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khwkim1111
2026-05-09 15:43:33 +09:00
parent 46255a8c05
commit 90a024fa83
1 changed files with 64 additions and 33 deletions
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81
bot bond sell.py
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@@ -46,17 +46,22 @@ def main():
# 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 = 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)
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_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓)
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = {} xlf_pending = {}
xlf_direction = None xlf_direction = None
# VALE state machine # VALE state machine
# IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE
# IDLE → BUYING_VALE → CONVERTING → SELLING_VALBZ → IDLE
vale_state = "IDLE" vale_state = "IDLE"
vale_pending = {} vale_pending = {}
vale_direction = None vale_direction = None
@@ -85,35 +90,44 @@ def main():
cancel_all_bond_orders() cancel_all_bond_orders()
buy_price = BOND_FAIR_VALUE - 1 buy_price = BOND_FAIR_VALUE - 1 # 999
sell_price = BOND_FAIR_VALUE + 1 sell_price = BOND_FAIR_VALUE + 1 # 1001
position = om.positions["BOND"] position = om.positions["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, 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:
buy_size = base_size buy_size = base_size
sell_size = base_size sell_size = base_size
# 포지션 한도 초과 방지
buy_size = min(buy_size, 100 - position)
sell_size = min(sell_size, 100 + position)
if buy_size > 0:
bid = next_id() bid = next_id()
if exchange.send_add_message( exchange.send_add_message(
order_id=bid, symbol="BOND", order_id=bid, symbol="BOND",
dir=Dir.BUY, price=buy_price, size=buy_size dir=Dir.BUY, price=buy_price, size=buy_size
) is not False: )
active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
if sell_size > 0:
ask = next_id() ask = next_id()
if exchange.send_add_message( exchange.send_add_message(
order_id=ask, symbol="BOND", order_id=ask, symbol="BOND",
dir=Dir.SELL, price=sell_price, size=sell_size dir=Dir.SELL, price=sell_price, size=sell_size
) is not False: )
active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}") print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}")
@@ -168,7 +182,7 @@ def main():
xlf_pending[oid] = 10 xlf_pending[oid] = 10
def handle_xlf_fill(order_id, symbol, dir_, qty): def handle_xlf_fill(order_id, symbol, dir_, qty):
"""XLF state machine 체결 처리""" """XLF state machine 체결 처리 (부분 체결 추적)"""
nonlocal xlf_state, xlf_pending nonlocal xlf_state, xlf_pending
if order_id not in xlf_pending: if order_id not in xlf_pending:
@@ -203,31 +217,37 @@ 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"]
vale_pos = om.positions["VALE"]
# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도 # 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
if profit1 > 0 and om.check_pos_limit("VALBZ"): arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}") 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_state = "BUYING_VALBZ"
vale_direction = "VALBZ_TO_VALE" vale_direction = "VALBZ_TO_VALE"
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, 1) exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
vale_pending[oid] = 1 vale_pending[oid] = arb_size1
return return
# 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도 # 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
if profit2 > 0 and om.check_pos_limit("VALE"): arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}") 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_state = "BUYING_VALE"
vale_direction = "VALE_TO_VALBZ" vale_direction = "VALE_TO_VALBZ"
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, 1) exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
vale_pending[oid] = 1 vale_pending[oid] = arb_size2
def handle_vale_fill(order_id, symbol, dir_, qty): def handle_vale_fill(order_id, symbol, dir_, qty):
"""VALE state machine 체결 처리""" """VALE state machine 체결 처리 (부분 체결 추적)"""
nonlocal vale_state, vale_pending nonlocal vale_state, vale_pending
if order_id not in vale_pending: if order_id not in vale_pending:
@@ -238,19 +258,22 @@ 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:
print(" VALBZ 매수 완료 → VALE 변환 시작") # 체결된 수량만큼 변환
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, 1) exchange.send_convert_message(next_id(), "VALE", Dir.BUY, qty)
elif vale_state == "BUYING_VALE" and not vale_pending: elif vale_state == "BUYING_VALE" and not vale_pending:
print(" VALE 매수 완료 → VALBZ 변환 시작") print(f" VALE 매수 완료 → VALBZ 변환 시작")
vale_state = "CONVERTING" vale_state = "CONVERTING"
exchange.send_convert_message(next_id(), "VALE", Dir.SELL, 1) exchange.send_convert_message(next_id(), "VALE", Dir.SELL, qty)
# 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
@@ -327,17 +350,25 @@ def main():
if vale_direction == "VALBZ_TO_VALE": if vale_direction == "VALBZ_TO_VALE":
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"], 1 oid, "VALE", Dir.SELL, state.bid_prices["VALE"], sell_size
) )
vale_pending[oid] = 1 vale_pending[oid] = sell_size
elif vale_direction == "VALE_TO_VALBZ": elif vale_direction == "VALE_TO_VALBZ":
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"], 1 oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], sell_size
) )
vale_pending[oid] = 1 vale_pending[oid] = sell_size
elif message["type"] == "fill": elif message["type"] == "fill":
print(message) print(message)