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khwkim1111
2026-05-09 15:12:35 +09:00
parent 428291b7d4
commit a3f1756ac9
1 changed files with 101 additions and 106 deletions
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207
new_prac.py
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@@ -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()