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khwkim1111
2026-05-09 15:18:42 +09:00
parent 1269ca645b
commit 52a6fd6a10
1 changed files with 83 additions and 152 deletions
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193
new_prac.py
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@@ -5,18 +5,15 @@ from state import StateManager
team_name = "HanyangFloorFunction"
# ===== 튜닝 =====
ORDER_SIZE = 3
MAX_POS = 30
KILL_POS = 40
REFRESH = 0.4
ARB_THRESHOLD = 15
ORDER_SIZE = 2
MAX_POS = 20
KILL_POS = 30
REFRESH = 0.8 # 🔥 주문 오래 유지
class Dir(str, Enum):
BUY = "BUY"
SELL = "SELL"
# ======================
class ExchangeConnection:
def __init__(self, args):
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
@@ -26,51 +23,36 @@ class ExchangeConnection:
self._write({"type":"hello","team":team_name.upper()})
def read(self):
msg = json.loads(self.reader.readline())
if "dir" in msg:
msg["dir"] = Dir(msg["dir"])
return msg
m = json.loads(self.reader.readline())
if "dir" in m:
m["dir"] = Dir(m["dir"])
return m
def add(self, oid,sym,d,px,sz,tif="DAY"):
self._write({
"type":"add","order_id":oid,
"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif
})
def ioc(self, oid, sym, d, px, sz):
self.add(oid, sym, d, px, sz, "IOC")
self._write({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
def cancel(self, oid):
self._write({"type":"cancel","order_id":oid})
def convert(self, oid, sym, d, sz):
self._write({
"type":"convert","order_id":oid,
"symbol":sym,"dir":d,"size":sz
})
def ioc(self, oid,sym,d,px,sz):
self.add(oid,sym,d,px,sz,"IOC")
def _write(self, msg):
self.writer.send((json.dumps(msg)+"\n").encode())
def _write(self,m):
self.writer.send((json.dumps(m)+"\n").encode())
# ======================
def parse_arguments():
parser = argparse.ArgumentParser()
group = parser.add_mutually_exclusive_group(required=True)
group.add_argument("--production", action="store_true")
group.add_argument("--test", type=str, default="prod-like")
p=argparse.ArgumentParser()
g=p.add_mutually_exclusive_group(required=True)
g.add_argument("--production",action="store_true")
g.add_argument("--test",type=str,default="prod-like")
a=p.parse_args()
args = parser.parse_args()
if args.production:
args.exchange_hostname = "production"
args.port = 25000
if a.production:
a.exchange_hostname="production"; a.port=25000
else:
args.exchange_hostname = "test-exch-" + team_name
args.port = 22000
a.exchange_hostname="test-exch-"+team_name; a.port=22000
return a
return args
# ======================
def main():
args=parse_arguments()
ex=ExchangeConnection(args)
@@ -81,30 +63,30 @@ def main():
oid=0
def nid():
nonlocal oid
oid += 1
return oid
nonlocal oid; oid+=1; return oid
active={}
last_refresh=0
# ===== Market Making =====
def market_make(sym):
bid = st.bid_prices.get(sym)
ask = st.ask_prices.get(sym)
b=st.bid_prices.get(sym)
a=st.ask_prices.get(sym)
if bid is None or ask is None:
if b is None or a is None:
return
if ask - bid < 2:
spread=a-b
# 🔥 핵심: 넓을 때만 거래
if spread < 3:
return
p=pos.get(sym,0)
if abs(p)>MAX_POS:
return
buy_px = bid + 1
sell_px = ask - 1
buy_px=b+1
sell_px=a-1
if buy_px>=sell_px:
return
@@ -112,112 +94,61 @@ def main():
buy_sz=ORDER_SIZE
sell_sz=ORDER_SIZE
# 포지션 조절
# 포지션 줄이기
if p>0:
sell_sz += 2
sell_sz+=1
elif p<0:
buy_sz += 2
buy_sz+=1
o=nid(); ex.add(o,sym,Dir.BUY,buy_px,buy_sz); active[o]=sym
o=nid(); ex.add(o,sym,Dir.SELL,sell_px,sell_sz); active[o]=sym
# ===== XLF Arb =====
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
# 케이스 1
cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
profit1 = xlf_bid*10 - cost
if profit1 > ARB_THRESHOLD:
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)
# 케이스 2
revenue = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
profit2 = revenue - xlf_ask*10
if profit2 > ARB_THRESHOLD:
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)
# ===== Risk =====
def risk():
for sym, p in pos.items():
for s,p in pos.items():
if abs(p)>KILL_POS:
bid = st.bid_prices.get(sym)
ask = st.ask_prices.get(sym)
b=st.bid_prices.get(s)
a=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))
if p > 0 and bid:
ex.ioc(nid(), sym, Dir.SELL, bid, abs(p))
elif p < 0 and ask:
ex.ioc(nid(), sym, Dir.BUY, ask, abs(p))
# ===== LOOP =====
while True:
msg = ex.read()
m=ex.read()
if msg["type"] == "close":
if m["type"]=="close":
break
elif msg["type"] == "book":
sym = msg["symbol"]
elif m["type"]=="book":
s=m["symbol"]
bid = msg["buy"][0][0] if msg["buy"] else None
ask = msg["sell"][0][0] if msg["sell"] else None
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, bid, ask)
st.update_bid_ask_price(s,b,a)
now=time.time()
if now-last_refresh>REFRESH:
last_refresh=now
# 모든 주문 취소
# cancel 줄임
for o in list(active.keys()):
ex.cancel(o)
active.pop(o,None)
for s in ["GS","MS","WFC"]:
market_make(s)
xlf_arb()
risk()
elif msg["type"] == "fill":
sym = msg["symbol"]
qty = msg["size"]
if msg["dir"] == Dir.BUY:
pos[sym] += qty
else:
pos[sym] -= qty
# 체결 즉시 재주문
if sym in ["GS","MS","WFC"]:
for sym in ["GS","MS","WFC"]:
market_make(sym)
# ======================
risk()
elif m["type"]=="fill":
s=m["symbol"]
q=m["size"]
if m["dir"]==Dir.BUY:
pos[s]+=q
else:
pos[s]-=q
if __name__=="__main__":
main()