From 0738da6093c5f721919d877d5e33f04825550e31 Mon Sep 17 00:00:00 2001 From: yon-55 <164093649+yon-55@users.noreply.github.com> Date: Mon, 30 Sep 2024 16:35:27 +0100 Subject: [PATCH 1/2] Create client3..py --- client3..py | 61 +++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 61 insertions(+) create mode 100644 client3..py diff --git a/client3..py b/client3..py new file mode 100644 index 00000000000..c14c0762aff --- /dev/null +++ b/client3..py @@ -0,0 +1,61 @@ +################################################################################ +# +# Permission is hereby granted, free of charge, to any person obtaining a +# copy of this software and associated documentation files (the "Software"), +# to deal in the Software without restriction, including without limitation +# the rights to use, copy, modify, merge, publish, distribute, sublicense, +# and/or sell copies of the Software, and to permit persons to whom the +# Software is furnished to do so, subject to the following conditions: +# +# The above copyright notice and this permission notice shall be included in +# all copies or substantial portions of the Software. +# +# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS +# OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, +# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE +# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER +# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +# FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER +# DEALINGS IN THE SOFTWARE. + +import json +import random +import urllib.request + +# Server API URLs +QUERY = "http://localhost:8080/query?id={}" + +# 500 server request +N = 500 + + +def getDataPoint(quote): + """ Produce all the needed values to generate a datapoint """ + stock = quote['stock'] + bid_price = float(quote['top_bid']['price']) + ask_price = float(quote['top_ask']['price']) + price = (bid_price + ask_price) / 2 # Updated formula for price + return stock, bid_price, ask_price, price + +def getRatio(price_a, price_b): + """ Get ratio of price_a and price_b """ + """ ------------- Update this function ------------- """ + if(price_b == 0): + # when price_b is 0 avoid throwing ZeroDivisionError + return + return price_a/price_b + + +# Main +if __name__ == "__main__": + # Query the price once every N seconds. + for _ in iter(range(N)): + quotes = json.loads(urllib.request.urlopen(QUERY.format(random.random())).read()) + + """ ----------- Update to get the ratio --------------- """ + for quote in quotes: + stock, bid_price, ask_price, price = getDataPoint(quote) + prices[stock] = price + print("Quoted %s at (bid:%s, ask:%s, price:%s)" % (stock, bid_price, ask_price, price)) + + print("Ratio %s" % getRatio(prices["ABC"], prices["DEF"])) From 2015d43891ea1d897621a9fbd744563e16ed6f5b Mon Sep 17 00:00:00 2001 From: yon-55 <164093649+yon-55@users.noreply.github.com> Date: Mon, 30 Sep 2024 16:36:06 +0100 Subject: [PATCH 2/2] Create server3.py --- server3.py | 341 +++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 341 insertions(+) create mode 100644 server3.py diff --git a/server3.py b/server3.py new file mode 100644 index 00000000000..36879f7d279 --- /dev/null +++ b/server3.py @@ -0,0 +1,341 @@ +################################################################################ +# +# Permission is hereby granted, free of charge, to any person obtaining a +# copy of this software and associated documentation files (the "Software"), +# to deal in the Software without restriction, including without limitation +# the rights to use, copy, modify, merge, publish, distribute, sublicense, +# and/or sell copies of the Software, and to permit persons to whom the +# Software is furnished to do so, subject to the following conditions: +# +# The above copyright notice and this permission notice shall be included in +# all copies or substantial portions of the Software. +# +# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS +# OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, +# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE +# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER +# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +# FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER +# DEALINGS IN THE SOFTWARE. + +import csv +# from BaseHTTPServer import BaseHTTPRequestHandler,HTTPServer +import http.server +import json +import operator +import os.path +import re +import threading +from datetime import timedelta, datetime +# from itertools import izip +from random import normalvariate, random +from socketserver import ThreadingMixIn + +import dateutil.parser + +################################################################################ +# +# Config + +# Sim params + +REALTIME = True +SIM_LENGTH = timedelta(days=365 * 5) +MARKET_OPEN = datetime.today().replace(hour=0, minute=30, second=0) + +# Market parms +# min / max / std +SPD = (2.0, 6.0, 0.1) +PX = (60.0, 150.0, 1) +FREQ = (12, 36, 50) + +# Trades + +OVERLAP = 4 + + +################################################################################ +# +# Test Data + +def bwalk(min, max, std): + """ Generates a bounded random walk. """ + rng = max - min + while True: + max += normalvariate(0, std) + yield abs((max % (rng * 2)) - rng) + min + + +def market(t0=MARKET_OPEN): + """ Generates a random series of market conditions, + (time, price, spread). + """ + for hours, px, spd in zip(bwalk(*FREQ), bwalk(*PX), bwalk(*SPD)): + yield t0, px, spd + t0 += timedelta(hours=abs(hours)) + + +def orders(hist): + """ Generates a random set of limit orders (time, side, price, size) from + a series of market conditions. + """ + for t, px, spd in hist: + stock = 'ABC' if random() > 0.5 else 'DEF' + side, d = ('sell', 2) if random() > 0.5 else ('buy', -2) + order = round(normalvariate(px + (spd / d), spd / OVERLAP), 2) + size = int(abs(normalvariate(0, 100))) + yield t, stock, side, order, size + + +################################################################################ +# +# Order Book + +def add_book(book, order, size, _age=10): + """ Add a new order and size to a book, and age the rest of the book. """ + yield order, size, _age + for o, s, age in book: + if age > 0: + yield o, s, age - 1 + + +def clear_order(order, size, book, op=operator.ge, _notional=0): + """ Try to clear a sized order against a book, returning a tuple of + (notional, new_book) if successful, and None if not. _notional is a + recursive accumulator and should not be provided by the caller. + """ + (top_order, top_size, age), tail = book[0], book[1:] + if op(order, top_order): + _notional += min(size, top_size) * top_order + sdiff = top_size - size + if sdiff > 0: + return _notional, list(add_book(tail, top_order, sdiff, age)) + elif len(tail) > 0: + return clear_order(order, -sdiff, tail, op, _notional) + + +def clear_book(buy=None, sell=None): + """ Clears all crossed orders from a buy and sell book, returning the new + books uncrossed. + """ + while buy and sell: + order, size, _ = buy[0] + new_book = clear_order(order, size, sell) + if new_book: + sell = new_book[1] + buy = buy[1:] + else: + break + return buy, sell + + +def order_book(orders, book, stock_name): + """ Generates a series of order books from a series of orders. Order books + are mutable lists, and mutating them during generation will affect the + next turn! + """ + for t, stock, side, order, size in orders: + if stock_name == stock: + new = add_book(book.get(side, []), order, size) + book[side] = sorted(new, reverse=side == 'buy', key=lambda x: x[0]) + bids, asks = clear_book(**book) + yield t, bids, asks + + +################################################################################ +# +# Test Data + + +def generate_csv(): + """ Generate a CSV of order history. """ + with open('test.csv', 'wb') as f: + writer = csv.writer(f) + for t, stock, side, order, size in orders(market()): + if t > MARKET_OPEN + SIM_LENGTH: + break + writer.writerow([t, stock, side, order, size]) + + +def read_csv(): + """ Read a CSV or order history into a list. """ + with open('test.csv', 'rt') as f: + for time, stock, side, order, size in csv.reader(f): + yield dateutil.parser.parse(time), stock, side, float(order), int(size) + + +################################################################################ +# +# Server + +class ThreadedHTTPServer(ThreadingMixIn, http.server.HTTPServer): + """ Boilerplate class for a multithreaded HTTP Server, with working + shutdown. + """ + allow_reuse_address = True + + def shutdown(self): + """ Override MRO to shutdown properly. """ + self.socket.close() + http.server.HTTPServer.shutdown(self) + + +def route(path): + """ Decorator for a simple bottle-like web framework. Routes path to the + decorated method, with the rest of the path as an argument. + """ + + def _route(f): + setattr(f, '__route__', path) + return f + + return _route + + +def read_params(path): + """ Read query parameters into a dictionary if they are parseable, + otherwise returns None. + """ + query = path.split('?') + if len(query) > 1: + query = query[1].split('&') + return dict(map(lambda x: x.split('='), query)) + + +def get(req_handler, routes): + """ Map a request to the appropriate route of a routes instance. """ + for name, handler in routes.__class__.__dict__.items(): + if hasattr(handler, "__route__"): + if None != re.search(handler.__route__, req_handler.path): + req_handler.send_response(200) + req_handler.send_header('Content-Type', 'application/json') + req_handler.send_header('Access-Control-Allow-Origin', '*') + req_handler.end_headers() + params = read_params(req_handler.path) + data = json.dumps(handler(routes, params)) + '\n' + req_handler.wfile.write(bytes(data, encoding='utf-8')) + return + + +def run(routes, host='0.0.0.0', port=8080): + """ Runs a class as a server whose methods have been decorated with + @route. + """ + + class RequestHandler(http.server.BaseHTTPRequestHandler): + def log_message(self, *args, **kwargs): + pass + + def do_GET(self): + get(self, routes) + + server = ThreadedHTTPServer((host, port), RequestHandler) + thread = threading.Thread(target=server.serve_forever) + thread.daemon = True + thread.start() + print('HTTP server started on port 8080') + while True: + from time import sleep + sleep(1) + server.shutdown() + server.start() + server.waitForThread() + + +################################################################################ +# +# App + +ops = { + 'buy': operator.le, + 'sell': operator.ge, +} + + +class App(object): + """ The trading game server application. """ + + def __init__(self): + self._book_1 = dict() + self._book_2 = dict() + self._data_1 = order_book(read_csv(), self._book_1, 'ABC') + self._data_2 = order_book(read_csv(), self._book_2, 'DEF') + self._rt_start = datetime.now() + self._sim_start, _, _ = next(self._data_1) + self.read_10_first_lines() + + @property + def _current_book_1(self): + for t, bids, asks in self._data_1: + if REALTIME: + while t > self._sim_start + (datetime.now() - self._rt_start): + yield t, bids, asks + else: + yield t, bids, asks + + @property + def _current_book_2(self): + for t, bids, asks in self._data_2: + if REALTIME: + while t > self._sim_start + (datetime.now() - self._rt_start): + yield t, bids, asks + else: + yield t, bids, asks + + def read_10_first_lines(self): + for _ in iter(range(10)): + next(self._data_1) + next(self._data_2) + + @route('/query') + def handle_query(self, x): + """ Takes no arguments, and yields the current top of the book; the + best bid and ask and their sizes + """ + try: + t1, bids1, asks1 = next(self._current_book_1) + t2, bids2, asks2 = next(self._current_book_2) + except Exception as e: + print("error getting stocks...reinitalizing app") + self.__init__() + t1, bids1, asks1 = next(self._current_book_1) + t2, bids2, asks2 = next(self._current_book_2) + t = t1 if t1 > t2 else t2 + print('Query received @ t%s' % t) + return [{ + 'id': x and x.get('id', None), + 'stock': 'ABC', + 'timestamp': str(t), + 'top_bid': bids1 and { + 'price': bids1[0][0], + 'size': bids1[0][1] + }, + 'top_ask': asks1 and { + 'price': asks1[0][0], + 'size': asks1[0][1] + } + }, + { + 'id': x and x.get('id', None), + 'stock': 'DEF', + 'timestamp': str(t), + 'top_bid': bids2 and { + 'price': bids2[0][0], + 'size': bids2[0][1] + }, + 'top_ask': asks2 and { + 'price': asks2[0][0], + 'size': asks2[0][1] + } + }] + + +################################################################################ +# +# Main + +if __name__ == '__main__': + if not os.path.isfile('test.csv'): + print("No data found, generating...") + generate_csv() + run(App())