From 57b27791ff4465aabedb2a582baf6a5b541d0f88 Mon Sep 17 00:00:00 2001 From: yenru0 Date: Sat, 9 May 2026 15:25:49 +0900 Subject: [PATCH] some change --- bot.py | 65 ++++++++++++++++++++++++++++++++------------------------ order.py | 46 +++++++++++++++++++++++++++------------ 2 files changed, 69 insertions(+), 42 deletions(-) diff --git a/bot.py b/bot.py index d10c989..a14c397 100644 --- a/bot.py +++ b/bot.py @@ -87,40 +87,49 @@ def on_trade(message: dict, orderman: OrderManager, state: StateManager): state.set_last_price(symbol, price) - # 거래도 진행 // VALBZ와 VALE의 가격이 모두 존재할 때만 거래 시도 - if symbol == "VALBZ" or symbol == "VALE": - print( - f"Current prices - VALBZ: {state.get_last_price('VALBZ')}, VALE: {state.get_last_price('VALE')}" - ) - p_valbz = state.get_last_price("VALBZ") - p_vale = state.get_last_price("VALE") + execute_arb(orderman, state) + + +def execute_arb(orderman: OrderManager, state: StateManager): + p_valbz = state.get_fair_value("VALBZ") + p_vale = state.get_fair_value("VALE") + p_bond = state.get_fair_value("BOND") + p_gs = state.get_fair_value("GS") + p_ms = state.get_fair_value("MS") + p_wfc = state.get_fair_value("WFC") + p_xlf = state.get_fair_value("XLF") if p_vale is None or p_valbz is None: - print("NONE") return + vale_to_valbz = p_valbz - p_vale + valbz_to_vale = p_vale - p_valbz - FEE = 10 - SZ = 10 - if p_vale + 1 < p_valbz - 1: - print("Good") - if (p_vale + 1) * SZ + FEE < (p_valbz - 1) * SZ: - if abs(orderman.positions["VALE"] + SZ) > orderman.POSITIONS_LIMIT["VALE"] or abs(orderman.positions["VALBZ"] - SZ) > orderman.POSITIONS_LIMIT["VALBZ"]: - print("포지션 제한으로 인해 주문이 무시되었습니다.") - return + if vale_to_valbz > 10: + orderman.buy("VALE", Dir.BUY, p_vale, 10) + orderman.convert("VALE", Dir.SELL, 10) + orderman.sell("VALBZ", Dir.SELL, p_valbz, 10) + elif valbz_to_vale > 10: + orderman.buy("VALBZ", Dir.BUY, p_valbz, 10) + orderman.convert("VALE", Dir.BUY, 10) + orderman.sell("VALE", Dir.SELL, p_vale, 10) - orderman.buy("VALE", p_vale + 1, -SZ) - orderman.sell_convert("VALE", SZ) - orderman.sell("VALBZ", p_valbz - 1, SZ) - elif p_vale - 1 > p_valbz + 1: - print("Good") - if (p_vale - 1) * SZ - FEE > (p_valbz + 1) * SZ: - if abs(orderman.positions["VALE"] - SZ) > orderman.POSITIONS_LIMIT["VALE"] or abs(orderman.positions["VALBZ"] + SZ) > orderman.POSITIONS_LIMIT["VALBZ"]: - print("포지션 제한으로 인해 주문이 무시되었습니다.") - return - orderman.sell("VALE", p_vale - 1, -SZ) - orderman.buy_convert("VALE", SZ) - orderman.buy("VALBZ", p_valbz + 1, SZ) + if p_xlf is not None and all(p is not None for p in [p_bond, p_gs, p_ms, p_wfc]): + components = p_bond * 3 + p_gs * 2 + p_ms * 3 + p_wfc * 2 + xlf_fair = components / 10 + + if p_xlf > xlf_fair + 10: + orderman.sell("XLF", Dir.SELL, p_xlf, 10) + orderman.buy("BOND", Dir.BUY, p_bond, 30) + orderman.buy("GS", Dir.BUY, p_gs, 20) + orderman.buy("MS", Dir.BUY, p_ms, 30) + orderman.buy("WFC", Dir.BUY, p_wfc, 20) + elif xlf_fair > p_xlf + 10: + orderman.buy("XLF", Dir.BUY, p_xlf, 10) + orderman.sell("BOND", Dir.SELL, p_bond, 30) + orderman.sell("GS", Dir.SELL, p_gs, 20) + orderman.sell("MS", Dir.SELL, p_ms, 30) + orderman.sell("WFC", Dir.SELL, p_wfc, 20) # ~~~~~============== PROVIDED CODE ==============~~~~~ diff --git a/order.py b/order.py index 53b1828..07510a5 100644 --- a/order.py +++ b/order.py @@ -1,5 +1,11 @@ import time from collections import deque +from enum import Enum + + +class Dir(str, Enum): + BUY = "BUY" + SELL = "SELL" class OrderManager: @@ -27,13 +33,13 @@ class OrderManager: self.positions = {s: 0 for s in symbols} self.future_positions = {s: 0 for s in symbols} - def add_order(self, order_id: int, symbol: str, size: int): - self.orders[order_id] = size + def add_order(self, order_id: int, symbol: str, quantity: int): + self.orders[order_id] = {"symbol": symbol, "quantity": quantity} def get_order(self, order_id: int): return self.orders.get(order_id) - def _next_order(self): + def next_order(self): self._order_size += 1 return self._order_size @@ -55,6 +61,9 @@ class OrderManager: # 전송 조건 통과 시 실제 통신 수행 if action_type == "add": size = kwargs["size"] + dir = kwargs["dir"] + if dir == Dir.SELL: + size = -size if ( self.future_positions[kwargs["symbol"]] + size > self.POSITIONS_LIMIT[kwargs["symbol"]] @@ -72,12 +81,22 @@ class OrderManager: self._send_timestamps.append(now) return True - def sell(self, symbol: str, price: int, size: int): + def sell(self, symbol: str, dir: Dir, price: int, size: int): return self._attempt_send( "add", - order_id=self._next_order(), + order_id=self.next_order(), symbol=symbol, - dir="SELL", + dir=dir, + price=price, + size=size, + ) + + def buy(self, symbol: str, dir: Dir, price: int, size: int): + return self._attempt_send( + "add", + order_id=self.next_order(), + symbol=symbol, + dir=dir, price=price, size=size, ) @@ -89,7 +108,7 @@ class OrderManager: self.positions["VALE"] -= size self.positions["VALBZ"] += size return self.exchange.send_convert_message( - order_id=self._next_order(), + order_id=self.next_order(), symbol=symbol, dir="BUY", size=size, @@ -102,19 +121,18 @@ class OrderManager: self.positions["VALE"] += size self.positions["VALBZ"] -= size return self.exchange.send_convert_message( - order_id=self._next_order(), + order_id=self.next_order(), symbol=symbol, dir="SELL", size=size, ) - def buy(self, symbol: str, price: int, size: int): + def convert(self, symbol: str, dir: str, size: int): return self._attempt_send( - "add", - order_id=self._next_order(), + "convert", + order_id=self.next_order(), symbol=symbol, - dir="BUY", - price=price, + dir=dir, size=size, ) @@ -131,4 +149,4 @@ class OrderManager: self.orders[order_id]["quantity"] = new_size def check_pos_limit(self, symbol: str) -> bool: - return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol] + return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol] \ No newline at end of file