commit

bot bond sell.py

@@ -25,86 +25,240 @@ def main():
     hello_message = exchange.read_message()
     print("First message from exchange:", hello_message)
 
-    # --- 설정 ---
+    # ★ 재연결 시 기존 포지션 복원
+    state_init = StateManager()
+    for sym_info in hello_message.get("symbols", []):
+        sym  = sym_info["symbol"]
+        posn = sym_info["position"]
+        if posn != 0:
+            state_init.update_position(sym, posn)
+            print(f"  [재연결] 기존 포지션 복원: {sym} = {posn}")
+
+    # ==================== 설정 ====================
     BOND_FAIR_VALUE     = 1000
-    BOND_SPREAD         = 2     # ±1 → ±2로 확대해서 수익성 개선 (테스트 후 조정)
+    BOND_SPREAD         = 2       # BOND 마켓메이킹 스프레드 ±2
     BOND_ORDER_SIZE     = 30
     BOND_MAX_POSITION   = 100
+
+    # GS/MS/WFC 마켓메이킹 설정
+    STOCK_SPREAD        = 3       # 개별주 스프레드 ±3 (변동성이 BOND보다 크므로)
+    STOCK_ORDER_SIZE    = 10      # 개별주 주문 수량 (보수적으로 시작)
+    STOCK_MAX_POSITION  = 100
+    STOCK_REORDER_DELAY = 0.3     # 개별주 재주문 throttle (초)
+
     XLF_CONVERSION_FEE  = 100
     XLF_MAX_POSITION    = 100
     VALE_CONVERSION_FEE = 10
     VALE_MAX_POSITION   = 10
-    REFRESH_INTERVAL    = 5.0
+
+    REFRESH_INTERVAL    = 5.0     # 전체 주문 갱신 주기
+
+    # ==================== 상태 변수 ====================
 
     # XLF state machine
     xlf_state          = "IDLE"
-    xlf_pending        = {}   # order_id -> remaining qty
+    xlf_pending        = {}       # order_id -> remaining qty
     xlf_direction      = None
-    xlf_convert_oid    = None  # 변환 주문 ID (ack 구분용)
+    xlf_convert_oid    = None
 
     # VALE state machine
     vale_state         = "IDLE"
     vale_pending       = {}
     vale_direction     = None
-    vale_convert_oid   = None  # 변환 주문 ID (ack 구분용)
+    vale_convert_oid   = None
 
-    state         = StateManager()
+    state            = state_init
-    om            = OrderManager()
+    om               = OrderManager()
-    market_open   = False
+    market_open      = False
-    active_orders = {}   # BOND 전용: order_id -> {"dir": ..., "price": ...}
 
-    last_refresh       = time.time()
+    # 마켓메이킹 주문 추적: order_id -> {"sym": ..., "dir": ..., "price": ...}
-    last_bond_fill_time = 0.0  # BOND 체결 시 재주문 throttle용
+    active_mm_orders = {}
-    BOND_REORDER_DELAY  = 0.2  # 0.2초 이내 중복 재주문 방지
+
+    last_refresh      = time.time()
+    last_mm_fill_time = {}   # sym -> 마지막 체결 시각 (throttle용)
+    BOND_REORDER_DELAY = 0.2
+
+    # 개별주 implied fair value (book 업데이트마다 갱신)
+    implied_fairs = {"GS": None, "MS": None, "WFC": None}
 
     def next_id():
         return om.next_order()
 
-    def cancel_all_bond_orders():
+    # ==================== fair value 추정 ====================
-        for oid in list(active_orders.keys()):
-            exchange.send_cancel_message(oid)
-        active_orders.clear()
 
-    def place_bond_orders():
+    def update_implied_fairs():
-        """포지션 한도 안에서 bid/ask 양방향 주문"""
+        """
+        XLF 바스켓 구성으로 GS/MS/WFC implied fair value 추정.
+        XLF_mid * 10 = BOND*3 + GS*2 + MS*3 + WFC*2
+        BOND = 1000(고정) 이므로 잔여분을 현재 mid 비율로 배분.
+        """
+        xlf_bid = state.bid_prices.get("XLF")
+        xlf_ask = state.ask_prices.get("XLF")
+        gs_bid  = state.bid_prices.get("GS")
+        gs_ask  = state.ask_prices.get("GS")
+        ms_bid  = state.bid_prices.get("MS")
+        ms_ask  = state.ask_prices.get("MS")
+        wfc_bid = state.bid_prices.get("WFC")
+        wfc_ask = state.ask_prices.get("WFC")
+
+        if None in [xlf_bid, xlf_ask, gs_bid, gs_ask, ms_bid, ms_ask, wfc_bid, wfc_ask]:
+            return
+
+        xlf_mid  = (xlf_bid + xlf_ask) / 2
+        gs_mid   = (gs_bid  + gs_ask)  / 2
+        ms_mid   = (ms_bid  + ms_ask)  / 2
+        wfc_mid  = (wfc_bid + wfc_ask) / 2
+
+        residual = xlf_mid * 10 - 3000   # BOND 기여분(3x1000) 제외
+        total    = gs_mid*2 + ms_mid*3 + wfc_mid*2
+
+        if total <= 0:
+            return
+
+        implied_fairs["GS"]  = round(residual * (gs_mid  * 2 / total) / 2)
+        implied_fairs["MS"]  = round(residual * (ms_mid  * 3 / total) / 3)
+        implied_fairs["WFC"] = round(residual * (wfc_mid * 2 / total) / 2)
+
+    # ==================== 잔여 포지션 청산 ====================
+
+    def cleanup_residual_positions():
+        """재연결 시 잔여 포지션 청산"""
         if not market_open:
             return
 
-        cancel_all_bond_orders()
+        xlf_pos = state.get_position("XLF")
+        if xlf_pos != 0:
+            lots      = abs(xlf_pos) // 10
+            remainder = abs(xlf_pos) % 10
+            direction = Dir.SELL if xlf_pos > 0 else Dir.BUY
+            print(f"  [청산] XLF 포지션={xlf_pos}, 변환 lots={lots}, 잔여={remainder}")
+            if lots > 0:
+                exchange.send_convert_message(next_id(), "XLF", direction, lots * 10)
+            if remainder > 0:
+                oid = next_id()
+                if xlf_pos > 0:
+                    price = max((state.bid_prices.get("XLF") or 1) - 5, 1)
+                    exchange.send_add_message_ioc(oid, "XLF", Dir.SELL, price, remainder)
+                else:
+                    price = (state.ask_prices.get("XLF") or 99999) + 5
+                    exchange.send_add_message_ioc(oid, "XLF", Dir.BUY, price, remainder)
 
-        buy_price  = BOND_FAIR_VALUE - BOND_SPREAD
+        for sym in ["GS", "MS", "WFC", "VALE", "VALBZ"]:
-        sell_price = BOND_FAIR_VALUE + BOND_SPREAD
+            pos = state.get_position(sym)
-        position   = state.get_position("BOND")
+            if pos == 0:
+                continue
+            print(f"  [청산] {sym} 포지션={pos}")
+            oid = next_id()
+            if pos > 0:
+                price = max((state.bid_prices.get(sym) or 1) - 5, 1)
+                exchange.send_add_message_ioc(oid, sym, Dir.SELL, price, abs(pos))
+            else:
+                price = (state.ask_prices.get(sym) or 99999) + 5
+                exchange.send_add_message_ioc(oid, sym, Dir.BUY, price, abs(pos))
 
-        base_size  = BOND_ORDER_SIZE
+    # ==================== 마켓메이킹 주문 ====================
-        adjustment = abs(position) // 5
+
+    def cancel_mm_orders_for(sym):
+        to_cancel = [oid for oid, info in active_mm_orders.items() if info["sym"] == sym]
+        for oid in to_cancel:
+            exchange.send_cancel_message(oid)
+            active_mm_orders.pop(oid, None)
+
+    def place_bond_orders():
+        if not market_open:
+            return
+        cancel_mm_orders_for("BOND")
+
+        position  = state.get_position("BOND")
+        base_size = BOND_ORDER_SIZE
+        adj       = abs(position) // 5
 
         if position < 0:
-            buy_size  = min(base_size + adjustment, BOND_MAX_POSITION - position)
+            buy_size  = min(base_size + adj, BOND_MAX_POSITION - position)
-            sell_size = max(base_size - adjustment, 1)
+            sell_size = max(base_size - adj, 1)
         elif position > 0:
-            buy_size  = max(base_size - adjustment, 1)
+            buy_size  = max(base_size - adj, 1)
-            sell_size = min(base_size + adjustment, BOND_MAX_POSITION + position)
+            sell_size = min(base_size + adj, BOND_MAX_POSITION + position)
         else:
             buy_size  = base_size
             sell_size = base_size
 
-        # 포지션 한도 초과 방지
         buy_size  = min(buy_size,  BOND_MAX_POSITION - max(position, 0))
         sell_size = min(sell_size, BOND_MAX_POSITION + min(position, 0))
 
+        buy_price  = BOND_FAIR_VALUE - BOND_SPREAD
+        sell_price = BOND_FAIR_VALUE + BOND_SPREAD
+
         if buy_size > 0:
-            bid = next_id()
+            oid = next_id()
-            exchange.send_add_message(bid, "BOND", Dir.BUY, buy_price, buy_size)
+            exchange.send_add_message(oid, "BOND", Dir.BUY, buy_price, buy_size)
-            active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
+            active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY, "price": buy_price}
 
         if sell_size > 0:
-            ask = next_id()
+            oid = next_id()
-            exchange.send_add_message(ask, "BOND", Dir.SELL, sell_price, sell_size)
+            exchange.send_add_message(oid, "BOND", Dir.SELL, sell_price, sell_size)
-            active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
+            active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.SELL, "price": sell_price}
 
         print(f"  BOND 주문 → 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}")
 
+    def place_stock_orders(sym):
+        """
+        GS/MS/WFC 마켓메이킹.
+        implied fair value 주변 ±STOCK_SPREAD에서 양방향 DAY 주문.
+        """
+        if not market_open:
+            return
+
+        fair = implied_fairs.get(sym)
+        if fair is None or fair <= 0:
+            return
+
+        cancel_mm_orders_for(sym)
+
+        position  = state.get_position(sym)
+        base_size = STOCK_ORDER_SIZE
+        adj       = abs(position) // 10
+
+        if position < 0:
+            buy_size  = min(base_size + adj, STOCK_MAX_POSITION - position)
+            sell_size = max(base_size - adj, 1)
+        elif position > 0:
+            buy_size  = max(base_size - adj, 1)
+            sell_size = min(base_size + adj, STOCK_MAX_POSITION + position)
+        else:
+            buy_size  = base_size
+            sell_size = base_size
+
+        buy_size  = min(buy_size,  STOCK_MAX_POSITION - max(position, 0))
+        sell_size = min(sell_size, STOCK_MAX_POSITION + min(position, 0))
+
+        buy_price  = int(fair) - STOCK_SPREAD
+        sell_price = int(fair) + STOCK_SPREAD
+
+        if buy_price <= 0:
+            return
+
+        if buy_size > 0:
+            oid = next_id()
+            exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
+            active_mm_orders[oid] = {"sym": sym, "dir": Dir.BUY, "price": buy_price}
+
+        if sell_size > 0:
+            oid = next_id()
+            exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
+            active_mm_orders[oid] = {"sym": sym, "dir": Dir.SELL, "price": sell_price}
+
+        print(f"  {sym} 주문 → fair:{fair}, 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}")
+
+    def refresh_all_mm():
+        """모든 마켓메이킹 주문 갱신"""
+        place_bond_orders()
+        update_implied_fairs()
+        for sym in ["GS", "MS", "WFC"]:
+            place_stock_orders(sym)
+
+    # ==================== XLF 차익거래 ====================
+
     def try_xlf_arb():
         nonlocal xlf_state, xlf_direction, xlf_pending, xlf_convert_oid
 
@@ -128,16 +282,15 @@ def main():
 
         basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
         basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
+        pos_xlf    = state.get_position("XLF")
 
         # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도
         profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
-        pos_xlf  = state.get_position("XLF")
         if profit1 > 0 and pos_xlf < XLF_MAX_POSITION:
-            print(f"  XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
+            print(f"  XLF 차익(바스켓->XLF) 시작, 예상수익:{profit1}")
             xlf_state     = "BUYING_BASKET"
             xlf_direction = "BASKET_TO_XLF"
             xlf_pending.clear()
-            # IOC 주문: 즉시 체결 안 되면 자동 취소
             for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
                 oid = next_id()
                 exchange.send_add_message_ioc(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
@@ -147,7 +300,7 @@ def main():
         # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
         profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
         if profit2 > 0 and pos_xlf > -XLF_MAX_POSITION:
-            print(f"  XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
+            print(f"  XLF 차익(XLF->바스켓) 시작, 예상수익:{profit2}")
             xlf_state     = "BUYING_XLF"
             xlf_direction = "XLF_TO_BASKET"
             xlf_pending.clear()
@@ -160,39 +313,34 @@ def main():
 
         if order_id not in xlf_pending:
             return
-
         xlf_pending[order_id] = max(0, xlf_pending[order_id] - qty)
         if xlf_pending[order_id] == 0:
             del xlf_pending[order_id]
 
         if xlf_state == "BUYING_BASKET" and not xlf_pending:
-            print("  바스켓 매수 완료 → XLF 변환 시작")
+            print("  바스켓 매수 완료 -> XLF 변환 시작")
-            xlf_state = "CONVERTING"
+            xlf_state       = "CONVERTING"
             xlf_convert_oid = next_id()
             exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, 10)
 
         elif xlf_state == "BUYING_XLF" and not xlf_pending:
-            print("  XLF 매수 완료 → 바스켓 변환 시작")
+            print("  XLF 매수 완료 -> 바스켓 변환 시작")
-            xlf_state = "CONVERTING"
+            xlf_state       = "CONVERTING"
             xlf_convert_oid = next_id()
             exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, 10)
 
     def handle_xlf_out(order_id):
-        """out 메시지 처리 - IOC 주문이 체결 안 됐거나 BOND 주문 만료"""
         nonlocal xlf_state, xlf_pending, xlf_direction
 
         if order_id not in xlf_pending:
             return
-
         remaining = xlf_pending.pop(order_id, 0)
-        # 아직 살아있는 pending이 없으면 state 정리
+        if not xlf_pending and xlf_state in ("BUYING_BASKET", "BUYING_XLF"):
-        if not xlf_pending:
+            print(f"  XLF 주문 out (미체결/부분체결) -> IDLE 복귀. 남은:{remaining}")
-            if xlf_state in ("BUYING_BASKET", "BUYING_XLF"):
+            xlf_state     = "IDLE"
-                # 부분 체결이나 미체결로 인해 arb 포기 → IDLE 복귀
+            xlf_direction = None
-                # 이미 체결된 포지션은 다음 arb에서 자연 해소됨
+
-                print(f"  XLF 주문 out (미체결/부분체결) → IDLE 복귀. 남은:{remaining}")
+    # ==================== VALE 차익거래 ====================
-                xlf_state = "IDLE"
-                xlf_direction = None
 
     def try_vale_arb():
         nonlocal vale_state, vale_direction, vale_pending, vale_convert_oid
@@ -208,24 +356,22 @@ def main():
         if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
             return
 
-        # 케이스 1: VALBZ 매수 → VALE 변환 → VALE 매도
         profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
         if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION:
-            print(f"  VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
+            print(f"  VALE 차익(VALBZ->VALE) 시작, 예상수익:{profit1}")
-            vale_state     = "BUYING_VALBZ"
+            vale_state      = "BUYING_VALBZ"
-            vale_direction = "VALBZ_TO_VALE"
+            vale_direction  = "VALBZ_TO_VALE"
             vale_pending.clear()
             oid = next_id()
             exchange.send_add_message_ioc(oid, "VALBZ", Dir.BUY, valbz_ask, 1)
             vale_pending[oid] = 1
             return
 
-        # 케이스 2: VALE 매수 → VALBZ 변환 → VALBZ 매도
         profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
         if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION:
-            print(f"  VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
+            print(f"  VALE 차익(VALE->VALBZ) 시작, 예상수익:{profit2}")
-            vale_state     = "BUYING_VALE"
+            vale_state      = "BUYING_VALE"
-            vale_direction = "VALE_TO_VALBZ"
+            vale_direction  = "VALE_TO_VALBZ"
             vale_pending.clear()
             oid = next_id()
             exchange.send_add_message_ioc(oid, "VALE", Dir.BUY, vale_ask, 1)
@@ -236,20 +382,19 @@ def main():
 
         if order_id not in vale_pending:
             return
-
         vale_pending[order_id] = max(0, vale_pending[order_id] - qty)
         if vale_pending[order_id] == 0:
             del vale_pending[order_id]
 
         if vale_state == "BUYING_VALBZ" and not vale_pending:
-            print("  VALBZ 매수 완료 → VALE 변환 시작")
+            print("  VALBZ 매수 완료 -> VALE 변환 시작")
-            vale_state = "CONVERTING"
+            vale_state       = "CONVERTING"
             vale_convert_oid = next_id()
             exchange.send_convert_message(vale_convert_oid, "VALE", Dir.BUY, 1)
 
         elif vale_state == "BUYING_VALE" and not vale_pending:
-            print("  VALE 매수 완료 → VALBZ 변환 시작")
+            print("  VALE 매수 완료 -> VALBZ 변환 시작")
-            vale_state = "CONVERTING"
+            vale_state       = "CONVERTING"
             vale_convert_oid = next_id()
             exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, 1)
 
@@ -258,13 +403,13 @@ def main():
 
         if order_id not in vale_pending:
             return
-
         remaining = vale_pending.pop(order_id, 0)
-        if not vale_pending:
+        if not vale_pending and vale_state in ("BUYING_VALBZ", "BUYING_VALE"):
-            if vale_state in ("BUYING_VALBZ", "BUYING_VALE"):
+            print(f"  VALE 주문 out (미체결) -> IDLE 복귀. 남은:{remaining}")
-                print(f"  VALE 주문 out (미체결) → IDLE 복귀. 남은:{remaining}")
+            vale_state     = "IDLE"
-                vale_state = "IDLE"
+            vale_direction = None
-                vale_direction = None
+
+    # ==================== 메인 루프 ====================
 
     vale_last_print_time = time.time()
 
@@ -278,7 +423,8 @@ def main():
         elif message["type"] == "open":
             print("Market opened:", message)
             market_open = True
-            place_bond_orders()
+            cleanup_residual_positions()
+            refresh_all_mm()
 
         elif message["type"] == "error":
             print("ERROR:", message)
@@ -286,94 +432,90 @@ def main():
         elif message["type"] == "reject":
             print("REJECT:", message)
             oid = message.get("order_id")
-            active_orders.pop(oid, None)
+            active_mm_orders.pop(oid, None)
 
             if oid in xlf_pending:
-                print("  XLF 주문 reject → IDLE 복귀")
+                print("  XLF 주문 reject -> IDLE 복귀")
-                xlf_state = "IDLE"
+                xlf_state       = "IDLE"
                 xlf_pending.clear()
-                xlf_direction = None
+                xlf_direction   = None
                 xlf_convert_oid = None
 
             if oid in vale_pending:
-                print("  VALE 주문 reject → IDLE 복귀")
+                print("  VALE 주문 reject -> IDLE 복귀")
-                vale_state = "IDLE"
+                vale_state       = "IDLE"
                 vale_pending.clear()
-                vale_direction = None
+                vale_direction   = None
                 vale_convert_oid = None
 
         elif message["type"] == "ack":
             oid = message.get("order_id")
 
-            # ★ 핵심 수정: 변환 주문의 ack인지 명확히 구분
             if xlf_state == "CONVERTING" and oid == xlf_convert_oid:
-                print("  XLF 변환 완료 → 매도 시작")
+                print("  XLF 변환 완료 -> 매도 시작")
                 if xlf_direction == "BASKET_TO_XLF":
                     xlf_state = "SELLING_XLF"
-                    sell_oid = next_id()
+                    bid_now   = state.bid_prices.get("XLF")
-                    xlf_bid_now = state.bid_prices.get("XLF")
+                    if bid_now:
-                    if xlf_bid_now:
+                        sell_oid = next_id()
-                        exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, xlf_bid_now, 10)
+                        exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, bid_now, 10)
                         xlf_pending[sell_oid] = 10
                     else:
-                        print("  XLF bid 없음 → IDLE 복귀")
+                        xlf_state     = "IDLE"
-                        xlf_state = "IDLE"
                         xlf_direction = None
 
                 elif xlf_direction == "XLF_TO_BASKET":
                     xlf_state = "SELLING_BASKET"
                     for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
-                        sell_oid = next_id()
                         bid_now = state.bid_prices.get(sym)
                         if bid_now:
+                            sell_oid = next_id()
                             exchange.send_add_message_ioc(sell_oid, sym, Dir.SELL, bid_now, qty)
                             xlf_pending[sell_oid] = qty
                     if not xlf_pending:
-                        xlf_state = "IDLE"
+                        xlf_state     = "IDLE"
                         xlf_direction = None
 
             elif vale_state == "CONVERTING" and oid == vale_convert_oid:
-                print("  VALE 변환 완료 → 매도 시작")
+                print("  VALE 변환 완료 -> 매도 시작")
                 if vale_direction == "VALBZ_TO_VALE":
                     vale_state = "SELLING_VALE"
-                    sell_oid = next_id()
+                    bid_now    = state.bid_prices.get("VALE")
-                    vale_bid_now = state.bid_prices.get("VALE")
+                    if bid_now:
-                    if vale_bid_now:
+                        sell_oid = next_id()
-                        exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, vale_bid_now, 1)
+                        exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, bid_now, 1)
                         vale_pending[sell_oid] = 1
                     else:
-                        vale_state = "IDLE"
+                        vale_state     = "IDLE"
                         vale_direction = None
 
                 elif vale_direction == "VALE_TO_VALBZ":
                     vale_state = "SELLING_VALBZ"
-                    sell_oid = next_id()
+                    bid_now    = state.bid_prices.get("VALBZ")
-                    valbz_bid_now = state.bid_prices.get("VALBZ")
+                    if bid_now:
-                    if valbz_bid_now:
+                        sell_oid = next_id()
-                        exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, valbz_bid_now, 1)
+                        exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, bid_now, 1)
                         vale_pending[sell_oid] = 1
                     else:
-                        vale_state = "IDLE"
+                        vale_state     = "IDLE"
                         vale_direction = None
 
         elif message["type"] == "out":
-            # ★ 핵심 수정: out 메시지 처리
             oid = message.get("order_id")
-            active_orders.pop(oid, None)
+            active_mm_orders.pop(oid, None)
             handle_xlf_out(oid)
             handle_vale_out(oid)
 
-            # 매도 완료 체크
             if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
-                print("  XLF 차익거래 완료 → IDLE 복귀")
+                print("  XLF 차익거래 완료 -> IDLE 복귀")
-                xlf_state = "IDLE"
+                xlf_state       = "IDLE"
-                xlf_direction = None
+                xlf_direction   = None
                 xlf_convert_oid = None
 
             if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
-                print("  VALE 차익거래 완료 → IDLE 복귀")
+                print("  VALE 차익거래 완료 -> IDLE 복귀")
-                vale_state = "IDLE"
+                vale_state       = "IDLE"
-                vale_direction = None
+                vale_direction   = None
                 vale_convert_oid = None
 
         elif message["type"] == "fill":
@@ -389,26 +531,33 @@ def main():
 
             print(f"  FILL {sym} {dir_} x{qty} @ {message['price']} | 포지션:{state.positions}")
 
-            # ★ 핵심 수정: BOND 체결 시 throttle - 너무 자주 재주문 방지
+            # 마켓메이킹 주문 체결 -> 해당 심볼 재주문 (throttle 적용)
-            if sym == "BOND" and oid in active_orders:
+            if oid in active_mm_orders:
-                active_orders.pop(oid, None)
+                filled_sym = active_mm_orders.pop(oid)["sym"]
-                now = time.time()
+                now        = time.time()
-                if now - last_bond_fill_time > BOND_REORDER_DELAY:
+                last_t     = last_mm_fill_time.get(filled_sym, 0.0)
-                    last_bond_fill_time = now
+                delay      = BOND_REORDER_DELAY if filled_sym == "BOND" else STOCK_REORDER_DELAY
-                    place_bond_orders()
+
+                if now - last_t > delay:
+                    last_mm_fill_time[filled_sym] = now
+                    if filled_sym == "BOND":
+                        place_bond_orders()
+                    elif filled_sym in ("GS", "MS", "WFC"):
+                        update_implied_fairs()
+                        place_stock_orders(filled_sym)
 
             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")
+                print("  XLF 차익거래 완료 -> IDLE 복귀")
-                xlf_state = "IDLE"
+                xlf_state       = "IDLE"
-                xlf_direction = None
+                xlf_direction   = None
                 xlf_convert_oid = None
 
             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")
+                print("  VALE 차익거래 완료 -> IDLE 복귀")
-                vale_state = "IDLE"
+                vale_state       = "IDLE"
-                vale_direction = None
+                vale_direction   = None
                 vale_convert_oid = None
 
         elif message["type"] == "book":
@@ -424,22 +573,33 @@ def main():
                 if now > vale_last_print_time + 1:
                     vale_last_print_time = now
                     print({
-                        "vale_bid": state.bid_prices.get("VALE"),
+                        "vale_bid":  state.bid_prices.get("VALE"),
-                        "vale_ask": state.ask_prices.get("VALE"),
+                        "vale_ask":  state.ask_prices.get("VALE"),
                         "valbz_bid": state.bid_prices.get("VALBZ"),
                         "valbz_ask": state.ask_prices.get("VALBZ"),
                     })
 
             if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
+                update_implied_fairs()
                 try_xlf_arb()
 
+                # fair value가 크게 움직이면 해당 종목 주문 즉시 갱신
+                if sym in ["GS", "MS", "WFC"] and implied_fairs.get(sym) is not None:
+                    existing = [(oid, info) for oid, info in active_mm_orders.items()
+                                if info["sym"] == sym]
+                    if existing:
+                        fair   = implied_fairs[sym]
+                        prices = [info["price"] for _, info in existing]
+                        if any(abs(p - fair) > STOCK_SPREAD * 2 for p in prices):
+                            place_stock_orders(sym)
+
             if sym in ["VALE", "VALBZ"]:
                 try_vale_arb()
 
             now = time.time()
             if now - last_refresh > REFRESH_INTERVAL:
                 last_refresh = now
-                place_bond_orders()
+                refresh_all_mm()
 
 
 # ~~~~~============== PROVIDED CODE ==============~~~~~
@@ -452,12 +612,11 @@ class Dir(str, Enum):
 class ExchangeConnection:
     def __init__(self, args):
         self.message_timestamps = deque(maxlen=500)
-        self.exchange_hostname = args.exchange_hostname
+        self.exchange_hostname  = args.exchange_hostname
-        self.port = args.port
+        self.port               = args.port
-        exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
+        exchange_socket         = self._connect(add_socket_timeout=args.add_socket_timeout)
-        self.reader = exchange_socket.makefile("r", 1)
+        self.reader             = exchange_socket.makefile("r", 1)
-        self.writer = exchange_socket
+        self.writer             = exchange_socket
-
         self._write_message({"type": "hello", "team": team_name.upper()})
 
     def read_message(self):
@@ -467,36 +626,23 @@ class ExchangeConnection:
         return message
 
     def send_add_message(self, order_id: int, symbol: str, dir: Dir, price: int, size: int):
-        """DAY 주문 (장 마감까지 유지)"""
+        """DAY 주문 - 마켓메이킹용"""
         self._write_message({
-            "type": "add",
+            "type": "add", "order_id": order_id, "symbol": symbol,
-            "order_id": order_id,
+            "dir": dir, "price": price, "size": size, "tif": "DAY",
-            "symbol": symbol,
-            "dir": dir,
-            "price": price,
-            "size": size,
-            "tif": "DAY",
         })
 
     def send_add_message_ioc(self, order_id: int, symbol: str, dir: Dir, price: int, size: int):
-        """IOC 주문 (즉시 체결 안 되면 자동 취소) - 차익거래에 사용"""
+        """IOC 주문 - 차익거래/청산용"""
         self._write_message({
-            "type": "add",
+            "type": "add", "order_id": order_id, "symbol": symbol,
-            "order_id": order_id,
+            "dir": dir, "price": price, "size": size, "tif": "IOC",
-            "symbol": symbol,
-            "dir": dir,
-            "price": price,
-            "size": size,
-            "tif": "IOC",
         })
 
     def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
         self._write_message({
-            "type": "convert",
+            "type": "convert", "order_id": order_id,
-            "order_id": order_id,
+            "symbol": symbol, "dir": dir, "size": size,
-            "symbol": symbol,
-            "dir": dir,
-            "size": size,
         })
 
     def send_cancel_message(self, order_id: int):
@@ -512,17 +658,14 @@ class ExchangeConnection:
     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"
+            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(
+            sent = self.writer.send(what_to_write[total_sent:].encode("utf-8"))
-                what_to_write[total_sent:].encode("utf-8")
+            if sent == 0:
-            )
-            if sent_this_time == 0:
                 raise Exception("Unable to send data to exchange")
-            total_sent += sent_this_time
+            total_sent += sent
 
         now = time.time()
         self.message_timestamps.append(now)
@@ -535,14 +678,10 @@ 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)
+    grp = parser.add_mutually_exclusive_group(required=True)
-    exchange_address_group.add_argument("--production", action="store_true")
+    grp.add_argument("--production", action="store_true")
-    exchange_address_group.add_argument(
+    grp.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys())
-        "--test", type=str, choices=test_exchange_port_offsets.keys()
+    grp.add_argument("--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS)
-    )
-    exchange_address_group.add_argument(
-        "--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
-    )
 
     args = parser.parse_args()
     args.add_socket_timeout = True
@@ -566,4 +705,4 @@ if __name__ == "__main__":
     assert team_name != "REPLAC" + "EME", (
         "Please put your team name in the variable [team_name]."
     )
-    main()
+    main()