commit

prac.py

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