diff --git a/bot bond sell.py b/bot bond sell.py index 0339e7a..4e5b399 100644 --- a/bot bond sell.py +++ b/bot bond sell.py @@ -14,267 +14,127 @@ from state import StateManager from order import OrderManager # ~~~~~============== CONFIGURATION ==============~~~~~ +# Replace "REPLACEME" with your team name! team_name = "HanyangFloorFunction" # ~~~~~============== MAIN LOOP ==============~~~~~ +# You should put your code here! We provide some starter code as an example, +# but feel free to change/remove/edit/update any of it as you'd like. If you +# have any questions about the starter code, or what to do next, please ask us! +# +# To help you get started, the sample code below tries to buy BOND for a low +# price, and it prints the current prices for VALE every second. The sample +# code is intended to be a working example, but it needs some improvement +# before it will start making good trades! + + def main(): args = parse_arguments() + exchange = ExchangeConnection(args=args) + # Store and print the "hello" message received from the exchange. This + # contains useful information about your positions. Normally you start with + # all positions at zero, but if you reconnect during a round, you might + # have already bought/sold symbols and have non-zero positions. hello_message = exchange.read_message() print("First message from exchange:", hello_message) - # ★ 재연결 시 기존 포지션 복원 - state_init = StateManager() - for sym_info in hello_message.get("symbols", []): - sym = sym_info["symbol"] - posn = sym_info["position"] - if posn != 0: - state_init.update_position(sym, posn) - print(f" [재연결] 기존 포지션 복원: {sym} = {posn}") - - # ==================== 설정 ==================== - BOND_FAIR_VALUE = 1000 - BOND_SPREAD = 2 # BOND 마켓메이킹 스프레드 ±2 - BOND_ORDER_SIZE = 30 - BOND_MAX_POSITION = 100 - - # GS/MS/WFC 마켓메이킹 설정 - STOCK_SPREAD = 3 # 개별주 스프레드 ±3 (변동성이 BOND보다 크므로) - STOCK_ORDER_SIZE = 10 # 개별주 주문 수량 (보수적으로 시작) - STOCK_MAX_POSITION = 100 - STOCK_REORDER_DELAY = 0.3 # 개별주 재주문 throttle (초) - - XLF_CONVERSION_FEE = 100 - XLF_MAX_POSITION = 100 - VALE_CONVERSION_FEE = 10 - VALE_MAX_POSITION = 10 - - REFRESH_INTERVAL = 5.0 # 전체 주문 갱신 주기 - - # ==================== 상태 변수 ==================== + # Send an order for BOND at a good price, but it is low enough that it is + # unlikely it will be traded against. Maybe there is a better price to + # pick? Also, you will need to send more orders over time. + # --- 설정 --- + BOND_FAIR_VALUE = 1000 # BOND fair value (고정) + BOND_ORDER_SIZE = 30 # BOND 주문당 수량 + XLF_CONVERSION_FEE = 100 # XLF 변환 비용 + VALE_CONVERSION_FEE = 10 # VALE 변환 비용 + REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) # XLF state machine - xlf_state = "IDLE" - xlf_pending = {} # order_id -> remaining qty - xlf_direction = None - xlf_convert_oid = None + xlf_state = "IDLE" + xlf_pending = {} + xlf_direction = None # VALE state machine - vale_state = "IDLE" - vale_pending = {} - vale_direction = None - vale_convert_oid = None + vale_state = "IDLE" + vale_pending = {} + vale_direction = None - state = state_init - om = OrderManager() - market_open = False - - # 마켓메이킹 주문 추적: order_id -> {"sym": ..., "dir": ..., "price": ...} - active_mm_orders = {} + state = StateManager() + om = OrderManager(exchange) + market_open = False + active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ...}} last_refresh = time.time() - last_mm_fill_time = {} # sym -> 마지막 체결 시각 (throttle용) - BOND_REORDER_DELAY = 0.2 - - # 개별주 implied fair value (book 업데이트마다 갱신) - implied_fairs = {"GS": None, "MS": None, "WFC": None} + vale_last_print = time.time() def next_id(): return om.next_order() - # ==================== fair value 추정 ==================== - - def update_implied_fairs(): - """ - XLF 바스켓 구성으로 GS/MS/WFC implied fair value 추정. - XLF_mid * 10 = BOND*3 + GS*2 + MS*3 + WFC*2 - BOND = 1000(고정) 이므로 잔여분을 현재 mid 비율로 배분. - """ - xlf_bid = state.bid_prices.get("XLF") - xlf_ask = state.ask_prices.get("XLF") - gs_bid = state.bid_prices.get("GS") - gs_ask = state.ask_prices.get("GS") - ms_bid = state.bid_prices.get("MS") - ms_ask = state.ask_prices.get("MS") - wfc_bid = state.bid_prices.get("WFC") - wfc_ask = state.ask_prices.get("WFC") - - if None in [xlf_bid, xlf_ask, gs_bid, gs_ask, ms_bid, ms_ask, wfc_bid, wfc_ask]: - return - - xlf_mid = (xlf_bid + xlf_ask) / 2 - gs_mid = (gs_bid + gs_ask) / 2 - ms_mid = (ms_bid + ms_ask) / 2 - wfc_mid = (wfc_bid + wfc_ask) / 2 - - residual = xlf_mid * 10 - 3000 # BOND 기여분(3x1000) 제외 - total = gs_mid*2 + ms_mid*3 + wfc_mid*2 - - if total <= 0: - return - - implied_fairs["GS"] = round(residual * (gs_mid * 2 / total) / 2) - implied_fairs["MS"] = round(residual * (ms_mid * 3 / total) / 3) - implied_fairs["WFC"] = round(residual * (wfc_mid * 2 / total) / 2) - - # ==================== 잔여 포지션 청산 ==================== - - def cleanup_residual_positions(): - """재연결 시 잔여 포지션 청산""" - if not market_open: - return - - xlf_pos = state.get_position("XLF") - if xlf_pos != 0: - lots = abs(xlf_pos) // 10 - remainder = abs(xlf_pos) % 10 - direction = Dir.SELL if xlf_pos > 0 else Dir.BUY - print(f" [청산] XLF 포지션={xlf_pos}, 변환 lots={lots}, 잔여={remainder}") - if lots > 0: - exchange.send_convert_message(next_id(), "XLF", direction, lots * 10) - if remainder > 0: - oid = next_id() - if xlf_pos > 0: - price = max((state.bid_prices.get("XLF") or 1) - 5, 1) - exchange.send_add_message_ioc(oid, "XLF", Dir.SELL, price, remainder) - else: - price = (state.ask_prices.get("XLF") or 99999) + 5 - exchange.send_add_message_ioc(oid, "XLF", Dir.BUY, price, remainder) - - for sym in ["GS", "MS", "WFC", "VALE", "VALBZ"]: - pos = state.get_position(sym) - if pos == 0: - continue - print(f" [청산] {sym} 포지션={pos}") - oid = next_id() - if pos > 0: - price = max((state.bid_prices.get(sym) or 1) - 5, 1) - exchange.send_add_message_ioc(oid, sym, Dir.SELL, price, abs(pos)) - else: - price = (state.ask_prices.get(sym) or 99999) + 5 - exchange.send_add_message_ioc(oid, sym, Dir.BUY, price, abs(pos)) - - # ==================== 마켓메이킹 주문 ==================== - - def cancel_mm_orders_for(sym): - to_cancel = [oid for oid, info in active_mm_orders.items() if info["sym"] == sym] - for oid in to_cancel: - exchange.send_cancel_message(oid) - active_mm_orders.pop(oid, None) + def cancel_all_bond_orders(): + """활성 BOND 주문 전부 취소""" + for oid in list(active_orders.keys()): + om.cancel(oid) + active_orders.pop(oid, None) def place_bond_orders(): + """포지션 한도 안에서 bid/ask 양방향 주문""" if not market_open: return - cancel_mm_orders_for("BOND") - position = state.get_position("BOND") - base_size = BOND_ORDER_SIZE - adj = abs(position) // 5 + cancel_all_bond_orders() + + buy_price = BOND_FAIR_VALUE - 1 + sell_price = BOND_FAIR_VALUE + 1 + position = om.positions["BOND"] + + base_size = BOND_ORDER_SIZE + adjustment = abs(position) // 5 if position < 0: - buy_size = min(base_size + adj, BOND_MAX_POSITION - position) - sell_size = max(base_size - adj, 1) + buy_size = min(base_size + adjustment, 100 - position) + sell_size = max(base_size - adjustment, 1) elif position > 0: - buy_size = max(base_size - adj, 1) - sell_size = min(base_size + adj, BOND_MAX_POSITION + position) + buy_size = max(base_size - adjustment, 1) + sell_size = min(base_size + adjustment, 100 + position) else: buy_size = base_size sell_size = base_size - buy_size = min(buy_size, BOND_MAX_POSITION - max(position, 0)) - sell_size = min(sell_size, BOND_MAX_POSITION + min(position, 0)) + bid = next_id() + if exchange.send_add_message( + order_id=bid, symbol="BOND", + dir=Dir.BUY, price=buy_price, size=buy_size + ) is not False: + active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} - buy_price = BOND_FAIR_VALUE - BOND_SPREAD - sell_price = BOND_FAIR_VALUE + BOND_SPREAD + ask = next_id() + if exchange.send_add_message( + order_id=ask, symbol="BOND", + dir=Dir.SELL, price=sell_price, size=sell_size + ) is not False: + active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} - if buy_size > 0: - oid = next_id() - exchange.send_add_message(oid, "BOND", Dir.BUY, buy_price, buy_size) - active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY, "price": buy_price} - - if sell_size > 0: - oid = next_id() - exchange.send_add_message(oid, "BOND", Dir.SELL, sell_price, sell_size) - active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.SELL, "price": sell_price} - - print(f" BOND 주문 → 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}") - - def place_stock_orders(sym): - """ - GS/MS/WFC 마켓메이킹. - implied fair value 주변 ±STOCK_SPREAD에서 양방향 DAY 주문. - """ - if not market_open: - return - - fair = implied_fairs.get(sym) - if fair is None or fair <= 0: - return - - cancel_mm_orders_for(sym) - - position = state.get_position(sym) - base_size = STOCK_ORDER_SIZE - adj = abs(position) // 10 - - if position < 0: - buy_size = min(base_size + adj, STOCK_MAX_POSITION - position) - sell_size = max(base_size - adj, 1) - elif position > 0: - buy_size = max(base_size - adj, 1) - sell_size = min(base_size + adj, STOCK_MAX_POSITION + position) - else: - buy_size = base_size - sell_size = base_size - - buy_size = min(buy_size, STOCK_MAX_POSITION - max(position, 0)) - sell_size = min(sell_size, STOCK_MAX_POSITION + min(position, 0)) - - buy_price = int(fair) - STOCK_SPREAD - sell_price = int(fair) + STOCK_SPREAD - - if buy_price <= 0: - return - - if buy_size > 0: - oid = next_id() - exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size) - active_mm_orders[oid] = {"sym": sym, "dir": Dir.BUY, "price": buy_price} - - if sell_size > 0: - oid = next_id() - exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size) - active_mm_orders[oid] = {"sym": sym, "dir": Dir.SELL, "price": sell_price} - - print(f" {sym} 주문 → fair:{fair}, 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}") - - def refresh_all_mm(): - """모든 마켓메이킹 주문 갱신""" - place_bond_orders() - update_implied_fairs() - for sym in ["GS", "MS", "WFC"]: - place_stock_orders(sym) - - # ==================== XLF 차익거래 ==================== + print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}") def try_xlf_arb(): - nonlocal xlf_state, xlf_direction, xlf_pending, xlf_convert_oid + """XLF 차익거래 시도 - IDLE 상태일 때만""" + nonlocal xlf_state, xlf_direction, xlf_pending if not market_open or xlf_state != "IDLE": return - bond_ask = state.ask_prices.get("BOND") - gs_ask = state.ask_prices.get("GS") - ms_ask = state.ask_prices.get("MS") - wfc_ask = state.ask_prices.get("WFC") - xlf_bid = state.bid_prices.get("XLF") - bond_bid = state.bid_prices.get("BOND") - gs_bid = state.bid_prices.get("GS") - ms_bid = state.bid_prices.get("MS") - wfc_bid = state.bid_prices.get("WFC") - xlf_ask = state.ask_prices.get("XLF") + bond_ask = state.ask_prices["BOND"] + gs_ask = state.ask_prices["GS"] + ms_ask = state.ask_prices["MS"] + wfc_ask = state.ask_prices["WFC"] + xlf_bid = state.bid_prices["XLF"] + bond_bid = state.bid_prices["BOND"] + gs_bid = state.bid_prices["GS"] + ms_bid = state.bid_prices["MS"] + wfc_bid = state.bid_prices["WFC"] + xlf_ask = state.ask_prices["XLF"] if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid, bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: @@ -282,283 +142,236 @@ def main(): 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 - pos_xlf = state.get_position("XLF") # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도 profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE - if profit1 > 0 and pos_xlf < XLF_MAX_POSITION: - print(f" XLF 차익(바스켓->XLF) 시작, 예상수익:{profit1}") + if profit1 > 0 and om.check_pos_limit("XLF"): + print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") xlf_state = "BUYING_BASKET" xlf_direction = "BASKET_TO_XLF" xlf_pending.clear() for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: oid = next_id() - exchange.send_add_message_ioc(oid, sym, Dir.BUY, state.ask_prices[sym], qty) + exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) xlf_pending[oid] = qty return # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도 profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE - if profit2 > 0 and pos_xlf > -XLF_MAX_POSITION: - print(f" XLF 차익(XLF->바스켓) 시작, 예상수익:{profit2}") + if profit2 > 0 and om.check_pos_limit("XLF"): + print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") xlf_state = "BUYING_XLF" xlf_direction = "XLF_TO_BASKET" xlf_pending.clear() oid = next_id() - exchange.send_add_message_ioc(oid, "XLF", Dir.BUY, xlf_ask, 10) + exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) xlf_pending[oid] = 10 def handle_xlf_fill(order_id, symbol, dir_, qty): - nonlocal xlf_state, xlf_pending, xlf_convert_oid + """XLF state machine 체결 처리""" + nonlocal xlf_state, xlf_pending if order_id not in xlf_pending: return - xlf_pending[order_id] = max(0, xlf_pending[order_id] - qty) - if xlf_pending[order_id] == 0: + + xlf_pending[order_id] -= qty + if xlf_pending[order_id] <= 0: del xlf_pending[order_id] if xlf_state == "BUYING_BASKET" and not xlf_pending: - print(" 바스켓 매수 완료 -> XLF 변환 시작") - xlf_state = "CONVERTING" - xlf_convert_oid = next_id() - exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, 10) + print(" 바스켓 매수 완료 → XLF 변환 시작") + xlf_state = "CONVERTING" + exchange.send_convert_message(next_id(), "XLF", Dir.BUY, 10) elif xlf_state == "BUYING_XLF" and not xlf_pending: - print(" XLF 매수 완료 -> 바스켓 변환 시작") - xlf_state = "CONVERTING" - xlf_convert_oid = next_id() - exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, 10) - - def handle_xlf_out(order_id): - nonlocal xlf_state, xlf_pending, xlf_direction - - if order_id not in xlf_pending: - return - remaining = xlf_pending.pop(order_id, 0) - if not xlf_pending and xlf_state in ("BUYING_BASKET", "BUYING_XLF"): - print(f" XLF 주문 out (미체결/부분체결) -> IDLE 복귀. 남은:{remaining}") - xlf_state = "IDLE" - xlf_direction = None - - # ==================== VALE 차익거래 ==================== + print(" XLF 매수 완료 → 바스켓 변환 시작") + xlf_state = "CONVERTING" + exchange.send_convert_message(next_id(), "XLF", Dir.SELL, 10) def try_vale_arb(): - nonlocal vale_state, vale_direction, vale_pending, vale_convert_oid + """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.get("VALE") - vale_ask = state.ask_prices.get("VALE") - valbz_bid = state.bid_prices.get("VALBZ") - valbz_ask = state.ask_prices.get("VALBZ") + 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" + if profit1 > 0 and om.check_pos_limit("VALBZ"): + 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_ioc(oid, "VALBZ", Dir.BUY, valbz_ask, 1) + 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" + if profit2 > 0 and om.check_pos_limit("VALE"): + 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_ioc(oid, "VALE", Dir.BUY, vale_ask, 1) + exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, 1) vale_pending[oid] = 1 def handle_vale_fill(order_id, symbol, dir_, qty): - nonlocal vale_state, vale_pending, vale_convert_oid + """VALE state machine 체결 처리""" + nonlocal vale_state, vale_pending if order_id not in vale_pending: return - vale_pending[order_id] = max(0, vale_pending[order_id] - qty) - if vale_pending[order_id] == 0: + + 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" - vale_convert_oid = next_id() - exchange.send_convert_message(vale_convert_oid, "VALE", Dir.BUY, 1) + 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" - vale_convert_oid = next_id() - exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, 1) - - def handle_vale_out(order_id): - nonlocal vale_state, vale_pending, vale_direction - - if order_id not in vale_pending: - return - remaining = vale_pending.pop(order_id, 0) - if not vale_pending and vale_state in ("BUYING_VALBZ", "BUYING_VALE"): - print(f" VALE 주문 out (미체결) -> IDLE 복귀. 남은:{remaining}") - vale_state = "IDLE" - vale_direction = None - - # ==================== 메인 루프 ==================== + 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 + # 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() + # 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 + # should write to code handle more types of messages (and not just print + # the message). Feel free to modify any of the starter code below. + # + # Note: a common mistake people make is to call write_message() at least + # once for every read_message() response. + # + # Every message sent to the exchange generates at least one response + # message. Sending a message in response to every exchange message will + # cause a feedback loop where your bot's messages will quickly be + # rate-limited and ignored. Please, don't do that! while True: message = exchange.read_message() + # Some of the message types below happen infrequently and contain + # important information to help you understand what your bot is doing, + # so they are printed in full. We recommend not always printing every + # message because it can be a lot of information to read. Instead, let + # your code handle the messages and just print the information + # important for you! if message["type"] == "close": print("The round has ended") break elif message["type"] == "open": + # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨) print("Market opened:", message) market_open = True - cleanup_residual_positions() - refresh_all_mm() + place_bond_orders() elif message["type"] == "error": - print("ERROR:", message) + print(message) elif message["type"] == "reject": - print("REJECT:", message) + print(message) oid = message.get("order_id") - active_mm_orders.pop(oid, None) - + active_orders.pop(oid, None) if oid in xlf_pending: - print(" XLF 주문 reject -> IDLE 복귀") - xlf_state = "IDLE" + print(" XLF 주문 reject → IDLE 복귀") + xlf_state = "IDLE" xlf_pending.clear() - xlf_direction = None - xlf_convert_oid = None - + xlf_direction = None if oid in vale_pending: - print(" VALE 주문 reject -> IDLE 복귀") - vale_state = "IDLE" + print(" VALE 주문 reject → IDLE 복귀") + vale_state = "IDLE" vale_pending.clear() - vale_direction = None - vale_convert_oid = None + vale_direction = None elif message["type"] == "ack": - oid = message.get("order_id") - - if xlf_state == "CONVERTING" and oid == xlf_convert_oid: - print(" XLF 변환 완료 -> 매도 시작") + # XLF 변환 ack 처리 + if xlf_state == "CONVERTING": + print(" XLF 변환 완료 → 매도 시작") if xlf_direction == "BASKET_TO_XLF": xlf_state = "SELLING_XLF" - bid_now = state.bid_prices.get("XLF") - if bid_now: - sell_oid = next_id() - exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, bid_now, 10) - xlf_pending[sell_oid] = 10 - else: - xlf_state = "IDLE" - xlf_direction = None - + oid = next_id() + exchange.send_add_message( + oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10 + ) + xlf_pending[oid] = 10 elif xlf_direction == "XLF_TO_BASKET": xlf_state = "SELLING_BASKET" for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: - bid_now = state.bid_prices.get(sym) - if bid_now: - sell_oid = next_id() - exchange.send_add_message_ioc(sell_oid, sym, Dir.SELL, bid_now, qty) - xlf_pending[sell_oid] = qty - if not xlf_pending: - xlf_state = "IDLE" - xlf_direction = None + oid = next_id() + exchange.send_add_message( + oid, sym, Dir.SELL, state.bid_prices[sym], qty + ) + xlf_pending[oid] = qty - elif vale_state == "CONVERTING" and oid == vale_convert_oid: - print(" VALE 변환 완료 -> 매도 시작") + # VALE 변환 ack 처리 + elif vale_state == "CONVERTING": + print(" VALE 변환 완료 → 매도 시작") if vale_direction == "VALBZ_TO_VALE": vale_state = "SELLING_VALE" - bid_now = state.bid_prices.get("VALE") - if bid_now: - sell_oid = next_id() - exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, bid_now, 1) - vale_pending[sell_oid] = 1 - else: - vale_state = "IDLE" - vale_direction = None - + 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" - bid_now = state.bid_prices.get("VALBZ") - if bid_now: - sell_oid = next_id() - exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, bid_now, 1) - vale_pending[sell_oid] = 1 - else: - vale_state = "IDLE" - vale_direction = None - - elif message["type"] == "out": - oid = message.get("order_id") - active_mm_orders.pop(oid, None) - handle_xlf_out(oid) - handle_vale_out(oid) - - if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending: - print(" XLF 차익거래 완료 -> IDLE 복귀") - xlf_state = "IDLE" - xlf_direction = None - xlf_convert_oid = None - - if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: - print(" VALE 차익거래 완료 -> IDLE 복귀") - vale_state = "IDLE" - vale_direction = None - vale_convert_oid = None + oid = next_id() + exchange.send_add_message( + oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], 1 + ) + vale_pending[oid] = 1 elif message["type"] == "fill": + print(message) qty = message["size"] sym = message["symbol"] dir_ = message["dir"] oid = message["order_id"] + # 포지션 업데이트 if dir_ == Dir.BUY: - state.update_position(sym, qty) + om.update_position(sym, oid, qty) else: - state.update_position(sym, -qty) + om.update_position(sym, oid, -qty) - print(f" FILL {sym} {dir_} x{qty} @ {message['price']} | 포지션:{state.positions}") + print(f" 포지션 → {om.positions}") - # 마켓메이킹 주문 체결 -> 해당 심볼 재주문 (throttle 적용) - if oid in active_mm_orders: - filled_sym = active_mm_orders.pop(oid)["sym"] - now = time.time() - last_t = last_mm_fill_time.get(filled_sym, 0.0) - delay = BOND_REORDER_DELAY if filled_sym == "BOND" else STOCK_REORDER_DELAY - - if now - last_t > delay: - last_mm_fill_time[filled_sym] = now - if filled_sym == "BOND": - place_bond_orders() - elif filled_sym in ("GS", "MS", "WFC"): - update_implied_fairs() - place_stock_orders(filled_sym) + # BOND 체결 시 무조건 재주문 + if sym == "BOND" and oid in active_orders: + active_orders.pop(oid, None) + place_bond_orders() + # XLF state machine 체결 처리 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 - xlf_convert_oid = None + print(" XLF 차익거래 완료 → IDLE 복귀") + xlf_state = "IDLE" + xlf_direction = None + # VALE state machine 체결 처리 handle_vale_fill(oid, sym, dir_, qty) if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: - print(" VALE 차익거래 완료 -> IDLE 복귀") - vale_state = "IDLE" - vale_direction = None - vale_convert_oid = None + print(" VALE 차익거래 완료 → IDLE 복귀") + vale_state = "IDLE" + vale_direction = None elif message["type"] == "book": sym = message["symbol"] @@ -573,37 +386,32 @@ def main(): if now > vale_last_print_time + 1: vale_last_print_time = now print({ - "vale_bid": state.bid_prices.get("VALE"), - "vale_ask": state.ask_prices.get("VALE"), - "valbz_bid": state.bid_prices.get("VALBZ"), - "valbz_ask": state.ask_prices.get("VALBZ"), + "vale_bid_price": state.bid_prices["VALE"], + "vale_ask_price": state.ask_prices["VALE"], }) + # XLF 관련 심볼 호가 업데이트마다 차익거래 시도 if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: - update_implied_fairs() try_xlf_arb() - # fair value가 크게 움직이면 해당 종목 주문 즉시 갱신 - if sym in ["GS", "MS", "WFC"] and implied_fairs.get(sym) is not None: - existing = [(oid, info) for oid, info in active_mm_orders.items() - if info["sym"] == sym] - if existing: - fair = implied_fairs[sym] - prices = [info["price"] for _, info in existing] - if any(abs(p - fair) > STOCK_SPREAD * 2 for p in prices): - place_stock_orders(sym) - + # VALE/VALBZ 호가 업데이트마다 차익거래 시도 if sym in ["VALE", "VALBZ"]: try_vale_arb() + # 주기적으로 BOND 주문 갱신 (주문 만료 방지) now = time.time() if now - last_refresh > REFRESH_INTERVAL: last_refresh = now - refresh_all_mm() + place_bond_orders() # ~~~~~============== PROVIDED CODE ==============~~~~~ +# You probably don't need to edit anything below this line, but feel free to +# ask if you have any questions about what it is doing or how it works. If you +# do need to change anything below this line, please feel free to + + class Dir(str, Enum): BUY = "BUY" SELL = "SELL" @@ -612,45 +420,60 @@ class Dir(str, Enum): class ExchangeConnection: def __init__(self, args): self.message_timestamps = deque(maxlen=500) - self.exchange_hostname = args.exchange_hostname - self.port = args.port - exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) - self.reader = exchange_socket.makefile("r", 1) - self.writer = exchange_socket + self.exchange_hostname = args.exchange_hostname + self.port = args.port + exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) + self.reader = exchange_socket.makefile("r", 1) + self.writer = exchange_socket + self._write_message({"type": "hello", "team": team_name.upper()}) def read_message(self): + """Read a single message from the exchange""" message = json.loads(self.reader.readline()) if "dir" in message: message["dir"] = Dir(message["dir"]) return message - def send_add_message(self, order_id: int, symbol: str, dir: Dir, price: int, size: int): - """DAY 주문 - 마켓메이킹용""" - self._write_message({ - "type": "add", "order_id": order_id, "symbol": symbol, - "dir": dir, "price": price, "size": size, "tif": "DAY", - }) - - def send_add_message_ioc(self, order_id: int, symbol: str, dir: Dir, price: int, size: int): - """IOC 주문 - 차익거래/청산용""" - self._write_message({ - "type": "add", "order_id": order_id, "symbol": symbol, - "dir": dir, "price": price, "size": size, "tif": "IOC", - }) + def send_add_message( + self, order_id: int, symbol: str, dir: Dir, price: int, size: int + ): + """Add a new order""" + self._write_message( + { + "type": "add", + "order_id": order_id, + "symbol": symbol, + "dir": dir, + "price": price, + "size": size, + "tif": "DAY", # 설명서 필수 필드: DAY or IOC + } + ) def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): - self._write_message({ - "type": "convert", "order_id": order_id, - "symbol": symbol, "dir": dir, "size": size, - }) + """Convert between related symbols""" + self._write_message( + { + "type": "convert", + "order_id": order_id, + "symbol": symbol, + "dir": dir, + "size": size, + } + ) def send_cancel_message(self, order_id: int): + """Cancel an existing order""" self._write_message({"type": "cancel", "order_id": order_id}) def _connect(self, add_socket_timeout): s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) + if add_socket_timeout: + # Automatically raise an exception if no data has been recieved for + # multiple seconds. This should not be enabled on an "empty" test + # exchange. s.settimeout(5) s.connect((self.exchange_hostname, self.port)) return s @@ -658,30 +481,47 @@ class ExchangeConnection: def _write_message(self, message): what_to_write = json.dumps(message) if not what_to_write.endswith("\n"): - what_to_write += "\n" + what_to_write = what_to_write + "\n" + length_to_send = len(what_to_write) total_sent = 0 while total_sent < length_to_send: - sent = self.writer.send(what_to_write[total_sent:].encode("utf-8")) - if sent == 0: + sent_this_time = self.writer.send( + what_to_write[total_sent:].encode("utf-8") + ) + if sent_this_time == 0: raise Exception("Unable to send data to exchange") - total_sent += sent + total_sent += sent_this_time now = time.time() self.message_timestamps.append(now) - if (len(self.message_timestamps) == self.message_timestamps.maxlen - and self.message_timestamps[0] > (now - 1)): - print("WARNING: 메시지 전송 너무 빈번! Rate limit 위험.") + if len( + self.message_timestamps + ) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1): + print( + "WARNING: You are sending messages too frequently. The exchange will start ignoring your messages. Make sure you are not sending a message in response to every exchange message." + ) def parse_arguments(): test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} parser = argparse.ArgumentParser(description="Trade on an ETC exchange!") - grp = parser.add_mutually_exclusive_group(required=True) - grp.add_argument("--production", action="store_true") - grp.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys()) - grp.add_argument("--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS) + exchange_address_group = parser.add_mutually_exclusive_group(required=True) + exchange_address_group.add_argument( + "--production", action="store_true", help="Connect to the production exchange." + ) + exchange_address_group.add_argument( + "--test", + type=str, + choices=test_exchange_port_offsets.keys(), + help="Connect to a test exchange.", + ) + + # Connect to a specific host. This is only intended to be used for debugging. + exchange_address_group.add_argument( + "--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS + ) args = parser.parse_args() args.add_socket_timeout = True @@ -702,7 +542,9 @@ def parse_arguments(): if __name__ == "__main__": + # Check that [team_name] has been updated. assert team_name != "REPLAC" + "EME", ( "Please put your team name in the variable [team_name]." ) - main() + + main() \ No newline at end of file