commit

new_prac.py

@@ -5,19 +5,18 @@ from state import StateManager
 
 team_name = "HanyangFloorFunction"
 
-# ===== 튜닝 파라미터 =====
+# 🔥 핵심 파라미터
-ORDER_SIZE = 3
+ORDER_SIZE = 5
-MAX_POS = 40
+MAX_POS = 50
-KILL_POS = 55
+KILL_POS = 70
-REFRESH = 0.25          # 주문 리프레시 주기
+ARB_THRESHOLD = 6
-ARB_THRESHOLD = 12      # XLF 차익 임계
+REFRESH = 0.5
-SKEW_K = 0.2            # 포지션 스큐 강도
 
 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
+    active = {}
-    last_refresh = 0.0
+    last_refresh = 0
 
-    # ---- 유틸 ----
+    # 🔥 imbalance 계산
-    def mid(sym):
+    def imbalance(sym):
-        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+        bid = st.bid_depths.get(sym, 0)
-        return None if (b is None or a is None) else (b+a)//2
+        ask = st.ask_depths.get(sym, 0)
+        return bid - ask
 
-    def spread(sym):
+    # 🔥 alpha 방향 결정
-        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+    def alpha(sym):
-        return None if (b is None or a is None) else (a-b)
+        imb = imbalance(sym)
+        if imb > 0:
+            return 1   # 상승
+        elif imb < 0:
+            return -1  # 하락
+        return 0
 
-    # ---- MM (스큐 포함) ----
+    # 🔥 Adaptive MM
-    def place_mm(sym):
+    def market_make(sym):
-        b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
+        b = st.bid_prices.get(sym)
-        if b is None or a is None: return
+        a = st.ask_prices.get(sym)
-        if spread(sym) is None or spread(sym) < 2: return
+        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
+        spread = a - b
+        direction = alpha(sym)
+
+        # 🔥 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
-        if buy_px >= sell_px: return
 
-        # 포지션 스큐: 롱이면 매도 쪽 강화, 숏이면 매수 쪽 강화
+        if buy_px >= sell_px:
-        skew = int(SKEW_K * p)
+            return
-        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))
 
-        # 안전 클램프
+        buy_sz = ORDER_SIZE
-        buy_sz  = min(buy_sz,  MAX_POS - max(p, 0))
+        sell_sz = ORDER_SIZE
-        sell_sz = min(sell_sz, MAX_POS + min(p, 0))
-        if buy_sz <= 0 and sell_sz <= 0: return
 
-        if buy_sz > 0:
+        if p > 0:
-            o = nid(); ex.add(o, sym, Dir.BUY,  buy_px,  buy_sz);  active[o] = sym
+            sell_sz += 2
-        if sell_sz > 0:
+        elif p < 0:
-            o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym
+            buy_sz += 2
 
-    # ---- XLF 차익 (정석) ----
+        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")
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid]:
-        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]:
             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
+        profit = xlf_bid*10 - cost
-        if p1 > ARB_THRESHOLD and pos.get("XLF",0) < MAX_POS:
+
+        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(),"GS",Dir.BUY,gs_ask,2)
-            ex.ioc(nid(),"MS",  Dir.BUY,ms_ask,  3)
+            ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3)
-            ex.ioc(nid(),"WFC", Dir.BUY,wfc_ask, 2)
+            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
+    # 🔥 리스크 컷
-        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 ----
     def risk():
         for s, p in pos.items():
-            if abs(p) >= KILL_POS:
+            if abs(p) > KILL_POS:
-                b, a = st.bid_prices.get(s), st.ask_prices.get(s)
+                if p > 0:
-                if p > 0 and b:
+                    ex.ioc(nid(), s, Dir.SELL, st.bid_prices.get(s,1), abs(p))
-                    ex.ioc(nid(), s, Dir.SELL, b, abs(p))
+                else:
-                elif p < 0 and a:
+                    ex.ioc(nid(), s, Dir.BUY, st.ask_prices.get(s,99999), abs(p))
-                    ex.ioc(nid(), s, Dir.BUY,  a, abs(p))
 
-    # ---- 주문 리프레시 (전부 취소 후 재호가) ----
+    # ================= LOOP =================
-    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 =====
     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
+            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
+                # 전체 cancel
-            if sym in ["BOND","GS","MS","WFC","XLF"]:
+                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()