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khwkim1111
2026-05-09 15:34:52 +09:00
parent 766666cf39
commit 887873a141
1 changed files with 279 additions and 437 deletions
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bot bond sell.py
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@@ -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()