commit

prac.py

@@ -12,323 +12,217 @@ import socket
 import json
 
 # ~~~~~============== CONFIGURATION  ==============~~~~~
-# Replace "REPLACEME" with your team name!
 team_name = "HanyangFloorFunction"
 
-# ~~~~~============== MAIN LOOP ==============~~~~~
+# ~~~~~============== CLASSES & UTILS ==============~~~~~
-
-# You should put your code here! We provide some starter code as an example,
-# but feel free to change/remove/edit/update any of it as you'd like. If you
-# have any questions about the starter code, or what to do next, please ask us!
-#
-# To help you get started, the sample code below tries to buy BOND for a low
-# price, and it prints the current prices for VALE every second. The sample
-# code is intended to be a working example, but it needs some improvement
-# before it will start making good trades!
-
-
-def main():
-    args = parse_arguments()
-
-    exchange = ExchangeConnection(args=args)
-
-    # Store and print the "hello" message received from the exchange. This
-    # contains useful information about your positions. Normally you start with
-    # all positions at zero, but if you reconnect during a round, you might
-    # have already bought/sold symbols and have non-zero positions.
-    hello_message = exchange.read_message()
-    print("First message from exchange:", hello_message)
-
-    # Send an order for BOND at a good price, but it is low enough that it is
-    # unlikely it will be traded against. Maybe there is a better price to
-    # pick? Also, you will need to send more orders over time.
-    # --- BOND 마켓 메이킹 설정 ---
-    FAIR_VALUE = 1000       # BOND fair value (고정)
-    ORDER_SIZE = 30         # 주문당 수량 (크게 설정해서 체결 기회 증가)
-    MAX_POSITION = 100      # 최대 포지션 한도
-    REFRESH_INTERVAL = 5.0  # 주문 갱신 주기 (초)
-
-    position = 0            # 현재 BOND 포지션
-    order_id = 0            # 단조 증가하는 주문 ID
-    active_orders = {}      # {order_id: {"dir": ..., "price": ...}}
-    market_open = False     # 시장 open 여부 (open 전에는 주문 불가)
-
-    def next_id():
-        nonlocal order_id
-        order_id += 1
-        return order_id
-
-    def cancel_all_bond_orders():
-        """활성 BOND 주문 전부 취소"""
-        for oid in list(active_orders.keys()):
-            exchange.send_cancel_message(oid)
-            active_orders.pop(oid, None)
-
-    def place_bond_orders():
-        """포지션 한도 안에서 bid/ask 양방향 주문"""
-        if not market_open:
-            return
-
-        cancel_all_bond_orders()
-
-        buy_price  = FAIR_VALUE - 1   # 999
-        sell_price = FAIR_VALUE + 1   # 1001
-
-        # 포지션에 따라 size 비대칭 조정
-        base_size  = ORDER_SIZE
-        adjustment = abs(position) // 5
-
-        if position < 0:
-            # 숏 포지션 → 매수를 더 많이
-            buy_size  = min(base_size + adjustment, MAX_POSITION - position)
-            sell_size = max(base_size - adjustment, 1)
-        elif position > 0:
-            # 롱 포지션 → 매도를 더 많이
-            buy_size  = max(base_size - adjustment, 1)
-            sell_size = min(base_size + adjustment, MAX_POSITION + position)
-        else:
-            buy_size  = base_size
-            sell_size = base_size
-
-        if buy_size > 0:
-            bid = next_id()
-            exchange.send_add_message(
-                order_id=bid, symbol="BOND",
-                dir=Dir.BUY, price=buy_price, size=buy_size
-            )
-            active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
-
-        if sell_size > 0:
-            ask = next_id()
-            exchange.send_add_message(
-                order_id=ask, symbol="BOND",
-                dir=Dir.SELL, price=sell_price, size=sell_size
-            )
-            active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
-
-        print(f"  BOND 주문 → 매수: {buy_price} x{buy_size}, 매도: {sell_price} x{sell_size}, 포지션: {position}")
-
-    # Set up some variables to track the bid and ask price of a symbol. Right
-    # now this doesn't track much information, but it's enough to get a sense
-    # of the VALE market.
-    vale_bid_price, vale_ask_price = None, None
-    vale_last_print_time = time.time()
-
-    last_refresh = time.time()
-
-    # Here is the main loop of the program. It will continue to read and
-    # process messages in a loop until a "close" message is received. You
-    # should write to code handle more types of messages (and not just print
-    # the message). Feel free to modify any of the starter code below.
-    #
-    # Note: a common mistake people make is to call write_message() at least
-    # once for every read_message() response.
-    #
-    # Every message sent to the exchange generates at least one response
-    # message. Sending a message in response to every exchange message will
-    # cause a feedback loop where your bot's messages will quickly be
-    # rate-limited and ignored. Please, don't do that!
-    while True:
-        message = exchange.read_message()
-
-        # Some of the message types below happen infrequently and contain
-        # important information to help you understand what your bot is doing,
-        # so they are printed in full. We recommend not always printing every
-        # message because it can be a lot of information to read. Instead, let
-        # your code handle the messages and just print the information
-        # important for you!
-        if message["type"] == "close":
-            print("The round has ended")
-            break
-        elif message["type"] == "open":
-            # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨)
-            print("Market opened:", message)
-            market_open = True
-            place_bond_orders()
-        elif message["type"] == "error":
-            print(message)
-        elif message["type"] == "reject":
-            print(message)
-            # 거부된 주문은 active_orders에서 제거
-            oid = message.get("order_id")
-            active_orders.pop(oid, None)
-        elif message["type"] == "fill":
-            print(message)
-            # 체결 시 포지션 업데이트 후 주문 재보충
-            qty = message["size"]
-            if message["dir"] == Dir.BUY:
-                position += qty
-            else:
-                position -= qty
-            place_bond_orders()
-        elif message["type"] == "book":
-            if message["symbol"] == "VALE":
-
-                def best_price(side):
-                    if message[side]:
-                        return message[side][0][0]
-
-                vale_bid_price = best_price("buy")
-                vale_ask_price = best_price("sell")
-
-                now = time.time()
-
-                if now > vale_last_print_time + 1:
-                    vale_last_print_time = now
-                    print(
-                        {
-                            "vale_bid_price": vale_bid_price,
-                            "vale_ask_price": vale_ask_price,
-                        }
-                    )
-
-            # 주기적으로 BOND 주문 갱신 (주문 만료 방지)
-            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"
 
+class StateManager:
+    """모든 종목의 포지션과 현재 호가 정보를 추적합니다."""
+    def __init__(self):
+        self.positions = {s: 0 for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
+        self.bid_prices = {s: None for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
+        self.ask_prices = {s: None for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
+
+    def update_position(self, symbol, delta):
+        self.positions[symbol] = self.positions.get(symbol, 0) + delta
+
+    def get_position(self, symbol):
+        return self.positions.get(symbol, 0)
+
+    def update_bid_ask_price(self, symbol, bid, ask):
+        self.bid_prices[symbol] = bid
+        self.ask_prices[symbol] = ask
+
+class OrderManager:
+    """단조 증가하는 주문 ID를 관리합니다."""
+    def __init__(self):
+        self.order_id_counter = 0
+    def next_order(self):
+        self.order_id_counter += 1
+        return self.order_id_counter
+
+# ~~~~~============== MAIN BOT LOGIC ==============~~~~~
+
+def main():
+    args = parse_arguments()
+    exchange = ExchangeConnection(args=args)
+
+    # 초기 메시지 처리 및 포지션 복원
+    hello_message = exchange.read_message()
+    print("First message from exchange:", hello_message)
+    
+    state = StateManager()
+    om = OrderManager()
+    
+    if hello_message and "symbols" in hello_message:
+        for sym_info in hello_message["symbols"]:
+            state.update_position(sym_info["symbol"], sym_info["position"])
+
+    # --- 핵심 설정 값 ---
+    BOND_FAIR = 1000
+    BOND_ORDER_SIZE = 30
+    BOND_MAX_POS = 100
+    
+    XLF_FEE = 100
+    XLF_PROFIT_THRESHOLD = 50 # 보수적 진입 (수수료+슬리피지 방어)
+    XLF_MAX_POS = 100
+
+    market_open = False
+    active_mm_orders = {} 
+    last_refresh = time.time()
+    REFRESH_INTERVAL = 3.0 
+
+    def next_id(): return om.next_order()
+
+    # --- 전략 1: BOND 마켓 메이킹 (사용자 기존 로직) ---
+    def place_bond_orders():
+        if not market_open: return
+        
+        # 기존 BOND 주문 관리 (Active Order 추적)
+        pos = state.get_position("BOND")
+        adjustment = abs(pos) // 5 
+        
+        # 포지션 한도 내 수량 결정
+        if pos < 0:
+            buy_size = min(BOND_ORDER_SIZE + adjustment, BOND_MAX_POS - pos)
+            sell_size = max(BOND_ORDER_SIZE - adjustment, 1)
+        elif pos > 0:
+            buy_size = max(BOND_ORDER_SIZE - adjustment, 1)
+            sell_size = min(BOND_ORDER_SIZE + adjustment, BOND_MAX_POS + pos)
+        else:
+            buy_size, sell_size = BOND_ORDER_SIZE, BOND_ORDER_SIZE
+
+        # 999 매수 / 1001 매도 전략
+        if buy_size > 0:
+            oid = next_id()
+            exchange.send_add_message(oid, "BOND", Dir.BUY, 999, buy_size)
+            active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY}
+        if sell_size > 0:
+            oid = next_id()
+            exchange.send_add_message(oid, "BOND", Dir.SELL, 1001, sell_size)
+            active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.SELL}
+
+    # --- 전략 2: XLF 차익거래 (ETF 바스켓 가치 계산) ---
+    def try_xlf_arb():
+        """XLF와 바스켓(3:2:3:2) 간의 가격 괴리 이용"""
+        if not market_open: return
+        
+        # 필요한 호가 정보 확인
+        needed = ["BOND", "GS", "MS", "WFC", "XLF"]
+        if any(state.bid_prices[s] is None or state.ask_prices[s] is None for s in needed):
+            return
+
+        # 1. 바스켓 매수 가치 계산 (우리가 사야 할 가격의 합)
+        # 10 XLF = 3 BOND + 2 GS + 3 MS + 2 WFC
+        basket_buy_cost = (state.ask_prices["BOND"] * 3 + 
+                           state.ask_prices["GS"] * 2 + 
+                           state.ask_prices["MS"] * 3 + 
+                           state.ask_prices["WFC"] * 2)
+        xlf_sell_revenue = state.bid_prices["XLF"] * 10
+        
+        # 예상 수익 = (XLF 매도금액 - 바스켓 매수비용 - 수수료)
+        if xlf_sell_revenue - (basket_buy_cost + XLF_FEE) > XLF_PROFIT_THRESHOLD:
+            if state.get_position("XLF") > -XLF_MAX_POS:
+                print(f"  [XLF ARB] SELL XLF Opportunity! Profit: {xlf_sell_revenue - basket_buy_cost - 100}")
+                exchange.send_add_message(next_id(), "XLF", Dir.SELL, state.bid_prices["XLF"], 10)
+
+        # 2. 바스켓 매도 가치 계산 (우리가 팔 수 있는 가격의 합)
+        xlf_buy_cost = state.ask_prices["XLF"] * 10
+        basket_sell_revenue = (state.bid_prices["BOND"] * 3 + 
+                               state.bid_prices["GS"] * 2 + 
+                               state.bid_prices["MS"] * 3 + 
+                               state.bid_prices["WFC"] * 2)
+        
+        if basket_sell_revenue - (xlf_buy_cost + XLF_FEE) > XLF_PROFIT_THRESHOLD:
+            if state.get_position("XLF") < XLF_MAX_POS:
+                print(f"  [XLF ARB] BUY XLF Opportunity! Profit: {basket_sell_revenue - xlf_buy_cost - 100}")
+                exchange.send_add_message(next_id(), "XLF", Dir.BUY, state.ask_prices["XLF"], 10)
+
+    # --- 메시지 처리 루프 ---
+    while True:
+        message = exchange.read_message()
+        if not message: continue
+
+        msg_type = message["type"]
+
+        if msg_type == "open":
+            market_open = True
+            print("Market is open. Starting trades...")
+            place_bond_orders()
+
+        elif msg_type == "book":
+            sym = message["symbol"]
+            bid = message["buy"][0][0] if message["buy"] else None
+            ask = message["sell"][0][0] if message["sell"] else None
+            state.update_bid_ask_price(sym, bid, ask)
+            
+            # 가격 업데이트 시마다 전략 체크
+            if sym == "BOND":
+                place_bond_orders()
+            elif sym in ["GS", "MS", "WFC", "XLF"]:
+                try_xlf_arb()
+
+        elif msg_type == "fill":
+            sym, qty, direction = message["symbol"], message["size"], message["dir"]
+            state.update_position(sym, qty if direction == Dir.BUY else -qty)
+            print(f"  [FILL] {sym} {direction} x{qty} | New Pos: {state.get_position(sym)}")
+            if sym == "BOND": place_bond_orders()
+
+        elif msg_type == "reject":
+            print(f"  [REJECT] Order {message.get('order_id')}: {message.get('error')}")
+            active_mm_orders.pop(message.get("order_id"), None)
+
+        elif msg_type == "close":
+            print("The round has ended")
+            break
+
+        # 주기적 리프레시 (주문 유실 방지)
+        now = time.time()
+        if now - last_refresh > REFRESH_INTERVAL:
+            last_refresh = now
+            place_bond_orders()
+
+# ~~~~~============== PROVIDED CONNECTION CODE ==============~~~~~
 
 class ExchangeConnection:
     def __init__(self, args):
-        self.message_timestamps = deque(maxlen=500)
+        self.s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
-        self.exchange_hostname = args.exchange_hostname
+        self.s.settimeout(5)
-        self.port = args.port
+        self.s.connect((args.exchange_hostname, args.port))
-        exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
+        self.reader = self.s.makefile("r", 1)
-        self.reader = exchange_socket.makefile("r", 1)
+        self.writer = self.s
-        self.writer = exchange_socket
+        self._write({"type": "hello", "team": team_name.upper()})
-
-        self._write_message({"type": "hello", "team": team_name.upper()})
 
     def read_message(self):
-        """Read a single message from the exchange"""
+        line = self.reader.readline()
-        message = json.loads(self.reader.readline())
+        if not line: return None
-        if "dir" in message:
+        msg = json.loads(line)
-            message["dir"] = Dir(message["dir"])
+        if "dir" in msg: msg["dir"] = Dir(msg["dir"])
-        return message
+        return msg
 
-    def send_add_message(
+    def _write(self, msg):
-        self, order_id: int, symbol: str, dir: Dir, price: int, size: int
+        self.writer.send((json.dumps(msg) + "\n").encode("utf-8"))
-    ):
-        """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):
+    def send_add_message(self, oid, sym, direction, price, size):
-        """Convert between related symbols"""
+        self._write({"type": "add", "order_id": oid, "symbol": sym, "dir": direction, "price": price, "size": size, "tif": "DAY"})
-        self._write_message(
-            {
-                "type": "convert",
-                "order_id": order_id,
-                "symbol": symbol,
-                "dir": dir,
-                "size": size,
-            }
-        )
 
-    def send_cancel_message(self, order_id: int):
+    def send_cancel_message(self, oid):
-        """Cancel an existing order"""
+        self._write({"type": "cancel", "order_id": oid})
-        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 send_convert_message(self, oid, sym, direction, size):
+        self._write({"type": "convert", "order_id": oid, "symbol": sym, "dir": direction, "size": size})
 
 def parse_arguments():
-    test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
+    parser = argparse.ArgumentParser()
-
+    parser.add_argument("--test", type=str, default="prod-like")
-    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
+    args.exchange_hostname = f"test-exch-{team_name.lower()}"
-
+    args.port = 22000 # JSON 프로토콜 포트
-    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)
-
     return args
 
-
 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()