This commit is contained in:
2026-05-09 15:15:46 +09:00
parent a3f1756ac9
commit 1269ca645b

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@@ -5,18 +5,18 @@ from state import StateManager
team_name = "HanyangFloorFunction" team_name = "HanyangFloorFunction"
# 🔥 핵심 파라미터 # ===== 튜닝 =====
ORDER_SIZE = 5 ORDER_SIZE = 3
MAX_POS = 50 MAX_POS = 30
KILL_POS = 70 KILL_POS = 40
ARB_THRESHOLD = 6 REFRESH = 0.4
REFRESH = 0.5 ARB_THRESHOLD = 15
class Dir(str, Enum): class Dir(str, Enum):
BUY = "BUY" BUY = "BUY"
SELL = "SELL" SELL = "SELL"
# ===================== # ======================
class ExchangeConnection: class ExchangeConnection:
def __init__(self, args): def __init__(self, args):
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
@@ -26,41 +26,51 @@ class ExchangeConnection:
self._write({"type": "hello", "team": team_name.upper()}) self._write({"type": "hello", "team": team_name.upper()})
def read(self): def read(self):
m = json.loads(self.reader.readline()) msg = json.loads(self.reader.readline())
if "dir" in m: if "dir" in msg:
m["dir"] = Dir(m["dir"]) msg["dir"] = Dir(msg["dir"])
return m return msg
def send(self, m):
self.writer.send((json.dumps(m)+"\n").encode())
def add(self, oid, sym, d, px, sz, tif="DAY"): def add(self, oid, sym, d, px, sz, tif="DAY"):
self.send({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif}) self._write({
"type":"add","order_id":oid,
"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif
})
def ioc(self, oid, sym, d, px, sz): def ioc(self, oid, sym, d, px, sz):
self.add(oid, sym, d, px, sz, "IOC") self.add(oid, sym, d, px, sz, "IOC")
def cancel(self, oid): def cancel(self, oid):
self.send({"type":"cancel","order_id":oid}) self._write({"type":"cancel","order_id":oid})
def convert(self, oid, sym, d, sz): def convert(self, oid, sym, d, sz):
self.send({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz}) self._write({
"type":"convert","order_id":oid,
"symbol":sym,"dir":d,"size":sz
})
# ===================== def _write(self, msg):
self.writer.send((json.dumps(msg)+"\n").encode())
# ======================
def parse_arguments(): def parse_arguments():
p = argparse.ArgumentParser() parser = argparse.ArgumentParser()
g = p.add_mutually_exclusive_group(required=True) group = parser.add_mutually_exclusive_group(required=True)
g.add_argument("--production", action="store_true") group.add_argument("--production", action="store_true")
g.add_argument("--test", type=str, default="prod-like") group.add_argument("--test", type=str, default="prod-like")
a = p.parse_args()
if a.production: args = parser.parse_args()
a.exchange_hostname, a.port = "production", 25000
if args.production:
args.exchange_hostname = "production"
args.port = 25000
else: else:
a.exchange_hostname, a.port = "test-exch-"+team_name, 22000 args.exchange_hostname = "test-exch-" + team_name
return a args.port = 22000
# ===================== return args
# ======================
def main(): def main():
args = parse_arguments() args = parse_arguments()
ex = ExchangeConnection(args) ex = ExchangeConnection(args)
@@ -71,50 +81,30 @@ def main():
oid = 0 oid = 0
def nid(): def nid():
nonlocal oid; oid += 1; return oid nonlocal oid
oid += 1
return oid
active = {} active = {}
last_refresh = 0 last_refresh = 0
# 🔥 imbalance 계산 # ===== Market Making =====
def imbalance(sym):
bid = st.bid_depths.get(sym, 0)
ask = st.ask_depths.get(sym, 0)
return bid - ask
# 🔥 alpha 방향 결정
def alpha(sym):
imb = imbalance(sym)
if imb > 0:
return 1 # 상승
elif imb < 0:
return -1 # 하락
return 0
# 🔥 Adaptive MM
def market_make(sym): def market_make(sym):
b = st.bid_prices.get(sym) bid = st.bid_prices.get(sym)
a = st.ask_prices.get(sym) ask = st.ask_prices.get(sym)
if b is None or a is None:
if bid is None or ask is None:
return
if ask - bid < 2:
return return
p = pos.get(sym, 0) p = pos.get(sym, 0)
if abs(p) > MAX_POS: if abs(p) > MAX_POS:
return return
spread = a - b buy_px = bid + 1
direction = alpha(sym) sell_px = ask - 1
# 🔥 방향 반영
if direction > 0:
buy_px = b + 2
sell_px = a - 1
elif direction < 0:
buy_px = b + 1
sell_px = a - 2
else:
buy_px = b + 1
sell_px = a - 1
if buy_px >= sell_px: if buy_px >= sell_px:
return return
@@ -122,15 +112,16 @@ def main():
buy_sz = ORDER_SIZE buy_sz = ORDER_SIZE
sell_sz = ORDER_SIZE sell_sz = ORDER_SIZE
# 포지션 조절
if p > 0: if p > 0:
sell_sz += 2 sell_sz += 2
elif p < 0: elif p < 0:
buy_sz += 2 buy_sz += 2
o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o]=sym o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o] = sym
o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o]=sym o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym
# 🔥 XLF arb (유지) # ===== XLF Arb =====
def xlf_arb(): def xlf_arb():
bond_ask = st.ask_prices.get("BOND") bond_ask = st.ask_prices.get("BOND")
gs_ask = st.ask_prices.get("GS") gs_ask = st.ask_prices.get("GS")
@@ -138,13 +129,21 @@ def main():
wfc_ask = st.ask_prices.get("WFC") wfc_ask = st.ask_prices.get("WFC")
xlf_bid = st.bid_prices.get("XLF") xlf_bid = st.bid_prices.get("XLF")
if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid]: bond_bid = st.bid_prices.get("BOND")
gs_bid = st.bid_prices.get("GS")
ms_bid = st.bid_prices.get("MS")
wfc_bid = st.bid_prices.get("WFC")
xlf_ask = st.ask_prices.get("XLF")
if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
return return
# 케이스 1
cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2 cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
profit = xlf_bid*10 - cost profit1 = xlf_bid*10 - cost
if profit > ARB_THRESHOLD: if profit1 > ARB_THRESHOLD:
ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3) ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3)
ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2) ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2)
ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3) ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3)
@@ -152,39 +151,50 @@ def main():
ex.convert(nid(),"XLF",Dir.BUY,10) ex.convert(nid(),"XLF",Dir.BUY,10)
ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10) ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10)
# 🔥 리스크 컷 # 케이스 2
revenue = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
profit2 = revenue - xlf_ask*10
if profit2 > ARB_THRESHOLD:
ex.ioc(nid(),"XLF",Dir.BUY,xlf_ask,10)
ex.convert(nid(),"XLF",Dir.SELL,10)
ex.ioc(nid(),"BOND",Dir.SELL,bond_bid,3)
ex.ioc(nid(),"GS",Dir.SELL,gs_bid,2)
ex.ioc(nid(),"MS",Dir.SELL,ms_bid,3)
ex.ioc(nid(),"WFC",Dir.SELL,wfc_bid,2)
# ===== Risk =====
def risk(): def risk():
for s, p in pos.items(): for sym, p in pos.items():
if abs(p) > KILL_POS: if abs(p) > KILL_POS:
if p > 0: bid = st.bid_prices.get(sym)
ex.ioc(nid(), s, Dir.SELL, st.bid_prices.get(s,1), abs(p)) ask = st.ask_prices.get(sym)
else:
ex.ioc(nid(), s, Dir.BUY, st.ask_prices.get(s,99999), abs(p))
# ================= LOOP ================= if p > 0 and bid:
ex.ioc(nid(), sym, Dir.SELL, bid, abs(p))
elif p < 0 and ask:
ex.ioc(nid(), sym, Dir.BUY, ask, abs(p))
# ===== LOOP =====
while True: while True:
m = ex.read() msg = ex.read()
if m["type"] == "close": if msg["type"] == "close":
break break
elif m["type"] == "book": elif msg["type"] == "book":
sym = m["symbol"] sym = msg["symbol"]
b = m["buy"][0][0] if m["buy"] else None bid = msg["buy"][0][0] if msg["buy"] else None
a = m["sell"][0][0] if m["sell"] else None ask = msg["sell"][0][0] if msg["sell"] else None
st.update_bid_ask_price(sym, b, a) st.update_bid_ask_price(sym, bid, ask)
st.update_depth(sym,
m["buy"][0][1] if m["buy"] else 0,
m["sell"][0][1] if m["sell"] else 0
)
now = time.time() now = time.time()
if now - last_refresh > REFRESH: if now - last_refresh > REFRESH:
last_refresh = now last_refresh = now
# 전체 cancel # 모든 주문 취소
for o in list(active.keys()): for o in list(active.keys()):
ex.cancel(o) ex.cancel(o)
active.pop(o, None) active.pop(o, None)
@@ -195,13 +205,19 @@ def main():
xlf_arb() xlf_arb()
risk() risk()
elif m["type"] == "fill": elif msg["type"] == "fill":
s, q, d = m["symbol"], m["size"], m["dir"] sym = msg["symbol"]
pos[s] += q if d == Dir.BUY else -q qty = msg["size"]
# 🔥 초고속 재주문 if msg["dir"] == Dir.BUY:
if s in ["GS","MS","WFC"]: pos[sym] += qty
market_make(s) else:
pos[sym] -= qty
# 체결 즉시 재주문
if sym in ["GS","MS","WFC"]:
market_make(sym)
# ======================
if __name__ == "__main__": if __name__ == "__main__":
main() main()