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364 lines (319 loc) · 15.8 KB
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# pyright: strict, reportUnknownMemberType=false
from collections import deque
from pathlib import Path
from typing import TYPE_CHECKING, NamedTuple
import numpy as np
import numpy.typing as npt
import pandas as pd
from market_simulation.utils import pkl_utils
from mlib.core.limit_order import LimitOrder
from mlib.core.lob_snapshot import LobSnapshot
from mlib.core.state import State
from mlib.core.trade_info import TradeInfo
from mlib.core.transaction import Transaction
if TYPE_CHECKING:
from market_simulation.utils.bin_converter import BinConverter
class Converter:
"""A collection of converters."""
def __init__(self, converter_dir: Path) -> None:
self.price: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "price.zstd")
self.price_level: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "price-level.zstd")
self.price_change_ratio: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "price-change-ratio.zstd")
self.order_volume: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "order-volume.zstd")
self.lob_volume: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "lob-volume.zstd")
self.pred_order_volume: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "pred-order-volume.zstd")
self.order_interval: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "order-interval.zstd")
self.minute_buy_order_count: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "minute-buy-order-count.zstd")
self.minute_trans_vwap_change: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "minute-trans-vwap-change.zstd")
self.minute_trans_volume: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "minute-trans-volume.zstd")
self.num_minutes_to_open: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "num-minutes-to-open.zstd")
self.minute_cancel_volume: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "minute-cancel-volume.zstd")
self.lob_spread: BinConverter = pkl_utils.load_pkl_zstd(converter_dir / "lob-spread.zstd")
class OrderInfo:
"""Order information."""
NUM_RATIO_SLOTS: int = 10
NUM_LOB_VOLUMES: int = 10
def __init__(
self,
cur_order_lob: LobSnapshot,
cur_order: LimitOrder,
transactions: list[Transaction],
order_index: int,
interval_seconds: float,
price_change_to_open: int,
time_to_open: int,
lob_volumes: list[int],
) -> None:
self.time = cur_order.time
self.trans_ratio = self.get_trans_ratio(transactions, cur_order)
assert self.trans_ratio <= 1.00001
self.volume_ratio = self.get_volume_ratio(cur_order, cur_order_lob)
assert self.volume_ratio <= 1.00001
self.order_index = order_index
self.interval_seconds = interval_seconds
self.price_change_to_open = price_change_to_open
self.time_to_open = time_to_open
self.lob_volumes = lob_volumes
@staticmethod
def get_trans_ratio(trans: list[Transaction], cur_order: LimitOrder) -> float:
"""Get transaction ratio, which is the ratio of transaction volume to order volume."""
if cur_order.type == "C":
return 1.0
return sum([x.volume for x in trans]) / cur_order.volume
def get_volume_ratio(self, cur_order: LimitOrder, cur_order_lob: LobSnapshot) -> float:
"""Get volume ratio, which is the ratio of order_volume / (lob_level_volume + order_volume)."""
prices = cur_order_lob.ask_prices + cur_order_lob.bid_prices
volumes = cur_order_lob.ask_volumes + cur_order_lob.bid_volumes
assert len(prices) == len(volumes)
if cur_order.price in prices:
index = prices.index(cur_order.price)
volume_ratio = (cur_order.volume) / (volumes[index] + cur_order.volume)
else:
volume_ratio = 1.0
return volume_ratio
def to_vector(self) -> npt.NDArray[np.int32]:
"""Convert order info to vector."""
values: list[int] = [
self.order_index,
int(np.floor(self.volume_ratio * 0.99 * OrderInfo.NUM_RATIO_SLOTS)), # volume ratio slot, [0, 9]
int(np.floor(self.trans_ratio * 0.99 * OrderInfo.NUM_RATIO_SLOTS)), # trans ratio slot, [0, 9],
self.price_change_to_open,
self.time_to_open,
*self.lob_volumes,
]
vec = np.array(values, dtype=np.int32)
assert vec.size == self.get_dim()
return vec
@staticmethod
def get_dim() -> int:
"""Get the dimension of order info."""
return 5 + OrderInfo.NUM_LOB_VOLUMES
class PredOrderInfo(NamedTuple):
"""Pred order info."""
order_type: str
price: int
volume: int
interval: int
@staticmethod
def get_index_from_type(order_type: str) -> int:
"""Get index of order type."""
return ["S", "B", "C"].index(order_type)
@staticmethod
def get_type_from_index(index: int) -> str:
"""Get order type from index."""
return ["S", "B", "C"][index]
class OrderState(State):
"""Order state."""
def __init__(
self,
num_max_orders: int,
num_bins_price_level: int,
num_bins_pred_order_volume: int,
num_bins_order_interval: int,
converter: Converter,
) -> None:
super().__init__()
self.num_max_orders = num_max_orders
self.converter = converter
self.recent_orders: deque[OrderInfo] = deque()
self.latest_lob: LobSnapshot | None = None
self.prev_order: LimitOrder | None = None
self.prev_order_lob: LobSnapshot | None = None # lob for prev_order
self.cur_order_lob: LobSnapshot | None = None
self.cur_order: LimitOrder | None = None
self.open_trans_price: float | None = None
self.open_time: pd.Timestamp | None = None
self.num_bins_price_level = num_bins_price_level
self.num_bins_pred_order_volume = num_bins_pred_order_volume
self.num_bins_order_interval = num_bins_order_interval
assert converter.price_level.num_bins == self.num_bins_price_level
assert converter.pred_order_volume.num_bins == self.num_bins_pred_order_volume
assert converter.order_interval.num_bins == self.num_bins_order_interval
def on_trading(self, trade_info: TradeInfo) -> None:
"""Update order state with trading information."""
if self.latest_lob is None:
self.latest_lob = trade_info.lob_snapshot
self.prev_order = trade_info.order
self.open_time = trade_info.order.time
return
# set open price if need
if self.open_trans_price is None and trade_info.transactions and trade_info.transactions[0].type in ["B", "S"]:
self.open_trans_price = trade_info.transactions[0].price
self.cur_order_lob = self.latest_lob
self.latest_lob = trade_info.lob_snapshot
self.cur_order = trade_info.order
assert self.prev_order is not None
self.update_order_info(trade_info)
def get_seconds_to_open(self, cur_time: pd.Timestamp, open_time: pd.Timestamp) -> int:
"""Get seconds to market open.
Note: currently this code is adapted to Chinese stock market, where we skip 11:30 to 13:00 when calculate the elapsed seconds.
"""
assert cur_time >= open_time
seconds = (cur_time - open_time).total_seconds()
if cur_time.hour >= 13:
seconds -= 1.5 * 3600 # empty from 11:30 to 13:00
return int(seconds)
def get_order_index_from_slots(
self,
order_type: int,
price_slot: int,
volume_slot: int,
interval_slot: int,
) -> int:
"""Get order index from slots."""
return (
order_type * (self.num_bins_price_level * self.num_bins_pred_order_volume * self.num_bins_order_interval)
+ price_slot * (self.num_bins_pred_order_volume * self.num_bins_order_interval)
+ volume_slot * self.num_bins_order_interval
+ interval_slot
)
def get_order_index(
self,
cur_order: LimitOrder,
interval_seconds: float,
cur_order_lob: LobSnapshot,
) -> int:
"""Get order index from order, interval and lob."""
order_type = PredOrderInfo.get_index_from_type(cur_order.type) # [0, 1, 2]
price_slot = self.converter.price_level.get_bin_index(cur_order.price - cur_order_lob.mid_price)
volume_slot = self.converter.order_volume.get_bin_index(cur_order.volume)
interval_slot = self.converter.order_interval.get_bin_index(interval_seconds)
return (
order_type * (self.num_bins_price_level * self.num_bins_pred_order_volume * self.num_bins_order_interval)
+ price_slot * (self.num_bins_pred_order_volume * self.num_bins_order_interval)
+ volume_slot * self.num_bins_order_interval
+ interval_slot
)
def get_pred_order_info(self, order_index: int) -> PredOrderInfo:
"""Reverse function of get_order_index, need a further sampling to get real price/volume/interval."""
order_type = order_index // (self.num_bins_price_level * self.num_bins_pred_order_volume * self.num_bins_order_interval)
price_slot = (order_index % (self.num_bins_price_level * self.num_bins_pred_order_volume * self.num_bins_order_interval)) // (
self.num_bins_pred_order_volume * self.num_bins_order_interval
)
volume_slot = (order_index % (self.num_bins_pred_order_volume * self.num_bins_order_interval)) // self.num_bins_order_interval
interval_slot = order_index % self.num_bins_order_interval
return PredOrderInfo(
order_type=PredOrderInfo.get_type_from_index(order_type),
price=price_slot,
volume=volume_slot,
interval=interval_slot,
)
def get_lob_volume_slots(self, lob: LobSnapshot, total_len: int = 10) -> list[int]:
"""Get volume slots from lob."""
assert total_len % 2 == 0
offset: int = total_len // 2
volume_slots: list[int] = [0] * total_len
mid_price = lob.mid_price
for price, volume in zip(lob.ask_prices, lob.ask_volumes, strict=True):
price_slot = (price - mid_price) // 100 + offset
if 0 <= price_slot < total_len:
volume_slots[price_slot] = self.converter.lob_volume.get_bin_index(volume) + 1
for price, volume in zip(lob.bid_prices, lob.bid_volumes, strict=True):
price_slot = (price - mid_price) // 100 + offset
if 0 <= price_slot < total_len:
volume_slots[price_slot] = self.converter.lob_volume.get_bin_index(volume) + 1
return volume_slots
def update_order_info(self, trade_info: TradeInfo) -> None:
"""Update order information."""
assert self.cur_order is not None
assert self.prev_order is not None
assert self.cur_order_lob is not None
assert self.open_time is not None
mid_price: int = trade_info.lob_snapshot.mid_price
price_change = 0 if self.open_trans_price is None else mid_price / self.open_trans_price - 1
price_change = np.clip(price_change, -0.2, 0.2)
seconds_to_open = self.get_seconds_to_open(self.cur_order.time, self.open_time)
lob_volumes = self.get_lob_volume_slots(trade_info.lob_snapshot, total_len=OrderInfo.NUM_LOB_VOLUMES)
# merge continous cancel orders if their prices and time are same.
is_same_cancel_order: bool = (
self.cur_order.type == "C"
and self.prev_order.type == "C"
and self.cur_order.time == self.prev_order.time
and self.cur_order.price == self.prev_order.price
and self.cur_order.symbol == self.prev_order.symbol
and self.cur_order.agent_id == self.prev_order.agent_id
and self.prev_order_lob is not None
)
if is_same_cancel_order:
assert self.prev_order_lob is not None
# merge cancel orders, and set prev_order with merged order..
merged_order = self.prev_order.clone()
merged_order._volume += self.cur_order.volume # type: ignore # noqa: SLF001
last_order_info = self.recent_orders[-1]
order_index = self.get_order_index(
cur_order=merged_order,
interval_seconds=last_order_info.interval_seconds,
cur_order_lob=self.prev_order_lob,
)
order_info = OrderInfo(
cur_order_lob=self.prev_order_lob,
cur_order=merged_order,
transactions=trade_info.transactions,
interval_seconds=last_order_info.interval_seconds,
order_index=order_index,
price_change_to_open=int(price_change * 10000), # [-2000, 2000]
time_to_open=seconds_to_open,
lob_volumes=lob_volumes,
)
self.recent_orders[-1] = order_info # replace with mreged order info
self.prev_order = merged_order
else:
interval_seconds = (trade_info.order.time - self.prev_order.time).total_seconds()
order_index = self.get_order_index(
cur_order=self.cur_order,
interval_seconds=interval_seconds,
cur_order_lob=self.cur_order_lob,
)
order_info = OrderInfo(
cur_order_lob=self.cur_order_lob,
cur_order=self.cur_order,
transactions=trade_info.transactions,
interval_seconds=(trade_info.order.time - self.prev_order.time).total_seconds(),
order_index=order_index,
price_change_to_open=int(price_change * 10000),
time_to_open=seconds_to_open,
lob_volumes=lob_volumes,
)
self.recent_orders.append(order_info)
if self.num_max_orders > 0 and len(self.recent_orders) > self.num_max_orders:
self.recent_orders.popleft()
self.prev_order = self.cur_order
self.prev_order_lob = self.cur_order_lob
def to_vector(self) -> npt.NDArray[np.int32]:
"""Convert order state to vector."""
vectors: list[npt.NDArray[np.int32]] = []
assert self.cur_order is not None
assert self.latest_lob is not None
for i in range(len(self.recent_orders)):
vectors.append(self.recent_orders[i].to_vector())
state_vector: npt.NDArray[np.int32] = np.concatenate(vectors, dtype=np.int32)
return state_vector
def _test_get_index() -> None:
import logging
from market_simulation.conf import C
converter_dir = Path(C.directory.input_root_dir) / C.order_model.converter_dir
converter = Converter(converter_dir)
state = OrderState(
num_max_orders=-1,
num_bins_price_level=converter.price_level.num_bins,
num_bins_pred_order_volume=converter.pred_order_volume.num_bins,
num_bins_order_interval=converter.order_interval.num_bins,
converter=converter,
)
index = 0
for order_type in range(3):
for price in range(32):
for volume in range(32):
for interval in range(16):
order_index = state.get_order_index_from_slots(order_type, price, volume, interval)
assert order_index == index
pred_order_info = state.get_pred_order_info(order_index)
type_i, price_i, volume_i, interval_i = pred_order_info
assert order_type == PredOrderInfo.get_index_from_type(type_i)
assert price == price_i
assert volume == volume_i
assert interval == interval_i
index += 1
logging.info(f"Order index test passed, total {index} orders.")
if __name__ == "__main__":
_test_get_index()