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Update Basic Quoter.ipynb #6

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93 changes: 63 additions & 30 deletions Optiver/assignment/Basic Quoter.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -19,13 +19,32 @@
"import time\n",
"import random\n",
"import logging\n",
"import statistics # Für rollierende Standardabweichung\n",
"\n",
"from optibook.synchronous_client import Exchange\n",
"from libs import print_positions_and_pnl, round_down_to_tick, round_up_to_tick\n",
"\n",
"from IPython.display import clear_output\n",
"\n",
"logging.getLogger('client').setLevel('ERROR')"
"logging.getLogger('client').setLevel('ERROR')\n",
"\n",
"# === Parameter für Dynamic Spread ===\n",
"ROLLING_WINDOW = 20 # Anzahl der Mid-Prices, über die Volatilität berechnet wird\n",
"VOL_MULTIPLIER = 1.5 # Faktor, um StdDev in Credit-Spreads zu übertragen\n",
"DEFAULT_VOL = 0.01 # Fallback-Volatilität, falls noch nicht genug Daten\n",
"\n",
"# === Statische Konstanten (bleiben erhalten) ===\n",
"QUOTED_VOLUME = 10\n",
"PRICE_RETREAT_PER_LOT = 0.005\n",
"POSITION_LIMIT = 100\n",
"\n",
"# === Connect to Exchange und Instruments holen ===\n",
"exchange = Exchange()\n",
"exchange.connect()\n",
"INSTRUMENTS = exchange.get_instruments()\n",
"\n",
"# === Rolling‐Mid‐Historie initialisieren ===\n",
"mid_history = [] # Liste der letzten Mid‐Preise"
]
},
{
Expand Down Expand Up @@ -123,11 +142,6 @@
"\n",
"INSTRUMENTS = exchange.get_instruments()\n",
"\n",
"QUOTED_VOLUME = 10\n",
"FIXED_MINIMUM_CREDIT = 0.15\n",
"PRICE_RETREAT_PER_LOT = 0.005\n",
"POSITION_LIMIT = 100\n",
"\n",
"while True:\n",
" print(f'')\n",
" print(f'-----------------------------------------------------------------')\n",
Expand All @@ -143,8 +157,7 @@
" # 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 @@ -156,36 +169,56 @@
" # Obtain best bid and ask prices from order book (für Anzeige)\n",
" best_bid_price = instrument_order_book.bids[0].price\n",
" best_ask_price = instrument_order_book.asks[0].price\n",
" spread_ticks = round((best_ask_price - best_bid_price) / instrument.tick_size)\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",
" # --- 1) Versuch Microprice Top-1, falls Spread=1 Tick und ausreichend Volumen ---\n",
" bid_size0 = instrument_order_book.bids[0].volume\n",
" ask_size0 = instrument_order_book.asks[0].volume\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",
" if spread_ticks == 1 and (bid_size0 + ask_size0) > 0:\n",
" mid_price = (best_ask_price * bid_size0 + best_bid_price * ask_size0) / (bid_size0 + ask_size0)\n",
" else:\n",
" mid_price = None\n",
"\n",
" if use_simple_mid:\n",
" mid_price = (best_bid_price + best_ask_price) / 2.0\n",
" # --- 2) Falls Microprice nicht verwendet wurde, prüfe Top-3 VWAP vs. einfacher Mid ---\n",
" if mid_price is None:\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",
" total_vol3 = bid_vol_top3 + ask_vol_top3\n",
"\n",
" if total_vol3 == 0:\n",
" mid_price = (best_bid_price + best_ask_price) / 2.0\n",
" else:\n",
" rel_diff3 = abs(bid_vol_top3 - ask_vol_top3) / max(bid_vol_top3, ask_vol_top3)\n",
" if rel_diff3 < 0.10:\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",
" mid_price = (best_bid_price + best_ask_price) / 2.0\n",
"\n",
" # --- 3) Volatilitäts‐basierter dynamic_credit (Spread) ---\n",
" mid_history.append(mid_price)\n",
" if len(mid_history) > ROLLING_WINDOW:\n",
" mid_history.pop(0)\n",
"\n",
" if len(mid_history) >= ROLLING_WINDOW:\n",
" rolling_std = statistics.pstdev(mid_history[-ROLLING_WINDOW:])\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",
" rolling_std = DEFAULT_VOL\n",
"\n",
" dynamic_credit = VOL_MULTIPLIER * rolling_std\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",
"\n",
" # Calculate final bid and ask prices to insert\n",
" bid_price = round_down_to_tick(theoretical_price - FIXED_MINIMUM_CREDIT, instrument.tick_size)\n",
" ask_price = round_up_to_tick(theoretical_price + FIXED_MINIMUM_CREDIT, instrument.tick_size)\n",
" # Calculate final bid and ask prices to insert using dynamic_credit\n",
" bid_price = round_down_to_tick(theoretical_price - dynamic_credit, instrument.tick_size)\n",
" ask_price = round_up_to_tick(theoretical_price + dynamic_credit, instrument.tick_size)\n",
" \n",
" # Calculate bid and ask volumes to insert, taking into account the exchange position_limit\n",
" max_volume_to_buy = POSITION_LIMIT - position\n",
Expand Down