commit
This commit is contained in:
197
new_prac.py
197
new_prac.py
@@ -5,19 +5,18 @@ from state import StateManager
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team_name = "HanyangFloorFunction"
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# ===== 튜닝 파라미터 =====
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ORDER_SIZE = 3
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MAX_POS = 40
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KILL_POS = 55
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REFRESH = 0.25 # 주문 리프레시 주기
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ARB_THRESHOLD = 12 # XLF 차익 임계
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SKEW_K = 0.2 # 포지션 스큐 강도
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# 🔥 핵심 파라미터
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ORDER_SIZE = 5
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MAX_POS = 50
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KILL_POS = 70
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ARB_THRESHOLD = 6
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REFRESH = 0.5
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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# ===== Exchange =====
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# =====================
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class ExchangeConnection:
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def __init__(self, args):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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@@ -28,38 +27,40 @@ class ExchangeConnection:
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def read(self):
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m = json.loads(self.reader.readline())
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if "dir" in m: m["dir"] = Dir(m["dir"])
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if "dir" in m:
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m["dir"] = Dir(m["dir"])
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return m
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def send(self, m):
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self.writer.send((json.dumps(m)+"\n").encode())
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def add(self, oid, sym, d, px, sz, tif="DAY"):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
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self.send({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
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def ioc(self, oid, sym, d, px, sz):
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self.add(oid, sym, d, px, sz, "IOC")
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def cancel(self, oid):
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self._write({"type":"cancel","order_id":oid})
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self.send({"type":"cancel","order_id":oid})
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def convert(self, oid, sym, d, sz):
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self._write({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz})
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self.send({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz})
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def _write(self, m):
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self.writer.send((json.dumps(m)+"\n").encode())
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# ===== args =====
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# =====================
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def parse_arguments():
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p = argparse.ArgumentParser()
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g = p.add_mutually_exclusive_group(required=True)
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g.add_argument("--production", action="store_true")
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g.add_argument("--test", type=str, default="prod-like")
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a = p.parse_args()
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if a.production:
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a.exchange_hostname, a.port = "production", 25000
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else:
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a.exchange_hostname, a.port = "test-exch-"+team_name, 22000
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return a
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# ===== main =====
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# =====================
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def main():
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args = parse_arguments()
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ex = ExchangeConnection(args)
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@@ -72,51 +73,64 @@ def main():
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def nid():
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nonlocal oid; oid += 1; return oid
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active = {} # oid -> sym
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last_refresh = 0.0
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active = {}
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last_refresh = 0
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# ---- 유틸 ----
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def mid(sym):
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b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
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return None if (b is None or a is None) else (b+a)//2
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# 🔥 imbalance 계산
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def imbalance(sym):
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bid = st.bid_depths.get(sym, 0)
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ask = st.ask_depths.get(sym, 0)
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return bid - ask
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def spread(sym):
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b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
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return None if (b is None or a is None) else (a-b)
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# 🔥 alpha 방향 결정
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def alpha(sym):
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imb = imbalance(sym)
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if imb > 0:
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return 1 # 상승
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elif imb < 0:
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return -1 # 하락
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return 0
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# ---- MM (스큐 포함) ----
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def place_mm(sym):
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b, a = st.bid_prices.get(sym), st.ask_prices.get(sym)
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if b is None or a is None: return
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if spread(sym) is None or spread(sym) < 2: return
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# 🔥 Adaptive MM
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def market_make(sym):
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b = st.bid_prices.get(sym)
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a = st.ask_prices.get(sym)
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if b is None or a is None:
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return
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p = pos.get(sym, 0)
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if abs(p) >= MAX_POS: return
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if abs(p) > MAX_POS:
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return
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# 기본: bid+1 / ask-1
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spread = a - b
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direction = alpha(sym)
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# 🔥 방향 반영
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if direction > 0:
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buy_px = b + 2
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sell_px = a - 1
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elif direction < 0:
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buy_px = b + 1
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sell_px = a - 2
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else:
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buy_px = b + 1
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sell_px = a - 1
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if buy_px >= sell_px: return
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# 포지션 스큐: 롱이면 매도 쪽 강화, 숏이면 매수 쪽 강화
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skew = int(SKEW_K * p)
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buy_sz = max(1, ORDER_SIZE - max(0, skew))
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sell_sz = max(1, ORDER_SIZE + max(0, skew))
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if p < 0:
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buy_sz = max(1, ORDER_SIZE + max(0, -skew))
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sell_sz = max(1, ORDER_SIZE - max(0, -skew))
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if buy_px >= sell_px:
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return
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# 안전 클램프
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buy_sz = min(buy_sz, MAX_POS - max(p, 0))
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sell_sz = min(sell_sz, MAX_POS + min(p, 0))
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if buy_sz <= 0 and sell_sz <= 0: return
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buy_sz = ORDER_SIZE
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sell_sz = ORDER_SIZE
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if buy_sz > 0:
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o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o] = sym
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if sell_sz > 0:
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o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o] = sym
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if p > 0:
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sell_sz += 2
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elif p < 0:
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buy_sz += 2
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# ---- XLF 차익 (정석) ----
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o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o]=sym
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o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o]=sym
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# 🔥 XLF arb (유지)
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def xlf_arb():
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bond_ask = st.ask_prices.get("BOND")
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gs_ask = st.ask_prices.get("GS")
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@@ -124,59 +138,30 @@ def main():
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wfc_ask = st.ask_prices.get("WFC")
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xlf_bid = st.bid_prices.get("XLF")
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bond_bid = st.bid_prices.get("BOND")
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gs_bid = st.bid_prices.get("GS")
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ms_bid = st.bid_prices.get("MS")
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wfc_bid = st.bid_prices.get("WFC")
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xlf_ask = st.ask_prices.get("XLF")
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid]:
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return
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# 케이스1: 바스켓 매수 → XLF 변환 → XLF 매도
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cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
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p1 = xlf_bid*10 - cost
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if p1 > ARB_THRESHOLD and pos.get("XLF",0) < MAX_POS:
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profit = xlf_bid*10 - cost
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if profit > ARB_THRESHOLD:
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ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3)
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ex.ioc(nid(),"GS", Dir.BUY,gs_ask, 2)
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ex.ioc(nid(),"MS", Dir.BUY,ms_ask, 3)
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ex.ioc(nid(),"WFC", Dir.BUY,wfc_ask, 2)
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ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2)
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ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3)
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ex.ioc(nid(),"WFC",Dir.BUY,wfc_ask,2)
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ex.convert(nid(),"XLF",Dir.BUY,10)
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ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10)
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# 케이스2: XLF 매수 → 바스켓 변환 → 바스켓 매도
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rev = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
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p2 = rev - xlf_ask*10
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if p2 > ARB_THRESHOLD and pos.get("XLF",0) > -MAX_POS:
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ex.ioc(nid(),"XLF",Dir.BUY,xlf_ask,10)
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ex.convert(nid(),"XLF",Dir.SELL,10)
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ex.ioc(nid(),"BOND",Dir.SELL,bond_bid,3)
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ex.ioc(nid(),"GS", Dir.SELL,gs_bid, 2)
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ex.ioc(nid(),"MS", Dir.SELL,ms_bid, 3)
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ex.ioc(nid(),"WFC", Dir.SELL,wfc_bid, 2)
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# ---- 리스크 컷 ----
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# 🔥 리스크 컷
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def risk():
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for s, p in pos.items():
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if abs(p) >= KILL_POS:
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b, a = st.bid_prices.get(s), st.ask_prices.get(s)
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if p > 0 and b:
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ex.ioc(nid(), s, Dir.SELL, b, abs(p))
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elif p < 0 and a:
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ex.ioc(nid(), s, Dir.BUY, a, abs(p))
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if abs(p) > KILL_POS:
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if p > 0:
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ex.ioc(nid(), s, Dir.SELL, st.bid_prices.get(s,1), abs(p))
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else:
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ex.ioc(nid(), s, Dir.BUY, st.ask_prices.get(s,99999), abs(p))
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# ---- 주문 리프레시 (전부 취소 후 재호가) ----
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def refresh_all():
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# 전부 취소
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for o in list(active.keys()):
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ex.cancel(o)
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active.pop(o, None)
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# 재호가
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for s in ["GS","MS","WFC"]:
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place_mm(s)
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# ===== LOOP =====
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# ================= LOOP =================
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while True:
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m = ex.read()
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@@ -185,28 +170,38 @@ def main():
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elif m["type"] == "book":
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sym = m["symbol"]
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b = m["buy"][0][0] if m["buy"] else None
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a = m["sell"][0][0] if m["sell"] else None
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st.update_bid_ask_price(sym, b, a)
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# 주기적 리프레시
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st.update_bid_ask_price(sym, b, a)
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st.update_depth(sym,
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m["buy"][0][1] if m["buy"] else 0,
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m["sell"][0][1] if m["sell"] else 0
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)
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now = time.time()
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if now - last_refresh > REFRESH:
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last_refresh = now
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refresh_all()
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# XLF 차익 + 리스크
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if sym in ["BOND","GS","MS","WFC","XLF"]:
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# 전체 cancel
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for o in list(active.keys()):
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ex.cancel(o)
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active.pop(o, None)
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for s in ["GS","MS","WFC"]:
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market_make(s)
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xlf_arb()
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risk()
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elif m["type"] == "fill":
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s, q, d = m["symbol"], m["size"], m["dir"]
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pos[s] = pos.get(s,0) + (q if d == Dir.BUY else -q)
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pos[s] += q if d == Dir.BUY else -q
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# 체결 즉시 해당 심볼만 재호가 (속도 ↑)
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# 🔥 초고속 재주문
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if s in ["GS","MS","WFC"]:
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place_mm(s)
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market_make(s)
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if __name__ == "__main__":
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main()
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