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khwkim1111
2026-05-09 13:33:20 +09:00
parent a004d498ab
commit 7d63d020bf
1 changed files with 122 additions and 41 deletions
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163
bot bond sell.py
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@@ -45,24 +45,29 @@ def main():
# unlikely it will be traded against. Maybe there is a better price to # unlikely it will be traded against. Maybe there is a better price to
# pick? Also, you will need to send more orders over time. # pick? Also, you will need to send more orders over time.
# --- 설정 --- # --- 설정 ---
BOND_FAIR_VALUE = 1000 # BOND fair value (고정) BOND_FAIR_VALUE = 1000 # BOND fair value (고정)
BOND_ORDER_SIZE = 30 # BOND 주문당 수량 BOND_ORDER_SIZE = 30 # BOND 주문당 수량
BOND_MAX_POSITION = 100 # BOND 최대 포지션 한도 BOND_MAX_POSITION = 100 # BOND 최대 포지션 한도
XLF_CONVERSION_FEE = 100 # XLF 변환 비용 (설명서: 100) XLF_CONVERSION_FEE = 100 # XLF 변환 비용
XLF_MAX_POSITION = 100 # XLF 포지션 한도 XLF_MAX_POSITION = 100 # XLF 포지션 한도
REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) VALE_CONVERSION_FEE = 10 # VALE 변환 비용
VALE_MAX_POSITION = 10 # VALE/VALBZ 포지션 한도
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_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓)
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = {} # {order_id: remaining_size} 부분 체결 추적 xlf_pending = {}
xlf_direction = None # "BASKET_TO_XLF" or "XLF_TO_BASKET" xlf_direction = None
state = StateManager() # VALE state machine
om = OrderManager() vale_state = "IDLE"
market_open = False vale_pending = {}
active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ...}} vale_direction = None
state = StateManager()
om = OrderManager()
market_open = False
active_orders = {} # BOND 전용
last_refresh = time.time() last_refresh = time.time()
vale_last_print = time.time() vale_last_print = time.time()
@@ -83,20 +88,17 @@ def main():
cancel_all_bond_orders() cancel_all_bond_orders()
buy_price = BOND_FAIR_VALUE - 1 # 999 buy_price = BOND_FAIR_VALUE - 1
sell_price = BOND_FAIR_VALUE + 1 # 1001 sell_price = BOND_FAIR_VALUE + 1
position = state.get_position("BOND") position = state.get_position("BOND")
# 포지션에 따라 size 비대칭 조정
base_size = BOND_ORDER_SIZE base_size = BOND_ORDER_SIZE
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, BOND_MAX_POSITION - position) buy_size = min(base_size + adjustment, BOND_MAX_POSITION - 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, BOND_MAX_POSITION + position) sell_size = min(base_size + adjustment, BOND_MAX_POSITION + position)
else: else:
@@ -133,7 +135,6 @@ def main():
ms_ask = state.ask_prices["MS"] ms_ask = state.ask_prices["MS"]
wfc_ask = state.ask_prices["WFC"] wfc_ask = state.ask_prices["WFC"]
xlf_bid = state.bid_prices["XLF"] xlf_bid = state.bid_prices["XLF"]
bond_bid = state.bid_prices["BOND"] bond_bid = state.bid_prices["BOND"]
gs_bid = state.bid_prices["GS"] gs_bid = state.bid_prices["GS"]
ms_bid = state.bid_prices["MS"] ms_bid = state.bid_prices["MS"]
@@ -144,7 +145,6 @@ def main():
bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
return return
# 바스켓 비용/수익 계산 (10주 기준)
basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2 basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2 basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
@@ -155,8 +155,6 @@ def main():
xlf_state = "BUYING_BASKET" xlf_state = "BUYING_BASKET"
xlf_direction = "BASKET_TO_XLF" xlf_direction = "BASKET_TO_XLF"
xlf_pending.clear() xlf_pending.clear()
# 바스켓 구성 종목 매수 (size 추적)
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()
exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
@@ -170,35 +168,90 @@ def main():
xlf_state = "BUYING_XLF" xlf_state = "BUYING_XLF"
xlf_direction = "XLF_TO_BASKET" xlf_direction = "XLF_TO_BASKET"
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)
xlf_pending[oid] = 10 xlf_pending[oid] = 10
def handle_xlf_fill(order_id: int, symbol: str, dir_: Dir, qty: int): def handle_xlf_fill(order_id, symbol, dir_, qty):
"""XLF state machine 체결 처리 (부분 체결 추적)""" """XLF state machine 체결 처리"""
nonlocal xlf_state, xlf_pending nonlocal xlf_state, xlf_pending
if order_id not in xlf_pending: if order_id not in xlf_pending:
return return
# 부분 체결 차감
xlf_pending[order_id] -= qty xlf_pending[order_id] -= qty
if xlf_pending[order_id] <= 0: if xlf_pending[order_id] <= 0:
del xlf_pending[order_id] del xlf_pending[order_id]
if xlf_state == "BUYING_BASKET" and not xlf_pending: if xlf_state == "BUYING_BASKET" and not xlf_pending:
# 바스켓 전부 체결 → XLF로 변환
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, 10)
elif xlf_state == "BUYING_XLF" and not xlf_pending: elif xlf_state == "BUYING_XLF" and not xlf_pending:
# XLF 매수 완료 → 바스켓으로 변환
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, 10)
def try_vale_arb():
"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만"""
nonlocal vale_state, vale_direction, vale_pending
if not market_open or vale_state != "IDLE":
return
vale_bid = state.bid_prices["VALE"]
vale_ask = state.ask_prices["VALE"]
valbz_bid = state.bid_prices["VALBZ"]
valbz_ask = state.ask_prices["VALBZ"]
if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
return
# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도
profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION:
print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
vale_state = "BUYING_VALBZ"
vale_direction = "VALBZ_TO_VALE"
vale_pending.clear()
oid = next_id()
exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, 1)
vale_pending[oid] = 1
return
# 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도
profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION:
print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
vale_state = "BUYING_VALE"
vale_direction = "VALE_TO_VALBZ"
vale_pending.clear()
oid = next_id()
exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, 1)
vale_pending[oid] = 1
def handle_vale_fill(order_id, symbol, dir_, qty):
"""VALE state machine 체결 처리"""
nonlocal vale_state, vale_pending
if order_id not in vale_pending:
return
vale_pending[order_id] -= qty
if vale_pending[order_id] <= 0:
del vale_pending[order_id]
if vale_state == "BUYING_VALBZ" and not vale_pending:
print(" VALBZ 매수 완료 → VALE 변환 시작")
vale_state = "CONVERTING"
exchange.send_convert_message(next_id(), "VALE", Dir.BUY, 1)
elif vale_state == "BUYING_VALE" and not vale_pending:
print(" VALE 매수 완료 → VALBZ 변환 시작")
vale_state = "CONVERTING"
exchange.send_convert_message(next_id(), "VALE", Dir.SELL, 1)
# 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.
@@ -242,19 +295,22 @@ def main():
print(message) print(message)
oid = message.get("order_id") oid = message.get("order_id")
active_orders.pop(oid, None) active_orders.pop(oid, None)
# XLF 주문 reject 시 IDLE로 복귀
if oid in xlf_pending: if oid in xlf_pending:
print(f" XLF 주문 reject → IDLE 복귀") print(" XLF 주문 reject → IDLE 복귀")
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending.clear() xlf_pending.clear()
xlf_direction = None xlf_direction = None
if oid in vale_pending:
print(" VALE 주문 reject → IDLE 복귀")
vale_state = "IDLE"
vale_pending.clear()
vale_direction = None
elif message["type"] == "ack": elif message["type"] == "ack":
# 변환 ack 처리 (convert는 fill이 아닌 ack로 완료됨) # XLF 변환 ack 처리
if xlf_state == "CONVERTING": if xlf_state == "CONVERTING":
print(" 변환 완료 → 매도 시작") print(" XLF 변환 완료 → 매도 시작")
if xlf_direction == "BASKET_TO_XLF": if xlf_direction == "BASKET_TO_XLF":
# XLF 매도
xlf_state = "SELLING_XLF" xlf_state = "SELLING_XLF"
oid = next_id() oid = next_id()
exchange.send_add_message( exchange.send_add_message(
@@ -262,7 +318,6 @@ def main():
) )
xlf_pending[oid] = 10 xlf_pending[oid] = 10
elif xlf_direction == "XLF_TO_BASKET": elif xlf_direction == "XLF_TO_BASKET":
# 바스켓 각 종목 매도
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()
@@ -271,6 +326,24 @@ def main():
) )
xlf_pending[oid] = qty xlf_pending[oid] = qty
# VALE 변환 ack 처리
elif vale_state == "CONVERTING":
print(" VALE 변환 완료 → 매도 시작")
if vale_direction == "VALBZ_TO_VALE":
vale_state = "SELLING_VALE"
oid = next_id()
exchange.send_add_message(
oid, "VALE", Dir.SELL, state.bid_prices["VALE"], 1
)
vale_pending[oid] = 1
elif vale_direction == "VALE_TO_VALBZ":
vale_state = "SELLING_VALBZ"
oid = next_id()
exchange.send_add_message(
oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], 1
)
vale_pending[oid] = 1
elif message["type"] == "fill": elif message["type"] == "fill":
print(message) print(message)
qty = message["size"] qty = message["size"]
@@ -293,13 +366,17 @@ def main():
# XLF state machine 체결 처리 # XLF state machine 체결 처리
handle_xlf_fill(oid, sym, dir_, qty) handle_xlf_fill(oid, sym, dir_, qty)
if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
print(" XLF 차익거래 완료 → IDLE 복귀")
xlf_state = "IDLE"
xlf_direction = None
# SELLING 단계에서 pending 소진 시 IDLE 복귀 # VALE state machine 체결 처리
if xlf_state in ("SELLING_XLF", "SELLING_BASKET"): handle_vale_fill(oid, sym, dir_, qty)
if not xlf_pending: if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
print(" XLF 차익거래 완료 → IDLE 복귀") print(" VALE 차익거래 완료 → IDLE 복귀")
xlf_state = "IDLE" vale_state = "IDLE"
xlf_direction = None vale_direction = None
elif message["type"] == "book": elif message["type"] == "book":
sym = message["symbol"] sym = message["symbol"]
@@ -322,6 +399,10 @@ def main():
if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
try_xlf_arb() try_xlf_arb()
# VALE/VALBZ 호가 업데이트마다 차익거래 시도
if sym in ["VALE", "VALBZ"]:
try_vale_arb()
# 주기적으로 BOND 주문 갱신 (주문 만료 방지) # 주기적으로 BOND 주문 갱신 (주문 만료 방지)
now = time.time() now = time.time()
if now - last_refresh > REFRESH_INTERVAL: if now - last_refresh > REFRESH_INTERVAL: