YHT_Hedging25_10_2020_Bid_Ask_Single_Dual_Diff (1).ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "NPS5lUzN0T5ynCGt8vS7cBK8c5F0SIQo\n"
     ]
    }
   ],
   "source": [
    "#####################\n",
    "# AUTO LOGIN-1 of 1 #\n",
    "#####################\n",
    "\n",
    "import login\n",
    "from login import *\n",
    "import pandas as pd"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# MANUAL LOGIN-1 of 3 #\n",
    "#######################\n",
    "\n",
    "# import logging\n",
    "# from kiteconnect import KiteConnect\n",
    "# logging.basicConfig(level=logging.ERROR)\n",
    "# import threading\n",
    "# kite = KiteConnect(api_key=\"w19o0chuo929jxkp\")\n",
    "# import joblib\n",
    "# kite = joblib.load('kitefile.p')\n",
    "# print(kite.login_url())"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# MANUAL LOGIN-2 of 3 #\n",
    "#######################\n",
    "\n",
    "# mytoken = input('Enter Token Here : ')  \n",
    "# data = kite.generate_session(mytoken,api_secret=\"gsw8ps17ex7lf3cuji4prfnwb4vlyr4y\")\n",
    "# kite.set_access_token(data[\"access_token\"])\n",
    "# import joblib\n",
    "# joblib.dump(kite,'kitefile.p')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# MANUAL LOGIN-3 of 3 #\n",
    "####################### \n",
    "\n",
    "# import act"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-1 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.orders()[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-2 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.positions()['net']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-3 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.holdings()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-4 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.margins(segment = 'equity')['available']['live_balance']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [],
   "source": [
    "#####################\n",
    "# NORMAL RUN-1 of 4 #\n",
    "#####################\n",
    "#############################################################################################################################\n",
    "#########################    ##############\n",
    "# Update this part only #    # Parameters #\n",
    "#########################    ##############\n",
    "this_month_token = 490755              # 690691(USD) / 490755(GBP) / 278019(EUR) / 690435(JPY)\n",
    "next_month_token = 289539              # 000000(USD) / 289539(GBP) / 000000(EUR) / 000000(JPY)\n",
    "\n",
    "this_month_symbol = 'GBPINR20OCTFUT'   # USDINR20OCTFUT / GBPINR20OCTFUT / EURINR20OCTFUT / JPYINR20OCTFUT\n",
    "next_month_symbol = 'GBPINR20NOVFUT'   # USDINR20NOVFUT / GBPINR20NOVFUT / EURINR20NOVFUT / JPYINR20NOVFUT\n",
    "\n",
    "difference_ip = 0.0325                 # 0.0275(USD-Week4)/0.0325(GBP-Week4)\n",
    "\n",
    "upper_diff = 0.2300             # 0.2100(USD-Week4)/0.0000(USD-Week3)/0.0000(USD-Week2)/0.0000(USD-Week1) per day/0.2300(GBP-Week1)\n",
    "lower_diff = 0.2000                    # 0.1950(USD-Week4)/0.0000(USD-Week3)/0.0000(USD-Week2)/0.0000(USD-Week1) per day/0.2000(GBP-Week1)\n",
    "\n",
    "fullquant = 20                        # (USD-MIS=984/NRML=1967)(GBP-MIS=1948/NRML=3895)(EUR-MIS=1313/NRML=2625)(JPY-MIS=1333/NRML=2667)\n",
    "\n",
    "order_type = 'MIS'                     # MIS / NRML\n",
    "######################\n",
    "\n",
    "symbol_ip = this_month_symbol\n",
    "symbol_ip2 = next_month_symbol\n",
    "\n",
    "inst_token = this_month_token\n",
    "inst_token2 = next_month_token"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [],
   "source": [
    "# #####################\n",
    "# # NORMAL RUN-2 of 4 #\n",
    "# #####################\n",
    "# ################################\n",
    "# # GETTING MOST REPEATED DIFF   #\n",
    "# ################################\n",
    "\n",
    "# from datetime import timedelta\n",
    "# import datetime\n",
    "\n",
    "# old_lst=[]\n",
    "# old_lst2=[]\n",
    "\n",
    "# interval='minute'\n",
    "# todaydt=datetime.date.today()\n",
    "# hud_ago=todaydt-timedelta(days=59)\n",
    "# to_date=datetime.date.isoformat(todaydt)\n",
    "# from_date=datetime.date.isoformat(hud_ago)\n",
    "# for i2 in range(50):\n",
    "    \n",
    "#     new_lst = kite.historical_data(inst_token, from_date, to_date, interval,continuous=False)\n",
    "#     old_lst = new_lst + old_lst\n",
    "    \n",
    "#     new_lst2 = kite.historical_data(inst_token2, from_date, to_date, interval,continuous=False)\n",
    "#     old_lst2 = new_lst2 + old_lst2\n",
    "    \n",
    "#     todaydt=todaydt-timedelta(days=60)\n",
    "#     hud_ago=hud_ago-timedelta(days=60)\n",
    "#     to_date=datetime.date.isoformat(todaydt)\n",
    "#     from_date=datetime.date.isoformat(hud_ago)\n",
    "    \n",
    "# mydf1 = pd.DataFrame(old_lst)\n",
    "# mydf2 = pd.DataFrame(old_lst2)\n",
    "# day_ago = 1\n",
    "\n",
    "# badbaki = 480*(day_ago - 1)\n",
    "# oneday1 = mydf1['close'][107292-badbaki:107772-badbaki].to_numpy()\n",
    "# oneday2= mydf2['close'][98984-badbaki:99464-badbaki].to_numpy()\n",
    "# mydiff = oneday2 - oneday1\n",
    "\n",
    "# most_repeated_diff = round(pd.DataFrame(mydiff).describe()[:][5:6].to_numpy()[0][0],4)\n",
    "# most_repeated_diff\n",
    "\n",
    "# print( 'Most Repeated Difference : '+ str(day_ago) +' days ago : '  +  str(most_repeated_diff))\n",
    "\n",
    "# # CALCULATE UPPER LOWER DIFFERENCE\n",
    "\n",
    "# base = 0.0025\n",
    "# # print('diff_ip : '+str(difference_ip))\n",
    "# if(difference_ip%0.0050==0.0):\n",
    "#     upper_diff = most_repeated_diff + (difference_ip/2)\n",
    "#     lower_diff = most_repeated_diff - (difference_ip/2)\n",
    "# else:\n",
    "#     rem = round(difference_ip%0.0050,4)\n",
    "#     wo_rem = round(difference_ip-rem,4)\n",
    "    \n",
    "# #     print(rem)\n",
    "# #     print(wo_rem)\n",
    "#     upper_diff = most_repeated_diff + (wo_rem/2)\n",
    "#     lower_diff = most_repeated_diff - (wo_rem/2) - rem\n",
    "    \n",
    "# # upper_diff = most_repeated_diff + (difference_ip/2)\n",
    "# # lower_diff = most_repeated_diff - (difference_ip/2)\n",
    "\n",
    "# print('Upper Diff : '+str(round(upper_diff,4)))\n",
    "# print('Lower Diff : '+str(round(lower_diff,4)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "#####################\n",
    "# NORMAL RUN-3 of 4 #\n",
    "#####################\n",
    "\n",
    "\n",
    "myquantity = 0\n",
    "myquantity2 = 0\n",
    "\n",
    "def getquant():\n",
    "    global myquantity,myquantity2\n",
    "    global order_type\n",
    "    global symbol_ip\n",
    "    allpos = kite.positions()['net']\n",
    "    for i in range(len(allpos)):\n",
    "        if(allpos[i]['tradingsymbol']==symbol_ip and  allpos[i]['product']== order_type):\n",
    "            myquantity = allpos[i]['quantity']\n",
    "            print('My Quantity 1 : ' + str(allpos[i]['quantity']))\n",
    "        if(allpos[i]['tradingsymbol']==symbol_ip2 and  allpos[i]['product']== order_type):\n",
    "            myquantity2 = allpos[i]['quantity']\n",
    "            print('My Quantity 2 : ' + str(allpos[i]['quantity']))\n",
    "\n",
    "getquant()\n",
    "\n",
    "def placeneworder(quantdiff,symbol_ipp):\n",
    "    global stopbuy\n",
    "    global stopsell\n",
    "    global order_type\n",
    "#     global symbol_ip,symbol_ip2\n",
    "    if(quantdiff>0):\n",
    "        try:\n",
    "                order_id= kite.place_order(tradingsymbol=symbol_ipp,\n",
    "                            exchange=kite.EXCHANGE_CDS,\n",
    "                            transaction_type=kite.TRANSACTION_TYPE_BUY,\n",
    "                            quantity=abs(quantdiff),\n",
    "                            order_type=kite.ORDER_TYPE_MARKET,\n",
    "                            variety = kite.VARIETY_REGULAR,\n",
    "                            product=kite.PRODUCT_MIS if order_type=='MIS' else kite.PRODUCT_NRML)\n",
    "                getquant()\n",
    "        except Exception as e:\n",
    "            print(e)\n",
    "            getquant()\n",
    "    if(quantdiff<0):\n",
    "        try:\n",
    "                order_id= kite.place_order(tradingsymbol=symbol_ipp,\n",
    "                            exchange=kite.EXCHANGE_CDS,\n",
    "                            transaction_type=kite.TRANSACTION_TYPE_SELL,\n",
    "                            quantity=abs(quantdiff),\n",
    "                            order_type=kite.ORDER_TYPE_MARKET,\n",
    "                            variety = kite.VARIETY_REGULAR,\n",
    "                            product=kite.PRODUCT_MIS if order_type=='MIS' else kite.PRODUCT_NRML)\n",
    "                getquant()\n",
    "        except Exception as e:\n",
    "            print(e)\n",
    "            getquant()\n",
    "\n",
    "\n",
    "def ckqnt (orderquant):\n",
    "    global myquantity,myquantity2,symbol_ip,symbol_ip2\n",
    "    quantdiff = orderquant - myquantity\n",
    "    quantdiff2 = -orderquant - myquantity2\n",
    "    \n",
    "    placeneworder(quantdiff,symbol_ip)\n",
    "    placeneworder(quantdiff2,symbol_ip2)\n",
    "    return myquantity"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Counter : 18\n",
      "this_month_buy_quote : 96.1975\n",
      "this_month_sell_quote : 96.23\n",
      "next_month_buy_quote : 96.4\n",
      "next_month_sell_quote : 96.41\n",
      "Initial difference Calc : 0.2125\n",
      "Initial difference Set : 0.23\n",
      "SquareUp difference Calc : 0.17\n",
      "SquareUp difference Set : 0.2\n",
      "Markets are closed right now. Use GTT for placing long standing orders instead. [Read more.](https://support.zerodha.com/category/trading-and-markets/gtt/articles/what-is-the-good-till-triggered-gtt-feature)\n",
      "Markets are closed right now. Use GTT for placing long standing orders instead. [Read more.](https://support.zerodha.com/category/trading-and-markets/gtt/articles/what-is-the-good-till-triggered-gtt-feature)\n",
      "==========================\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "ERROR:kiteconnect.ticker:Connection error: 1006 - connection was closed uncleanly (peer dropped the TCP connection without previous WebSocket closing handshake)\n",
      "ERROR:root:closed connection on error: 1006 connection was closed uncleanly (peer dropped the TCP connection without previous WebSocket closing handshake)\n",
      "ERROR:kiteconnect.ticker:Connection closed: 1006 - connection was closed uncleanly (peer dropped the TCP connection without previous WebSocket closing handshake)\n",
      "Unhandled Error\n",
      "Traceback (most recent call last):\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/defer.py\", line 311, in addCallbacks\n",
      "    self._runCallbacks()\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/defer.py\", line 654, in _runCallbacks\n",
      "    current.result = callback(current.result, *args, **kw)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/base.py\", line 447, in _continueFiring\n",
      "    callable(*args, **kwargs)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/base.py\", line 704, in disconnectAll\n",
      "    log.callWithLogger(reader,\n",
      "--- <exception caught here> ---\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/python/log.py\", line 103, in callWithLogger\n",
      "    return callWithContext({\"system\": lp}, func, *args, **kw)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/python/log.py\", line 86, in callWithContext\n",
      "    return context.call({ILogContext: newCtx}, func, *args, **kw)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/python/context.py\", line 122, in callWithContext\n",
      "    return self.currentContext().callWithContext(ctx, func, *args, **kw)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/python/context.py\", line 85, in callWithContext\n",
      "    return func(*args,**kw)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/tcp.py\", line 519, in connectionLost\n",
      "    self._commonConnection.connectionLost(self, reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/tcp.py\", line 327, in connectionLost\n",
      "    protocol.connectionLost(reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/protocols/tls.py\", line 403, in connectionLost\n",
      "    ProtocolWrapper.connectionLost(self, reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/protocols/policies.py\", line 125, in connectionLost\n",
      "    self.wrappedProtocol.connectionLost(reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/autobahn/twisted/websocket.py\", line 287, in connectionLost\n",
      "    self._connectionLost(reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/autobahn/websocket/protocol.py\", line 3412, in _connectionLost\n",
      "    WebSocketProtocol._connectionLost(self, reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/autobahn/websocket/protocol.py\", line 1126, in _connectionLost\n",
      "    self._onClose(self.wasClean, WebSocketProtocol.CLOSE_STATUS_CODE_ABNORMAL_CLOSE, \"connection was closed uncleanly (%s)\" % self.wasNotCleanReason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/autobahn/twisted/websocket.py\", line 330, in _onClose\n",
      "    self.onClose(wasClean, code, reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/kiteconnect/ticker.py\", line 81, in onClose\n",
      "    self.factory.on_close(self, code, reason)\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/kiteconnect/ticker.py\", line 654, in _on_close\n",
      "    self.on_close(self, code, reason)\n",
      "  File \"<ipython-input-12-8d48233427ac>\", line 98, in on_close\n",
      "    ws.stop()\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/kiteconnect/ticker.py\", line 555, in stop\n",
      "    reactor.stop()\n",
      "  File \"/home/hemang/.local/lib/python3.8/site-packages/twisted/internet/base.py\", line 646, in stop\n",
      "    raise error.ReactorNotRunning(\n",
      "twisted.internet.error.ReactorNotRunning: Can't stop reactor that isn't running.\n",
      "\n"
     ]
    }
   ],
   "source": [
    "#####################\n",
    "# NORMAL RUN-4 of 4 #\n",
    "#####################\n",
    "#################\n",
    "# START TRADING #\n",
    "#################\n",
    "\n",
    "import logging\n",
    "from kiteconnect import KiteTicker\n",
    "logging.basicConfig(level=logging.DEBUG)\n",
    "# kws = KiteTicker(\"w19o0chuo929jxkp\", \"eA5B5OJQNOtZ0OYihkBmYw7Ke3B9pmCC\")\n",
    "\n",
    "tick1 = {}\n",
    "tick2 = {}\n",
    "counter = 1\n",
    "this_month_buy_quote = 0.1\n",
    "this_month_sell_quote = 0.2\n",
    "next_month_buy_quote = 0.3\n",
    "next_month_sell_quote = 0.1\n",
    "\n",
    "def on_ticks(ws, ticks):\n",
    "    #print(type(ticks[0]['last_price']))\n",
    "    global tick1,tick2,counter,this_month_buy_quote,this_month_sell_quote,next_month_buy_quote,next_month_sell_quote\n",
    "    counter = counter+1\n",
    "    ltp1 = 0.1\n",
    "    ltp2 = 0.3\n",
    "    print('Counter : '+str(counter))\n",
    "\n",
    "    if(len(ticks)==2):\n",
    "        for i in range(2):\n",
    "            if(ticks[i]['instrument_token']==inst_token):\n",
    "                tick1 = ticks[i]\n",
    "            if(ticks[i]['instrument_token']==inst_token2):\n",
    "                tick2 = ticks[i]\n",
    "    else:\n",
    "        if(ticks[0]['instrument_token']==inst_token):\n",
    "            tick1 = ticks[0]\n",
    "        if(ticks[0]['instrument_token']==inst_token2):\n",
    "            tick2 = ticks[0]\n",
    "\n",
    "    if(counter>15):\n",
    "        ltp1 = tick1['last_price']\n",
    "        this_month_buy_quote = tick1['depth']['buy'][0]['price']\n",
    "        this_month_sell_quote = tick1['depth']['sell'][0]['price']\n",
    "        print('this_month_buy_quote : ' + str(this_month_buy_quote))\n",
    "        print('this_month_sell_quote : ' + str(this_month_sell_quote))\n",
    "\n",
    "        ltp2 = tick2['last_price']\n",
    "        next_month_buy_quote = tick2['depth']['buy'][0]['price']\n",
    "        next_month_sell_quote = tick2['depth']['sell'][0]['price']\n",
    "        print('next_month_buy_quote : ' + str(next_month_buy_quote))\n",
    "        print('next_month_sell_quote : ' + str(next_month_sell_quote))       \n",
    "\n",
    "        \n",
    "\n",
    "        init_diff = next_month_sell_quote  - this_month_buy_quote\n",
    "        sq_diff = next_month_buy_quote  - this_month_sell_quote\n",
    "\n",
    "        print('Initial difference Calc : '+str(round(init_diff,4)))\n",
    "        print('Initial difference Set : '+str(round(upper_diff,4)))\n",
    "        print('SquareUp difference Calc : '+str(round(sq_diff,4)))\n",
    "        print('SquareUp difference Set : '+str(round(lower_diff,4)))\n",
    "\n",
    "    #         print('current diff : '+ str(round(init_diff - sq_diff,4)))\n",
    "    #         print('set diff : '+ str(round(difference_ip,4)))\n",
    "\n",
    "        if(init_diff>=upper_diff):\n",
    "            ckqnt(int(fullquant/2))\n",
    "        if(sq_diff<=lower_diff):\n",
    "    #             ckqnt(0)\n",
    "            ckqnt(-int(fullquant/2))\n",
    "\n",
    "\n",
    "        print('==========================')\n",
    "\n",
    "#         print( 'LTP1 : ' + str(ticks[0]['last_price']))\n",
    "#         print( 'LTP2 : ' + str(ticks[1]['last_price']))\n",
    "\n",
    "#         ltp_diffs = round(ltp2 - ltp1,4)\n",
    "#         print( 'Difference : ' + str(ltp_diffs))\n",
    "\n",
    "#         if(ltp_diffs>=upper_diff):\n",
    "#             ckqnt(int(fullquant/2))\n",
    "#         if(ltp_diffs<=lower_diff):\n",
    "#             ckqnt(-int(fullquant/2))\n",
    "\n",
    "        \n",
    "#     print((ticks))\n",
    "#     print('====================')\n",
    "#     print()\n",
    "\n",
    "def on_connect(ws, response):\n",
    "    global inst_token,inst_token2\n",
    "    ws.subscribe([inst_token,inst_token2])\n",
    "    ws.set_mode(ws.MODE_FULL, [inst_token,inst_token2])\n",
    "\n",
    "def on_close(ws, code, reason):\n",
    "    ws.stop()\n",
    "    \n",
    "def on_error(ws, code, reason):\n",
    "    logging.error(\"closed connection on error: {} {}\".format(code, reason))\n",
    "\n",
    "def on_noreconnect(ws):\n",
    "    logging.error(\"Reconnecting the websocket failed\")\n",
    "\n",
    "def on_reconnect(ws, attempt_count):\n",
    "    logging.debug(\"Reconnecting the websocket: {}\".format(attempt_count))\n",
    "\n",
    "#def on_order_update(ws, data):\n",
    "#    print(\"order update: \", data)\n",
    "\n",
    "kws.on_error = on_error\n",
    "kws.on_noreconnect = on_noreconnect\n",
    "kws.on_reconnect = on_reconnect\n",
    "#kws.on_order_update = on_order_update\n",
    "\n",
    "kws.on_ticks = on_ticks\n",
    "kws.on_connect = on_connect\n",
    "kws.on_close = on_close\n",
    "\n",
    "kws.connect()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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