diff --git a/new_prac.py b/new_prac.py index 2666a33..d8eaf8a 100644 --- a/new_prac.py +++ b/new_prac.py @@ -1,8 +1,4 @@ #!/usr/bin/env python3 -# ~~~~~============== HOW TO RUN ==============~~~~~ -# 1) Configure things in CONFIGURATION section -# 2) Change permissions: chmod +x bot.py -# 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done import argparse from collections import deque @@ -13,216 +9,67 @@ import json from state import StateManager from order import OrderManager -# ~~~~~============== CONFIGURATION ==============~~~~~ -# Replace "REPLACEME" with your team name! team_name = "HanyangFloorFunction" -# ~~~~~============== MAIN LOOP ==============~~~~~ - -# You should put your code here! We provide some starter code as an example, -# but feel free to change/remove/edit/update any of it as you'd like. If you -# have any questions about the starter code, or what to do next, please ask us! -# -# To help you get started, the sample code below tries to buy BOND for a low -# price, and it prints the current prices for VALE every second. The sample -# code is intended to be a working example, but it needs some improvement -# before it will start making good trades! +MAX_ARBS = 5 +XLF_SIZE = 50 +VALE_SIZE = 50 def main(): args = parse_arguments() exchange = ExchangeConnection(args=args) - # Store and print the "hello" message received from the exchange. This - # contains useful information about your positions. Normally you start with - # all positions at zero, but if you reconnect during a round, you might - # have already bought/sold symbols and have non-zero positions. hello_message = exchange.read_message() - print("First message from exchange:", hello_message) + print("First message:", hello_message) - # Send an order for BOND at a good price, but it is low enough that it is - # unlikely it will be traded against. Maybe there is a better price to - # pick? Also, you will need to send more orders over time. - # --- 설정 --- - BOND_FAIR_VALUE = 1000 - BOND_ORDER_SIZE = 50 - STOCK_ORDER_SIZE = 10 # GS/MS/WFC 마켓 메이킹 주문량 - STOCK_SPREAD = 1 # GS/MS/WFC 마켓 메이킹 스프레드 (mid ± 1) - STOCK_MAX_POSITION = 50 # GS/MS/WFC 포지션 한도 - XLF_CONVERSION_FEE = 100 - XLF_MIN_PROFIT = 50 # 수익 클 때만 XLF 차익거래 - XLF_COOLDOWN = 3.0 - VALE_CONVERSION_FEE = 10 - VALE_MIN_PROFIT = 1 - VALE_ARB_SIZE = 10 - REFRESH_INTERVAL = 5.0 + state = StateManager() + om = OrderManager(exchange) - # XLF state machine - xlf_state = "IDLE" - xlf_pending = {} - xlf_direction = None - xlf_arb_size = 0 - xlf_convert_oid = None - xlf_last_fail = 0.0 - - # VALE state machine - vale_state = "IDLE" - vale_pending = {} - vale_direction = None - vale_arb_size = 0 - vale_convert_oid = None - - state = StateManager() - om = OrderManager(exchange) - market_open = False - - # BOND 전용 active orders - bond_orders = {} # {order_id: {"dir": ..., "price": ..., "size": ...}} - # GS/MS/WFC 마켓 메이킹 active orders - stock_orders = {} # {order_id: {"symbol": ..., "dir": ..., "price": ..., "size": ...}} - - last_refresh = time.time() - last_stock_refresh = time.time() - - # hello 메시지에서 기존 포지션 로드 (재접속 시 필수) ← 들여쓰기 수정 - for sym_info in hello_message["symbols"]: - sym = sym_info["symbol"] - pos = sym_info["position"] - if sym in om.positions: - om.positions[sym] = pos - om.future_positions[sym] = pos - print(f" 초기 포지션 로드: {om.positions}") + market_open = False + xlf_pending = {} def next_id(): return om.next_order() - # ── BOND 마켓 메이킹 ────────────────────────────────────────── - - def cancel_bond_sell_orders(): - for oid in list(bond_orders.keys()): - info = bond_orders[oid] - if info["dir"] == Dir.SELL: - om.future_positions["BOND"] += info.get("size", 0) - om.cancel(oid) - bond_orders.pop(oid, None) - - def cancel_all_bond_orders(): - for oid in list(bond_orders.keys()): - info = bond_orders[oid] - size = info.get("size", 0) - if info["dir"] == Dir.BUY: - om.future_positions["BOND"] -= size - else: - om.future_positions["BOND"] += size - om.cancel(oid) - bond_orders.pop(oid, None) - + # ---------------- BOND ---------------- def place_bond_orders(): if not market_open: return - cancel_all_bond_orders() - pos = om.positions["BOND"] - base = BOND_ORDER_SIZE - adj = abs(pos) // 5 + bid = state.bid_prices["BOND"] + ask = state.ask_prices["BOND"] - if pos < 0: - buy_sz = min(base + adj, 100 - pos) - sell_sz = max(base - adj, 1) - elif pos > 0: - buy_sz = max(base - adj, 1) - sell_sz = min(base + adj, 100 + pos) - else: - buy_sz = sell_sz = base + if bid is None or ask is None: + return - buy_sz = max(0, min(buy_sz, 100 - pos)) - sell_sz = max(0, min(sell_sz, 100 + pos)) + buy_price = bid + 1 + sell_price = ask - 1 - if buy_sz > 0: - bid = next_id() - exchange.send_add_message(bid, "BOND", Dir.BUY, 999, buy_sz) - om.future_positions["BOND"] += buy_sz - bond_orders[bid] = {"dir": Dir.BUY, "price": 999, "size": buy_sz} + size = 100 - if sell_sz > 0: - ask = next_id() - exchange.send_add_message(ask, "BOND", Dir.SELL, 1001, sell_sz) - om.future_positions["BOND"] -= sell_sz - bond_orders[ask] = {"dir": Dir.SELL, "price": 1001, "size": sell_sz} + exchange.send_add_message(next_id(), "BOND", Dir.BUY, buy_price, size) + exchange.send_add_message(next_id(), "BOND", Dir.SELL, sell_price, size) - print(f" BOND 주문 → 매수:999 x{buy_sz}, 매도:1001 x{sell_sz}, 포지션:{pos}") - - # ── GS/MS/WFC 마켓 메이킹 ──────────────────────────────────── - - def cancel_stock_orders(symbol=None): - """symbol=None이면 전부 취소, 아니면 해당 심볼만""" - for oid in list(stock_orders.keys()): - info = stock_orders[oid] - if symbol is None or info["symbol"] == symbol: - size = info.get("size", 0) - s = info["symbol"] - if info["dir"] == Dir.BUY: - om.future_positions[s] -= size - else: - om.future_positions[s] += size - om.cancel(oid) - stock_orders.pop(oid, None) - - def place_stock_orders(sym): - """mid price 기준 ±1 스프레드로 마켓 메이킹""" + # ---------------- XLF ---------------- + def try_xlf_arb(): if not market_open: return - bid_price = state.bid_prices[sym] - ask_price = state.ask_prices[sym] - if bid_price is None or ask_price is None: - return - - mid = (bid_price + ask_price) // 2 - our_bid = mid - STOCK_SPREAD - our_ask = mid + STOCK_SPREAD - - pos = om.positions[sym] - limit = STOCK_MAX_POSITION - - cancel_stock_orders(sym) - - buy_sz = max(0, min(STOCK_ORDER_SIZE, limit - pos)) - sell_sz = max(0, min(STOCK_ORDER_SIZE, limit + pos)) - - if buy_sz > 0 and our_bid > 0: - bid = next_id() - exchange.send_add_message(bid, sym, Dir.BUY, our_bid, buy_sz) - om.future_positions[sym] += buy_sz - stock_orders[bid] = {"symbol": sym, "dir": Dir.BUY, "price": our_bid, "size": buy_sz} - - if sell_sz > 0: - ask = next_id() - exchange.send_add_message(ask, sym, Dir.SELL, our_ask, sell_sz) - om.future_positions[sym] -= sell_sz - stock_orders[ask] = {"symbol": sym, "dir": Dir.SELL, "price": our_ask, "size": sell_sz} - - # ── XLF 차익거래 ───────────────────────────────────────────── - - def try_xlf_arb(): - # nonlocal에 xlf_last_fail 추가 ← 수정 - nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size, xlf_convert_oid, xlf_last_fail - - if not market_open or xlf_state != "IDLE": - return - if time.time() - xlf_last_fail < XLF_COOLDOWN: + if len(xlf_pending) >= MAX_ARBS: return bond_ask = state.ask_prices["BOND"] - gs_ask = state.ask_prices["GS"] - ms_ask = state.ask_prices["MS"] - wfc_ask = state.ask_prices["WFC"] - xlf_bid = state.bid_prices["XLF"] + gs_ask = state.ask_prices["GS"] + ms_ask = state.ask_prices["MS"] + wfc_ask = state.ask_prices["WFC"] + xlf_bid = state.bid_prices["XLF"] + bond_bid = state.bid_prices["BOND"] - gs_bid = state.bid_prices["GS"] - ms_bid = state.bid_prices["MS"] - wfc_bid = state.bid_prices["WFC"] - xlf_ask = state.ask_prices["XLF"] + gs_bid = state.bid_prices["GS"] + ms_bid = state.bid_prices["MS"] + wfc_bid = state.bid_prices["WFC"] + xlf_ask = state.ask_prices["XLF"] if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid, bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: @@ -231,299 +78,81 @@ def main(): basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2 basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2 - def basket_has_room(): - return ( - om.positions["BOND"] + 3 <= 100 and - om.positions["GS"] + 2 <= 100 and - om.positions["MS"] + 3 <= 100 and - om.positions["WFC"] + 2 <= 100 - ) + profit1 = xlf_bid * 10 - basket_ask - 100 + profit2 = basket_bid - xlf_ask * 10 - 100 - profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE - if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF") and basket_has_room(): - print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") - cancel_all_bond_orders() - cancel_stock_orders() - xlf_state = "BUYING_BASKET"; xlf_direction = "BASKET_TO_XLF"; xlf_arb_size = 10 - xlf_pending.clear() - for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: + # 🔥 공격 (손해도 감수) + if profit1 > -50: + for sym, qty in [("BOND",3),("GS",2),("MS",3),("WFC",2)]: oid = next_id() exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) xlf_pending[oid] = qty - return - profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE - if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): - print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") - cancel_all_bond_orders() - cancel_stock_orders() - xlf_state = "BUYING_XLF"; xlf_direction = "XLF_TO_BASKET"; xlf_arb_size = 10 - xlf_pending.clear() + elif profit2 > -50: oid = next_id() - exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) - xlf_pending[oid] = 10 - - def handle_xlf_fill(order_id, symbol, dir_, qty): - nonlocal xlf_state, xlf_pending, xlf_convert_oid - if order_id not in xlf_pending: - return - 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: - print(" 바스켓 매수 완료 → XLF 변환 시작") - xlf_state = "CONVERTING" - xlf_convert_oid = next_id() - exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, xlf_arb_size) - elif xlf_state == "BUYING_XLF" and not xlf_pending: - print(" XLF 매수 완료 → 바스켓 변환 시작") - xlf_state = "CONVERTING" - xlf_convert_oid = next_id() - exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, xlf_arb_size) - - # ── VALE 차익거래 ───────────────────────────────────────────── + exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, XLF_SIZE) + xlf_pending[oid] = XLF_SIZE + # ---------------- VALE ---------------- def try_vale_arb(): - nonlocal vale_state, vale_direction, vale_pending, vale_arb_size, vale_convert_oid - if not market_open or vale_state != "IDLE": + if not market_open: return - vale_bid = state.bid_prices["VALE"] - vale_ask = state.ask_prices["VALE"] + vale_bid = state.bid_prices["VALE"] + vale_ask = state.ask_prices["VALE"] valbz_bid = state.bid_prices["VALBZ"] valbz_ask = state.ask_prices["VALBZ"] if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: return - valbz_pos = om.positions["VALBZ"] - vale_pos = om.positions["VALE"] + profit1 = vale_bid - valbz_ask - 10 + profit2 = valbz_bid - vale_ask - 10 - profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE - arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos) - if profit1 > VALE_MIN_PROFIT and arb_size1 > 0: - print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}") - vale_state = "BUYING_VALBZ"; vale_direction = "VALBZ_TO_VALE"; vale_arb_size = arb_size1 - vale_pending.clear() - oid = next_id() - exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1) - vale_pending[oid] = arb_size1 - return + if profit1 > -5: + exchange.send_add_message(next_id(), "VALBZ", Dir.BUY, valbz_ask, VALE_SIZE) - profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE - arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos) - if profit2 > VALE_MIN_PROFIT and arb_size2 > 0: - print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}") - vale_state = "BUYING_VALE"; vale_direction = "VALE_TO_VALBZ"; vale_arb_size = arb_size2 - vale_pending.clear() - oid = next_id() - exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2) - vale_pending[oid] = arb_size2 + elif profit2 > -5: + exchange.send_add_message(next_id(), "VALE", Dir.BUY, vale_ask, VALE_SIZE) - def handle_vale_fill(order_id, symbol, dir_, qty): - nonlocal vale_state, vale_pending, vale_convert_oid - if order_id not in vale_pending: - return - vale_pending[order_id] -= qty - if vale_pending[order_id] <= 0: - del vale_pending[order_id] - if vale_state == "BUYING_VALBZ" and not vale_pending: - print(" VALBZ 매수 완료 → VALE 변환 시작") - vale_state = "CONVERTING" - vale_convert_oid = next_id() - exchange.send_convert_message(vale_convert_oid, "VALE", Dir.BUY, vale_arb_size) - elif vale_state == "BUYING_VALE" and not vale_pending: - print(" VALE 매수 완료 → VALBZ 변환 시작") - vale_state = "CONVERTING" - vale_convert_oid = next_id() - exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, vale_arb_size) - - # Set up some variables to track the bid and ask price of a symbol. Right - # now this doesn't track much information, but it's enough to get a sense - # of the VALE market. - vale_last_print_time = time.time() - - # Here is the main loop of the program. It will continue to read and - # process messages in a loop until a "close" message is received. You - # should write to code handle more types of messages (and not just print - # the message). Feel free to modify any of the starter code below. - # - # Note: a common mistake people make is to call write_message() at least - # once for every read_message() response. - # - # Every message sent to the exchange generates at least one response - # message. Sending a message in response to every exchange message will - # cause a feedback loop where your bot's messages will quickly be - # rate-limited and ignored. Please, don't do that! + # ---------------- MAIN LOOP ---------------- while True: message = exchange.read_message() - # Some of the message types below happen infrequently and contain - # important information to help you understand what your bot is doing, - # so they are printed in full. We recommend not always printing every - # message because it can be a lot of information to read. Instead, let - # your code handle the messages and just print the information - # important for you! if message["type"] == "close": - print("The round has ended") + print("Round ended") break elif message["type"] == "open": - # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨) - print("Market opened:", message) + print("Market opened") market_open = True place_bond_orders() - elif message["type"] == "error": - print(message) - - elif message["type"] == "reject": - print(message) - oid = message.get("order_id") - bond_orders.pop(oid, None) - stock_orders.pop(oid, None) - if oid in xlf_pending: - print(" XLF 주문 reject → IDLE 복귀") - xlf_state = "IDLE"; xlf_pending.clear(); xlf_direction = None - xlf_last_fail = time.time() - place_bond_orders() - if oid in vale_pending: - print(" VALE 주문 reject → IDLE 복귀") - vale_state = "IDLE"; vale_pending.clear(); vale_direction = None - - elif message["type"] == "ack": - ack_oid = message.get("order_id") - - if xlf_state == "CONVERTING" and ack_oid == xlf_convert_oid: - print(" XLF 변환 완료 → 매도 시작") - if xlf_direction == "BASKET_TO_XLF": - om.positions["BOND"] -= 3; om.positions["GS"] -= 2 - om.positions["MS"] -= 3; om.positions["WFC"] -= 2 - om.positions["XLF"] += xlf_arb_size - om.future_positions["BOND"] -= 3; om.future_positions["GS"] -= 2 - om.future_positions["MS"] -= 3; om.future_positions["WFC"] -= 2 - om.future_positions["XLF"] += xlf_arb_size - xlf_state = "SELLING_XLF" - oid = next_id() - exchange.send_add_message(oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size) - xlf_pending[oid] = xlf_arb_size - elif xlf_direction == "XLF_TO_BASKET": - om.positions["XLF"] -= xlf_arb_size - om.positions["BOND"] += 3; om.positions["GS"] += 2 - om.positions["MS"] += 3; om.positions["WFC"] += 2 - om.future_positions["XLF"] -= xlf_arb_size - om.future_positions["BOND"] += 3; om.future_positions["GS"] += 2 - om.future_positions["MS"] += 3; om.future_positions["WFC"] += 2 - xlf_state = "SELLING_BASKET" - for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: - oid = next_id() - exchange.send_add_message(oid, sym, Dir.SELL, state.bid_prices[sym], qty) - xlf_pending[oid] = qty - - elif vale_state == "CONVERTING" and ack_oid == vale_convert_oid: - print(" VALE 변환 완료 → 매도 시작") - if vale_direction == "VALBZ_TO_VALE": - om.positions["VALBZ"] -= vale_arb_size - om.positions["VALE"] += vale_arb_size - om.future_positions["VALBZ"] -= vale_arb_size - om.future_positions["VALE"] += vale_arb_size - vale_state = "SELLING_VALE" - oid = next_id() - exchange.send_add_message(oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size) - vale_pending[oid] = vale_arb_size - elif vale_direction == "VALE_TO_VALBZ": - om.positions["VALE"] -= vale_arb_size - om.positions["VALBZ"] += vale_arb_size - om.future_positions["VALE"] -= vale_arb_size - om.future_positions["VALBZ"] += vale_arb_size - vale_state = "SELLING_VALBZ" - oid = next_id() - exchange.send_add_message(oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size) - vale_pending[oid] = vale_arb_size - elif message["type"] == "fill": - print(message) - qty = message["size"] - sym = message["symbol"] + sym = message["symbol"] + qty = message["size"] dir_ = message["dir"] - oid = message["order_id"] if dir_ == Dir.BUY: - om.update_position(sym, oid, qty) + om.update_position(sym, message["order_id"], qty) else: - om.update_position(sym, oid, -qty) + om.update_position(sym, message["order_id"], -qty) - print(f" 포지션 → {om.positions}") - - # BOND 체결 → 재주문 - if sym == "BOND" and oid in bond_orders: - bond_orders.pop(oid, None) - place_bond_orders() - - # GS/MS/WFC 체결 → 해당 심볼 재주문 - if sym in ("GS", "MS", "WFC") and oid in stock_orders: - stock_orders.pop(oid, None) - place_stock_orders(sym) - - # XLF state machine - handle_xlf_fill(oid, sym, dir_, qty) - if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending: - print(" XLF 차익거래 완료 → IDLE 복귀") - xlf_state = "IDLE"; xlf_direction = None - place_bond_orders() - for s in ("GS", "MS", "WFC"): - place_stock_orders(s) - - # VALE state machine - handle_vale_fill(oid, sym, dir_, qty) - if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: - print(" VALE 차익거래 완료 → IDLE 복귀") - vale_state = "IDLE"; vale_direction = None + print("Position:", om.positions) elif message["type"] == "book": sym = message["symbol"] + state.update_bid_ask_price( sym, - message["buy"][0][0] if message["buy"] else None, + message["buy"][0][0] if message["buy"] else None, message["sell"][0][0] if message["sell"] else None ) - if sym == "VALE": - now = time.time() - if now > vale_last_print_time + 1: - vale_last_print_time = now - print({ - "vale_bid_price": state.bid_prices["VALE"], - "vale_ask_price": state.ask_prices["VALE"], - }) - - # XLF 차익거래 시도 - if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: - try_xlf_arb() - - # VALE 차익거래 시도 - if sym in ["VALE", "VALBZ"]: - try_vale_arb() - - # GS/MS/WFC 마켓 메이킹 갱신 (2초마다) - if sym in ("GS", "MS", "WFC") and xlf_state == "IDLE": - now = time.time() - if now - last_stock_refresh > 2.0: - last_stock_refresh = now - place_stock_orders(sym) - - # 주기적으로 BOND 주문 갱신 - now = time.time() - if now - last_refresh > REFRESH_INTERVAL: - last_refresh = now - place_bond_orders() - - -# ~~~~~============== PROVIDED CODE ==============~~~~~ - -# You probably don't need to edit anything below this line, but feel free to -# ask if you have any questions about what it is doing or how it works. If you -# do need to change anything below this line, please feel free to + # 핵심 실행 + try_xlf_arb() + try_vale_arb() + place_bond_orders() class Dir(str, Enum): @@ -533,132 +162,43 @@ class Dir(str, Enum): class ExchangeConnection: def __init__(self, args): - self.message_timestamps = deque(maxlen=500) self.exchange_hostname = args.exchange_hostname self.port = args.port - exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) - self.reader = exchange_socket.makefile("r", 1) - self.writer = exchange_socket - - self._write_message({"type": "hello", "team": team_name.upper()}) + sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM) + sock.connect((self.exchange_hostname, self.port)) + self.reader = sock.makefile("r", 1) + self.writer = sock + self._write({"type": "hello", "team": team_name}) def read_message(self): - """Read a single message from the exchange""" - message = json.loads(self.reader.readline()) - if "dir" in message: - message["dir"] = Dir(message["dir"]) - return message + msg = json.loads(self.reader.readline()) + if "dir" in msg: + msg["dir"] = Dir(msg["dir"]) + return msg - def send_add_message( - self, order_id: int, symbol: str, dir: Dir, price: int, size: int - ): - """Add a new order""" - self._write_message( - { - "type": "add", - "order_id": order_id, - "symbol": symbol, - "dir": dir, - "price": price, - "size": size, - "tif": "DAY", # 설명서 필수 필드: DAY or IOC - } - ) + def send_add_message(self, order_id, symbol, dir, price, size): + self._write({ + "type": "add", + "order_id": order_id, + "symbol": symbol, + "dir": dir, + "price": price, + "size": size, + "tif": "DAY" + }) - def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): - """Convert between related symbols""" - self._write_message( - { - "type": "convert", - "order_id": order_id, - "symbol": symbol, - "dir": dir, - "size": size, - } - ) - - def send_cancel_message(self, order_id: int): - """Cancel an existing order""" - self._write_message({"type": "cancel", "order_id": order_id}) - - def _connect(self, add_socket_timeout): - s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) - - if add_socket_timeout: - # Automatically raise an exception if no data has been recieved for - # multiple seconds. This should not be enabled on an "empty" test - # exchange. - s.settimeout(5) - s.connect((self.exchange_hostname, self.port)) - return s - - def _write_message(self, message): - what_to_write = json.dumps(message) - if not what_to_write.endswith("\n"): - what_to_write = what_to_write + "\n" - - length_to_send = len(what_to_write) - total_sent = 0 - while total_sent < length_to_send: - sent_this_time = self.writer.send( - what_to_write[total_sent:].encode("utf-8") - ) - if sent_this_time == 0: - raise Exception("Unable to send data to exchange") - total_sent += sent_this_time - - now = time.time() - self.message_timestamps.append(now) - if len( - self.message_timestamps - ) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1): - print( - "WARNING: You are sending messages too frequently. The exchange will start ignoring your messages. Make sure you are not sending a message in response to every exchange message." - ) + def _write(self, msg): + self.writer.send((json.dumps(msg) + "\n").encode()) def parse_arguments(): - test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} - - parser = argparse.ArgumentParser(description="Trade on an ETC exchange!") - exchange_address_group = parser.add_mutually_exclusive_group(required=True) - exchange_address_group.add_argument( - "--production", action="store_true", help="Connect to the production exchange." - ) - exchange_address_group.add_argument( - "--test", - type=str, - choices=test_exchange_port_offsets.keys(), - help="Connect to a test exchange.", - ) - - # Connect to a specific host. This is only intended to be used for debugging. - exchange_address_group.add_argument( - "--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS - ) - + parser = argparse.ArgumentParser() + parser.add_argument("--test", required=True) args = parser.parse_args() - args.add_socket_timeout = True - - if args.production: - args.exchange_hostname = "production" - args.port = 25000 - elif args.test: - args.exchange_hostname = "test-exch-" + team_name - args.port = 22000 + test_exchange_port_offsets[args.test] - if args.test == "empty": - args.add_socket_timeout = False - elif args.specific_address: - args.exchange_hostname, port = args.specific_address.split(":") - args.port = int(port) - + args.exchange_hostname = "test-exch-" + team_name + args.port = 22000 return args if __name__ == "__main__": - # Check that [team_name] has been updated. - assert team_name != "REPLAC" + "EME", ( - "Please put your team name in the variable [team_name]." - ) - main() \ No newline at end of file