commit
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132
prac.py
132
prac.py
@@ -9,10 +9,8 @@ from state import StateManager
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team_name = "HanyangFloorFunction"
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# ==================== 설정 ====================
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STOCK_SPREAD = 5
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ORDER_SIZE = 5
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MIN_PROFIT = 5
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MAX_POS = 50
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ORDER_SIZE = 2
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MAX_POS = 30
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# ====================
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class Dir(str, Enum):
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@@ -27,7 +25,7 @@ def main():
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state = StateManager()
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hello = exchange.read_message()
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# 🔥 포지션 직접 관리 (핵심)
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# 🔥 포지션 직접 관리
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positions = {}
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for sym in hello["symbols"]:
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positions[sym["symbol"]] = sym["position"]
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@@ -39,56 +37,61 @@ def main():
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order_id += 1
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return order_id
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# ==================== 전략 ====================
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# 🔥 active order 관리 (핵심)
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active_orders = {}
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# ==================== MARKET MAKING ====================
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def market_make(sym):
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bid = state.bid_prices.get(sym)
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ask = state.ask_prices.get(sym)
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if bid is None or ask is None:
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return
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pos = positions.get(sym, 0)
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# 🔥 포지션 제한
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if pos > MAX_POS:
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return
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if pos < -MAX_POS:
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return
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# 🔥 핵심: 스프레드 내부에서만 주문
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buy_price = bid + 1
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sell_price = ask - 1
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# 🔥 포지션 방향 제어
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if pos > 0:
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buy_size = 1
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sell_size = ORDER_SIZE + 2
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elif pos < 0:
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buy_size = ORDER_SIZE + 2
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sell_size = 1
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else:
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buy_size = sell_size = ORDER_SIZE
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# BUY
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oid = next_id()
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exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
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active_orders[oid] = sym
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# SELL
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oid = next_id()
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exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
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active_orders[oid] = sym
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# ==================== BOND 안전 수익 ====================
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def bond_arb():
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bid = state.bid_prices.get("BOND")
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ask = state.ask_prices.get("BOND")
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if ask and ask < 1000:
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 10)
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 5)
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if bid and bid > 1000:
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 10)
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def vale_arb():
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vale_bid = state.bid_prices.get("VALE")
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valbz_ask = state.ask_prices.get("VALBZ")
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if vale_bid and valbz_ask:
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if vale_bid - valbz_ask > MIN_PROFIT:
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exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1)
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def xlf_arb():
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fair = state.get_fair_value("XLF")
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bid = state.bid_prices.get("XLF")
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if fair and bid:
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if bid - fair > MIN_PROFIT:
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exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, bid, 10)
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def market_make(sym):
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mid = state.get_mid_price(sym)
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if mid is None:
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return
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pos = positions.get(sym, 0)
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buy_price = mid - STOCK_SPREAD
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sell_price = mid + STOCK_SPREAD
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if pos > 0:
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buy_size = 1
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sell_size = ORDER_SIZE + 3
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elif pos < 0:
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buy_size = ORDER_SIZE + 3
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sell_size = 1
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else:
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buy_size = sell_size = ORDER_SIZE
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exchange.send_add_message(next_id(), sym, Dir.BUY, buy_price, buy_size)
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exchange.send_add_message(next_id(), sym, Dir.SELL, sell_price, sell_size)
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 5)
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# ==================== 리스크 관리 ====================
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def risk():
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for sym in ["GS", "MS", "WFC"]:
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pos = positions.get(sym, 0)
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@@ -97,12 +100,12 @@ def main():
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if pos > 0:
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exchange.send_add_message_ioc(
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next_id(), sym, Dir.SELL,
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state.bid_prices.get(sym), abs(pos)
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state.bid_prices.get(sym, 1), abs(pos)
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)
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else:
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exchange.send_add_message_ioc(
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next_id(), sym, Dir.BUY,
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state.ask_prices.get(sym), abs(pos)
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state.ask_prices.get(sym, 99999), abs(pos)
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)
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# ==================== LOOP ====================
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@@ -119,12 +122,14 @@ def main():
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ask = msg["sell"][0][0] if msg["sell"] else None
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state.update_bid_ask_price(sym, bid, ask)
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state.update_predicted_price(sym)
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state.update_fair_value()
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# 🔥 기존 주문 전부 취소 (핵심)
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for oid in list(active_orders.keys()):
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exchange.send_cancel_message(oid)
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del active_orders[oid]
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# 전략 실행
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bond_arb()
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vale_arb()
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xlf_arb()
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if sym in ["GS", "MS", "WFC"]:
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market_make(sym)
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@@ -156,10 +161,29 @@ class ExchangeConnection:
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return msg
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def send_add_message(self, oid, sym, dir, price, size):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
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self._write({
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"type":"add",
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"order_id":oid,
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"symbol":sym,
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"dir":dir,
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"price":price,
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"size":size,
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"tif":"DAY"
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})
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def send_add_message_ioc(self, oid, sym, dir, price, size):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
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self._write({
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"type":"add",
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"order_id":oid,
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"symbol":sym,
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"dir":dir,
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"price":price,
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"size":size,
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"tif":"IOC"
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})
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def send_cancel_message(self, oid):
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self._write({"type": "cancel", "order_id": oid})
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def _write(self, msg):
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self.writer.send((json.dumps(msg)+"\n").encode())
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