commit

new_prac.py

@@ -1,155 +1,23 @@
 #!/usr/bin/env python3
-
+import argparse, socket, json, time
-import argparse
 from enum import Enum
-import socket
-import json
 from state import StateManager
 
 team_name = "HanyangFloorFunction"
 
-# ==================== 설정 ====================
+# ===== 튜닝 파라미터 =====
-ORDER_SIZE = 6
+ORDER_SIZE = 3
 MAX_POS = 40
-KILL_POS = 50
+KILL_POS = 55
-ARB_THRESHOLD = 10
+REFRESH = 0.25          # 주문 리프레시 주기
+ARB_THRESHOLD = 12      # XLF 차익 임계
+SKEW_K = 0.2            # 포지션 스큐 강도
 
-# ====================
 class Dir(str, Enum):
     BUY = "BUY"
     SELL = "SELL"
 
-# ====================
+# ===== Exchange =====
-def main():
-    args = parse_arguments()
-    exchange = ExchangeConnection(args)
-
-    state = StateManager()
-    hello = exchange.read_message()
-
-    positions = {s["symbol"]: s["position"] for s in hello["symbols"]}
-
-    order_id = 0
-    def next_id():
-        nonlocal order_id
-        order_id += 1
-        return order_id
-
-    active_orders = {}
-
-    # ==================== 공격형 MM ====================
-    def market_make(sym):
-        bid = state.bid_prices.get(sym)
-        ask = state.ask_prices.get(sym)
-        if bid is None or ask is None:
-            return
-
-        pos = positions.get(sym, 0)
-
-        if abs(pos) > MAX_POS:
-            return
-
-        buy_price = bid + 2
-        sell_price = ask - 2
-
-        if buy_price >= sell_price:
-            return
-
-        buy_size = ORDER_SIZE
-        sell_size = ORDER_SIZE
-
-        if pos > 0:
-            sell_size += 2
-        elif pos < 0:
-            buy_size += 2
-
-        oid = next_id()
-        exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
-        active_orders[oid] = sym
-
-        oid = next_id()
-        exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
-        active_orders[oid] = sym
-
-    # ==================== Fill 기반 재주문 ====================
-    def refill(sym):
-        market_make(sym)
-
-    # ==================== XLF Arb (공격형) ====================
-    def xlf_arb():
-        bond = state.bid_prices.get("BOND")
-        gs = state.bid_prices.get("GS")
-        ms = state.bid_prices.get("MS")
-        wfc = state.bid_prices.get("WFC")
-        xlf = state.ask_prices.get("XLF")
-
-        if None in [bond, gs, ms, wfc, xlf]:
-            return
-
-        basket = bond*3 + gs*2 + ms*3 + wfc*2
-        profit = basket - xlf*10
-
-        if profit > ARB_THRESHOLD:
-            exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf, 5)
-
-    # ==================== 리스크 ====================
-    def risk():
-        for sym in positions:
-            pos = positions[sym]
-
-            if abs(pos) > KILL_POS:
-                if pos > 0:
-                    exchange.send_add_message_ioc(
-                        next_id(), sym, Dir.SELL,
-                        state.bid_prices.get(sym, 1), abs(pos)
-                    )
-                else:
-                    exchange.send_add_message_ioc(
-                        next_id(), sym, Dir.BUY,
-                        state.ask_prices.get(sym, 99999), abs(pos)
-                    )
-
-    # ==================== LOOP ====================
-    while True:
-        msg = exchange.read_message()
-
-        if msg["type"] == "close":
-            break
-
-        elif msg["type"] == "book":
-            sym = msg["symbol"]
-
-            bid = msg["buy"][0][0] if msg["buy"] else None
-            ask = msg["sell"][0][0] if msg["sell"] else None
-
-            state.update_bid_ask_price(sym, bid, ask)
-
-            # 기존 주문 일부만 cancel (속도 유지)
-            for oid in list(active_orders.keys())[:4]:
-                exchange.send_cancel_message(oid)
-                del active_orders[oid]
-
-            # 전략 실행
-            if sym in ["GS", "MS", "WFC"]:
-                market_make(sym)
-
-            xlf_arb()
-            risk()
-
-        elif msg["type"] == "fill":
-            sym = msg["symbol"]
-            qty = msg["size"]
-
-            if msg["dir"] == Dir.BUY:
-                positions[sym] += qty
-            else:
-                positions[sym] -= qty
-
-            # 🔥 체결 즉시 재주문
-            if sym in ["GS", "MS", "WFC"]:
-                refill(sym)
-
-# ====================
 class ExchangeConnection:
     def __init__(self, args):
         s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
@@ -158,41 +26,187 @@ class ExchangeConnection:
         self.writer = s
         self._write({"type": "hello", "team": team_name.upper()})
 
-    def read_message(self):
+    def read(self):
-        msg = json.loads(self.reader.readline())
+        m = json.loads(self.reader.readline())
-        if "dir" in msg:
+        if "dir" in m: m["dir"] = Dir(m["dir"])
-            msg["dir"] = Dir(msg["dir"])
+        return m
-        return msg
 
-    def send_add_message(self, oid, sym, dir, price, size):
+    def add(self, oid, sym, d, px, sz, tif="DAY"):
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
+        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
 
-    def send_add_message_ioc(self, oid, sym, dir, price, size):
+    def ioc(self, oid, sym, d, px, sz):
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
+        self.add(oid, sym, d, px, sz, "IOC")
 
-    def send_cancel_message(self, oid):
+    def cancel(self, oid):
         self._write({"type":"cancel","order_id":oid})
 
-    def _write(self, msg):
+    def convert(self, oid, sym, d, sz):
-        self.writer.send((json.dumps(msg)+"\n").encode())
+        self._write({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz})
 
-# ====================
+    def _write(self, m):
+        self.writer.send((json.dumps(m)+"\n").encode())
+
+# ===== args =====
 def parse_arguments():
-    parser = argparse.ArgumentParser()
+    p = argparse.ArgumentParser()
-    group = parser.add_mutually_exclusive_group(required=True)
+    g = p.add_mutually_exclusive_group(required=True)
-    group.add_argument("--production", action="store_true")
+    g.add_argument("--production", action="store_true")
-    group.add_argument("--test", type=str, default="prod-like")
+    g.add_argument("--test", type=str, default="prod-like")
-
+    a = p.parse_args()
-    args = parser.parse_args()
+    if a.production:
-
+        a.exchange_hostname, a.port = "production", 25000
-    if args.production:
-        args.exchange_hostname = "production"
-        args.port = 25000
     else:
-        args.exchange_hostname = "test-exch-" + team_name
+        a.exchange_hostname, a.port = "test-exch-"+team_name, 22000
-        args.port = 22000
+    return a
 
-    return args
+# ===== main =====
+def main():
+    args = parse_arguments()
+    ex = ExchangeConnection(args)
+    st = StateManager()
+
+    hello = ex.read()
+    pos = {s["symbol"]: s["position"] for s in hello["symbols"]}
+
+    oid = 0
+    def nid():
+        nonlocal oid; oid += 1; return oid
+
+    active = {}  # oid -> sym
+    last_refresh = 0.0
+
+    # ---- 유틸 ----
+    def mid(sym):
+        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+        return None if (b is None or a is None) else (b+a)//2
+
+    def spread(sym):
+        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+        return None if (b is None or a is None) else (a-b)
+
+    # ---- MM (스큐 포함) ----
+    def place_mm(sym):
+        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+        if b is None or a is None: return
+        if spread(sym) is None or spread(sym) < 2: return
+
+        p = pos.get(sym, 0)
+        if abs(p) >= MAX_POS: return
+
+        # 기본: bid+1 / ask-1
+        buy_px  = b + 1
+        sell_px = a - 1
+        if buy_px >= sell_px: return
+
+        # 포지션 스큐: 롱이면 매도 쪽 강화, 숏이면 매수 쪽 강화
+        skew = int(SKEW_K * p)
+        buy_sz  = max(1, ORDER_SIZE - max(0, skew))
+        sell_sz = max(1, ORDER_SIZE + max(0, skew))
+        if p < 0:
+            buy_sz  = max(1, ORDER_SIZE + max(0, -skew))
+            sell_sz = max(1, ORDER_SIZE - max(0, -skew))
+
+        # 안전 클램프
+        buy_sz  = min(buy_sz,  MAX_POS - max(p, 0))
+        sell_sz = min(sell_sz, MAX_POS + min(p, 0))
+        if buy_sz <= 0 and sell_sz <= 0: return
+
+        if buy_sz > 0:
+            o = nid(); ex.add(o, sym, Dir.BUY,  buy_px,  buy_sz);  active[o] = sym
+        if sell_sz > 0:
+            o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym
+
+    # ---- XLF 차익 (정석) ----
+    def xlf_arb():
+        bond_ask = st.ask_prices.get("BOND")
+        gs_ask   = st.ask_prices.get("GS")
+        ms_ask   = st.ask_prices.get("MS")
+        wfc_ask  = st.ask_prices.get("WFC")
+        xlf_bid  = st.bid_prices.get("XLF")
+
+        bond_bid = st.bid_prices.get("BOND")
+        gs_bid   = st.bid_prices.get("GS")
+        ms_bid   = st.bid_prices.get("MS")
+        wfc_bid  = st.bid_prices.get("WFC")
+        xlf_ask  = st.ask_prices.get("XLF")
+
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
+                    bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
+            return
+
+        # 케이스1: 바스켓 매수 → XLF 변환 → XLF 매도
+        cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
+        p1 = xlf_bid*10 - cost
+        if p1 > ARB_THRESHOLD and pos.get("XLF",0) < MAX_POS:
+            ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3)
+            ex.ioc(nid(),"GS",  Dir.BUY,gs_ask,  2)
+            ex.ioc(nid(),"MS",  Dir.BUY,ms_ask,  3)
+            ex.ioc(nid(),"WFC", Dir.BUY,wfc_ask, 2)
+            ex.convert(nid(),"XLF",Dir.BUY,10)
+            ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10)
+
+        # 케이스2: XLF 매수 → 바스켓 변환 → 바스켓 매도
+        rev = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
+        p2 = rev - xlf_ask*10
+        if p2 > ARB_THRESHOLD and pos.get("XLF",0) > -MAX_POS:
+            ex.ioc(nid(),"XLF",Dir.BUY,xlf_ask,10)
+            ex.convert(nid(),"XLF",Dir.SELL,10)
+            ex.ioc(nid(),"BOND",Dir.SELL,bond_bid,3)
+            ex.ioc(nid(),"GS",  Dir.SELL,gs_bid,  2)
+            ex.ioc(nid(),"MS",  Dir.SELL,ms_bid,  3)
+            ex.ioc(nid(),"WFC", Dir.SELL,wfc_bid, 2)
+
+    # ---- 리스크 컷 ----
+    def risk():
+        for s, p in pos.items():
+            if abs(p) >= KILL_POS:
+                b, a = st.bid_prices.get(s), st.ask_prices.get(s)
+                if p > 0 and b:
+                    ex.ioc(nid(), s, Dir.SELL, b, abs(p))
+                elif p < 0 and a:
+                    ex.ioc(nid(), s, Dir.BUY,  a, abs(p))
+
+    # ---- 주문 리프레시 (전부 취소 후 재호가) ----
+    def refresh_all():
+        # 전부 취소
+        for o in list(active.keys()):
+            ex.cancel(o)
+            active.pop(o, None)
+        # 재호가
+        for s in ["GS","MS","WFC"]:
+            place_mm(s)
+
+    # ===== LOOP =====
+    while True:
+        m = ex.read()
+
+        if m["type"] == "close":
+            break
+
+        elif m["type"] == "book":
+            sym = m["symbol"]
+            b = m["buy"][0][0]  if m["buy"]  else None
+            a = m["sell"][0][0] if m["sell"] else None
+            st.update_bid_ask_price(sym, b, a)
+
+            # 주기적 리프레시
+            now = time.time()
+            if now - last_refresh > REFRESH:
+                last_refresh = now
+                refresh_all()
+
+            # XLF 차익 + 리스크
+            if sym in ["BOND","GS","MS","WFC","XLF"]:
+                xlf_arb()
+            risk()
+
+        elif m["type"] == "fill":
+            s, q, d = m["symbol"], m["size"], m["dir"]
+            pos[s] = pos.get(s,0) + (q if d == Dir.BUY else -q)
+
+            # 체결 즉시 해당 심볼만 재호가 (속도 ↑)
+            if s in ["GS","MS","WFC"]:
+                place_mm(s)
 
 if __name__ == "__main__":
     main()