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Code Issues 2 Pull Requests 4 Packages Projects Releases Wiki Activity

Round spread (slap) offset to min tick digits

dark_clearing_improvements
Tyler Goodlet 2023-01-12 01:32:30 -05:00
parent 8d1eb81f16
commit 35b097469b
1 changed files with 10 additions and 2 deletions
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12
piker/clearing/_ems.py
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@ -46,6 +46,7 @@ from ..data._normalize import iterticks
from ..data._source import ( from ..data._source import (
unpack_fqsn, unpack_fqsn,
mk_fqsn, mk_fqsn,
float_digits,
) )
from ..data.feed import ( from ..data.feed import (
Feed, Feed,
@ -1249,6 +1250,7 @@ async def process_client_order_cmds(
spread_slap: float = 5 spread_slap: float = 5
min_tick = flume.symbol.tick_size min_tick = flume.symbol.tick_size
min_tick_digits = float_digits(min_tick)
if action == 'buy': if action == 'buy':
tickfilter = ('ask', 'last', 'trade') tickfilter = ('ask', 'last', 'trade')
@ -1257,12 +1259,18 @@ async def process_client_order_cmds(
# TODO: we probably need to scale this based # TODO: we probably need to scale this based
# on some near term historical spread # on some near term historical spread
# measure? # measure?
abs_diff_away = spread_slap * min_tick abs_diff_away = round(
spread_slap * min_tick,
ndigits=min_tick_digits,
)
elif action == 'sell': elif action == 'sell':
tickfilter = ('bid', 'last', 'trade') tickfilter = ('bid', 'last', 'trade')
percent_away = -0.005 percent_away = -0.005
abs_diff_away = -spread_slap * min_tick abs_diff_away = round(
-spread_slap * min_tick,
ndigits=min_tick_digits,
)
else: # alert else: # alert
tickfilter = ('trade', 'utrade', 'last') tickfilter = ('trade', 'utrade', 'last')