commit
This commit is contained in:
243
new_prac.py
243
new_prac.py
@@ -5,219 +5,150 @@ from state import StateManager
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team_name = "HanyangFloorFunction"
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# ===== 튜닝 =====
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ORDER_SIZE = 3
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MAX_POS = 30
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KILL_POS = 40
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REFRESH = 0.4
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ARB_THRESHOLD = 15
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ORDER_SIZE = 2
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MAX_POS = 20
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KILL_POS = 30
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REFRESH = 0.8 # 🔥 주문 오래 유지
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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# ======================
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class ExchangeConnection:
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def __init__(self, args):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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s.connect((args.exchange_hostname, args.port))
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self.reader = s.makefile("r", 1)
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self.writer = s
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self._write({"type": "hello", "team": team_name.upper()})
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self._write({"type":"hello","team":team_name.upper()})
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def read(self):
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msg = json.loads(self.reader.readline())
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if "dir" in msg:
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msg["dir"] = Dir(msg["dir"])
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return msg
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m = json.loads(self.reader.readline())
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if "dir" in m:
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m["dir"] = Dir(m["dir"])
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return m
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def add(self, oid, sym, d, px, sz, tif="DAY"):
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self._write({
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"type":"add","order_id":oid,
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"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif
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})
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def ioc(self, oid, sym, d, px, sz):
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self.add(oid, sym, d, px, sz, "IOC")
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def add(self, oid,sym,d,px,sz,tif="DAY"):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
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def cancel(self, oid):
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self._write({"type":"cancel","order_id":oid})
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def convert(self, oid, sym, d, sz):
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self._write({
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"type":"convert","order_id":oid,
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"symbol":sym,"dir":d,"size":sz
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})
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def ioc(self, oid,sym,d,px,sz):
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self.add(oid,sym,d,px,sz,"IOC")
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def _write(self, msg):
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self.writer.send((json.dumps(msg)+"\n").encode())
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def _write(self,m):
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self.writer.send((json.dumps(m)+"\n").encode())
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# ======================
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def parse_arguments():
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parser = argparse.ArgumentParser()
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group = parser.add_mutually_exclusive_group(required=True)
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group.add_argument("--production", action="store_true")
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group.add_argument("--test", type=str, default="prod-like")
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p=argparse.ArgumentParser()
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g=p.add_mutually_exclusive_group(required=True)
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g.add_argument("--production",action="store_true")
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g.add_argument("--test",type=str,default="prod-like")
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a=p.parse_args()
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args = parser.parse_args()
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if args.production:
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args.exchange_hostname = "production"
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args.port = 25000
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if a.production:
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a.exchange_hostname="production"; a.port=25000
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else:
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args.exchange_hostname = "test-exch-" + team_name
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args.port = 22000
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a.exchange_hostname="test-exch-"+team_name; a.port=22000
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return a
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return args
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# ======================
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def main():
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args = parse_arguments()
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ex = ExchangeConnection(args)
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st = StateManager()
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args=parse_arguments()
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ex=ExchangeConnection(args)
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st=StateManager()
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hello = ex.read()
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pos = {s["symbol"]: s["position"] for s in hello["symbols"]}
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hello=ex.read()
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pos={s["symbol"]:s["position"] for s in hello["symbols"]}
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oid = 0
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oid=0
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def nid():
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nonlocal oid
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oid += 1
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return oid
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nonlocal oid; oid+=1; return oid
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active = {}
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last_refresh = 0
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active={}
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last_refresh=0
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# ===== Market Making =====
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def market_make(sym):
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bid = st.bid_prices.get(sym)
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ask = st.ask_prices.get(sym)
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b=st.bid_prices.get(sym)
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a=st.ask_prices.get(sym)
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if bid is None or ask is None:
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if b is None or a is None:
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return
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if ask - bid < 2:
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spread=a-b
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# 🔥 핵심: 넓을 때만 거래
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if spread < 3:
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return
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p = pos.get(sym, 0)
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if abs(p) > MAX_POS:
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p=pos.get(sym,0)
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if abs(p)>MAX_POS:
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return
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buy_px = bid + 1
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sell_px = ask - 1
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buy_px=b+1
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sell_px=a-1
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if buy_px >= sell_px:
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if buy_px>=sell_px:
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return
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buy_sz = ORDER_SIZE
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sell_sz = ORDER_SIZE
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buy_sz=ORDER_SIZE
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sell_sz=ORDER_SIZE
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# 포지션 조절
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if p > 0:
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sell_sz += 2
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elif p < 0:
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buy_sz += 2
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# 포지션 줄이기
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if p>0:
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sell_sz+=1
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elif p<0:
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buy_sz+=1
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o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o] = sym
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o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym
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o=nid(); ex.add(o,sym,Dir.BUY,buy_px,buy_sz); active[o]=sym
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o=nid(); ex.add(o,sym,Dir.SELL,sell_px,sell_sz); active[o]=sym
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# ===== XLF Arb =====
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def xlf_arb():
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bond_ask = st.ask_prices.get("BOND")
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gs_ask = st.ask_prices.get("GS")
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ms_ask = st.ask_prices.get("MS")
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wfc_ask = st.ask_prices.get("WFC")
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xlf_bid = st.bid_prices.get("XLF")
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bond_bid = st.bid_prices.get("BOND")
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gs_bid = st.bid_prices.get("GS")
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ms_bid = st.bid_prices.get("MS")
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wfc_bid = st.bid_prices.get("WFC")
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xlf_ask = st.ask_prices.get("XLF")
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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return
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# 케이스 1
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cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
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profit1 = xlf_bid*10 - cost
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if profit1 > ARB_THRESHOLD:
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ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3)
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ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2)
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ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3)
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ex.ioc(nid(),"WFC",Dir.BUY,wfc_ask,2)
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ex.convert(nid(),"XLF",Dir.BUY,10)
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ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10)
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# 케이스 2
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revenue = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
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profit2 = revenue - xlf_ask*10
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if profit2 > ARB_THRESHOLD:
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ex.ioc(nid(),"XLF",Dir.BUY,xlf_ask,10)
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ex.convert(nid(),"XLF",Dir.SELL,10)
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ex.ioc(nid(),"BOND",Dir.SELL,bond_bid,3)
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ex.ioc(nid(),"GS",Dir.SELL,gs_bid,2)
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ex.ioc(nid(),"MS",Dir.SELL,ms_bid,3)
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ex.ioc(nid(),"WFC",Dir.SELL,wfc_bid,2)
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# ===== Risk =====
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def risk():
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for sym, p in pos.items():
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if abs(p) > KILL_POS:
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bid = st.bid_prices.get(sym)
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ask = st.ask_prices.get(sym)
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for s,p in pos.items():
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if abs(p)>KILL_POS:
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b=st.bid_prices.get(s)
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a=st.ask_prices.get(s)
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if p>0 and b:
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ex.ioc(nid(),s,Dir.SELL,b,abs(p))
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elif p<0 and a:
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ex.ioc(nid(),s,Dir.BUY,a,abs(p))
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if p > 0 and bid:
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ex.ioc(nid(), sym, Dir.SELL, bid, abs(p))
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elif p < 0 and ask:
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ex.ioc(nid(), sym, Dir.BUY, ask, abs(p))
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# ===== LOOP =====
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while True:
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msg = ex.read()
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m=ex.read()
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if msg["type"] == "close":
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if m["type"]=="close":
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break
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elif msg["type"] == "book":
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sym = msg["symbol"]
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elif m["type"]=="book":
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s=m["symbol"]
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bid = msg["buy"][0][0] if msg["buy"] else None
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ask = msg["sell"][0][0] if msg["sell"] else None
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b=m["buy"][0][0] if m["buy"] else None
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a=m["sell"][0][0] if m["sell"] else None
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st.update_bid_ask_price(sym, bid, ask)
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st.update_bid_ask_price(s,b,a)
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now = time.time()
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if now - last_refresh > REFRESH:
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last_refresh = now
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now=time.time()
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if now-last_refresh>REFRESH:
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last_refresh=now
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# 모든 주문 취소
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# cancel 줄임
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for o in list(active.keys()):
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ex.cancel(o)
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active.pop(o, None)
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active.pop(o,None)
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for s in ["GS","MS","WFC"]:
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market_make(s)
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xlf_arb()
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risk()
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elif msg["type"] == "fill":
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sym = msg["symbol"]
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qty = msg["size"]
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if msg["dir"] == Dir.BUY:
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pos[sym] += qty
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else:
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pos[sym] -= qty
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# 체결 즉시 재주문
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if sym in ["GS","MS","WFC"]:
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for sym in ["GS","MS","WFC"]:
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market_make(sym)
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# ======================
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if __name__ == "__main__":
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risk()
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elif m["type"]=="fill":
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s=m["symbol"]
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q=m["size"]
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if m["dir"]==Dir.BUY:
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pos[s]+=q
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else:
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pos[s]-=q
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if __name__=="__main__":
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main()
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