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70 lines
2.1 KiB
70 lines
2.1 KiB
3 weeks ago
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from pprint import pprint
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import asyncio
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import aiostream
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import aiohttp
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import kalshi
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from nadex import NadexSession
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from decimal import Decimal as D, ROUND_CEILING
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import os
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import sys
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from utils import *
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from piecewise import *
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from decimal import Decimal
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async def check(ops):
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cps = []
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for o, q in ops:
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if (q>0 and not o.asks) or (q<0 and not o.bids): return False
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cps.append(o.asks[0][0] if q>0 else o.bids[0][0])
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cc = min_sum_pc(cps)
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global best
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if cc>best:
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updlog(D(cc)/D(100))
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u = [o.asks if q>0 else o.bids for o, q in ops]
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for i, (o, q) in enumerate(ops):
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updlog([o.low, o.high, u[i][0], o.exchange, o.market_id], q)
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updlog()
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best = cc
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if cc>15000:
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await asyncio.gather(*[
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o.exchange.execute_order(o.market_id, u[i][0][-1], 1, q>0)
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for i, (o, q) in enumerate(ops)
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])
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return True
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return False
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async def main():
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async with aiohttp.ClientSession() as kcs, aiohttp.ClientSession() as ncs:
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ks = kalshi.KalshiSession(kcs)
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ns = NadexSession(ncs)
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await asyncio.gather(ks.login(), ns.login())
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global best
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best = -10000000
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upd = 0
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async with aiostream.stream.ziplatest(
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ks.orderbook_stream("INXD-23MAR15", kalshi.convert_sp_rulebook, "ESTM23.CME"),
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ns.orderbook_stream(160809 if DEMO else 157993),
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partial=False
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).stream() as streamer:
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async for kbook, nbook in streamer:
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upd +=1
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if upd%100==0: updlog(upd)
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for k1 in kbook:
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for n1 in nbook:
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for ord in [(-1, 1), (1, -1), (1, 1), (-1, -1)]:
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if await check([(k1, ord[0]), (n1, ord[1])]):
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return
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for n2 in nbook:
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for ord in [(-1, 1, -1), (-1, -1, 1)]:
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if await check([(k1, ord[0]), (n1, ord[1]), (n2, ord[2])]):
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return
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if __name__=="__main__":
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asyncio.run(main())
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