commit

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 ---
+    # --- 설정 ---
-    FAIR_VALUE = 1000       # BOND fair value (고정)
+    BOND_FAIR_VALUE    = 1000   # BOND fair value (고정)
-    ORDER_SIZE = 5          # 가격대별 주문 수량
+    BOND_ORDER_SIZE    = 30     # BOND 주문당 수량
-    MAX_POSITION = 100      # 최대 포지션 한도
+    BOND_MAX_POSITION  = 100    # BOND 최대 포지션 한도
-    REFRESH_INTERVAL = 5.0  # 주문 갱신 주기 (초)
+    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
+    # XLF state machine
-    BUY_PRICES  = [FAIR_VALUE - 1, FAIR_VALUE - 2, FAIR_VALUE - 3]
+    # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE  (바스켓→XLF)
-    SELL_PRICES = [FAIR_VALUE + 1, FAIR_VALUE + 2, FAIR_VALUE + 3]
+    # 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
+    state   = StateManager()
-    order_id = 0            # 단조 증가하는 주문 ID
+    om      = OrderManager()
-    active_orders = {}      # {order_id: {"dir": ..., "price": ...}}
+    market_open   = False
-    market_open = False     # 시장 open 여부 (open 전에는 주문 불가)
+    active_orders = {}  # BOND 전용 {order_id: {"dir": ..., "price": ...}}
+
+    last_refresh       = time.time()
+    vale_last_print    = time.time()
 
     def next_id():
-        nonlocal order_id
+        return om.next_order()
-        order_id += 1
-        return order_id
 
     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
+        buy_price  = BOND_FAIR_VALUE - 1   # 999
-        base_size = ORDER_SIZE
+        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
+        if buy_size > 0:
-        for buy_price in BUY_PRICES:
+            bid = next_id()
-            if position < MAX_POSITION:
+            exchange.send_add_message(
-                bid = next_id()
+                order_id=bid, symbol="BOND",
-                exchange.send_add_message(
+                dir=Dir.BUY, price=buy_price, size=buy_size
-                    order_id=bid, symbol="BOND",
+            )
-                    dir=Dir.BUY, price=buy_price, size=buy_size
+            active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
-                )
-                active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
 
-        # 1001, 1002, 1003 세 가격대에 매도 주문
+        if sell_size > 0:
-        for sell_price in SELL_PRICES:
+            ask = next_id()
-            if position > -MAX_POSITION:
+            exchange.send_add_message(
-                ask = next_id()
+                order_id=ask, symbol="BOND",
-                exchange.send_add_message(
+                dir=Dir.SELL, price=sell_price, size=sell_size
-                    order_id=ask, symbol="BOND",
+            )
-                    dir=Dir.SELL, price=sell_price, size=sell_size
+            active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
-                )
-                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"]
-            qty = message["size"]
+            sym  = message["symbol"]
-            if message["dir"] == Dir.BUY:
+            dir_ = message["dir"]
-                position += qty
+
+            # 포지션 업데이트
+            if dir_ == Dir.BUY:
+                state.update_position(sym, qty)
             else:
-                position -= qty
+                state.update_position(sym, -qty)
-            place_bond_orders()
+
+            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":
+            sym = message["symbol"]
-
+            state.update_bid_ask_price(
-                def best_price(side):
+                sym,
-                    if message[side]:
+                message["buy"][0][0]  if message["buy"]  else None,
-                        return message[side][0][0]
+                message["sell"][0][0] if message["sell"] else None
-
+            )
-                vale_bid_price = best_price("buy")
-                vale_ask_price = best_price("sell")
 
+            if sym == "VALE":
                 now = time.time()
-
                 if now > vale_last_print_time + 1:
                     vale_last_print_time = now
-                    print(
+                    print({
-                        {
+                        "vale_bid_price": state.bid_prices["VALE"],
-                            "vale_bid_price": vale_bid_price,
+                        "vale_ask_price": state.ask_prices["VALE"],
-                            "vale_ask_price": vale_ask_price,
+                    })
-                        }
+
-                    )
+            # 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()