Add and update examples

nkaz001 · Jul 9, 2023 · 01cadc3 · 01cadc3
1 parent 11f028f
commit 01cadc3
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Showing 3 changed files with 386 additions and 11 deletions.
diff --git a/examples/Making Multiple Markets - Part 2.ipynb b/examples/Making Multiple Markets - Part 2.ipynb
@@ -2,7 +2,7 @@
  "cells": [
   {
    "cell_type": "markdown",
-   "id": "4222dd9d",
+   "id": "da409a5f",
    "metadata": {},
    "source": [
     "# Making Multiple Markets and GLFT Market Making Model Part 2\n",
@@ -187,9 +187,9 @@
     "        bid_price = min(mid_price_tick - bid_depth, hbt.best_bid_tick) * hbt.tick_size\n",
     "        ask_price = max(mid_price_tick + ask_depth, hbt.best_ask_tick) * hbt.tick_size\n",
     "        \n",
-    "        order_interval = max(round(half_spread) * hbt.tick_size, hbt.tick_size)\n",
-    "        bid_price = np.floor(bid_price / order_interval) * order_interval\n",
-    "        ask_price = np.ceil(ask_price / order_interval) * order_interval\n",
+    "        grid_interval = max(round(half_spread) * hbt.tick_size, hbt.tick_size)\n",
+    "        bid_price = np.floor(bid_price / grid_interval) * grid_interval\n",
+    "        ask_price = np.ceil(ask_price / grid_interval) * grid_interval\n",
     "        \n",
     "        #--------------------------------------------------------\n",
     "        # Updates quotes.\n",
@@ -200,7 +200,7 @@
     "        new_bid_orders = Dict.empty(np.int64, np.float64)\n",
     "        if hbt.position < max_position:\n",
     "            for i in range(grid_num):\n",
-    "                bid_price -= i * order_interval\n",
+    "                bid_price -= i * grid_interval\n",
     "                bid_price_tick = round(bid_price / hbt.tick_size)\n",
     "                \n",
     "                # order price in tick is used as order id.\n",
@@ -218,7 +218,7 @@
     "        new_ask_orders = Dict.empty(np.int64, np.float64)\n",
     "        if hbt.position > -max_position:\n",
     "            for i in range(grid_num):\n",
-    "                ask_price += i * order_interval\n",
+    "                ask_price += i * grid_interval\n",
     "                ask_price_tick = round(ask_price / hbt.tick_size)\n",
     "                \n",
     "                # order price in tick is used as order id.\n",
@@ -328,9 +328,9 @@
     "        bid_price = min(hbt.best_bid_tick - bid_depth, hbt.best_bid_tick) * hbt.tick_size\n",
     "        ask_price = max(hbt.best_ask_tick + ask_depth, hbt.best_ask_tick) * hbt.tick_size\n",
     "        \n",
-    "        order_interval = max(round(half_spread) * hbt.tick_size, hbt.tick_size)\n",
-    "        bid_price = np.floor(bid_price / order_interval) * order_interval\n",
-    "        ask_price = np.ceil(ask_price / order_interval) * order_interval\n",
+    "        grid_interval = max(round(half_spread) * hbt.tick_size, hbt.tick_size)\n",
+    "        bid_price = np.floor(bid_price / grid_interval) * grid_interval\n",
+    "        ask_price = np.ceil(ask_price / grid_interval) * grid_interval\n",
     "        \n",
     "        #--------------------------------------------------------\n",
     "        # Updates quotes.\n",
@@ -341,7 +341,7 @@
     "        new_bid_orders = Dict.empty(np.int64, np.float64)\n",
     "        if hbt.position < max_position:\n",
     "            for i in range(grid_num):\n",
-    "                bid_price -= i * order_interval\n",
+    "                bid_price -= i * grid_interval\n",
     "                bid_price_tick = round(bid_price / hbt.tick_size)\n",
     "                \n",
     "                # order price in tick is used as order id.\n",
@@ -359,7 +359,7 @@
     "        new_ask_orders = Dict.empty(np.int64, np.float64)\n",
     "        if hbt.position > -max_position:\n",
     "            for i in range(grid_num):\n",
-    "                ask_price += i * order_interval\n",
+    "                ask_price += i * grid_interval\n",
     "                ask_price_tick = round(ask_price / hbt.tick_size)\n",
     "                \n",
     "                # order price in tick is used as order id.\n",

diff --git a/examples/Market Making with Alpha - Order Book Imbalance.ipynb b/examples/Market Making with Alpha - Order Book Imbalance.ipynb
diff --git a/hftbacktest/backtest.py b/hftbacktest/backtest.py
@@ -94,6 +94,13 @@ def tick_size(self):
         """
         return self.local.depth.tick_size
 
+    @property
+    def lot_size(self):
+        """
+        Lot size
+        """
+        return self.local.depth.lot_size
+
     @property
     def high_ask_tick(self):
         """