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Update Basic Quoter.ipynb #5

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74 changes: 22 additions & 52 deletions Optiver/assignment/Basic Quoter.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -70,37 +70,22 @@
" # Wait for some time to avoid breaching the exchange frequency limit\n",
" time.sleep(0.05)\n",
"\n",
"def vwap_mid_from_top_levels(bids, asks, depth=3):\n",
"def microprice_top1(bids, asks):\n",
" \"\"\"\n",
" Berechnet den VWAP-basierten Mid-Preis auf Grundlage\n",
" der obersten 'depth' Level in bids und asks.\n",
"\n",
" Parameter:\n",
" - bids: List[OrderBookLevel], sortiert nach fallendem Preis\n",
" - asks: List[OrderBookLevel], sortiert nach steigendem Preis\n",
" - depth: int, Anzahl der Level pro Seite, die berücksichtigt werden\n",
"\n",
" Rückgabe:\n",
" - float oder None (falls total_volume == 0)\n",
" Berechnet den Microprice auf Basis des Top-1 Bid- und Ask-Levels:\n",
" (Ask Price * Bid Size + Bid Price * Ask Size) / (Bid Size + Ask Size)\n",
" Fallback auf einfachen Mittelwert, falls (Bid Size + Ask Size) == 0.\n",
" \"\"\"\n",
" total_volume = 0\n",
" weighted_sum = 0\n",
"\n",
" # Falls das Orderbuch weniger als 'depth' Ebenen aufweist, automatisch anpassen\n",
" actual_depth = min(depth, len(bids), len(asks))\n",
"\n",
" for level in bids[:actual_depth]:\n",
" weighted_sum += level.price * level.volume\n",
" total_volume += level.volume\n",
"\n",
" for level in asks[:actual_depth]:\n",
" weighted_sum += level.price * level.volume\n",
" total_volume += level.volume\n",
"\n",
" if total_volume == 0:\n",
" if not bids or not asks:\n",
" return None\n",
"\n",
" return weighted_sum / total_volume"
" bid_price = bids[0].price\n",
" ask_price = asks[0].price\n",
" bid_size = bids[0].volume\n",
" ask_size = asks[0].volume\n",
" total_size = bid_size + ask_size\n",
" if total_size == 0:\n",
" return None\n",
" return ((ask_price * bid_size) + (bid_price * ask_size)) / total_size"
]
},
{
Expand Down Expand Up @@ -143,8 +128,7 @@
" # Remove all existing (still) outstanding limit orders\n",
" exchange.delete_orders(instrument.instrument_id)\n",
" \n",
" # Obtain order book and only skip this instrument if there are no bids or offers available at all on that instrument,\n",
" # as we want to decide zwischen einfachem Mid oder VWAP-basiertem Mid\n",
" # Obtain order book; skip if incomplete\n",
" instrument_order_book = exchange.get_last_price_book(instrument.instrument_id)\n",
" if not (instrument_order_book and instrument_order_book.bids and instrument_order_book.asks):\n",
" print(f'{instrument.instrument_id:>6s} -- INCOMPLETE ORDER BOOK')\n",
Expand All @@ -153,32 +137,18 @@
" # Obtain own current position in instrument\n",
" position = exchange.get_positions()[instrument.instrument_id]\n",
"\n",
" # Obtain best bid and ask prices from order book (für Anzeige)\n",
" # Obtain best bid and ask for display\n",
" best_bid_price = instrument_order_book.bids[0].price\n",
" best_ask_price = instrument_order_book.asks[0].price\n",
"\n",
" # Berechne Volumina der Top-3-Level je Seite\n",
" bid_vol_top3 = sum(level.volume for level in instrument_order_book.bids[:3])\n",
" ask_vol_top3 = sum(level.volume for level in instrument_order_book.asks[:3])\n",
" use_simple_mid = False\n",
"\n",
" if bid_vol_top3 + ask_vol_top3 > 0:\n",
" rel_diff = abs(bid_vol_top3 - ask_vol_top3) / max(bid_vol_top3, ask_vol_top3)\n",
" # Wenn sich die Top-Volumina um weniger als 10% unterscheiden, einfachen Mid verwenden\n",
" if rel_diff < 0.10:\n",
" use_simple_mid = True\n",
"\n",
" if use_simple_mid:\n",
" # Berechne Microprice (Top-1)\n",
" mid_price = microprice_top1(\n",
" instrument_order_book.bids,\n",
" instrument_order_book.asks\n",
" )\n",
" if mid_price is None:\n",
" # Fallback: einfacher Mid, falls Microprice nicht berechenbar\n",
" mid_price = (best_bid_price + best_ask_price) / 2.0\n",
" else:\n",
" mid_price = vwap_mid_from_top_levels(\n",
" instrument_order_book.bids,\n",
" instrument_order_book.asks,\n",
" depth=3\n",
" )\n",
" if mid_price is None:\n",
" print(f'{instrument.instrument_id:>6s} -- VWAP MID PRICE NOT COMPUTABLE')\n",
" continue\n",
"\n",
" # Calculate our fair/theoretical price based on the chosen mid_price and our current position\n",
" theoretical_price = mid_price - PRICE_RETREAT_PER_LOT * position\n",
Expand Down