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khwkim1111
2026-05-09 17:11:51 +09:00
parent e12ae87be6
commit a9ed42bbba
1 changed files with 87 additions and 547 deletions
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new_prac.py
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@@ -1,8 +1,4 @@
#!/usr/bin/env python3 #!/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 import argparse
from collections import deque from collections import deque
@@ -13,204 +9,54 @@ import json
from state import StateManager from state import StateManager
from order import OrderManager from order import OrderManager
# ~~~~~============== CONFIGURATION ==============~~~~~
# Replace "REPLACEME" with your team name!
team_name = "HanyangFloorFunction" team_name = "HanyangFloorFunction"
# ~~~~~============== MAIN LOOP ==============~~~~~ MAX_ARBS = 5
XLF_SIZE = 50
# You should put your code here! We provide some starter code as an example, VALE_SIZE = 50
# 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!
def main(): def main():
args = parse_arguments() args = parse_arguments()
exchange = ExchangeConnection(args=args) 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() 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
# 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() state = StateManager()
om = OrderManager(exchange) om = OrderManager(exchange)
market_open = False market_open = False
xlf_pending = {}
# 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}")
def next_id(): def next_id():
return om.next_order() return om.next_order()
# ── BOND 마켓 메이킹 ────────────────────────────────────────── # ---------------- BOND ----------------
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)
def place_bond_orders(): def place_bond_orders():
if not market_open: if not market_open:
return return
cancel_all_bond_orders()
pos = om.positions["BOND"] bid = state.bid_prices["BOND"]
base = BOND_ORDER_SIZE ask = state.ask_prices["BOND"]
adj = abs(pos) // 5
if pos < 0: if bid is None or ask is None:
buy_sz = min(base + adj, 100 - pos) return
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
buy_sz = max(0, min(buy_sz, 100 - pos)) buy_price = bid + 1
sell_sz = max(0, min(sell_sz, 100 + pos)) sell_price = ask - 1
if buy_sz > 0: size = 100
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}
if sell_sz > 0: exchange.send_add_message(next_id(), "BOND", Dir.BUY, buy_price, size)
ask = next_id() exchange.send_add_message(next_id(), "BOND", Dir.SELL, sell_price, size)
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}
print(f" BOND 주문 → 매수:999 x{buy_sz}, 매도:1001 x{sell_sz}, 포지션:{pos}") # ---------------- XLF ----------------
def try_xlf_arb():
# ── 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"""
if not market_open: if not market_open:
return return
bid_price = state.bid_prices[sym] if len(xlf_pending) >= MAX_ARBS:
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:
return return
bond_ask = state.ask_prices["BOND"] bond_ask = state.ask_prices["BOND"]
@@ -218,6 +64,7 @@ def main():
ms_ask = state.ask_prices["MS"] ms_ask = state.ask_prices["MS"]
wfc_ask = state.ask_prices["WFC"] wfc_ask = state.ask_prices["WFC"]
xlf_bid = state.bid_prices["XLF"] xlf_bid = state.bid_prices["XLF"]
bond_bid = state.bid_prices["BOND"] bond_bid = state.bid_prices["BOND"]
gs_bid = state.bid_prices["GS"] gs_bid = state.bid_prices["GS"]
ms_bid = state.bid_prices["MS"] ms_bid = state.bid_prices["MS"]
@@ -231,61 +78,24 @@ def main():
basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2 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 basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
def basket_has_room(): profit1 = xlf_bid * 10 - basket_ask - 100
return ( profit2 = basket_bid - xlf_ask * 10 - 100
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 - XLF_CONVERSION_FEE # 🔥 공격 (손해도 감수)
if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF") and basket_has_room(): if profit1 > -50:
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)]: for sym, qty in [("BOND",3),("GS",2),("MS",3),("WFC",2)]:
oid = next_id() oid = next_id()
exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
xlf_pending[oid] = qty xlf_pending[oid] = qty
return
profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE elif profit2 > -50:
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()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, XLF_SIZE)
xlf_pending[oid] = 10 xlf_pending[oid] = XLF_SIZE
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 ─────────────────────────────────────────────
# ---------------- VALE ----------------
def try_vale_arb(): def try_vale_arb():
nonlocal vale_state, vale_direction, vale_pending, vale_arb_size, vale_convert_oid if not market_open:
if not market_open or vale_state != "IDLE":
return return
vale_bid = state.bid_prices["VALE"] vale_bid = state.bid_prices["VALE"]
@@ -296,236 +106,55 @@ def main():
if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
return return
valbz_pos = om.positions["VALBZ"] profit1 = vale_bid - valbz_ask - 10
vale_pos = om.positions["VALE"] profit2 = valbz_bid - vale_ask - 10
profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE if profit1 > -5:
arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos) exchange.send_add_message(next_id(), "VALBZ", Dir.BUY, valbz_ask, VALE_SIZE)
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
profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE elif profit2 > -5:
arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos) exchange.send_add_message(next_id(), "VALE", Dir.BUY, vale_ask, VALE_SIZE)
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
def handle_vale_fill(order_id, symbol, dir_, qty): # ---------------- MAIN LOOP ----------------
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!
while True: while True:
message = exchange.read_message() 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": if message["type"] == "close":
print("The round has ended") print("Round ended")
break break
elif message["type"] == "open": elif message["type"] == "open":
# 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨) print("Market opened")
print("Market opened:", message)
market_open = True market_open = True
place_bond_orders() 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": elif message["type"] == "fill":
print(message)
qty = message["size"]
sym = message["symbol"] sym = message["symbol"]
qty = message["size"]
dir_ = message["dir"] dir_ = message["dir"]
oid = message["order_id"]
if dir_ == Dir.BUY: if dir_ == Dir.BUY:
om.update_position(sym, oid, qty) om.update_position(sym, message["order_id"], qty)
else: else:
om.update_position(sym, oid, -qty) om.update_position(sym, message["order_id"], -qty)
print(f" 포지션 → {om.positions}") print("Position:", 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
elif message["type"] == "book": elif message["type"] == "book":
sym = message["symbol"] sym = message["symbol"]
state.update_bid_ask_price( state.update_bid_ask_price(
sym, 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 message["sell"][0][0] if message["sell"] else None
) )
if sym == "VALE": # 핵심 실행
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() try_xlf_arb()
# VALE 차익거래 시도
if sym in ["VALE", "VALBZ"]:
try_vale_arb() 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() 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
class Dir(str, Enum): class Dir(str, Enum):
BUY = "BUY" BUY = "BUY"
SELL = "SELL" SELL = "SELL"
@@ -533,132 +162,43 @@ class Dir(str, Enum):
class ExchangeConnection: class ExchangeConnection:
def __init__(self, args): def __init__(self, args):
self.message_timestamps = deque(maxlen=500)
self.exchange_hostname = args.exchange_hostname self.exchange_hostname = args.exchange_hostname
self.port = args.port self.port = args.port
exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
self.reader = exchange_socket.makefile("r", 1) sock.connect((self.exchange_hostname, self.port))
self.writer = exchange_socket self.reader = sock.makefile("r", 1)
self.writer = sock
self._write_message({"type": "hello", "team": team_name.upper()}) self._write({"type": "hello", "team": team_name})
def read_message(self): def read_message(self):
"""Read a single message from the exchange""" msg = json.loads(self.reader.readline())
message = json.loads(self.reader.readline()) if "dir" in msg:
if "dir" in message: msg["dir"] = Dir(msg["dir"])
message["dir"] = Dir(message["dir"]) return msg
return message
def send_add_message( def send_add_message(self, order_id, symbol, dir, price, size):
self, order_id: int, symbol: str, dir: Dir, price: int, size: int self._write({
):
"""Add a new order"""
self._write_message(
{
"type": "add", "type": "add",
"order_id": order_id, "order_id": order_id,
"symbol": symbol, "symbol": symbol,
"dir": dir, "dir": dir,
"price": price, "price": price,
"size": size, "size": size,
"tif": "DAY", # 설명서 필수 필드: DAY or IOC "tif": "DAY"
} })
)
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): def _write(self, msg):
"""Convert between related symbols""" self.writer.send((json.dumps(msg) + "\n").encode())
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 parse_arguments(): def parse_arguments():
test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} parser = argparse.ArgumentParser()
parser.add_argument("--test", required=True)
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
)
args = parser.parse_args() 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.exchange_hostname = "test-exch-" + team_name
args.port = 22000 + test_exchange_port_offsets[args.test] args.port = 22000
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)
return args return args
if __name__ == "__main__": 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() main()