diff --git a/bot bond sell.py b/bot bond sell.py index e2d1358..94b8bfd 100644 --- a/bot bond sell.py +++ b/bot bond sell.py @@ -10,6 +10,8 @@ from enum import Enum import time import socket import json +from state import StateManager +from order import OrderManager # ~~~~~============== CONFIGURATION ==============~~~~~ # Replace "REPLACEME" with your team name! @@ -42,25 +44,31 @@ def main(): # 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. - # --- BOND 마켓 메이킹 설정 --- - FAIR_VALUE = 1000 # BOND fair value (고정) - ORDER_SIZE = 5 # 가격대별 주문 수량 - MAX_POSITION = 100 # 최대 포지션 한도 - REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) + # --- 설정 --- + BOND_FAIR_VALUE = 1000 # BOND fair value (고정) + BOND_ORDER_SIZE = 30 # BOND 주문당 수량 + BOND_MAX_POSITION = 100 # BOND 최대 포지션 한도 + XLF_CONVERSION_FEE = 100 # XLF 변환 비용 (설명서: 100) + XLF_MAX_POSITION = 100 # XLF 포지션 한도 + REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) - # 매수: 999, 998, 997 / 매도: 1001, 1002, 1003 - BUY_PRICES = [FAIR_VALUE - 1, FAIR_VALUE - 2, FAIR_VALUE - 3] - SELL_PRICES = [FAIR_VALUE + 1, FAIR_VALUE + 2, FAIR_VALUE + 3] + # 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_pending = set() # 체결 대기 중인 주문 ID + xlf_direction = None # "BASKET_TO_XLF" or "XLF_TO_BASKET" - position = 0 # 현재 BOND 포지션 - order_id = 0 # 단조 증가하는 주문 ID - active_orders = {} # {order_id: {"dir": ..., "price": ...}} - market_open = False # 시장 open 여부 (open 전에는 주문 불가) + state = StateManager() + om = OrderManager() + market_open = False + active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ...}} + + last_refresh = time.time() + vale_last_print = time.time() def next_id(): - nonlocal order_id - order_id += 1 - return order_id + return om.next_order() def cancel_all_bond_orders(): """활성 BOND 주문 전부 취소""" @@ -69,63 +77,137 @@ def main(): active_orders.pop(oid, None) def place_bond_orders(): - """여러 가격대에 분산해서 매수/매도 주문""" + """포지션 한도 안에서 bid/ask 양방향 주문""" if not market_open: return cancel_all_bond_orders() - # 포지션에 따라 size 조정 - base_size = ORDER_SIZE + buy_price = BOND_FAIR_VALUE - 1 # 999 + sell_price = BOND_FAIR_VALUE + 1 # 1001 + position = state.get_position("BOND") + + # 포지션에 따라 size 비대칭 조정 + base_size = BOND_ORDER_SIZE adjustment = abs(position) // 5 if position < 0: - buy_size = min(base_size + adjustment, MAX_POSITION) + # 숏 포지션 → 매수를 더 많이 + buy_size = min(base_size + adjustment, BOND_MAX_POSITION - position) sell_size = max(base_size - adjustment, 1) elif position > 0: + # 롱 포지션 → 매도를 더 많이 buy_size = max(base_size - adjustment, 1) - sell_size = min(base_size + adjustment, MAX_POSITION) + sell_size = min(base_size + adjustment, BOND_MAX_POSITION + position) else: buy_size = base_size sell_size = base_size - # 999, 998, 997 세 가격대에 매수 주문 - for buy_price in BUY_PRICES: - if position < MAX_POSITION: - bid = next_id() - exchange.send_add_message( - order_id=bid, symbol="BOND", - dir=Dir.BUY, price=buy_price, size=buy_size - ) - active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} + if buy_size > 0: + bid = next_id() + exchange.send_add_message( + order_id=bid, symbol="BOND", + dir=Dir.BUY, price=buy_price, size=buy_size + ) + active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} - # 1001, 1002, 1003 세 가격대에 매도 주문 - for sell_price in SELL_PRICES: - if position > -MAX_POSITION: - ask = next_id() - exchange.send_add_message( - order_id=ask, symbol="BOND", - dir=Dir.SELL, price=sell_price, size=sell_size - ) - active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} + if sell_size > 0: + ask = next_id() + exchange.send_add_message( + order_id=ask, symbol="BOND", + dir=Dir.SELL, price=sell_price, size=sell_size + ) + active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} - print(f" BOND 주문 → 매수: {BUY_PRICES} x{buy_size}, 매도: {SELL_PRICES} x{sell_size}, 포지션: {position}") + print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}") + + def try_xlf_arb(): + """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["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]: + return + + # 바스켓 비용/수익 계산 (10주 기준) + 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 + + # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도 + profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE + if profit1 > 0 and state.get_position("XLF") < XLF_MAX_POSITION: + print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") + xlf_state = "BUYING_BASKET" + xlf_direction = "BASKET_TO_XLF" + xlf_pending.clear() + + # 바스켓 구성 종목 매수 + for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: + oid = next_id() + exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) + xlf_pending.add(oid) + return + + # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도 + profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE + if profit2 > 0 and state.get_position("XLF") > -XLF_MAX_POSITION: + 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(oid, "XLF", Dir.BUY, xlf_ask, 10) + xlf_pending.add(oid) + + def handle_xlf_fill(order_id: int, symbol: str, dir_: Dir, qty: int): + """XLF state machine 체결 처리""" + nonlocal xlf_state, xlf_pending + + if order_id not in xlf_pending: + return + + xlf_pending.discard(order_id) + + if xlf_state == "BUYING_BASKET" and not xlf_pending: + # 바스켓 전부 체결 → XLF로 변환 + 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: + # XLF 매수 완료 → 바스켓으로 변환 + print(" XLF 매수 완료 → 바스켓 변환 시작") + xlf_state = "CONVERTING" + exchange.send_convert_message(next_id(), "XLF", Dir.SELL, 10) # 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_bid_price, vale_ask_price = None, None vale_last_print_time = time.time() - last_refresh = 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_machine() response. + # 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 @@ -143,47 +225,100 @@ def main(): 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 place_bond_orders() + elif message["type"] == "error": print(message) + elif message["type"] == "reject": print(message) # 거부된 주문은 active_orders에서 제거 oid = message.get("order_id") active_orders.pop(oid, None) + xlf_pending.discard(oid) + # XLF 주문 reject 시 IDLE로 복귀 + if xlf_state != "IDLE" and oid in xlf_pending: + print(f" XLF 주문 reject → IDLE 복귀") + xlf_state = "IDLE" + xlf_pending.clear() + + elif message["type"] == "ack": + # 변환 ack 처리 (convert는 fill이 아닌 ack로 완료됨) + if xlf_state == "CONVERTING": + print(" 변환 완료 → 매도 시작") + if xlf_direction == "BASKET_TO_XLF": + # XLF 매도 + xlf_state = "SELLING_XLF" + oid = next_id() + exchange.send_add_message( + oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10 + ) + xlf_pending.add(oid) + elif xlf_direction == "XLF_TO_BASKET": + # 바스켓 각 종목 매도 + xlf_state = "SELLING_BASKET" + for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: + oid = next_id() + exchange.send_add_message( + oid, sym, Dir.SELL, state.bid_prices[sym], qty + ) + xlf_pending.add(oid) + elif message["type"] == "fill": print(message) - # 체결 시 포지션 업데이트 후 주문 재보충 - qty = message["size"] - if message["dir"] == Dir.BUY: - position += qty + qty = message["size"] + sym = message["symbol"] + dir_ = message["dir"] + + # 포지션 업데이트 + if dir_ == Dir.BUY: + state.update_position(sym, qty) else: - position -= qty - place_bond_orders() + state.update_position(sym, -qty) + + print(f" 포지션 → {state.positions}") + + # BOND 체결 시 재주문 + if sym == "BOND" and message["order_id"] in active_orders: + active_orders.pop(message["order_id"], None) + place_bond_orders() + + # XLF state machine 체결 처리 + handle_xlf_fill(message["order_id"], sym, dir_, qty) + + # SELLING 단계에서 pending 소진 시 IDLE 복귀 + if xlf_state in ("SELLING_XLF", "SELLING_BASKET"): + xlf_pending.discard(message["order_id"]) + if not xlf_pending: + print(" XLF 차익거래 완료 → IDLE 복귀") + xlf_state = "IDLE" + xlf_direction = None + elif message["type"] == "book": - if message["symbol"] == "VALE": - - def best_price(side): - if message[side]: - return message[side][0][0] - - vale_bid_price = best_price("buy") - vale_ask_price = best_price("sell") + sym = message["symbol"] + state.update_bid_ask_price( + sym, + message["buy"][0][0] if message["buy"] else None, + message["sell"][0][0] if message["sell"] else None + ) + if sym == "VALE": now = time.time() - if now > vale_last_print_time + 1: vale_last_print_time = now - print( - { - "vale_bid_price": vale_bid_price, - "vale_ask_price": vale_ask_price, - } - ) + print({ + "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"]: + try_xlf_arb() # 주기적으로 BOND 주문 갱신 (주문 만료 방지) now = time.time()