object): | |
| def __init__ (self): | |
| self.orders = dict() | |
| def addOrder(self,order): | |
| self.orders[order.get(MessageKey.ORDERID)] = order | |
| def removeOrder(self,order): | |
| try: | |
| del self.orders[order.get(MessageKey.ORDERID)] | |
| except KeyError,kerr: | |
| print(sys.exc_info()[0]) | |
| def __repr__ (self): | |
| return repr(self.orders) | |
| class ExecutionActor(pykka.gevent.GeventActor): | |
| def __init__(self, **kwargs): | |
| super(ExecutionActor, self).__init__() | |
| self.inputs = kwargs.get('inputs') | |
| self.myname = kwargs.get('myname') | |
| def on_receive(self, message): | |
| if message.get(MessageKey.MSGTYPE)==MessageType.ORDER: | |
| logger.info("%s %s"%(self.myname, message.get(MessageKey.PAYLOAD))) | |
| message={MessageKey.MSGTYPE:MessageType.FILL | |
| , MessageKey.PAYLOAD : {MessageKey.QTY : message.get(MessageKey.PAYLOAD).get(MessageKey.QTY) | |
| , MessageKey.PRICE : np.around( message.get(MessageKey.PAYLOAD).get(MessageKey.PRICE) - .02 ,2) | |
| , MessageKey.ORDER : message.get(MessageKey.PAYLOAD) }} | |
| pykka.ActorRegistry.broadcast(message, target_class=PortfolioActor) | |
| else: | |
| None | |
| def on_stop(self): | |
| logger.info("stopping %s"% self.myname) | |
| def on_start(self): | |
| logger.info("starting %s"% self.myname) | |
| class OrderManagerActor(pykka.gevent.GeventActor): | |
| def __init__(self, **kwargs): | |
| super(OrderManagerActor, self).__init__() | |
| self.inputs = kwargs.get('inputs') | |
| self.myname = kwargs.get('myname') | |
| def on_receive(self, message): | |
| pass | |
| def on_stop(self): | |
| logger.info("stopping %s"% self.myname) | |
| def on_start(self): | |
| logger.info("starting %s"% self.myname) | |
| class PortfolioActor(pykka.gevent.GeventActor): | |
| def __init__(self, **kwargs): | |
| super(PortfolioActor, self).__init__() | |
| self.inputs = kwargs.get('inputs') | |
| self.myname = kwargs.get('myname') | |
| self.portfolio = portfolio() | |
| def on_receive(self, message): | |
| if message.get(MessageKey.MSGTYPE)==MessageType.FILL: | |
| logger.info("%s %s"% (self.myname, message.get(MessageKey.PAYLOAD))) | |
| self.portfolio.addExecution(message.get(MessageKey.PAYLOAD)) | |
| def on_stop(self): | |
| print self.portfolio | |
| logger.info("stopping %s"% self.myname) | |
| def on_start(self): | |
| logger.info("starting %s"% self.myname) | |
| class DataFeedActor(pykka.gevent.GeventActor): | |
| def __init__(self, **kwargs): | |
| super(DataFeedActor, self).__init__() | |
| self.inputs = kwargs.get('inputs') | |
| self.myname = kwargs.get('myname') | |
| def on_receive(self, message): | |
| print message | |
| def _publish(self): | |
| prices = np.random.normal(size=34).cumsum() + 100 | |
| for current in prices: | |
| bmessage={MessageKey.MSGTYPE:MessageType.QUOTE, MessageKey.PAYLOAD : {MessageKey.PRICE:current-.02,MessageKey.QUOTETYPE: QuoteType.BID}} | |
| omessage={MessageKey.MSGTYPE:MessageType.QUOTE, MessageKey.PAYLOAD : {MessageKey.PRICE:current+.02,MessageKey.QUOTETYPE: QuoteType.OFFER}} | |
| pykka.ActorRegistry.broadcast(bmessage, target_class=StrategyActor) | |
| pykka.ActorRegistry.broadcast(omessage, target_class=StrategyActor) | |
| gevent.sleep(0) #yields so other gevents fire | |
| def on_stop(self): | |
| logger.info("stopping %s"% self.myname) | |
| def on_start(self): | |
| logger.info("starting %s"% self.myname) | |
| self._publish() | |
| class StrategyActor(pykka.gevent.GeventActor): | |
| def __init__(self, **kwargs): | |
| super(StrategyActor, self).__init__() | |
| self.inputs = kwargs.get('inputs') | |
| self.myname = kwargs.get('myname') | |
| self.actorRefs = kwargs.get('actorRefs') | |
| self.__prices = [] | |
| self.nbbo={QuoteType.BID : None, QuoteType.OFFER : None} | |
| def on_receive(self, message): | |
| if message.get(MessageKey.MSGTYPE)==MessageType.QUOTE: | |
| z= message.get(MessageKey.PAYLOAD).get(MessageKey.PRICE) | |
| bbo= message.get(MessageKey.PAYLOAD).get(MessageKey.QUOTETYPE) | |
| self.nbbo[bbo] = z | |
| if not None in self.nbbo.values(): | |
| self.__logic( np.mean(self.nbbo.values()) ) | |
| else: | |
| None | |
| def on_stop(self): | |
| logger.info("stopping %s"% self.myname) | |
| def on_start(self): | |
| logger.info("starting %s"% self.myname) | |
| def __logic(self,price): | |
| logger.info("%s %s"%(self.myname, price)) | |
| self.__prices.append( price ) | |
| if len(self.__prices)>11: | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:np.random.randint(-5,5, size=1)[0] | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.BUY | |
| ,MessageKey.PRICE: np.around( np.mean(self.nbbo.values()) - .01 ,2) | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| pykka.ActorRegistry.get_by_class(ExecutionActor)[0].tell(msg) | |
| self.__prices.pop(0) | |
| class MessageKey(object): | |
| PAYLOAD = 'payload' | |
| PRICE = 'price' | |
| ORDER = 'order' | |
| QTY = 'qty' | |
| QUOTETYPE = 'quotetype' | |
| SYMBOL = 'symbol' | |
| MSGTYPE = 'msgtype' | |
| SIDE = 'side' | |
| ORDERID = 'oid' | |
| class MessageType(object): | |
| FILL = 1 | |
| ORDER = 2 | |
| QUOTE = 3 | |
| class Side(object): | |
| BUY = 1 | |
| SELL = 2 | |
| class QuoteType(object): | |
| BID = 1 | |
| OFFER = 2 | |
| if __name__ == '__main__': | |
| ob=orderbook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:23 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.BUY | |
| ,MessageKey.PRICE: 23.3 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:12 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.BUY | |
| ,MessageKey.PRICE: 23.33 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:14 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.SELL | |
| ,MessageKey.PRICE: 23.33 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:12 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.BUY | |
| ,MessageKey.PRICE: 23.33 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:3 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.SELL | |
| ,MessageKey.PRICE: 23.34 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:2 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.SELL | |
| ,MessageKey.PRICE: 23.36 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:4 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.SELL | |
| ,MessageKey.PRICE: 23.36 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| msg = { MessageKey.MSGTYPE:MessageType.ORDER | |
| , MessageKey.PAYLOAD : { MessageKey.QTY:3 | |
| ,MessageKey.SYMBOL:'CLZ15' | |
| ,MessageKey.SIDE : Side.BUY | |
| ,MessageKey.PRICE: 23.36 | |
| ,MessageKey.ORDERID: orderId.next() }} | |
| ob.addOrder(msg) | |
| ob.displaybook() | |
| """ | |
| ExecutionActorRef = ExecutionActor.start(myname="ExecutionActor") | |
| PortfolioActorRef = PortfolioActor.start(myname="PortfolioActor") | |
| OrderManagerActorRef = OrderManagerActor.start(myname="OrderManagerActor") | |
| StrategyActorRef = StrategyActor.start(inputs="CL",myname="StrategyActor") | |
| DataFeedActorRef = DataFeedActor.start(myname="DataFeedActor") | |
| pykka.ActorRegistry.stop_all() | |
| """ |
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