YHT_Hedging29_10_2020_Bid_Ask_Single_Dual_Diff__.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "####################\n",
    "# #AUTO LOGIN-1 of 1 #\n",
    "####################\n",
    "\n",
    "import login\n",
    "from login import *\n",
    "import pandas as pd\n",
    "from loguru import logger\n",
    "logger.add(\"./logs/hedging_logs_{time}.log\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# # #######################\n",
    "# # # MANUAL LOGIN-1 of 1 #\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())\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')\n",
    "# import act\n",
    "# from act import *\n",
    "# api_k = \"w19o0chuo929jxkp\"  # api_key\n",
    "# api_s = \"gsw8ps17ex7lf3cuji4prfnwb4vlyr4y\"  # api_secret\n",
    "# my_ret_token = get_login(api_k, api_s)\n",
    "# kws = KiteTicker(\"w19o0chuo929jxkp\", my_ret_token)\n",
    "# from loguru import logger\n",
    "# logger.add(\"hedging_logs.log\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-1 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.orders()[-1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-2 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.positions()['net']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-3 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.holdings()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#######################\n",
    "# OPTIONAL RUN-4 of 4 #\n",
    "#######################\n",
    "\n",
    "#kite.margins(segment = 'equity')['available']['live_balance']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# # PARAMETERS FOR CALL/PUT ###\n",
    "this_month_token = 12218114          \n",
    "next_month_token = 12218626             \n",
    "this_month_symbol = 'NIFTY20NOV11650PE'  \n",
    "next_month_symbol = 'NIFTY20NOV11700PE'\n",
    "exchange_type = kite.EXCHANGE_NFO   # NFO, CDS, EQT\n",
    "# max_diff_set = 25                   \n",
    "# min_diff_set = 17  \n",
    "max_diff_paisa_set = 6\n",
    "min_diff_paisa_set = 2\n",
    "fullquant = 150                        \n",
    "order_type = 'MIS'                  \n",
    "######################"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#####################\n",
    "# NORMAL RUN-1 of 4 #\n",
    "#####################\n",
    "#############################################################################################################################\n",
    "#########################    ##############\n",
    "# Update this part only #    # Parameters #\n",
    "# #########################    ##############\n",
    "# # # FOR USDINR ###\n",
    "# this_month_symbol = 'USDINR20NOVFUT'  \n",
    "# next_month_symbol = 'USDINR20DECFUT'\n",
    "# this_month_token = 780803          \n",
    "# next_month_token = 380675\n",
    "# exchange_type = kite.EXCHANGE_CDS   # NFO, CDS, EQT         \n",
    "# # max_diff_set = 25                   \n",
    "# # min_diff_set = 17                    \n",
    "# max_diff_paisa_set = 0.0125\n",
    "# min_diff_paisa_set = 0.0050\n",
    "# fullquant = 120                       \n",
    "# order_type = 'MIS'                  \n",
    "# ######################\n",
    "\n",
    "logger.debug('Paramentes : ')\n",
    "logger.debug('this_month_token : ' + str(this_month_token))\n",
    "logger.debug('next_month_token : ' + str(next_month_token))\n",
    "logger.debug('this_month_symbol : ' + str(this_month_symbol))\n",
    "logger.debug('next_month_symbol : ' + str(next_month_symbol))\n",
    "# logger.debug('max_diff_set : ' + str(max_diff_set))\n",
    "# logger.debug('min_diff_set : ' + str(min_diff_set))\n",
    "logger.debug('max_diff_paisa_set : ' + str(max_diff_paisa_set))\n",
    "logger.debug('min_diff_paisa_set : ' + str(min_diff_paisa_set))\n",
    "logger.debug('fullquant : ' + str(fullquant))\n",
    "logger.debug('order_type : ' + str(order_type))\n",
    "\n",
    "# difference_ip = 0.0325 \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": null,
   "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",
    "#     max_diff_set = most_repeated_diff + (difference_ip/2)\n",
    "#     min_diff_set = 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",
    "#     max_diff_set = most_repeated_diff + (wo_rem/2)\n",
    "#     min_diff_set = most_repeated_diff - (wo_rem/2) - rem\n",
    "    \n",
    "# # max_diff_set = most_repeated_diff + (difference_ip/2)\n",
    "# # min_diff_set = most_repeated_diff - (difference_ip/2)\n",
    "\n",
    "# print('Upper Diff : '+str(round(max_diff_set,4)))\n",
    "# print('Lower Diff : '+str(round(min_diff_set,4)))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
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   "outputs": [],
   "source": [
    "#####################\n",
    "# NORMAL RUN-3 of 4 #\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('this month quantity : ' + str(allpos[i]['quantity']))\n",
    "            logger.debug('this_month_my_quant : '+str(myquantity))\n",
    "        if(allpos[i]['tradingsymbol']==symbol_ip2 and  allpos[i]['product']== order_type):\n",
    "            myquantity2 = allpos[i]['quantity']\n",
    "            print('next month quantity : ' + str(allpos[i]['quantity']))\n",
    "            logger.debug('next_month_my_quant : '+str(myquantity2))\n",
    "getquant()\n",
    "\n",
    "def placeneworder(quantdiff,symbol_ipp):\n",
    "    global stopbuy,order_type,exchange_type,stopsell\n",
    "    \n",
    "    if(quantdiff>0):\n",
    "        try:\n",
    "                order_id= kite.place_order(tradingsymbol=symbol_ipp,\n",
    "                            exchange=exchange_type,\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",
    "                logger.debug('order_placed @ '+str(symbol_ipp) + ' for '+str(abs(quantdiff)))\n",
    "                getquant()\n",
    "        except Exception as e:\n",
    "            print(e)\n",
    "            getquant()\n",
    "            logger.debug('order_placed_rejected @ '+str(symbol_ipp)+' for '+str(abs(quantdiff)))\n",
    "    if(quantdiff<0):\n",
    "        try:\n",
    "                order_id= kite.place_order(tradingsymbol=symbol_ipp,\n",
    "                            exchange=exchange_type,\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",
    "                logger.debug('order_placed @ '+str(symbol_ipp) + ' for '+str(abs(quantdiff)))\n",
    "                getquant()\n",
    "        except Exception as e:\n",
    "            print(e)\n",
    "            getquant()\n",
    "            logger.debug('order_placed_rejected @ '+str(symbol_ipp)+' for '+str(abs(quantdiff)))\n",
    "\n",
    "def ckqnt (orderquant):\n",
    "    logger.debug('in ckqnt :')\n",
    "    global myquantity,myquantity2,symbol_ip,symbol_ip2\n",
    "    quantdiff = orderquant - myquantity\n",
    "    quantdiff2 = -orderquant - myquantity2\n",
    "    \n",
    "    logger.debug('this_month_quant_diff'+' : '+str(quantdiff) + ' = '+ str(orderquant)+'-'+str(myquantity)+' in '+str(symbol_ip))\n",
    "    logger.debug('next_month_quant_diff'+' : '+str(quantdiff2) + ' = '+ str(-orderquant)+'-'+str(myquantity2)+' in '+str(symbol_ip2))\n",
    "    \n",
    "    placeneworder(quantdiff,symbol_ip)\n",
    "    placeneworder(quantdiff2,symbol_ip2)\n",
    "    return myquantity"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "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",
    "this_month_tick = {}\n",
    "next_month_tick = {}\n",
    "counter = 17\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 this_month_tick,next_month_tick,counter,this_month_buy_quote,this_month_sell_quote,next_month_buy_quote,next_month_sell_quote\n",
    "    counter = counter+1\n",
    "    this_month_ltp = 0.1\n",
    "    next_month_ltp = 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",
    "                this_month_tick = ticks[i]\n",
    "            if(ticks[i]['instrument_token']==inst_token2):\n",
    "                next_month_tick = ticks[i]\n",
    "    else:\n",
    "        if(ticks[0]['instrument_token']==inst_token):\n",
    "            this_month_tick = ticks[0]\n",
    "        if(ticks[0]['instrument_token']==inst_token2):\n",
    "            next_month_tick = ticks[0]\n",
    "\n",
    "    if(counter>15):\n",
    "        this_month_ltp = this_month_tick['last_price']\n",
    "        this_month_buy_quote = this_month_tick['depth']['buy'][0]['price']\n",
    "        this_month_sell_quote = this_month_tick['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",
    "        next_month_ltp = next_month_tick['last_price']\n",
    "        next_month_buy_quote = next_month_tick['depth']['buy'][0]['price']\n",
    "        next_month_sell_quote = next_month_tick['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",
    "        max_diff_calc = round(next_month_sell_quote  - this_month_buy_quote,4)\n",
    "        min_diff_calc = round(next_month_buy_quote  - this_month_sell_quote,4)\n",
    "\n",
    "        diff_paisa_calc = round(max_diff_calc - min_diff_calc,4)\n",
    "        \n",
    "        print('Initial difference Calc : '+str(round(max_diff_calc,4)))\n",
    "#         print('Initial difference Set : '+str(round(max_diff_set,4)))\n",
    "        print('SquareUp difference Calc : '+str(round(min_diff_calc,4)))\n",
    "#         print('SquareUp difference Set : '+str(round(min_diff_set,4)))\n",
    "        print('Diff b/w max_d_calc & min_d_calc : '+str(diff_paisa_calc))\n",
    "        print('Diff max final set : '+str(max_diff_paisa_set))\n",
    "        print('Diff min final set : '+str(min_diff_paisa_set))\n",
    "        \n",
    "    #         print('current diff : '+ str(round(init_diff - sq_diff,4)))\n",
    "    #         print('set diff : '+ str(round(difference_ip,4)))\n",
    "    \n",
    "        if(diff_paisa_calc>=max_diff_paisa_set):\n",
    "            ckqnt(int(fullquant/2))\n",
    "            logger.debug('this_month_tick : '+str(this_month_tick))\n",
    "            logger.debug('next_month_tick : '+str(next_month_tick))\n",
    "            logger.debug( 'max diff order placed @ ' + str(diff_paisa_calc) + ' >= '+str(max_diff_paisa_set))\n",
    "            \n",
    "            \n",
    "        if(diff_paisa_calc<=min_diff_paisa_set):\n",
    "#                 ckqnt(0)                       # For reverse trade coment this\n",
    "            ckqnt(-int(fullquant/2))             # For reverse trade uncoment this\n",
    "            logger.debug('this_month_tick : '+str(this_month_tick))\n",
    "            logger.debug('next_month_tick : '+str(next_month_tick))\n",
    "            logger.debug( 'min diff order placed @ ' + str(diff_paisa_calc) + ' <= '+str(min_diff_paisa_set))\n",
    "            \n",
    "#         if(max_diff_calc>=max_diff_set):\n",
    "#             ckqnt(int(fullquant/2))\n",
    "#         if(min_diff_calc<=min_diff_set):\n",
    "#     #             ckqnt(0)\n",
    "#             ckqnt(-int(fullquant/2))\n",
    "\n",
    "        print('==========================')\n",
    "\n",
    "#         print( 'this_month_ltp : ' + str(ticks[0]['last_price']))\n",
    "#         print( 'next_month_ltp : ' + str(ticks[1]['last_price']))\n",
    "\n",
    "#         ltp_diffs = round(next_month_ltp - this_month_ltp,4)\n",
    "#         print( 'Difference : ' + str(ltp_diffs))\n",
    "\n",
    "#         if(ltp_diffs>=max_diff_set):\n",
    "#             ckqnt(int(fullquant/2))\n",
    "#         if(ltp_diffs<=min_diff_set):\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()"
   ]
  },
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