add state

bot.py

@@ -11,6 +11,8 @@ import time
 import socket
 import json
 
+from state import StateManager
+
 # ~~~~~============== CONFIGURATION  ==============~~~~~
 # Replace "REPLACEME" with your team name!
 team_name = "HanyangFloorFunction"
@@ -29,6 +31,7 @@ team_name = "HanyangFloorFunction"
 
 def main():
     args = parse_arguments()
+    state = StateManager()
 
     exchange = ExchangeConnection(args=args)
 

state.py

@@ -0,0 +1,120 @@
+from collections import deque
+
+
+CONVERSION_FEE = 5
+
+class StateManager:
+    def __init__(self, tick_size=20):
+        symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
+        self.positions = {s: 0 for s in symbols}
+        self.orders = {s: {} for s in symbols}
+        self.bid_prices = {s: None for s in symbols}
+        self.ask_prices = {s: None for s in symbols}
+        self.bid_depths = {s: 0 for s in symbols}
+        self.ask_depths = {s: 0 for s in symbols}
+        self.tick_size = tick_size
+        self.price_ticks = {s: deque(maxlen=tick_size) for s in symbols}
+        self.last_prices = {s: None for s in symbols}
+        self.fair_values = {
+            "BOND": 1000,
+            "VALBZ": None,
+            "VALE": None,
+            "GS": None,
+            "MS": None,
+            "WFC": None,
+            "XLF": None,
+        }
+        self.last_prices = {}
+        self.etf_components = {
+            "XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}
+        }
+        self.etf_shares = {"XLF": 10}
+
+    def add_price_tick(self, symbol: str, price: int):
+        self.price_ticks[symbol].append(price)
+        self.last_prices[symbol] = price
+
+    def get_price_ticks(self, symbol: str):
+        return list(self.price_ticks.get(symbol, []))
+
+    def get_last_price(self, symbol: str):
+        return self.last_prices.get(symbol)
+
+    def get_avg_price(self, symbol: str):
+        ticks = self.get_price_ticks(symbol)
+        if ticks:
+            return sum(ticks) / len(ticks)
+        return None
+
+    def get_ma(self, symbol: str, period: int):
+        ticks = self.get_price_ticks(symbol)
+        if len(ticks) >= period:
+            return sum(list(ticks)[-period:]) / period
+        return None
+
+    def update_position(self, symbol: str, quantity: int):
+        self.positions[symbol] = self.positions.get(symbol, 0) + quantity
+
+    def update_bid_price(self, symbol: str, price: int):
+        self.bid_prices[symbol] = price
+
+    def update_ask_price(self, symbol: str, price: int):
+        self.ask_prices[symbol] = price
+
+    def get_position(self, symbol: str) -> int:
+        return self.positions.get(symbol, 0)
+
+    def get_spread(self, symbol: str) -> int:
+        bid = self.bid_prices.get(symbol)
+        ask = self.ask_prices.get(symbol)
+        if bid is not None and ask is not None:
+            return ask - bid
+        return None
+
+    def update_last_price(self, symbol: str, price: int):
+        self.last_prices[symbol] = price
+
+    def get_mid_price(self, symbol: str):
+        bid = self.bid_prices[symbol]
+        ask = self.ask_prices[symbol]
+        if bid is not None and ask is not None:
+            return (bid + ask) // 2
+        return self.last_prices.get(symbol)
+
+    def update_depth(self, symbol: str, bid_depth: int, ask_depth: int):
+        self.bid_depths[symbol] = bid_depth
+        self.ask_depths[symbol] = ask_depth
+
+    def get_imbalance(self, symbol: str) -> int:
+        bid_depth = self.bid_depths[symbol]
+        ask_depth = self.ask_depths[symbol]
+        return bid_depth - ask_depth
+
+    def get_predicted_price(self, symbol: str) -> int:
+        mid_price = self.get_mid_price(symbol)
+        imbalance = self.get_imbalance(symbol)
+        if mid_price is not None:
+            return self.get_last_price(symbol)
+        
+
+    def update_fair_value(self):
+        valbz_price = self.get_mid_price("VALBZ")
+        if valbz_price is not None:
+            self.fair_values["VALBZ"] = valbz_price
+            self.fair_values["VALE"] = valbz_price - self.conversion_fee
+
+        bond_price = self.get_mid_price("BOND")
+        gs_price = self.get_mid_price("GS")
+        ms_price = self.get_mid_price("MS")
+        wfc_price = self.get_mid_price("WFC")
+        if all(p is not None for p in [bond_price, gs_price, ms_price, wfc_price]):
+            component_value = (
+                bond_price * self.etf_components["XLF"]["BOND"]
+                + gs_price * self.etf_components["XLF"]["GS"]
+                + ms_price * self.etf_components["XLF"]["MS"]
+                + wfc_price * self.etf_components["XLF"]["WFC"]
+            ) / self.etf_shares["XLF"]
+            self.fair_values["XLF"] = component_value
+
+    def get_fair_value(self, symbol: str) -> int:
+        return self.fair_values.get(symbol)