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khwkim1111
2026-05-09 13:51:02 +09:00
parent b29f70b667
commit 2455dc33dc
1 changed files with 310 additions and 171 deletions
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479
bot bond sell.py
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@@ -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()
om = OrderManager()
market_open = False
active_orders = {} # BOND 전용: order_id -> {"dir": ..., "price": ...}
state = state_init
om = OrderManager()
market_open = False
last_refresh = time.time()
last_bond_fill_time = 0.0 # BOND 체결 시 재주문 throttle용
BOND_REORDER_DELAY = 0.2 # 0.2초 이내 중복 재주문 방지
# 마켓메이킹 주문 추적: order_id -> {"sym": ..., "dir": ..., "price": ...}
active_mm_orders = {}
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():
for oid in list(active_orders.keys()):
exchange.send_cancel_message(oid)
active_orders.clear()
# ==================== fair value 추정 ====================
def place_bond_orders():
"""포지션 한도 안에서 bid/ask 양방향 주문"""
def update_implied_fairs():
"""
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
sell_price = BOND_FAIR_VALUE + BOND_SPREAD
position = state.get_position("BOND")
for sym in ["GS", "MS", "WFC", "VALE", "VALBZ"]:
pos = state.get_position(sym)
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
adjustment = abs(position) // 5
# ==================== 마켓메이킹 주문 ====================
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)
sell_size = max(base_size - adjustment, 1)
buy_size = min(base_size + adj, BOND_MAX_POSITION - position)
sell_size = max(base_size - adj, 1)
elif position > 0:
buy_size = max(base_size - adjustment, 1)
sell_size = min(base_size + adjustment, BOND_MAX_POSITION + position)
buy_size = max(base_size - adj, 1)
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()
exchange.send_add_message(bid, "BOND", Dir.BUY, buy_price, buy_size)
active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
oid = next_id()
exchange.send_add_message(oid, "BOND", Dir.BUY, buy_price, buy_size)
active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY, "price": buy_price}
if sell_size > 0:
ask = next_id()
exchange.send_add_message(ask, "BOND", Dir.SELL, sell_price, sell_size)
active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
oid = next_id()
exchange.send_add_message(oid, "BOND", Dir.SELL, sell_price, sell_size)
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")
xlf_state = "CONVERTING"
print(" 바스켓 매수 완료 -> XLF 변환 시작")
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")
xlf_state = "CONVERTING"
print(" XLF 매수 완료 -> 바스켓 변환 시작")
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:
if xlf_state in ("BUYING_BASKET", "BUYING_XLF"):
# 부분 체결이나 미체결로 인해 arb 포기 → IDLE 복귀
# 이미 체결된 포지션은 다음 arb에서 자연 해소됨
print(f" XLF 주문 out (미체결/부분체결) → IDLE 복귀. 남은:{remaining}")
xlf_state = "IDLE"
xlf_direction = None
if not xlf_pending and xlf_state in ("BUYING_BASKET", "BUYING_XLF"):
print(f" XLF 주문 out (미체결/부분체결) -> IDLE 복귀. 남은:{remaining}")
xlf_state = "IDLE"
xlf_direction = None
# ==================== VALE 차익거래 ====================
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}")
vale_state = "BUYING_VALBZ"
vale_direction = "VALBZ_TO_VALE"
print(f" VALE 차익(VALBZ->VALE) 시작, 예상수익:{profit1}")
vale_state = "BUYING_VALBZ"
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}")
vale_state = "BUYING_VALE"
vale_direction = "VALE_TO_VALBZ"
print(f" VALE 차익(VALE->VALBZ) 시작, 예상수익:{profit2}")
vale_state = "BUYING_VALE"
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")
vale_state = "CONVERTING"
print(" VALBZ 매수 완료 -> VALE 변환 시작")
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")
vale_state = "CONVERTING"
print(" VALE 매수 완료 -> VALBZ 변환 시작")
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 vale_state in ("BUYING_VALBZ", "BUYING_VALE"):
print(f" VALE 주문 out (미체결) → IDLE 복귀. 남은:{remaining}")
vale_state = "IDLE"
vale_direction = None
if not vale_pending and vale_state in ("BUYING_VALBZ", "BUYING_VALE"):
print(f" VALE 주문 out (미체결) -> IDLE 복귀. 남은:{remaining}")
vale_state = "IDLE"
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")
xlf_state = "IDLE"
print(" XLF 주문 reject -> IDLE 복귀")
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")
vale_state = "IDLE"
print(" VALE 주문 reject -> IDLE 복귀")
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()
xlf_bid_now = state.bid_prices.get("XLF")
if xlf_bid_now:
exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, xlf_bid_now, 10)
bid_now = state.bid_prices.get("XLF")
if bid_now:
sell_oid = next_id()
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()
vale_bid_now = state.bid_prices.get("VALE")
if vale_bid_now:
exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, vale_bid_now, 1)
bid_now = state.bid_prices.get("VALE")
if bid_now:
sell_oid = next_id()
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()
valbz_bid_now = state.bid_prices.get("VALBZ")
if valbz_bid_now:
exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, valbz_bid_now, 1)
bid_now = state.bid_prices.get("VALBZ")
if bid_now:
sell_oid = next_id()
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")
xlf_state = "IDLE"
xlf_direction = None
print(" XLF 차익거래 완료 -> IDLE 복귀")
xlf_state = "IDLE"
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")
vale_state = "IDLE"
vale_direction = None
print(" VALE 차익거래 완료 -> IDLE 복귀")
vale_state = "IDLE"
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
if sym == "BOND" and oid in active_orders:
active_orders.pop(oid, None)
now = time.time()
if now - last_bond_fill_time > BOND_REORDER_DELAY:
last_bond_fill_time = now
place_bond_orders()
# 마켓메이킹 주문 체결 -> 해당 심볼 재주문 (throttle 적용)
if oid in active_mm_orders:
filled_sym = active_mm_orders.pop(oid)["sym"]
now = time.time()
last_t = last_mm_fill_time.get(filled_sym, 0.0)
delay = BOND_REORDER_DELAY if filled_sym == "BOND" else STOCK_REORDER_DELAY
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")
xlf_state = "IDLE"
xlf_direction = None
print(" XLF 차익거래 완료 -> IDLE 복귀")
xlf_state = "IDLE"
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")
vale_state = "IDLE"
vale_direction = None
print(" VALE 차익거래 완료 -> IDLE 복귀")
vale_state = "IDLE"
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_ask": state.ask_prices.get("VALE"),
"vale_bid": state.bid_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.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.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):
@@ -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",
"order_id": order_id,
"symbol": symbol,
"dir": dir,
"price": price,
"size": size,
"tif": "DAY",
"type": "add", "order_id": order_id, "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",
"order_id": order_id,
"symbol": symbol,
"dir": dir,
"price": price,
"size": size,
"tif": "IOC",
"type": "add", "order_id": order_id, "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",
"order_id": order_id,
"symbol": symbol,
"dir": dir,
"size": size,
"type": "convert", "order_id": order_id,
"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(
what_to_write[total_sent:].encode("utf-8")
)
if sent_this_time == 0:
sent = self.writer.send(what_to_write[total_sent:].encode("utf-8"))
if sent == 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)
exchange_address_group.add_argument("--production", action="store_true")
exchange_address_group.add_argument(
"--test", type=str, choices=test_exchange_port_offsets.keys()
)
exchange_address_group.add_argument(
"--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
)
grp = parser.add_mutually_exclusive_group(required=True)
grp.add_argument("--production", action="store_true")
grp.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys())
grp.add_argument("--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS)
args = parser.parse_args()
args.add_socket_timeout = True