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yenru0
2026-05-09 15:25:49 +09:00
parent 174df5c728
commit 57b27791ff
2 changed files with 69 additions and 42 deletions
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65
bot.py
View File

@@ -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 ==============~~~~~

44
order.py
View File

@@ -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,
)