diff --git a/new_prac.py b/new_prac.py index 68f1e0b..754958c 100644 --- a/new_prac.py +++ b/new_prac.py @@ -5,19 +5,18 @@ from state import StateManager team_name = "HanyangFloorFunction" -# ===== 튜닝 파라미터 ===== -ORDER_SIZE = 3 -MAX_POS = 40 -KILL_POS = 55 -REFRESH = 0.25 # 주문 리프레시 주기 -ARB_THRESHOLD = 12 # XLF 차익 임계 -SKEW_K = 0.2 # 포지션 스큐 강도 +# 🔥 핵심 파라미터 +ORDER_SIZE = 5 +MAX_POS = 50 +KILL_POS = 70 +ARB_THRESHOLD = 6 +REFRESH = 0.5 class Dir(str, Enum): BUY = "BUY" SELL = "SELL" -# ===== Exchange ===== +# ===================== class ExchangeConnection: def __init__(self, args): s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) @@ -28,38 +27,40 @@ class ExchangeConnection: def read(self): m = json.loads(self.reader.readline()) - if "dir" in m: m["dir"] = Dir(m["dir"]) + if "dir" in m: + m["dir"] = Dir(m["dir"]) return m + def send(self, m): + self.writer.send((json.dumps(m)+"\n").encode()) + def add(self, oid, sym, d, px, sz, tif="DAY"): - self._write({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif}) + self.send({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif}) def ioc(self, oid, sym, d, px, sz): self.add(oid, sym, d, px, sz, "IOC") def cancel(self, oid): - self._write({"type":"cancel","order_id":oid}) + self.send({"type":"cancel","order_id":oid}) def convert(self, oid, sym, d, sz): - self._write({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz}) + self.send({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz}) - def _write(self, m): - self.writer.send((json.dumps(m)+"\n").encode()) - -# ===== args ===== +# ===================== def parse_arguments(): p = argparse.ArgumentParser() g = p.add_mutually_exclusive_group(required=True) g.add_argument("--production", action="store_true") g.add_argument("--test", type=str, default="prod-like") a = p.parse_args() + if a.production: a.exchange_hostname, a.port = "production", 25000 else: a.exchange_hostname, a.port = "test-exch-"+team_name, 22000 return a -# ===== main ===== +# ===================== def main(): args = parse_arguments() ex = ExchangeConnection(args) @@ -72,51 +73,64 @@ def main(): def nid(): nonlocal oid; oid += 1; return oid - active = {} # oid -> sym - last_refresh = 0.0 + active = {} + last_refresh = 0 - # ---- 유틸 ---- - def mid(sym): - b, a = st.bid_prices.get(sym), st.ask_prices.get(sym) - return None if (b is None or a is None) else (b+a)//2 + # 🔥 imbalance 계산 + def imbalance(sym): + bid = st.bid_depths.get(sym, 0) + ask = st.ask_depths.get(sym, 0) + return bid - ask - def spread(sym): - b, a = st.bid_prices.get(sym), st.ask_prices.get(sym) - return None if (b is None or a is None) else (a-b) + # 🔥 alpha 방향 결정 + def alpha(sym): + imb = imbalance(sym) + if imb > 0: + return 1 # 상승 + elif imb < 0: + return -1 # 하락 + return 0 - # ---- MM (스큐 포함) ---- - def place_mm(sym): - b, a = st.bid_prices.get(sym), st.ask_prices.get(sym) - if b is None or a is None: return - if spread(sym) is None or spread(sym) < 2: return + # 🔥 Adaptive MM + def market_make(sym): + b = st.bid_prices.get(sym) + a = st.ask_prices.get(sym) + if b is None or a is None: + return p = pos.get(sym, 0) - if abs(p) >= MAX_POS: return + if abs(p) > MAX_POS: + return - # 기본: bid+1 / ask-1 - buy_px = b + 1 - sell_px = a - 1 - if buy_px >= sell_px: return + spread = a - b + direction = alpha(sym) - # 포지션 스큐: 롱이면 매도 쪽 강화, 숏이면 매수 쪽 강화 - skew = int(SKEW_K * p) - buy_sz = max(1, ORDER_SIZE - max(0, skew)) - sell_sz = max(1, ORDER_SIZE + max(0, skew)) - if p < 0: - buy_sz = max(1, ORDER_SIZE + max(0, -skew)) - sell_sz = max(1, ORDER_SIZE - max(0, -skew)) + # 🔥 방향 반영 + if direction > 0: + buy_px = b + 2 + sell_px = a - 1 + elif direction < 0: + buy_px = b + 1 + sell_px = a - 2 + else: + buy_px = b + 1 + sell_px = a - 1 - # 안전 클램프 - buy_sz = min(buy_sz, MAX_POS - max(p, 0)) - sell_sz = min(sell_sz, MAX_POS + min(p, 0)) - if buy_sz <= 0 and sell_sz <= 0: return + if buy_px >= sell_px: + return - if buy_sz > 0: - o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o] = sym - if sell_sz > 0: - o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym + buy_sz = ORDER_SIZE + sell_sz = ORDER_SIZE - # ---- XLF 차익 (정석) ---- + if p > 0: + sell_sz += 2 + elif p < 0: + buy_sz += 2 + + o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o]=sym + o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o]=sym + + # 🔥 XLF arb (유지) def xlf_arb(): bond_ask = st.ask_prices.get("BOND") gs_ask = st.ask_prices.get("GS") @@ -124,59 +138,30 @@ def main(): wfc_ask = st.ask_prices.get("WFC") xlf_bid = st.bid_prices.get("XLF") - bond_bid = st.bid_prices.get("BOND") - gs_bid = st.bid_prices.get("GS") - ms_bid = st.bid_prices.get("MS") - wfc_bid = st.bid_prices.get("WFC") - xlf_ask = st.ask_prices.get("XLF") - - if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid, - bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: + if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid]: return - # 케이스1: 바스켓 매수 → XLF 변환 → XLF 매도 cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2 - p1 = xlf_bid*10 - cost - if p1 > ARB_THRESHOLD and pos.get("XLF",0) < MAX_POS: + profit = xlf_bid*10 - cost + + if profit > ARB_THRESHOLD: ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3) - ex.ioc(nid(),"GS", Dir.BUY,gs_ask, 2) - ex.ioc(nid(),"MS", Dir.BUY,ms_ask, 3) - ex.ioc(nid(),"WFC", Dir.BUY,wfc_ask, 2) + ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2) + ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3) + ex.ioc(nid(),"WFC",Dir.BUY,wfc_ask,2) ex.convert(nid(),"XLF",Dir.BUY,10) ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10) - # 케이스2: XLF 매수 → 바스켓 변환 → 바스켓 매도 - rev = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2 - p2 = rev - xlf_ask*10 - if p2 > ARB_THRESHOLD and pos.get("XLF",0) > -MAX_POS: - ex.ioc(nid(),"XLF",Dir.BUY,xlf_ask,10) - ex.convert(nid(),"XLF",Dir.SELL,10) - ex.ioc(nid(),"BOND",Dir.SELL,bond_bid,3) - ex.ioc(nid(),"GS", Dir.SELL,gs_bid, 2) - ex.ioc(nid(),"MS", Dir.SELL,ms_bid, 3) - ex.ioc(nid(),"WFC", Dir.SELL,wfc_bid, 2) - - # ---- 리스크 컷 ---- + # 🔥 리스크 컷 def risk(): for s, p in pos.items(): - if abs(p) >= KILL_POS: - b, a = st.bid_prices.get(s), st.ask_prices.get(s) - if p > 0 and b: - ex.ioc(nid(), s, Dir.SELL, b, abs(p)) - elif p < 0 and a: - ex.ioc(nid(), s, Dir.BUY, a, abs(p)) + if abs(p) > KILL_POS: + if p > 0: + ex.ioc(nid(), s, Dir.SELL, st.bid_prices.get(s,1), abs(p)) + else: + ex.ioc(nid(), s, Dir.BUY, st.ask_prices.get(s,99999), abs(p)) - # ---- 주문 리프레시 (전부 취소 후 재호가) ---- - def refresh_all(): - # 전부 취소 - for o in list(active.keys()): - ex.cancel(o) - active.pop(o, None) - # 재호가 - for s in ["GS","MS","WFC"]: - place_mm(s) - - # ===== LOOP ===== + # ================= LOOP ================= while True: m = ex.read() @@ -185,28 +170,38 @@ def main(): elif m["type"] == "book": sym = m["symbol"] - b = m["buy"][0][0] if m["buy"] else None - a = m["sell"][0][0] if m["sell"] else None - st.update_bid_ask_price(sym, b, a) - # 주기적 리프레시 + b = m["buy"][0][0] if m["buy"] else None + a = m["sell"][0][0] if m["sell"] else None + + st.update_bid_ask_price(sym, b, a) + st.update_depth(sym, + m["buy"][0][1] if m["buy"] else 0, + m["sell"][0][1] if m["sell"] else 0 + ) + now = time.time() if now - last_refresh > REFRESH: last_refresh = now - refresh_all() - # XLF 차익 + 리스크 - if sym in ["BOND","GS","MS","WFC","XLF"]: - xlf_arb() + # 전체 cancel + for o in list(active.keys()): + ex.cancel(o) + active.pop(o, None) + + for s in ["GS","MS","WFC"]: + market_make(s) + + xlf_arb() risk() elif m["type"] == "fill": s, q, d = m["symbol"], m["size"], m["dir"] - pos[s] = pos.get(s,0) + (q if d == Dir.BUY else -q) + pos[s] += q if d == Dir.BUY else -q - # 체결 즉시 해당 심볼만 재호가 (속도 ↑) + # 🔥 초고속 재주문 if s in ["GS","MS","WFC"]: - place_mm(s) + market_make(s) if __name__ == "__main__": main() \ No newline at end of file