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
+    execute_arb(orderman, state)
-    if symbol == "VALBZ" or symbol == "VALE":
+
-        print(
+
-            f"Current prices - VALBZ: {state.get_last_price('VALBZ')}, VALE: {state.get_last_price('VALE')}"
+def execute_arb(orderman: OrderManager, state: StateManager):
-        )
+    p_valbz = state.get_fair_value("VALBZ")
-    p_valbz = state.get_last_price("VALBZ")
+    p_vale = state.get_fair_value("VALE")
-    p_vale = state.get_last_price("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
+    if vale_to_valbz > 10:
-    SZ = 10
+        orderman.buy("VALE", Dir.BUY, p_vale, 10)
-    if p_vale + 1 < p_valbz - 1:
+        orderman.convert("VALE", Dir.SELL, 10)
-        print("Good")
+        orderman.sell("VALBZ", Dir.SELL, p_valbz, 10)
-        if (p_vale + 1) * SZ + FEE < (p_valbz - 1) * SZ:
+    elif valbz_to_vale > 10:
-            if abs(orderman.positions["VALE"] + SZ) > orderman.POSITIONS_LIMIT["VALE"] or abs(orderman.positions["VALBZ"] - SZ) > orderman.POSITIONS_LIMIT["VALBZ"]:
+        orderman.buy("VALBZ", Dir.BUY, p_valbz, 10)
-                print("포지션 제한으로 인해 주문이 무시되었습니다.")
+        orderman.convert("VALE", Dir.BUY, 10)
-                return
+        orderman.sell("VALE", Dir.SELL, p_vale, 10)
 
-            orderman.buy("VALE", p_vale + 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]):
-            orderman.sell_convert("VALE", SZ)
+        components = p_bond * 3 + p_gs * 2 + p_ms * 3 + p_wfc * 2
-            orderman.sell("VALBZ", p_valbz - 1, SZ)
+        xlf_fair = components / 10
-    elif p_vale - 1 > p_valbz + 1:
+
-        print("Good")
+        if p_xlf > xlf_fair + 10:
-        if (p_vale - 1) * SZ - FEE > (p_valbz + 1) * SZ:
+            orderman.sell("XLF", Dir.SELL, p_xlf, 10)
-            if abs(orderman.positions["VALE"] - SZ) > orderman.POSITIONS_LIMIT["VALE"] or abs(orderman.positions["VALBZ"] + SZ) > orderman.POSITIONS_LIMIT["VALBZ"]:
+            orderman.buy("BOND", Dir.BUY, p_bond, 30)
-                print("포지션 제한으로 인해 주문이 무시되었습니다.")
+            orderman.buy("GS", Dir.BUY, p_gs, 20)
-                return
+            orderman.buy("MS", Dir.BUY, p_ms, 30)
-            orderman.sell("VALE", p_vale - 1, -SZ)
+            orderman.buy("WFC", Dir.BUY, p_wfc, 20)
-            orderman.buy_convert("VALE", SZ)
+        elif xlf_fair > p_xlf + 10:
-            orderman.buy("VALBZ", p_valbz + 1, SZ)
+            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 ==============~~~~~
 

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):
+    def add_order(self, order_id: int, symbol: str, quantity: int):
-        self.orders[order_id] = size
+        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",
+            "convert",
-            order_id=self._next_order(),
+            order_id=self.next_order(),
             symbol=symbol,
-            dir="BUY",
+            dir=dir,
-            price=price,
             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]