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khwkim1111
2026-05-09 15:48:51 +09:00
parent 90a024fa83
commit 7b2824219f
1 changed files with 43 additions and 33 deletions
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72
bot bond sell.py
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@@ -49,15 +49,16 @@ def main():
BOND_ORDER_SIZE = 80 # BOND 주문당 수량 (크게 설정해서 체결 기회 극대화) BOND_ORDER_SIZE = 80 # BOND 주문당 수량 (크게 설정해서 체결 기회 극대화)
XLF_CONVERSION_FEE = 100 # XLF 변환 비용 XLF_CONVERSION_FEE = 100 # XLF 변환 비용
VALE_CONVERSION_FEE = 10 # VALE 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) REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
# XLF state machine # XLF state machine
# IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE (바스켓→XLF) # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE
# IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓) # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = {} xlf_pending = {}
xlf_direction = None xlf_direction = None
xlf_arb_size = 0 # 현재 차익거래 수량 추적
# VALE state machine # VALE state machine
# IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE # IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE
@@ -65,6 +66,7 @@ def main():
vale_state = "IDLE" vale_state = "IDLE"
vale_pending = {} vale_pending = {}
vale_direction = None vale_direction = None
vale_arb_size = 0 # 현재 차익거래 수량 추적
state = StateManager() state = StateManager()
om = OrderManager(exchange) om = OrderManager(exchange)
@@ -99,11 +101,9 @@ def main():
adjustment = abs(position) // 5 adjustment = abs(position) // 5
if position < 0: if position < 0:
# 숏 포지션 → 매수를 더 많이
buy_size = min(base_size + adjustment, 100 - position) buy_size = min(base_size + adjustment, 100 - position)
sell_size = max(base_size - adjustment, 1) sell_size = max(base_size - adjustment, 1)
elif position > 0: elif position > 0:
# 롱 포지션 → 매도를 더 많이
buy_size = max(base_size - adjustment, 1) buy_size = max(base_size - adjustment, 1)
sell_size = min(base_size + adjustment, 100 + position) sell_size = min(base_size + adjustment, 100 + position)
else: else:
@@ -134,7 +134,7 @@ def main():
def try_xlf_arb(): def try_xlf_arb():
"""XLF 차익거래 시도 - IDLE 상태일 때만""" """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": if not market_open or xlf_state != "IDLE":
return return
@@ -163,6 +163,7 @@ def main():
print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
xlf_state = "BUYING_BASKET" xlf_state = "BUYING_BASKET"
xlf_direction = "BASKET_TO_XLF" xlf_direction = "BASKET_TO_XLF"
xlf_arb_size = 10
xlf_pending.clear() xlf_pending.clear()
for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
oid = next_id() oid = next_id()
@@ -176,6 +177,7 @@ def main():
print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
xlf_state = "BUYING_XLF" xlf_state = "BUYING_XLF"
xlf_direction = "XLF_TO_BASKET" xlf_direction = "XLF_TO_BASKET"
xlf_arb_size = 10
xlf_pending.clear() xlf_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) 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: if xlf_state == "BUYING_BASKET" and not xlf_pending:
print(" 바스켓 매수 완료 → XLF 변환 시작") print(" 바스켓 매수 완료 → XLF 변환 시작")
xlf_state = "CONVERTING" 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: elif xlf_state == "BUYING_XLF" and not xlf_pending:
print(" XLF 매수 완료 → 바스켓 변환 시작") print(" XLF 매수 완료 → 바스켓 변환 시작")
xlf_state = "CONVERTING" 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(): def try_vale_arb():
"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만""" """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": if not market_open or vale_state != "IDLE":
return return
@@ -217,7 +219,6 @@ def main():
if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
return return
# 포지션 한도 내에서 최대 size 계산
valbz_pos = om.positions["VALBZ"] valbz_pos = om.positions["VALBZ"]
vale_pos = om.positions["VALE"] vale_pos = om.positions["VALE"]
@@ -228,6 +229,7 @@ def main():
print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}") print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
vale_state = "BUYING_VALBZ" vale_state = "BUYING_VALBZ"
vale_direction = "VALBZ_TO_VALE" vale_direction = "VALBZ_TO_VALE"
vale_arb_size = arb_size1
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1) exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
@@ -241,6 +243,7 @@ def main():
print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}") print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}")
vale_state = "BUYING_VALE" vale_state = "BUYING_VALE"
vale_direction = "VALE_TO_VALBZ" vale_direction = "VALE_TO_VALBZ"
vale_arb_size = arb_size2
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2) exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
@@ -258,22 +261,19 @@ def main():
del vale_pending[order_id] del vale_pending[order_id]
if vale_state == "BUYING_VALBZ" and not vale_pending: if vale_state == "BUYING_VALBZ" and not vale_pending:
# 체결된 수량만큼 변환 print(" VALBZ 매수 완료 → VALE 변환 시작")
size = qty # 마지막 체결 수량 대신 전체 수량 필요 → arb_size 저장 필요
print(f" VALBZ 매수 완료 → VALE 변환 시작")
vale_state = "CONVERTING" 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: 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" 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 # 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 # now this doesn't track much information, but it's enough to get a sense
# of the VALE market. # of the VALE market.
vale_last_print_time = time.time() 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 # 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 # process messages in a loop until a "close" message is received. You
@@ -329,13 +329,25 @@ def main():
if xlf_state == "CONVERTING": if xlf_state == "CONVERTING":
print(" XLF 변환 완료 → 매도 시작") print(" XLF 변환 완료 → 매도 시작")
if xlf_direction == "BASKET_TO_XLF": 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" xlf_state = "SELLING_XLF"
oid = next_id() oid = next_id()
exchange.send_add_message( 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": 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" xlf_state = "SELLING_BASKET"
for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
oid = next_id() oid = next_id()
@@ -348,27 +360,25 @@ def main():
elif vale_state == "CONVERTING": elif vale_state == "CONVERTING":
print(" VALE 변환 완료 → 매도 시작") print(" VALE 변환 완료 → 매도 시작")
if vale_direction == "VALBZ_TO_VALE": 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" vale_state = "SELLING_VALE"
oid = next_id() 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( 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": 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" vale_state = "SELLING_VALBZ"
oid = next_id() oid = next_id()
sell_size = abs(om.positions["VALBZ"])
sell_size = min(sell_size, 10)
exchange.send_add_message( 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": elif message["type"] == "fill":
print(message) print(message)