diff --git a/bot bond sell.py b/bot bond sell.py index f8a9153..ec8bc7e 100644 --- a/bot bond sell.py +++ b/bot bond sell.py @@ -49,15 +49,16 @@ def main(): BOND_ORDER_SIZE = 80 # BOND 주문당 수량 (크게 설정해서 체결 기회 극대화) XLF_CONVERSION_FEE = 100 # XLF 변환 비용 VALE_CONVERSION_FEE = 10 # VALE 변환 비용 - VALE_ARB_SIZE = 10 # VALE 차익거래 단위 (포지션 한도 10) + VALE_ARB_SIZE = 10 # VALE 차익거래 단위 REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) # XLF state machine - # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE (바스켓→XLF) - # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓) + # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE + # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE xlf_state = "IDLE" xlf_pending = {} xlf_direction = None + xlf_arb_size = 0 # 현재 차익거래 수량 추적 # VALE state machine # IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE @@ -65,6 +66,7 @@ def main(): vale_state = "IDLE" vale_pending = {} vale_direction = None + vale_arb_size = 0 # 현재 차익거래 수량 추적 state = StateManager() om = OrderManager(exchange) @@ -99,11 +101,9 @@ def main(): adjustment = abs(position) // 5 if position < 0: - # 숏 포지션 → 매수를 더 많이 buy_size = min(base_size + adjustment, 100 - position) sell_size = max(base_size - adjustment, 1) elif position > 0: - # 롱 포지션 → 매도를 더 많이 buy_size = max(base_size - adjustment, 1) sell_size = min(base_size + adjustment, 100 + position) else: @@ -134,7 +134,7 @@ def main(): def try_xlf_arb(): """XLF 차익거래 시도 - IDLE 상태일 때만""" - nonlocal xlf_state, xlf_direction, xlf_pending + nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size if not market_open or xlf_state != "IDLE": return @@ -163,6 +163,7 @@ def main(): print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") xlf_state = "BUYING_BASKET" xlf_direction = "BASKET_TO_XLF" + xlf_arb_size = 10 xlf_pending.clear() for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: oid = next_id() @@ -176,6 +177,7 @@ def main(): print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") xlf_state = "BUYING_XLF" xlf_direction = "XLF_TO_BASKET" + xlf_arb_size = 10 xlf_pending.clear() oid = next_id() exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) @@ -195,16 +197,16 @@ def main(): if xlf_state == "BUYING_BASKET" and not xlf_pending: print(" 바스켓 매수 완료 → XLF 변환 시작") xlf_state = "CONVERTING" - exchange.send_convert_message(next_id(), "XLF", Dir.BUY, 10) + exchange.send_convert_message(next_id(), "XLF", Dir.BUY, xlf_arb_size) elif xlf_state == "BUYING_XLF" and not xlf_pending: print(" XLF 매수 완료 → 바스켓 변환 시작") xlf_state = "CONVERTING" - exchange.send_convert_message(next_id(), "XLF", Dir.SELL, 10) + exchange.send_convert_message(next_id(), "XLF", Dir.SELL, xlf_arb_size) def try_vale_arb(): """VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만""" - nonlocal vale_state, vale_direction, vale_pending + nonlocal vale_state, vale_direction, vale_pending, vale_arb_size if not market_open or vale_state != "IDLE": return @@ -217,17 +219,17 @@ def main(): if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: return - # 포지션 한도 내에서 최대 size 계산 valbz_pos = om.positions["VALBZ"] vale_pos = om.positions["VALE"] # 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도 - profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE + profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos) if profit1 > 0 and arb_size1 > 0: print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}") vale_state = "BUYING_VALBZ" vale_direction = "VALBZ_TO_VALE" + vale_arb_size = arb_size1 vale_pending.clear() oid = next_id() exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1) @@ -235,12 +237,13 @@ def main(): return # 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도 - profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE + profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos) if profit2 > 0 and arb_size2 > 0: print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}") vale_state = "BUYING_VALE" vale_direction = "VALE_TO_VALBZ" + vale_arb_size = arb_size2 vale_pending.clear() oid = next_id() exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2) @@ -258,22 +261,19 @@ def main(): del vale_pending[order_id] if vale_state == "BUYING_VALBZ" and not vale_pending: - # 체결된 수량만큼 변환 - size = qty # 마지막 체결 수량 대신 전체 수량 필요 → arb_size 저장 필요 - print(f" VALBZ 매수 완료 → VALE 변환 시작") + print(" VALBZ 매수 완료 → VALE 변환 시작") vale_state = "CONVERTING" - exchange.send_convert_message(next_id(), "VALE", Dir.BUY, qty) + exchange.send_convert_message(next_id(), "VALE", Dir.BUY, vale_arb_size) elif vale_state == "BUYING_VALE" and not vale_pending: - print(f" VALE 매수 완료 → VALBZ 변환 시작") + print(" VALE 매수 완료 → VALBZ 변환 시작") vale_state = "CONVERTING" - exchange.send_convert_message(next_id(), "VALE", Dir.SELL, qty) + exchange.send_convert_message(next_id(), "VALE", Dir.SELL, vale_arb_size) # Set up some variables to track the bid and ask price of a symbol. Right # now this doesn't track much information, but it's enough to get a sense # of the VALE market. vale_last_print_time = time.time() - vale_arb_total_size = 0 # 변환할 총 수량 추적 # Here is the main loop of the program. It will continue to read and # process messages in a loop until a "close" message is received. You @@ -329,13 +329,25 @@ def main(): if xlf_state == "CONVERTING": print(" XLF 변환 완료 → 매도 시작") if xlf_direction == "BASKET_TO_XLF": + # 변환: BOND -3, GS -2, MS -3, WFC -2, XLF +10 + om.update_position("BOND", -1, -3) + om.update_position("GS", -1, -2) + om.update_position("MS", -1, -3) + om.update_position("WFC", -1, -2) + om.update_position("XLF", -1, xlf_arb_size) xlf_state = "SELLING_XLF" oid = next_id() exchange.send_add_message( - oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10 + oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size ) - xlf_pending[oid] = 10 + xlf_pending[oid] = xlf_arb_size elif xlf_direction == "XLF_TO_BASKET": + # 변환: XLF -10, BOND +3, GS +2, MS +3, WFC +2 + om.update_position("XLF", -1, -xlf_arb_size) + om.update_position("BOND", -1, 3) + om.update_position("GS", -1, 2) + om.update_position("MS", -1, 3) + om.update_position("WFC", -1, 2) xlf_state = "SELLING_BASKET" for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: oid = next_id() @@ -348,27 +360,25 @@ def main(): elif vale_state == "CONVERTING": print(" VALE 변환 완료 → 매도 시작") if vale_direction == "VALBZ_TO_VALE": + # 변환: VALBZ -size, VALE +size + om.update_position("VALBZ", -1, -vale_arb_size) + om.update_position("VALE", -1, vale_arb_size) vale_state = "SELLING_VALE" oid = next_id() - # 변환된 수량 = VALBZ 매수 수량 - converted = sum( - v for v in vale_pending.values() - ) if vale_pending else VALE_ARB_SIZE - sell_size = abs(om.positions["VALE"]) - sell_size = min(sell_size, 10) exchange.send_add_message( - oid, "VALE", Dir.SELL, state.bid_prices["VALE"], sell_size + oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size ) - vale_pending[oid] = sell_size + vale_pending[oid] = vale_arb_size elif vale_direction == "VALE_TO_VALBZ": + # 변환: VALE -size, VALBZ +size + om.update_position("VALE", -1, -vale_arb_size) + om.update_position("VALBZ", -1, vale_arb_size) vale_state = "SELLING_VALBZ" oid = next_id() - sell_size = abs(om.positions["VALBZ"]) - sell_size = min(sell_size, 10) exchange.send_add_message( - oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], sell_size + oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size ) - vale_pending[oid] = sell_size + vale_pending[oid] = vale_arb_size elif message["type"] == "fill": print(message)