INNER CODE UNIT · Python

hedged_pos_needed

keanekwa/Optiver-Ready-Trader-Go · ASModel.py:185

            hedged_pos_needed = min(0, hedged_pos_needed - 10)
        elif hedged_pos_needed < 0:
            hedged_pos_needed = max(0, hedged_pos_needed + 10)
		
        # If there are >= 10 unhedged positions at any point in time
        if self.hedge_position < hedged_pos_needed:
            # Buy more futures
            buy_pos = hedged_pos_needed - self.hedge_position
            order_id = next(self.order_ids)
            self.hedge_position += buy_pos
            self.send_hedge_order(order_id, Side.BID, MAX_ASK_NEAREST_TICK, buy_pos)
            self.hedge_bids.add(order_id)
        elif self.hedge_position > hedged_pos_needed:
            # Sell more futures
            sell_pos = self.hedge_position - hedged_pos_needed
            order_id = next(self.order_ids)
            self.hedge_position -= sell_pos
            self.send_hedge_order(order_id, Side.ASK, MIN_BID_NEAREST_TICK, sell_pos)

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