commit

prac.py

@@ -9,10 +9,8 @@ from state import StateManager
 team_name = "HanyangFloorFunction"
 
 # ==================== 설정 ====================
-STOCK_SPREAD = 5
+ORDER_SIZE = 2
-ORDER_SIZE = 5
+MAX_POS = 30
-MIN_PROFIT = 5
-MAX_POS = 50
 
 # ====================
 class Dir(str, Enum):
@@ -27,7 +25,7 @@ def main():
     state = StateManager()
     hello = exchange.read_message()
 
-    # 🔥 포지션 직접 관리 (핵심)
+    # 🔥 포지션 직접 관리
     positions = {}
     for sym in hello["symbols"]:
         positions[sym["symbol"]] = sym["position"]
@@ -39,56 +37,61 @@ def main():
         order_id += 1
         return order_id
 
-    # ==================== 전략 ====================
+    # 🔥 active order 관리 (핵심)
+    active_orders = {}
 
+    # ==================== MARKET MAKING ====================
+    def market_make(sym):
+        bid = state.bid_prices.get(sym)
+        ask = state.ask_prices.get(sym)
+
+        if bid is None or ask is None:
+            return
+
+        pos = positions.get(sym, 0)
+
+        # 🔥 포지션 제한
+        if pos > MAX_POS:
+            return
+        if pos < -MAX_POS:
+            return
+
+        # 🔥 핵심: 스프레드 내부에서만 주문
+        buy_price = bid + 1
+        sell_price = ask - 1
+
+        # 🔥 포지션 방향 제어
+        if pos > 0:
+            buy_size = 1
+            sell_size = ORDER_SIZE + 2
+        elif pos < 0:
+            buy_size = ORDER_SIZE + 2
+            sell_size = 1
+        else:
+            buy_size = sell_size = ORDER_SIZE
+
+        # BUY
+        oid = next_id()
+        exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
+        active_orders[oid] = sym
+
+        # SELL
+        oid = next_id()
+        exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
+        active_orders[oid] = sym
+
+    # ==================== BOND 안전 수익 ====================
     def bond_arb():
         bid = state.bid_prices.get("BOND")
         ask = state.ask_prices.get("BOND")
 
         if ask and ask < 1000:
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 10)
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 5)
 
         if bid and bid > 1000:
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 10)
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 5)
-
-    def vale_arb():
-        vale_bid = state.bid_prices.get("VALE")
-        valbz_ask = state.ask_prices.get("VALBZ")
-
-        if vale_bid and valbz_ask:
-            if vale_bid - valbz_ask > MIN_PROFIT:
-                exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1)
-
-    def xlf_arb():
-        fair = state.get_fair_value("XLF")
-        bid = state.bid_prices.get("XLF")
-
-        if fair and bid:
-            if bid - fair > MIN_PROFIT:
-                exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, bid, 10)
-
-    def market_make(sym):
-        mid = state.get_mid_price(sym)
-        if mid is None:
-            return
-
-        pos = positions.get(sym, 0)
-
-        buy_price = mid - STOCK_SPREAD
-        sell_price = mid + STOCK_SPREAD
-
-        if pos > 0:
-            buy_size = 1
-            sell_size = ORDER_SIZE + 3
-        elif pos < 0:
-            buy_size = ORDER_SIZE + 3
-            sell_size = 1
-        else:
-            buy_size = sell_size = ORDER_SIZE
-
-        exchange.send_add_message(next_id(), sym, Dir.BUY, buy_price, buy_size)
-        exchange.send_add_message(next_id(), sym, Dir.SELL, sell_price, sell_size)
 
+    # ==================== 리스크 관리 ====================
     def risk():
         for sym in ["GS", "MS", "WFC"]:
             pos = positions.get(sym, 0)
@@ -97,12 +100,12 @@ def main():
                 if pos > 0:
                     exchange.send_add_message_ioc(
                         next_id(), sym, Dir.SELL,
-                        state.bid_prices.get(sym), abs(pos)
+                        state.bid_prices.get(sym, 1), abs(pos)
                     )
                 else:
                     exchange.send_add_message_ioc(
                         next_id(), sym, Dir.BUY,
-                        state.ask_prices.get(sym), abs(pos)
+                        state.ask_prices.get(sym, 99999), abs(pos)
                     )
 
     # ==================== LOOP ====================
@@ -119,12 +122,14 @@ def main():
             ask = msg["sell"][0][0] if msg["sell"] else None
 
             state.update_bid_ask_price(sym, bid, ask)
-            state.update_predicted_price(sym)
-            state.update_fair_value()
 
+            # 🔥 기존 주문 전부 취소 (핵심)
+            for oid in list(active_orders.keys()):
+                exchange.send_cancel_message(oid)
+                del active_orders[oid]
+
+            # 전략 실행
             bond_arb()
-            vale_arb()
-            xlf_arb()
 
             if sym in ["GS", "MS", "WFC"]:
                 market_make(sym)
@@ -156,10 +161,29 @@ class ExchangeConnection:
         return msg
 
     def send_add_message(self, oid, sym, dir, price, size):
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
+        self._write({
+            "type":"add",
+            "order_id":oid,
+            "symbol":sym,
+            "dir":dir,
+            "price":price,
+            "size":size,
+            "tif":"DAY"
+        })
 
     def send_add_message_ioc(self, oid, sym, dir, price, size):
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
+        self._write({
+            "type":"add",
+            "order_id":oid,
+            "symbol":sym,
+            "dir":dir,
+            "price":price,
+            "size":size,
+            "tif":"IOC"
+        })
+
+    def send_cancel_message(self, oid):
+        self._write({"type": "cancel", "order_id": oid})
 
     def _write(self, msg):
         self.writer.send((json.dumps(msg)+"\n").encode())