some change

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 ==============~~~~~