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khwkim1111
2026-05-09 13:22:16 +09:00
parent 97ca53ba7c
commit a004d498ab
1 changed files with 25 additions and 23 deletions
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48
bot bond sell.py
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@@ -55,17 +55,17 @@ def main():
# XLF state machine # XLF state machine
# IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE (바스켓→XLF) # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE (바스켓→XLF)
# IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓) # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE (XLF→바스켓)
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = set() # 체결 대기 중인 주문 ID xlf_pending = {} # {order_id: remaining_size} 부분 체결 추적
xlf_direction = None # "BASKET_TO_XLF" or "XLF_TO_BASKET" xlf_direction = None # "BASKET_TO_XLF" or "XLF_TO_BASKET"
state = StateManager() state = StateManager()
om = OrderManager() om = OrderManager()
market_open = False market_open = False
active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ...}} active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ...}}
last_refresh = time.time() last_refresh = time.time()
vale_last_print = time.time() vale_last_print = time.time()
def next_id(): def next_id():
return om.next_order() return om.next_order()
@@ -156,11 +156,11 @@ def main():
xlf_direction = "BASKET_TO_XLF" xlf_direction = "BASKET_TO_XLF"
xlf_pending.clear() xlf_pending.clear()
# 바스켓 구성 종목 매수 # 바스켓 구성 종목 매수 (size 추적)
for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
oid = next_id() oid = next_id()
exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
xlf_pending.add(oid) xlf_pending[oid] = qty
return return
# 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도 # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
@@ -173,16 +173,19 @@ def main():
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10)
xlf_pending.add(oid) xlf_pending[oid] = 10
def handle_xlf_fill(order_id: int, symbol: str, dir_: Dir, qty: int): def handle_xlf_fill(order_id: int, symbol: str, dir_: Dir, qty: int):
"""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:
return return
xlf_pending.discard(order_id) # 부분 체결 차감
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: if xlf_state == "BUYING_BASKET" and not xlf_pending:
# 바스켓 전부 체결 → XLF로 변환 # 바스켓 전부 체결 → XLF로 변환
@@ -237,15 +240,14 @@ def main():
elif message["type"] == "reject": elif message["type"] == "reject":
print(message) print(message)
# 거부된 주문은 active_orders에서 제거
oid = message.get("order_id") oid = message.get("order_id")
active_orders.pop(oid, None) active_orders.pop(oid, None)
xlf_pending.discard(oid)
# XLF 주문 reject 시 IDLE로 복귀 # XLF 주문 reject 시 IDLE로 복귀
if xlf_state != "IDLE" and oid in xlf_pending: if oid in xlf_pending:
print(f" XLF 주문 reject → IDLE 복귀") print(f" XLF 주문 reject → IDLE 복귀")
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending.clear() xlf_pending.clear()
xlf_direction = None
elif message["type"] == "ack": elif message["type"] == "ack":
# 변환 ack 처리 (convert는 fill이 아닌 ack로 완료됨) # 변환 ack 처리 (convert는 fill이 아닌 ack로 완료됨)
@@ -258,7 +260,7 @@ def main():
exchange.send_add_message( exchange.send_add_message(
oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10 oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10
) )
xlf_pending.add(oid) xlf_pending[oid] = 10
elif xlf_direction == "XLF_TO_BASKET": elif xlf_direction == "XLF_TO_BASKET":
# 바스켓 각 종목 매도 # 바스켓 각 종목 매도
xlf_state = "SELLING_BASKET" xlf_state = "SELLING_BASKET"
@@ -267,13 +269,14 @@ def main():
exchange.send_add_message( exchange.send_add_message(
oid, sym, Dir.SELL, state.bid_prices[sym], qty oid, sym, Dir.SELL, state.bid_prices[sym], qty
) )
xlf_pending.add(oid) xlf_pending[oid] = qty
elif message["type"] == "fill": elif message["type"] == "fill":
print(message) print(message)
qty = message["size"] qty = message["size"]
sym = message["symbol"] sym = message["symbol"]
dir_ = message["dir"] dir_ = message["dir"]
oid = message["order_id"]
# 포지션 업데이트 # 포지션 업데이트
if dir_ == Dir.BUY: if dir_ == Dir.BUY:
@@ -283,17 +286,16 @@ def main():
print(f" 포지션 → {state.positions}") print(f" 포지션 → {state.positions}")
# BOND 체결 시 재주문 # BOND 체결 시 무조건 재주문
if sym == "BOND" and message["order_id"] in active_orders: if sym == "BOND" and oid in active_orders:
active_orders.pop(message["order_id"], None) active_orders.pop(oid, None)
place_bond_orders() place_bond_orders()
# XLF state machine 체결 처리 # XLF state machine 체결 처리
handle_xlf_fill(message["order_id"], sym, dir_, qty) handle_xlf_fill(oid, sym, dir_, qty)
# SELLING 단계에서 pending 소진 시 IDLE 복귀 # SELLING 단계에서 pending 소진 시 IDLE 복귀
if xlf_state in ("SELLING_XLF", "SELLING_BASKET"): if xlf_state in ("SELLING_XLF", "SELLING_BASKET"):
xlf_pending.discard(message["order_id"])
if not xlf_pending: if not xlf_pending:
print(" XLF 차익거래 완료 → IDLE 복귀") print(" XLF 차익거래 완료 → IDLE 복귀")
xlf_state = "IDLE" xlf_state = "IDLE"