utils.py

from time import sleep

from optibook.synchronous_client import Exchange

import logging
logger = logging.getLogger('client')
logger.setLevel('ERROR')

# We start our client with this utils class
# Exchange (e) and a 

phil_A = 'PHILIPS_B'
phil_B = 'PHILIPS_A'

e = Exchange()
a = e.connect()

MAX_POSITIONS = 200
MAX_OUTSTANDING = 500

def downloadOrderBook(instr):
    '''
    Returns the current bids and asks for the given instrument.
    
    Parameters
    ------------
    instr: string
        Instrument ('PHILIPS_A' or 'PHILIPS_B').
        No assertion is done for perfomance reasons
        
        
    Returns
    ---------
    book.bids, book.asks : PriceVolume, PriceVolume
        Lists of `PriceVolume` objects corresponding to bids and asks for the 
        supplied instrument
    '''
    
    book = e.get_last_price_book(instr)
    
    return book.bids, book.asks

def printCurrentPositions():
    '''
    Prints all current positions, plus position cash
    '''
    positions = e.get_positions_and_cash()
    for p in positions:
        print(p, positions[p])


def deleteAllOutstandingOrders(instrument_id, side):
    """
    Exits all outstanding positions for the chosen instrument and order type
    
    Parameters
    ----------
    instrument_id:  str
        Intrument ID (`PHILIPS_A` or `PHILIPS_B`) (no assertion is done 
            for perfomance)
    side: str
        string representing the types of outstanding orders we wish to close.
        Select from 'bid', 'ask', or 'all'
    Returns
    -------
    None
    """
    outstanding = e.get_outstanding_orders(instrument_id)
    for o in outstanding.values():
        if(o.side == side or side=='all'):
            result = e.delete_order(instrument_id, order_id=o.order_id)

def closeAllPosition(debug=False):
    '''
    Iterates and attempts to close all open positions
    
    Parameters
    -----------
    debug : Bool
        If true, we print our current positions before and after attempting
        to close
    '''
    if(debug):
        print("Starting Positions: ")
        print(e.get_positions())
    for s, p in e.get_positions().items():
        if p > 0:
            e.insert_order(s, price=1, volume=p, side='ask', order_type='ioc')
        elif p < 0:
            e.insert_order(s, price=100000, volume=-p, side='bid', order_type='ioc')  
    if(debug):
        print("End Positions: ")
        print(e.get_positions())