commit
This commit is contained in:
488
prac.py
488
prac.py
@@ -12,323 +12,217 @@ import socket
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import json
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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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# --- BOND 마켓 메이킹 설정 ---
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FAIR_VALUE = 1000 # BOND fair value (고정)
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ORDER_SIZE = 30 # 주문당 수량 (크게 설정해서 체결 기회 증가)
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MAX_POSITION = 100 # 최대 포지션 한도
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REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
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position = 0 # 현재 BOND 포지션
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order_id = 0 # 단조 증가하는 주문 ID
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active_orders = {} # {order_id: {"dir": ..., "price": ...}}
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market_open = False # 시장 open 여부 (open 전에는 주문 불가)
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def next_id():
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nonlocal order_id
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order_id += 1
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return order_id
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def cancel_all_bond_orders():
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"""활성 BOND 주문 전부 취소"""
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for oid in list(active_orders.keys()):
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exchange.send_cancel_message(oid)
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active_orders.pop(oid, None)
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def place_bond_orders():
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"""포지션 한도 안에서 bid/ask 양방향 주문"""
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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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buy_price = FAIR_VALUE - 1 # 999
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sell_price = FAIR_VALUE + 1 # 1001
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# 포지션에 따라 size 비대칭 조정
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base_size = ORDER_SIZE
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adjustment = abs(position) // 5
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if position < 0:
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# 숏 포지션 → 매수를 더 많이
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buy_size = min(base_size + adjustment, MAX_POSITION - position)
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sell_size = max(base_size - adjustment, 1)
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elif position > 0:
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# 롱 포지션 → 매도를 더 많이
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buy_size = max(base_size - adjustment, 1)
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sell_size = min(base_size + adjustment, MAX_POSITION + position)
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else:
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buy_size = base_size
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sell_size = base_size
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if buy_size > 0:
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bid = next_id()
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exchange.send_add_message(
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order_id=bid, symbol="BOND",
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dir=Dir.BUY, price=buy_price, size=buy_size
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)
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active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
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if sell_size > 0:
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ask = next_id()
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exchange.send_add_message(
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order_id=ask, symbol="BOND",
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dir=Dir.SELL, price=sell_price, size=sell_size
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)
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active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
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print(f" BOND 주문 → 매수: {buy_price} x{buy_size}, 매도: {sell_price} x{sell_size}, 포지션: {position}")
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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_bid_price, vale_ask_price = None, None
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vale_last_print_time = time.time()
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last_refresh = 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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# 거부된 주문은 active_orders에서 제거
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oid = message.get("order_id")
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active_orders.pop(oid, None)
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elif message["type"] == "fill":
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print(message)
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# 체결 시 포지션 업데이트 후 주문 재보충
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qty = message["size"]
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if message["dir"] == Dir.BUY:
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position += qty
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else:
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position -= qty
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place_bond_orders()
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elif message["type"] == "book":
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if message["symbol"] == "VALE":
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def best_price(side):
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if message[side]:
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return message[side][0][0]
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vale_bid_price = best_price("buy")
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vale_ask_price = best_price("sell")
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now = time.time()
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if now > vale_last_print_time + 1:
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vale_last_print_time = now
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print(
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{
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"vale_bid_price": vale_bid_price,
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"vale_ask_price": vale_ask_price,
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}
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)
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# 주기적으로 BOND 주문 갱신 (주문 만료 방지)
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now = time.time()
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if now - last_refresh > REFRESH_INTERVAL:
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last_refresh = now
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place_bond_orders()
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# ~~~~~============== PROVIDED CODE ==============~~~~~
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# You probably don't need to edit anything below this line, but feel free to
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# ask if you have any questions about what it is doing or how it works. If you
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# do need to change anything below this line, please feel free to
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# ~~~~~============== CLASSES & UTILS ==============~~~~~
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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class StateManager:
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"""모든 종목의 포지션과 현재 호가 정보를 추적합니다."""
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def __init__(self):
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self.positions = {s: 0 for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
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self.bid_prices = {s: None for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
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self.ask_prices = {s: None for s in ["BOND", "GS", "MS", "WFC", "XLF", "VALE", "VALBZ"]}
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def update_position(self, symbol, delta):
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self.positions[symbol] = self.positions.get(symbol, 0) + delta
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def get_position(self, symbol):
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return self.positions.get(symbol, 0)
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def update_bid_ask_price(self, symbol, bid, ask):
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self.bid_prices[symbol] = bid
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self.ask_prices[symbol] = ask
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class OrderManager:
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"""단조 증가하는 주문 ID를 관리합니다."""
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def __init__(self):
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self.order_id_counter = 0
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def next_order(self):
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self.order_id_counter += 1
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return self.order_id_counter
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# ~~~~~============== MAIN BOT LOGIC ==============~~~~~
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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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# 초기 메시지 처리 및 포지션 복원
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hello_message = exchange.read_message()
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print("First message from exchange:", hello_message)
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state = StateManager()
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om = OrderManager()
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if hello_message and "symbols" in hello_message:
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for sym_info in hello_message["symbols"]:
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state.update_position(sym_info["symbol"], sym_info["position"])
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# --- 핵심 설정 값 ---
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BOND_FAIR = 1000
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BOND_ORDER_SIZE = 30
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BOND_MAX_POS = 100
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XLF_FEE = 100
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XLF_PROFIT_THRESHOLD = 50 # 보수적 진입 (수수료+슬리피지 방어)
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XLF_MAX_POS = 100
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market_open = False
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active_mm_orders = {}
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last_refresh = time.time()
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REFRESH_INTERVAL = 3.0
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def next_id(): return om.next_order()
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# --- 전략 1: BOND 마켓 메이킹 (사용자 기존 로직) ---
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def place_bond_orders():
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if not market_open: return
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# 기존 BOND 주문 관리 (Active Order 추적)
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pos = state.get_position("BOND")
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adjustment = abs(pos) // 5
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# 포지션 한도 내 수량 결정
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if pos < 0:
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buy_size = min(BOND_ORDER_SIZE + adjustment, BOND_MAX_POS - pos)
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sell_size = max(BOND_ORDER_SIZE - adjustment, 1)
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elif pos > 0:
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buy_size = max(BOND_ORDER_SIZE - adjustment, 1)
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sell_size = min(BOND_ORDER_SIZE + adjustment, BOND_MAX_POS + pos)
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else:
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buy_size, sell_size = BOND_ORDER_SIZE, BOND_ORDER_SIZE
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# 999 매수 / 1001 매도 전략
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if buy_size > 0:
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oid = next_id()
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exchange.send_add_message(oid, "BOND", Dir.BUY, 999, buy_size)
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active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY}
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if sell_size > 0:
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oid = next_id()
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exchange.send_add_message(oid, "BOND", Dir.SELL, 1001, sell_size)
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active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.SELL}
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# --- 전략 2: XLF 차익거래 (ETF 바스켓 가치 계산) ---
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def try_xlf_arb():
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"""XLF와 바스켓(3:2:3:2) 간의 가격 괴리 이용"""
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if not market_open: return
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# 필요한 호가 정보 확인
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needed = ["BOND", "GS", "MS", "WFC", "XLF"]
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if any(state.bid_prices[s] is None or state.ask_prices[s] is None for s in needed):
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return
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# 1. 바스켓 매수 가치 계산 (우리가 사야 할 가격의 합)
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# 10 XLF = 3 BOND + 2 GS + 3 MS + 2 WFC
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basket_buy_cost = (state.ask_prices["BOND"] * 3 +
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state.ask_prices["GS"] * 2 +
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state.ask_prices["MS"] * 3 +
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state.ask_prices["WFC"] * 2)
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xlf_sell_revenue = state.bid_prices["XLF"] * 10
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# 예상 수익 = (XLF 매도금액 - 바스켓 매수비용 - 수수료)
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if xlf_sell_revenue - (basket_buy_cost + XLF_FEE) > XLF_PROFIT_THRESHOLD:
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if state.get_position("XLF") > -XLF_MAX_POS:
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print(f" [XLF ARB] SELL XLF Opportunity! Profit: {xlf_sell_revenue - basket_buy_cost - 100}")
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exchange.send_add_message(next_id(), "XLF", Dir.SELL, state.bid_prices["XLF"], 10)
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# 2. 바스켓 매도 가치 계산 (우리가 팔 수 있는 가격의 합)
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xlf_buy_cost = state.ask_prices["XLF"] * 10
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basket_sell_revenue = (state.bid_prices["BOND"] * 3 +
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state.bid_prices["GS"] * 2 +
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state.bid_prices["MS"] * 3 +
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state.bid_prices["WFC"] * 2)
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if basket_sell_revenue - (xlf_buy_cost + XLF_FEE) > XLF_PROFIT_THRESHOLD:
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if state.get_position("XLF") < XLF_MAX_POS:
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print(f" [XLF ARB] BUY XLF Opportunity! Profit: {basket_sell_revenue - xlf_buy_cost - 100}")
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exchange.send_add_message(next_id(), "XLF", Dir.BUY, state.ask_prices["XLF"], 10)
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# --- 메시지 처리 루프 ---
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while True:
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message = exchange.read_message()
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if not message: continue
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msg_type = message["type"]
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if msg_type == "open":
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market_open = True
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print("Market is open. Starting trades...")
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place_bond_orders()
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elif msg_type == "book":
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sym = message["symbol"]
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bid = message["buy"][0][0] if message["buy"] else None
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ask = message["sell"][0][0] if message["sell"] else None
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state.update_bid_ask_price(sym, bid, ask)
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# 가격 업데이트 시마다 전략 체크
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if sym == "BOND":
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place_bond_orders()
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elif sym in ["GS", "MS", "WFC", "XLF"]:
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try_xlf_arb()
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elif msg_type == "fill":
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sym, qty, direction = message["symbol"], message["size"], message["dir"]
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state.update_position(sym, qty if direction == Dir.BUY else -qty)
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print(f" [FILL] {sym} {direction} x{qty} | New Pos: {state.get_position(sym)}")
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if sym == "BOND": place_bond_orders()
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elif msg_type == "reject":
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print(f" [REJECT] Order {message.get('order_id')}: {message.get('error')}")
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active_mm_orders.pop(message.get("order_id"), None)
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elif msg_type == "close":
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print("The round has ended")
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break
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# 주기적 리프레시 (주문 유실 방지)
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now = time.time()
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if now - last_refresh > REFRESH_INTERVAL:
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last_refresh = now
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place_bond_orders()
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# ~~~~~============== PROVIDED CONNECTION CODE ==============~~~~~
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class ExchangeConnection:
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def __init__(self, args):
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self.message_timestamps = deque(maxlen=500)
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self.exchange_hostname = args.exchange_hostname
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self.port = args.port
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exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
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self.reader = exchange_socket.makefile("r", 1)
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self.writer = exchange_socket
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self._write_message({"type": "hello", "team": team_name.upper()})
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self.s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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self.s.settimeout(5)
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self.s.connect((args.exchange_hostname, args.port))
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self.reader = self.s.makefile("r", 1)
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self.writer = self.s
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self._write({"type": "hello", "team": team_name.upper()})
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def read_message(self):
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"""Read a single message from the exchange"""
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message = json.loads(self.reader.readline())
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if "dir" in message:
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message["dir"] = Dir(message["dir"])
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return message
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line = self.reader.readline()
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if not line: return None
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msg = json.loads(line)
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if "dir" in msg: msg["dir"] = Dir(msg["dir"])
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return msg
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def send_add_message(
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self, order_id: int, symbol: str, dir: Dir, price: int, size: int
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):
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"""Add a new order"""
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self._write_message(
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{
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"type": "add",
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"order_id": order_id,
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"symbol": symbol,
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"dir": dir,
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"price": price,
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"size": size,
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"tif": "DAY", # 설명서 필수 필드: DAY or IOC
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}
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)
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def _write(self, msg):
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self.writer.send((json.dumps(msg) + "\n").encode("utf-8"))
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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_add_message(self, oid, sym, direction, price, size):
|
||||
self._write({"type": "add", "order_id": oid, "symbol": sym, "dir": direction, "price": price, "size": size, "tif": "DAY"})
|
||||
|
||||
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 send_cancel_message(self, oid):
|
||||
self._write({"type": "cancel", "order_id": oid})
|
||||
|
||||
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(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
|
||||
)
|
||||
|
||||
parser = argparse.ArgumentParser()
|
||||
parser.add_argument("--test", type=str, default="prod-like")
|
||||
args = parser.parse_args()
|
||||
args.add_socket_timeout = True
|
||||
|
||||
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)
|
||||
|
||||
args.exchange_hostname = f"test-exch-{team_name.lower()}"
|
||||
args.port = 22000 # JSON 프로토콜 포트
|
||||
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()
|
||||
Reference in New Issue
Block a user