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178
prac.py
178
prac.py
@@ -2,7 +2,6 @@
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import argparse
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from enum import Enum
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import time
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import socket
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import json
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from state import StateManager
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@@ -10,65 +9,38 @@ from state import StateManager
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team_name = "HanyangFloorFunction"
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# ==================== 설정 ====================
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BOND_FAIR_VALUE = 1000
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STOCK_SPREAD = 6
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STOCK_ORDER_SIZE = 5
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REFRESH_INTERVAL = 1.0
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MIN_PROFIT_BUFFER = 10
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MAX_POSITION_SOFT = 50
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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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XLF_CONVERSION_FEE = 100
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VALE_CONVERSION_FEE = 10
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# ==================== 방향 ====================
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# ====================
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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# ==================== 메인 ====================
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# ====================
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def main():
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args = parse_arguments()
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exchange = ExchangeConnection(args=args)
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exchange = ExchangeConnection(args)
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hello = exchange.read_message()
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state = StateManager()
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hello = exchange.read_message()
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# 🔥 자체 order id
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# 🔥 포지션 직접 관리 (핵심)
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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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# 🔥 order id
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order_id = 0
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def next_id():
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nonlocal order_id
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order_id += 1
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return order_id
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implied_fairs = {"GS": None, "MS": None, "WFC": None}
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# ==================== 전략 ====================
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for sym_info in hello.get("symbols", []):
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state.update_position(sym_info["symbol"], sym_info["position"])
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# ==================== FAIR VALUE ====================
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def update_fair():
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try:
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xlf_mid = (state.bid_prices["XLF"] + state.ask_prices["XLF"]) / 2
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gs_mid = (state.bid_prices["GS"] + state.ask_prices["GS"]) / 2
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ms_mid = (state.bid_prices["MS"] + state.ask_prices["MS"]) / 2
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wfc_mid = (state.bid_prices["WFC"] + state.ask_prices["WFC"]) / 2
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except:
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return
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residual = xlf_mid * 10 - 3000
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total = gs_mid*2 + ms_mid*3 + wfc_mid*2
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if total <= 0:
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return
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raw_gs = residual * (gs_mid*2 / total) / 2
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raw_ms = residual * (ms_mid*3 / total) / 3
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raw_wfc = residual * (wfc_mid*2 / total) / 2
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implied_fairs["GS"] = int(0.7 * gs_mid + 0.3 * raw_gs)
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implied_fairs["MS"] = int(0.7 * ms_mid + 0.3 * raw_ms)
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implied_fairs["WFC"] = int(0.7 * wfc_mid + 0.3 * raw_wfc)
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# ==================== BOND ====================
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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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@@ -79,78 +51,60 @@ def main():
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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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# ==================== 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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fair = implied_fairs.get(sym)
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if None in [bid, ask] or fair is None:
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return
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pos = state.get_position(sym)
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buy_price = min(fair - STOCK_SPREAD, bid + 1)
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sell_price = max(fair + STOCK_SPREAD, ask - 1)
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if pos > 0:
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buy_size, sell_size = 1, STOCK_ORDER_SIZE + 3
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elif pos < 0:
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buy_size, sell_size = STOCK_ORDER_SIZE + 3, 1
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else:
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buy_size = sell_size = STOCK_ORDER_SIZE
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exchange.send_add_message(next_id(), sym, Dir.BUY, int(buy_price), buy_size)
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exchange.send_add_message(next_id(), sym, Dir.SELL, int(sell_price), sell_size)
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# ==================== XLF ====================
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def xlf_arb():
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try:
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basket_ask = (
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state.ask_prices["BOND"]*3 +
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state.ask_prices["GS"]*2 +
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state.ask_prices["MS"]*3 +
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state.ask_prices["WFC"]*2
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)
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xlf_bid = state.bid_prices["XLF"]
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except:
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return
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profit = xlf_bid*10 - basket_ask - XLF_CONVERSION_FEE
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if profit > MIN_PROFIT_BUFFER:
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exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
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# ==================== VALE ====================
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def vale_arb():
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vale_bid = state.bid_prices.get("VALE")
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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 None in [vale_bid, valbz_ask]:
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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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if vale_bid - valbz_ask - VALE_CONVERSION_FEE > 5:
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exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1)
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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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# ==================== 리스크 ====================
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def risk():
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for sym in ["GS", "MS", "WFC"]:
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pos = state.get_position(sym)
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pos = positions.get(sym, 0)
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if abs(pos) > MAX_POSITION_SOFT:
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if abs(pos) > MAX_POS:
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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, 1), abs(pos)
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state.bid_prices.get(sym), 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, 99999), abs(pos)
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state.ask_prices.get(sym), abs(pos)
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)
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last_refresh = time.time()
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# ==================== LOOP ====================
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while True:
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msg = exchange.read_message()
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@@ -161,36 +115,32 @@ def main():
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elif msg["type"] == "book":
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sym = msg["symbol"]
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state.update_bid_ask_price(
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sym,
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msg["buy"][0][0] if msg["buy"] else None,
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msg["sell"][0][0] if msg["sell"] else None
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)
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bid = msg["buy"][0][0] if msg["buy"] else None
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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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update_fair()
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bond_arb()
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xlf_arb()
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vale_arb()
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risk()
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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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if time.time() - last_refresh > REFRESH_INTERVAL:
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last_refresh = time.time()
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for s in ["GS", "MS", "WFC"]:
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market_make(s)
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risk()
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elif msg["type"] == "fill":
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qty = msg["size"]
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sym = msg["symbol"]
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if msg["dir"] == Dir.BUY:
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state.update_position(sym, qty)
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positions[sym] = positions.get(sym, 0) + qty
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else:
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state.update_position(sym, -qty)
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positions[sym] = positions.get(sym, 0) - qty
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# ==================== 연결 ====================
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# ====================
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class ExchangeConnection:
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def __init__(self, args):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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@@ -214,10 +164,10 @@ class ExchangeConnection:
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def _write(self, msg):
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self.writer.send((json.dumps(msg)+"\n").encode())
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# ==================== args ====================
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# ====================
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def parse_arguments():
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parser = argparse.ArgumentParser()
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parser.add_argument("--test", type=str, default="prod-like")
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parser.add_argument("--test", default="prod-like")
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args = parser.parse_args()
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args.exchange_hostname = "test-exch-" + team_name
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