Example market maker (#100)

* Example market making strategy.

* Configure what exchange market making orders are executed on.

* Fixed a NPE in the contract registry

* Rename account column to be consistent with other tables.

* Market making script udpate

* Market making script update

* Market making script update

examples/example_market_maker.py

@@ -0,0 +1,209 @@
+
+from ibapi.contract import Contract
+from ibapi.order import Order
+
+import deephaven_ib as dhib
+from deephaven.updateby import ema_time_decay
+from deephaven import time_table
+from deephaven.plot import Figure
+from deephaven.plot.selectable_dataset import one_click
+from deephaven.plot import PlotStyle
+
+
+###########################################################################
+# WARNING: THIS SCRIPT EXECUTES TRADES!! ONLY USE ON PAPER TRADING ACCOUNTS
+###########################################################################
+
+print("==============================================================================================================")
+print("==== Create a client and connect.")
+print("==== ** Accept the connection in TWS **")
+print("==============================================================================================================")
+
+client = dhib.IbSessionTws(host="host.docker.internal", port=7497, client_id=0, download_short_rates=False, read_only=False)
+print(f"IsConnected: {client.is_connected()}")
+
+client.connect()
+print(f"IsConnected: {client.is_connected()}")
+
+## Setup
+
+account = "DU4943848"
+max_position_dollars = 10000.0
+ema_time = "00:02:00"
+
+errors = client.tables["errors"]
+requests = client.tables["requests"]
+positions = client.tables["accounts_positions"].where("Account = account")
+ticks_bid_ask = client.tables["ticks_bid_ask"]
+orders_submitted = client.tables["orders_submitted"].where("Account = account")
+orders_status = client.tables["orders_status"]
+orders_exec_details = client.tables["orders_exec_details"].where("Account = account")
+
+print("==============================================================================================================")
+print("==== Request data.")
+print("==============================================================================================================")
+
+registered_contracts_data = {}
+registred_contracts_orders = {}
+
+def add_contract(symbol: str, exchange: str="SMART") -> None:
+    """
+    Configure a contract for trading.
+    :param symbol: Symbol to trade.
+    :param exchange: exchange where orders get routed.
+    :return: None
+    """
+
+    contract = Contract()
+    contract.symbol = symbol
+    contract.secType = "STK"
+    contract.currency = "USD"
+    contract.exchange = "SMART"
+
+    rc = client.get_registered_contract(contract)
+    id = rc.contract_details[0].contract.conId
+    registered_contracts_data[id] = rc
+    client.request_tick_data_realtime(rc, dhib.TickDataType.BID_ASK)
+    print(f"Registered contract: id={id} rc={rc}")
+
+    if exchange != "SMART":
+        contract.exchange = "NYSE"
+        rc = client.get_registered_contract(contract)
+
+    registred_contracts_orders[id] = rc
+    print(f"Registered contract: id={id} rc={rc}")
+
+
+add_contract("GOOG")
+add_contract("BAC")
+add_contract("AAPL", exchange="NYSE")
+
+print("==============================================================================================================")
+print("==== Compute predictions.")
+print("==============================================================================================================")
+
+preds = ticks_bid_ask \
+    .update_view(["MidPrice=0.5*(BidPrice+AskPrice)", "MidPrice2=MidPrice*MidPrice"]) \
+    .update_by([ema_time_decay("Timestamp", ema_time, ["PredPrice=MidPrice","MidPrice2Bar=MidPrice2"])], by="Symbol") \
+    .view([
+        "ReceiveTime",
+        "Timestamp",
+        "ContractId",
+        "Symbol",
+        "BidPrice",
+        "AskPrice",
+        "MidPrice",
+        "PredPrice",
+        "PredSD = sqrt(MidPrice2Bar-PredPrice*PredPrice)",
+        "PredLow=PredPrice-PredSD",
+        "PredHigh=PredPrice+PredSD",
+    ])
+
+preds_start = preds.first_by("Symbol").view(["Symbol", "Timestamp"])
+preds = preds.natural_join(preds_start, on="Symbol", joins="TimestampFirst=Timestamp")
+
+preds_one_click = one_click(preds, by=["Symbol"], require_all_filters=True)
+
+preds_plot = Figure() \
+    .plot_xy("BidPrice", t=preds_one_click, x="Timestamp", y="BidPrice") \
+    .plot_xy("AskPrice", t=preds_one_click, x="Timestamp", y="AskPrice") \
+    .plot_xy("MidPrice", t=preds_one_click, x="Timestamp", y="MidPrice") \
+    .plot_xy("PredPrice", t=preds_one_click, x="Timestamp", y="PredPrice") \
+    .plot_xy("PredLow", t=preds_one_click, x="Timestamp", y="PredLow") \
+    .plot_xy("PredHigh", t=preds_one_click, x="Timestamp", y="PredHigh") \
+    .show()
+
+print("==============================================================================================================")
+print("==== Generate orders.")
+print("==============================================================================================================")
+
+open_orders = {}
+
+def update_orders(contract_id: int, pred_low: float, pred_high: float, buy_order: bool, sell_order:bool) -> int:
+    """
+    Update orders on a contract.  First existing orders are canceled.  Then new buy/sell limit orders are placed.
+
+    :param contract_id: Contract id.
+    :param pred_low: Price for buy limit orders.
+    :param pred_high: Price for sell limit orders.
+    :param buy_order: True to post a buy order; False to not post a buy order.
+    :param sell_order: True to post a sell order; False to not post a sell order.
+    :return: Number of orders submitted.
+    """
+
+    if contract_id in open_orders:
+        for order in open_orders[contract_id]:
+            # print(f"Canceling order: contract_id={contract_id} order_id={order.request_id}")
+            order.cancel()
+
+    new_orders = []
+    rc = registred_contracts_orders[contract_id]
+
+    if sell_order:
+        order_sell = Order()
+        order_sell.account = account
+        order_sell.action = "SELL"
+        order_sell.orderType = "LIMIT"
+        order_sell.totalQuantity = 100
+        order_sell.lmtPrice = round( pred_high, 2)
+        order_sell.transmit = True
+
+        order = client.order_place(rc, order_sell)
+        new_orders.append(order)
+
+    if buy_order:
+        order_buy = Order()
+        order_buy.account = account
+        order_buy.action = "BUY"
+        order_buy.orderType = "LIMIT"
+        order_buy.totalQuantity = 100
+        order_buy.lmtPrice = round( pred_low, 2)
+        order_buy.transmit = True
+
+        order = client.order_place(rc, order_buy)
+        new_orders.append(order)
+
+    open_orders[contract_id] = new_orders
+    return len(new_orders)
+
+
+orders = time_table("00:01:00") \
+    .rename_columns("SnapTime=Timestamp") \
+    .snapshot(preds.last_by(["Symbol"])) \
+    .where(f"Timestamp > TimestampFirst + '{ema_time}'") \
+    .natural_join(positions, on="ContractId", joins="Position") \
+    .update_view([
+        "Position = replaceIfNull(Position, 0.0)",
+        "PositionDollars = Position * MidPrice",
+        "MaxPositionDollars = max_position_dollars",
+        "BuyOrder = PositionDollars < MaxPositionDollars",
+        "SellOrder = PositionDollars > -MaxPositionDollars",
+    ]) \
+    .update("NumNewOrders = (long)update_orders(ContractId, PredLow, PredHigh, BuyOrder, SellOrder)")
+
+
+print("==============================================================================================================")
+print("==== Plot trade executions.")
+print("==============================================================================================================")
+
+
+trades = orders_exec_details \
+    .natural_join(preds_start, on="Symbol", joins="TimestampFirst=Timestamp") \
+    .where("ReceiveTime >= TimestampFirst") \
+    .view(["Timestamp=ReceiveTime", "ContractId", "Symbol", "ExecutionExchange", "Side", "Shares", "Price"])
+
+buys_one_click = one_click(trades.where("Side=`BOT`"), by=["Symbol"], require_all_filters=True)
+sells_one_click = one_click(trades.where("Side=`SLD`"), by=["Symbol"], require_all_filters=True)
+
+execution_plot = Figure() \
+    .plot_xy("BidPrice", t=preds_one_click, x="Timestamp", y="BidPrice") \
+    .plot_xy("AskPrice", t=preds_one_click, x="Timestamp", y="AskPrice") \
+    .plot_xy("MidPrice", t=preds_one_click, x="Timestamp", y="MidPrice") \
+    .plot_xy("PredPrice", t=preds_one_click, x="Timestamp", y="PredPrice") \
+    .plot_xy("PredLow", t=preds_one_click, x="Timestamp", y="PredLow") \
+    .plot_xy("PredHigh", t=preds_one_click, x="Timestamp", y="PredHigh") \
+    .twin() \
+    .axes(plot_style=PlotStyle.SCATTER) \
+    .plot_xy("Buys", t=buys_one_click, x="Timestamp", y="Price") \
+    .plot_xy("Sells", t=sells_one_click, x="Timestamp", y="Price") \
+    .show()

src/deephaven_ib/__init__.py

@@ -623,7 +623,8 @@ def deephaven_ib_parse_note(note:str, key:str) -> Optional[str]:
                 .move_columns_up(["ReceiveTime", "OrderId", "ClientId", "PermId", "ParentId"]),
             "orders_exec_commission_report": tables_raw["raw_orders_exec_commission_report"],
             "orders_exec_details": tables_raw["raw_orders_exec_details"] \
-                .move_columns_up(["RequestId", "ReceiveTime", "Timestamp", "ExecId", "AcctNumber"]),
+                .move_columns_up(["RequestId", "ReceiveTime", "Timestamp", "ExecId", "AcctNumber"]) \
+                .rename_columns("Account=AcctNumber"),
             # The status on raw_orders_submitted is buggy, so using the status from raw_orders_status
             "orders_submitted": tables_raw["raw_orders_submitted"] \
                 .last_by("PermId") \

src/deephaven_ib/_tws/contract_registry.py

@@ -107,7 +107,9 @@ def add_error_data(self, req_id: int, error_string: str) -> None:
 
             contract, event = self._requests_by_id[req_id]
             self._update_error(contract, req_id, error_string)
-            event.set()
+
+            if event:
+                event.set()
 
     def request_end(self, req_id: int) -> None:
         """Indicate that the request is over and all data has been received."""