commit
This commit is contained in:
708
new_prac.py
708
new_prac.py
@@ -1,74 +1,664 @@
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#!/usr/bin/env python3
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import argparse, socket, json
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from enum import Enum
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from state import StateManager
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# ~~~~~============== HOW TO RUN ==============~~~~~
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# 1) Configure things in CONFIGURATION section
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# 2) Change permissions: chmod +x bot.py
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# 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done
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import argparse
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from collections import deque
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from enum import Enum
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import time
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import socket
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import json
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from state import StateManager
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from order import OrderManager
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# ~~~~~============== CONFIGURATION ==============~~~~~
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# Replace "REPLACEME" with your team name!
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team_name = "HanyangFloorFunction"
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# ~~~~~============== MAIN LOOP ==============~~~~~
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# You should put your code here! We provide some starter code as an example,
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# but feel free to change/remove/edit/update any of it as you'd like. If you
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# have any questions about the starter code, or what to do next, please ask us!
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#
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# To help you get started, the sample code below tries to buy BOND for a low
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# price, and it prints the current prices for VALE every second. The sample
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# code is intended to be a working example, but it needs some improvement
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# before it will start making good trades!
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def main():
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args = parse_arguments()
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exchange = ExchangeConnection(args=args)
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# Store and print the "hello" message received from the exchange. This
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# contains useful information about your positions. Normally you start with
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# all positions at zero, but if you reconnect during a round, you might
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# have already bought/sold symbols and have non-zero positions.
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hello_message = exchange.read_message()
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print("First message from exchange:", hello_message)
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# Send an order for BOND at a good price, but it is low enough that it is
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# unlikely it will be traded against. Maybe there is a better price to
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# pick? Also, you will need to send more orders over time.
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# --- 설정 ---
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BOND_FAIR_VALUE = 1000
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BOND_ORDER_SIZE = 50
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STOCK_ORDER_SIZE = 10 # GS/MS/WFC 마켓 메이킹 주문량
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STOCK_SPREAD = 1 # GS/MS/WFC 마켓 메이킹 스프레드 (mid ± 1)
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STOCK_MAX_POSITION = 50 # GS/MS/WFC 포지션 한도
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XLF_CONVERSION_FEE = 100
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XLF_MIN_PROFIT = 50 # 수익 클 때만 XLF 차익거래
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XLF_COOLDOWN = 3.0
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VALE_CONVERSION_FEE = 10
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VALE_MIN_PROFIT = 1
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VALE_ARB_SIZE = 10
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REFRESH_INTERVAL = 5.0
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# XLF state machine
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xlf_state = "IDLE"
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xlf_pending = {}
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xlf_direction = None
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xlf_arb_size = 0
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xlf_convert_oid = None
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xlf_last_fail = 0.0
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# VALE state machine
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vale_state = "IDLE"
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vale_pending = {}
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vale_direction = None
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vale_arb_size = 0
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vale_convert_oid = None
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state = StateManager()
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om = OrderManager(exchange)
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market_open = False
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# BOND 전용 active orders
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bond_orders = {} # {order_id: {"dir": ..., "price": ..., "size": ...}}
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# GS/MS/WFC 마켓 메이킹 active orders
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stock_orders = {} # {order_id: {"symbol": ..., "dir": ..., "price": ..., "size": ...}}
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last_refresh = time.time()
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last_stock_refresh = time.time()
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# hello 메시지에서 기존 포지션 로드
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for sym_info in hello_message["symbols"]:
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sym = sym_info["symbol"]
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pos = sym_info["position"]
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if sym in om.positions:
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om.positions[sym] = pos
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om.future_positions[sym] = pos
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print(f" 초기 포지션 로드: {om.positions}")
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def next_id():
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return om.next_order()
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# ── BOND 마켓 메이킹 ──────────────────────────────────────────
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def cancel_bond_sell_orders():
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for oid in list(bond_orders.keys()):
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info = bond_orders[oid]
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if info["dir"] == Dir.SELL:
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om.future_positions["BOND"] += info.get("size", 0)
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om.cancel(oid)
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bond_orders.pop(oid, None)
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def cancel_all_bond_orders():
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for oid in list(bond_orders.keys()):
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info = bond_orders[oid]
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size = info.get("size", 0)
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if info["dir"] == Dir.BUY:
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om.future_positions["BOND"] -= size
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else:
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om.future_positions["BOND"] += size
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om.cancel(oid)
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bond_orders.pop(oid, None)
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def place_bond_orders():
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if not market_open:
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return
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cancel_all_bond_orders()
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pos = om.positions["BOND"]
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base = BOND_ORDER_SIZE
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adj = abs(pos) // 5
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if pos < 0:
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buy_sz = min(base + adj, 100 - pos)
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sell_sz = max(base - adj, 1)
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elif pos > 0:
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buy_sz = max(base - adj, 1)
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sell_sz = min(base + adj, 100 + pos)
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else:
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buy_sz = sell_sz = base
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buy_sz = max(0, min(buy_sz, 100 - pos))
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sell_sz = max(0, min(sell_sz, 100 + pos))
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if buy_sz > 0:
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bid = next_id()
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exchange.send_add_message(bid, "BOND", Dir.BUY, 999, buy_sz)
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om.future_positions["BOND"] += buy_sz
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bond_orders[bid] = {"dir": Dir.BUY, "price": 999, "size": buy_sz}
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if sell_sz > 0:
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ask = next_id()
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exchange.send_add_message(ask, "BOND", Dir.SELL, 1001, sell_sz)
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om.future_positions["BOND"] -= sell_sz
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bond_orders[ask] = {"dir": Dir.SELL, "price": 1001, "size": sell_sz}
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print(f" BOND 주문 → 매수:999 x{buy_sz}, 매도:1001 x{sell_sz}, 포지션:{pos}")
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# ── GS/MS/WFC 마켓 메이킹 ────────────────────────────────────
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def cancel_stock_orders(symbol=None):
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"""symbol=None이면 전부 취소, 아니면 해당 심볼만"""
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for oid in list(stock_orders.keys()):
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info = stock_orders[oid]
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if symbol is None or info["symbol"] == symbol:
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size = info.get("size", 0)
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sym = info["symbol"]
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if info["dir"] == Dir.BUY:
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om.future_positions[sym] -= size
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else:
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om.future_positions[sym] += size
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om.cancel(oid)
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stock_orders.pop(oid, None)
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def place_stock_orders(sym):
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"""mid price 기준 ±1 스프레드로 마켓 메이킹"""
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if not market_open:
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return
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bid_price = state.bid_prices[sym]
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ask_price = state.ask_prices[sym]
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if bid_price is None or ask_price is None:
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return
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mid = (bid_price + ask_price) // 2
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our_bid = mid - STOCK_SPREAD
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our_ask = mid + STOCK_SPREAD
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pos = om.positions[sym]
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limit = STOCK_MAX_POSITION
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# 기존 해당 심볼 주문 취소
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cancel_stock_orders(sym)
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buy_sz = max(0, min(STOCK_ORDER_SIZE, limit - pos))
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sell_sz = max(0, min(STOCK_ORDER_SIZE, limit + pos))
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if buy_sz > 0 and our_bid > 0:
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bid = next_id()
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exchange.send_add_message(bid, sym, Dir.BUY, our_bid, buy_sz)
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om.future_positions[sym] += buy_sz
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stock_orders[bid] = {"symbol": sym, "dir": Dir.BUY, "price": our_bid, "size": buy_sz}
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if sell_sz > 0:
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ask = next_id()
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exchange.send_add_message(ask, sym, Dir.SELL, our_ask, sell_sz)
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om.future_positions[sym] -= sell_sz
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stock_orders[ask] = {"symbol": sym, "dir": Dir.SELL, "price": our_ask, "size": sell_sz}
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# ── XLF 차익거래 ─────────────────────────────────────────────
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def try_xlf_arb():
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nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size, xlf_convert_oid
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if not market_open or xlf_state != "IDLE":
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return
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if time.time() - xlf_last_fail < XLF_COOLDOWN:
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return
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bond_ask = state.ask_prices["BOND"]
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gs_ask = state.ask_prices["GS"]
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ms_ask = state.ask_prices["MS"]
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wfc_ask = state.ask_prices["WFC"]
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xlf_bid = state.bid_prices["XLF"]
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bond_bid = state.bid_prices["BOND"]
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gs_bid = state.bid_prices["GS"]
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ms_bid = state.bid_prices["MS"]
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wfc_bid = state.bid_prices["WFC"]
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xlf_ask = state.ask_prices["XLF"]
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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return
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basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
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basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
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def basket_has_room():
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return (
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om.positions["BOND"] + 3 <= 100 and
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om.positions["GS"] + 2 <= 100 and
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om.positions["MS"] + 3 <= 100 and
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om.positions["WFC"] + 2 <= 100
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)
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profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
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if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF") and basket_has_room():
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print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
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cancel_all_bond_orders()
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cancel_stock_orders()
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xlf_state = "BUYING_BASKET"; xlf_direction = "BASKET_TO_XLF"; xlf_arb_size = 10
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xlf_pending.clear()
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for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
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oid = next_id()
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exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
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xlf_pending[oid] = qty
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return
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profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
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if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
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print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
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cancel_all_bond_orders()
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cancel_stock_orders()
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xlf_state = "BUYING_XLF"; xlf_direction = "XLF_TO_BASKET"; xlf_arb_size = 10
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xlf_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10)
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xlf_pending[oid] = 10
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def handle_xlf_fill(order_id, symbol, dir_, qty):
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nonlocal xlf_state, xlf_pending, xlf_convert_oid
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if order_id not in xlf_pending:
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return
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xlf_pending[order_id] -= qty
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if xlf_pending[order_id] <= 0:
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del xlf_pending[order_id]
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if xlf_state == "BUYING_BASKET" and not xlf_pending:
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print(" 바스켓 매수 완료 → XLF 변환 시작")
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xlf_state = "CONVERTING"
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xlf_convert_oid = next_id()
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exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, xlf_arb_size)
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elif xlf_state == "BUYING_XLF" and not xlf_pending:
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print(" XLF 매수 완료 → 바스켓 변환 시작")
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xlf_state = "CONVERTING"
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xlf_convert_oid = next_id()
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exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, xlf_arb_size)
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# ── VALE 차익거래 ─────────────────────────────────────────────
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def try_vale_arb():
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nonlocal vale_state, vale_direction, vale_pending, vale_arb_size, vale_convert_oid
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if not market_open or vale_state != "IDLE":
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return
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vale_bid = state.bid_prices["VALE"]
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vale_ask = state.ask_prices["VALE"]
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valbz_bid = state.bid_prices["VALBZ"]
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valbz_ask = state.ask_prices["VALBZ"]
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if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
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return
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valbz_pos = om.positions["VALBZ"]
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vale_pos = om.positions["VALE"]
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profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
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arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
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if profit1 > VALE_MIN_PROFIT and arb_size1 > 0:
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print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
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vale_state = "BUYING_VALBZ"; vale_direction = "VALBZ_TO_VALE"; vale_arb_size = arb_size1
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vale_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
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vale_pending[oid] = arb_size1
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return
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profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
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arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
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if profit2 > VALE_MIN_PROFIT and arb_size2 > 0:
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print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}")
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vale_state = "BUYING_VALE"; vale_direction = "VALE_TO_VALBZ"; vale_arb_size = arb_size2
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vale_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
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vale_pending[oid] = arb_size2
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def handle_vale_fill(order_id, symbol, dir_, qty):
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nonlocal vale_state, vale_pending, vale_convert_oid
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if order_id not in vale_pending:
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return
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vale_pending[order_id] -= qty
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if vale_pending[order_id] <= 0:
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del vale_pending[order_id]
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if vale_state == "BUYING_VALBZ" and not vale_pending:
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print(" VALBZ 매수 완료 → VALE 변환 시작")
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vale_state = "CONVERTING"
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vale_convert_oid = next_id()
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exchange.send_convert_message(vale_convert_oid, "VALE", Dir.BUY, vale_arb_size)
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elif vale_state == "BUYING_VALE" and not vale_pending:
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print(" VALE 매수 완료 → VALBZ 변환 시작")
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vale_state = "CONVERTING"
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vale_convert_oid = next_id()
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exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, vale_arb_size)
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# Set up some variables to track the bid and ask price of a symbol. Right
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# now this doesn't track much information, but it's enough to get a sense
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# of the VALE market.
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vale_last_print_time = time.time()
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# Here is the main loop of the program. It will continue to read and
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# process messages in a loop until a "close" message is received. You
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# should write to code handle more types of messages (and not just print
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# the message). Feel free to modify any of the starter code below.
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#
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# Note: a common mistake people make is to call write_message() at least
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# once for every read_message() response.
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#
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# Every message sent to the exchange generates at least one response
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# message. Sending a message in response to every exchange message will
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||||
# cause a feedback loop where your bot's messages will quickly be
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# rate-limited and ignored. Please, don't do that!
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while True:
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message = exchange.read_message()
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# Some of the message types below happen infrequently and contain
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||||
# important information to help you understand what your bot is doing,
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# so they are printed in full. We recommend not always printing every
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# message because it can be a lot of information to read. Instead, let
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# your code handle the messages and just print the information
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||||
# important for you!
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if message["type"] == "close":
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print("The round has ended")
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break
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elif message["type"] == "open":
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# 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨)
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print("Market opened:", message)
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market_open = True
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place_bond_orders()
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elif message["type"] == "error":
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print(message)
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elif message["type"] == "reject":
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print(message)
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oid = message.get("order_id")
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bond_orders.pop(oid, None)
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stock_orders.pop(oid, None)
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if oid in xlf_pending:
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print(" XLF 주문 reject → IDLE 복귀")
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xlf_state = "IDLE"; xlf_pending.clear(); xlf_direction = None
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xlf_last_fail = time.time()
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place_bond_orders()
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if oid in vale_pending:
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print(" VALE 주문 reject → IDLE 복귀")
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vale_state = "IDLE"; vale_pending.clear(); vale_direction = None
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elif message["type"] == "ack":
|
||||
ack_oid = message.get("order_id")
|
||||
|
||||
if xlf_state == "CONVERTING" and ack_oid == xlf_convert_oid:
|
||||
print(" XLF 변환 완료 → 매도 시작")
|
||||
if xlf_direction == "BASKET_TO_XLF":
|
||||
om.positions["BOND"] -= 3; om.positions["GS"] -= 2
|
||||
om.positions["MS"] -= 3; om.positions["WFC"] -= 2
|
||||
om.positions["XLF"] += xlf_arb_size
|
||||
om.future_positions["BOND"] -= 3; om.future_positions["GS"] -= 2
|
||||
om.future_positions["MS"] -= 3; om.future_positions["WFC"] -= 2
|
||||
om.future_positions["XLF"] += xlf_arb_size
|
||||
xlf_state = "SELLING_XLF"
|
||||
oid = next_id()
|
||||
exchange.send_add_message(oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size)
|
||||
xlf_pending[oid] = xlf_arb_size
|
||||
elif xlf_direction == "XLF_TO_BASKET":
|
||||
om.positions["XLF"] -= xlf_arb_size
|
||||
om.positions["BOND"] += 3; om.positions["GS"] += 2
|
||||
om.positions["MS"] += 3; om.positions["WFC"] += 2
|
||||
om.future_positions["XLF"] -= xlf_arb_size
|
||||
om.future_positions["BOND"] += 3; om.future_positions["GS"] += 2
|
||||
om.future_positions["MS"] += 3; om.future_positions["WFC"] += 2
|
||||
xlf_state = "SELLING_BASKET"
|
||||
for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
|
||||
oid = next_id()
|
||||
exchange.send_add_message(oid, sym, Dir.SELL, state.bid_prices[sym], qty)
|
||||
xlf_pending[oid] = qty
|
||||
|
||||
elif vale_state == "CONVERTING" and ack_oid == vale_convert_oid:
|
||||
print(" VALE 변환 완료 → 매도 시작")
|
||||
if vale_direction == "VALBZ_TO_VALE":
|
||||
om.positions["VALBZ"] -= vale_arb_size
|
||||
om.positions["VALE"] += vale_arb_size
|
||||
om.future_positions["VALBZ"] -= vale_arb_size
|
||||
om.future_positions["VALE"] += vale_arb_size
|
||||
vale_state = "SELLING_VALE"
|
||||
oid = next_id()
|
||||
exchange.send_add_message(oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size)
|
||||
vale_pending[oid] = vale_arb_size
|
||||
elif vale_direction == "VALE_TO_VALBZ":
|
||||
om.positions["VALE"] -= vale_arb_size
|
||||
om.positions["VALBZ"] += vale_arb_size
|
||||
om.future_positions["VALE"] -= vale_arb_size
|
||||
om.future_positions["VALBZ"] += vale_arb_size
|
||||
vale_state = "SELLING_VALBZ"
|
||||
oid = next_id()
|
||||
exchange.send_add_message(oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size)
|
||||
vale_pending[oid] = vale_arb_size
|
||||
|
||||
elif message["type"] == "fill":
|
||||
print(message)
|
||||
qty = message["size"]
|
||||
sym = message["symbol"]
|
||||
dir_ = message["dir"]
|
||||
oid = message["order_id"]
|
||||
|
||||
if dir_ == Dir.BUY:
|
||||
om.update_position(sym, oid, qty)
|
||||
else:
|
||||
om.update_position(sym, oid, -qty)
|
||||
|
||||
print(f" 포지션 → {om.positions}")
|
||||
|
||||
# BOND 체결 → 재주문
|
||||
if sym == "BOND" and oid in bond_orders:
|
||||
bond_orders.pop(oid, None)
|
||||
place_bond_orders()
|
||||
|
||||
# GS/MS/WFC 체결 → 해당 심볼 재주문
|
||||
if sym in ("GS", "MS", "WFC") and oid in stock_orders:
|
||||
stock_orders.pop(oid, None)
|
||||
place_stock_orders(sym)
|
||||
|
||||
# XLF state machine
|
||||
handle_xlf_fill(oid, sym, dir_, qty)
|
||||
if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
|
||||
print(" XLF 차익거래 완료 → IDLE 복귀")
|
||||
xlf_state = "IDLE"; xlf_direction = None
|
||||
place_bond_orders()
|
||||
for s in ("GS", "MS", "WFC"):
|
||||
place_stock_orders(s)
|
||||
|
||||
# VALE state machine
|
||||
handle_vale_fill(oid, sym, dir_, qty)
|
||||
if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
|
||||
print(" VALE 차익거래 완료 → IDLE 복귀")
|
||||
vale_state = "IDLE"; vale_direction = None
|
||||
|
||||
elif message["type"] == "book":
|
||||
sym = message["symbol"]
|
||||
state.update_bid_ask_price(
|
||||
sym,
|
||||
message["buy"][0][0] if message["buy"] else None,
|
||||
message["sell"][0][0] if message["sell"] else None
|
||||
)
|
||||
|
||||
if sym == "VALE":
|
||||
now = time.time()
|
||||
if now > vale_last_print_time + 1:
|
||||
vale_last_print_time = now
|
||||
print({
|
||||
"vale_bid_price": state.bid_prices["VALE"],
|
||||
"vale_ask_price": state.ask_prices["VALE"],
|
||||
})
|
||||
|
||||
# XLF 차익거래 시도
|
||||
if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
|
||||
try_xlf_arb()
|
||||
|
||||
# VALE 차익거래 시도
|
||||
if sym in ["VALE", "VALBZ"]:
|
||||
try_vale_arb()
|
||||
|
||||
# GS/MS/WFC 마켓 메이킹 갱신 (호가 바뀔 때마다)
|
||||
if sym in ("GS", "MS", "WFC") and xlf_state == "IDLE":
|
||||
now = time.time()
|
||||
if now - last_stock_refresh > 2.0:
|
||||
last_stock_refresh = now
|
||||
place_stock_orders(sym)
|
||||
|
||||
# 주기적으로 BOND 주문 갱신
|
||||
now = time.time()
|
||||
if now - last_refresh > REFRESH_INTERVAL:
|
||||
last_refresh = now
|
||||
place_bond_orders()
|
||||
|
||||
|
||||
# ~~~~~============== PROVIDED CODE ==============~~~~~
|
||||
|
||||
# You probably don't need to edit anything below this line, but feel free to
|
||||
# ask if you have any questions about what it is doing or how it works. If you
|
||||
# do need to change anything below this line, please feel free to
|
||||
|
||||
|
||||
class Dir(str, Enum):
|
||||
BUY = "BUY"
|
||||
SELL = "SELL"
|
||||
|
||||
def main():
|
||||
parser = argparse.ArgumentParser()
|
||||
parser.add_argument("--test", default="prod-like")
|
||||
|
||||
class ExchangeConnection:
|
||||
def __init__(self, args):
|
||||
self.message_timestamps = deque(maxlen=500)
|
||||
self.exchange_hostname = args.exchange_hostname
|
||||
self.port = args.port
|
||||
exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
|
||||
self.reader = exchange_socket.makefile("r", 1)
|
||||
self.writer = exchange_socket
|
||||
|
||||
self._write_message({"type": "hello", "team": team_name.upper()})
|
||||
|
||||
def read_message(self):
|
||||
"""Read a single message from the exchange"""
|
||||
message = json.loads(self.reader.readline())
|
||||
if "dir" in message:
|
||||
message["dir"] = Dir(message["dir"])
|
||||
return message
|
||||
|
||||
def send_add_message(
|
||||
self, order_id: int, symbol: str, dir: Dir, price: int, size: int
|
||||
):
|
||||
"""Add a new order"""
|
||||
self._write_message(
|
||||
{
|
||||
"type": "add",
|
||||
"order_id": order_id,
|
||||
"symbol": symbol,
|
||||
"dir": dir,
|
||||
"price": price,
|
||||
"size": size,
|
||||
"tif": "DAY", # 설명서 필수 필드: DAY or IOC
|
||||
}
|
||||
)
|
||||
|
||||
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
|
||||
"""Convert between related symbols"""
|
||||
self._write_message(
|
||||
{
|
||||
"type": "convert",
|
||||
"order_id": order_id,
|
||||
"symbol": symbol,
|
||||
"dir": dir,
|
||||
"size": size,
|
||||
}
|
||||
)
|
||||
|
||||
def send_cancel_message(self, order_id: int):
|
||||
"""Cancel an existing order"""
|
||||
self._write_message({"type": "cancel", "order_id": order_id})
|
||||
|
||||
def _connect(self, add_socket_timeout):
|
||||
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
|
||||
|
||||
if add_socket_timeout:
|
||||
# Automatically raise an exception if no data has been recieved for
|
||||
# multiple seconds. This should not be enabled on an "empty" test
|
||||
# exchange.
|
||||
s.settimeout(5)
|
||||
s.connect((self.exchange_hostname, self.port))
|
||||
return s
|
||||
|
||||
def _write_message(self, message):
|
||||
what_to_write = json.dumps(message)
|
||||
if not what_to_write.endswith("\n"):
|
||||
what_to_write = what_to_write + "\n"
|
||||
|
||||
length_to_send = len(what_to_write)
|
||||
total_sent = 0
|
||||
while total_sent < length_to_send:
|
||||
sent_this_time = self.writer.send(
|
||||
what_to_write[total_sent:].encode("utf-8")
|
||||
)
|
||||
if sent_this_time == 0:
|
||||
raise Exception("Unable to send data to exchange")
|
||||
total_sent += sent_this_time
|
||||
|
||||
now = time.time()
|
||||
self.message_timestamps.append(now)
|
||||
if len(
|
||||
self.message_timestamps
|
||||
) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1):
|
||||
print(
|
||||
"WARNING: You are sending messages too frequently. The exchange will start ignoring your messages. Make sure you are not sending a message in response to every exchange message."
|
||||
)
|
||||
|
||||
|
||||
def parse_arguments():
|
||||
test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
|
||||
|
||||
parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
|
||||
exchange_address_group = parser.add_mutually_exclusive_group(required=True)
|
||||
exchange_address_group.add_argument(
|
||||
"--production", action="store_true", help="Connect to the production exchange."
|
||||
)
|
||||
exchange_address_group.add_argument(
|
||||
"--test",
|
||||
type=str,
|
||||
choices=test_exchange_port_offsets.keys(),
|
||||
help="Connect to a test exchange.",
|
||||
)
|
||||
|
||||
# Connect to a specific host. This is only intended to be used for debugging.
|
||||
exchange_address_group.add_argument(
|
||||
"--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
|
||||
)
|
||||
|
||||
args = parser.parse_args()
|
||||
args.add_socket_timeout = True
|
||||
|
||||
s = socket.socket()
|
||||
s.connect(("test-exch-"+team_name, 22000))
|
||||
r = s.makefile("r",1)
|
||||
if args.production:
|
||||
args.exchange_hostname = "production"
|
||||
args.port = 25000
|
||||
elif args.test:
|
||||
args.exchange_hostname = "test-exch-" + team_name
|
||||
args.port = 22000 + test_exchange_port_offsets[args.test]
|
||||
if args.test == "empty":
|
||||
args.add_socket_timeout = False
|
||||
elif args.specific_address:
|
||||
args.exchange_hostname, port = args.specific_address.split(":")
|
||||
args.port = int(port)
|
||||
|
||||
def send(m):
|
||||
s.send((json.dumps(m)+"\n").encode())
|
||||
return args
|
||||
|
||||
send({"type":"hello","team":team_name.upper()})
|
||||
|
||||
st = StateManager()
|
||||
|
||||
hello = json.loads(r.readline())
|
||||
|
||||
pos = {}
|
||||
for sym in hello["symbols"]:
|
||||
pos[sym["symbol"]] = sym["position"]
|
||||
|
||||
oid = 0
|
||||
def nid():
|
||||
nonlocal oid; oid+=1; return oid
|
||||
|
||||
while True:
|
||||
m = json.loads(r.readline())
|
||||
|
||||
if m["type"] == "close":
|
||||
break
|
||||
|
||||
if m["type"] == "book":
|
||||
sym = m["symbol"]
|
||||
|
||||
if not m["buy"] or not m["sell"]:
|
||||
continue
|
||||
|
||||
bid = m["buy"][0][0]
|
||||
ask = m["sell"][0][0]
|
||||
|
||||
# 🔥 spread 충분할 때만
|
||||
if ask - bid >= 3:
|
||||
send({"type":"add","order_id":nid(),"symbol":sym,
|
||||
"dir":"BUY","price":bid+1,"size":1})
|
||||
send({"type":"add","order_id":nid(),"symbol":sym,
|
||||
"dir":"SELL","price":ask-1,"size":1})
|
||||
|
||||
if m["type"] == "fill":
|
||||
sym = m["symbol"]
|
||||
q = m["size"]
|
||||
|
||||
pos[sym] = pos.get(sym,0)
|
||||
|
||||
if m["dir"] == "BUY":
|
||||
pos[sym] += q
|
||||
else:
|
||||
pos[sym] -= q
|
||||
|
||||
print("POS:", pos)
|
||||
|
||||
if __name__ == "__main__":
|
||||
# Check that [team_name] has been updated.
|
||||
assert team_name != "REPLAC" + "EME", (
|
||||
"Please put your team name in the variable [team_name]."
|
||||
)
|
||||
|
||||
main()
|
||||
Reference in New Issue
Block a user