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khwkim1111
2026-05-09 13:41:54 +09:00
parent 7d63d020bf
commit b29f70b667
1 changed files with 214 additions and 200 deletions
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bot bond sell.py
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@@ -14,72 +14,56 @@ from state import StateManager
from order import OrderManager from order import OrderManager
# ~~~~~============== CONFIGURATION ==============~~~~~ # ~~~~~============== CONFIGURATION ==============~~~~~
# Replace "REPLACEME" with your team name!
team_name = "HanyangFloorFunction" team_name = "HanyangFloorFunction"
# ~~~~~============== MAIN LOOP ==============~~~~~ # ~~~~~============== 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!
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 from exchange:", 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 --- # --- 설정 ---
BOND_FAIR_VALUE = 1000 # BOND fair value (고정) BOND_FAIR_VALUE = 1000
BOND_ORDER_SIZE = 30 # BOND 주문당 수량 BOND_SPREAD = 2 # ±1 → ±2로 확대해서 수익성 개선 (테스트 후 조정)
BOND_MAX_POSITION = 100 # BOND 최대 포지션 한도 BOND_ORDER_SIZE = 30
XLF_CONVERSION_FEE = 100 # XLF 변환 비용 BOND_MAX_POSITION = 100
XLF_MAX_POSITION = 100 # XLF 포지션 한도 XLF_CONVERSION_FEE = 100
VALE_CONVERSION_FEE = 10 # VALE 변환 비용 XLF_MAX_POSITION = 100
VALE_MAX_POSITION = 10 # VALE/VALBZ 포지션 한도 VALE_CONVERSION_FEE = 10
REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) VALE_MAX_POSITION = 10
REFRESH_INTERVAL = 5.0
# XLF state machine # XLF state machine
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = {} xlf_pending = {} # order_id -> remaining qty
xlf_direction = None xlf_direction = None
xlf_convert_oid = None # 변환 주문 ID (ack 구분용)
# VALE state machine # VALE state machine
vale_state = "IDLE" vale_state = "IDLE"
vale_pending = {} vale_pending = {}
vale_direction = None vale_direction = None
vale_convert_oid = None # 변환 주문 ID (ack 구분용)
state = StateManager() state = StateManager()
om = OrderManager() om = OrderManager()
market_open = False market_open = False
active_orders = {} # BOND 전용 active_orders = {} # BOND 전용: order_id -> {"dir": ..., "price": ...}
last_refresh = time.time() last_refresh = time.time()
vale_last_print = time.time() last_bond_fill_time = 0.0 # BOND 체결 시 재주문 throttle용
BOND_REORDER_DELAY = 0.2 # 0.2초 이내 중복 재주문 방지
def next_id(): def next_id():
return om.next_order() return om.next_order()
def cancel_all_bond_orders(): def cancel_all_bond_orders():
"""활성 BOND 주문 전부 취소"""
for oid in list(active_orders.keys()): for oid in list(active_orders.keys()):
exchange.send_cancel_message(oid) exchange.send_cancel_message(oid)
active_orders.pop(oid, None) active_orders.clear()
def place_bond_orders(): def place_bond_orders():
"""포지션 한도 안에서 bid/ask 양방향 주문""" """포지션 한도 안에서 bid/ask 양방향 주문"""
@@ -88,8 +72,8 @@ def main():
cancel_all_bond_orders() cancel_all_bond_orders()
buy_price = BOND_FAIR_VALUE - 1 buy_price = BOND_FAIR_VALUE - BOND_SPREAD
sell_price = BOND_FAIR_VALUE + 1 sell_price = BOND_FAIR_VALUE + BOND_SPREAD
position = state.get_position("BOND") position = state.get_position("BOND")
base_size = BOND_ORDER_SIZE base_size = BOND_ORDER_SIZE
@@ -105,41 +89,38 @@ def main():
buy_size = base_size buy_size = base_size
sell_size = base_size sell_size = base_size
# 포지션 한도 초과 방지
buy_size = min(buy_size, BOND_MAX_POSITION - max(position, 0))
sell_size = min(sell_size, BOND_MAX_POSITION + min(position, 0))
if buy_size > 0: if buy_size > 0:
bid = next_id() bid = next_id()
exchange.send_add_message( exchange.send_add_message(bid, "BOND", Dir.BUY, buy_price, buy_size)
order_id=bid, symbol="BOND",
dir=Dir.BUY, price=buy_price, size=buy_size
)
active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
if sell_size > 0: if sell_size > 0:
ask = next_id() ask = next_id()
exchange.send_add_message( exchange.send_add_message(ask, "BOND", Dir.SELL, sell_price, sell_size)
order_id=ask, symbol="BOND",
dir=Dir.SELL, price=sell_price, size=sell_size
)
active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
print(f" BOND 주문 → 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}") print(f" BOND 주문 → 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}")
def try_xlf_arb(): def try_xlf_arb():
"""XLF 차익거래 시도 - IDLE 상태일 때만""" nonlocal xlf_state, xlf_direction, xlf_pending, xlf_convert_oid
nonlocal xlf_state, xlf_direction, xlf_pending
if not market_open or xlf_state != "IDLE": if not market_open or xlf_state != "IDLE":
return return
bond_ask = state.ask_prices["BOND"] bond_ask = state.ask_prices.get("BOND")
gs_ask = state.ask_prices["GS"] gs_ask = state.ask_prices.get("GS")
ms_ask = state.ask_prices["MS"] ms_ask = state.ask_prices.get("MS")
wfc_ask = state.ask_prices["WFC"] wfc_ask = state.ask_prices.get("WFC")
xlf_bid = state.bid_prices["XLF"] xlf_bid = state.bid_prices.get("XLF")
bond_bid = state.bid_prices["BOND"] bond_bid = state.bid_prices.get("BOND")
gs_bid = state.bid_prices["GS"] gs_bid = state.bid_prices.get("GS")
ms_bid = state.bid_prices["MS"] ms_bid = state.bid_prices.get("MS")
wfc_bid = state.bid_prices["WFC"] wfc_bid = state.bid_prices.get("WFC")
xlf_ask = state.ask_prices["XLF"] xlf_ask = state.ask_prices.get("XLF")
if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid, if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
@@ -150,65 +131,84 @@ def main():
# 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도 # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도
profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
if profit1 > 0 and state.get_position("XLF") < XLF_MAX_POSITION: pos_xlf = state.get_position("XLF")
if profit1 > 0 and pos_xlf < XLF_MAX_POSITION:
print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
xlf_state = "BUYING_BASKET" xlf_state = "BUYING_BASKET"
xlf_direction = "BASKET_TO_XLF" xlf_direction = "BASKET_TO_XLF"
xlf_pending.clear() xlf_pending.clear()
# IOC 주문: 즉시 체결 안 되면 자동 취소
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_ioc(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
xlf_pending[oid] = qty xlf_pending[oid] = qty
return return
# 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도 # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
if profit2 > 0 and state.get_position("XLF") > -XLF_MAX_POSITION: if profit2 > 0 and pos_xlf > -XLF_MAX_POSITION:
print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
xlf_state = "BUYING_XLF" xlf_state = "BUYING_XLF"
xlf_direction = "XLF_TO_BASKET" xlf_direction = "XLF_TO_BASKET"
xlf_pending.clear() xlf_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) exchange.send_add_message_ioc(oid, "XLF", Dir.BUY, xlf_ask, 10)
xlf_pending[oid] = 10 xlf_pending[oid] = 10
def handle_xlf_fill(order_id, symbol, dir_, qty): def handle_xlf_fill(order_id, symbol, dir_, qty):
"""XLF state machine 체결 처리""" nonlocal xlf_state, xlf_pending, xlf_convert_oid
nonlocal xlf_state, xlf_pending
if order_id not in xlf_pending: if order_id not in xlf_pending:
return return
xlf_pending[order_id] -= qty xlf_pending[order_id] = max(0, xlf_pending[order_id] - qty)
if xlf_pending[order_id] <= 0: if xlf_pending[order_id] == 0:
del xlf_pending[order_id] del xlf_pending[order_id]
if xlf_state == "BUYING_BASKET" and not xlf_pending: if xlf_state == "BUYING_BASKET" and not xlf_pending:
print(" 바스켓 매수 완료 → XLF 변환 시작") print(" 바스켓 매수 완료 → XLF 변환 시작")
xlf_state = "CONVERTING" xlf_state = "CONVERTING"
exchange.send_convert_message(next_id(), "XLF", Dir.BUY, 10) xlf_convert_oid = next_id()
exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, 10)
elif xlf_state == "BUYING_XLF" and not xlf_pending: elif xlf_state == "BUYING_XLF" and not xlf_pending:
print(" XLF 매수 완료 → 바스켓 변환 시작") print(" XLF 매수 완료 → 바스켓 변환 시작")
xlf_state = "CONVERTING" xlf_state = "CONVERTING"
exchange.send_convert_message(next_id(), "XLF", Dir.SELL, 10) xlf_convert_oid = next_id()
exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, 10)
def handle_xlf_out(order_id):
"""out 메시지 처리 - IOC 주문이 체결 안 됐거나 BOND 주문 만료"""
nonlocal xlf_state, xlf_pending, xlf_direction
if order_id not in xlf_pending:
return
remaining = xlf_pending.pop(order_id, 0)
# 아직 살아있는 pending이 없으면 state 정리
if not xlf_pending:
if xlf_state in ("BUYING_BASKET", "BUYING_XLF"):
# 부분 체결이나 미체결로 인해 arb 포기 → IDLE 복귀
# 이미 체결된 포지션은 다음 arb에서 자연 해소됨
print(f" XLF 주문 out (미체결/부분체결) → IDLE 복귀. 남은:{remaining}")
xlf_state = "IDLE"
xlf_direction = None
def try_vale_arb(): def try_vale_arb():
"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만""" nonlocal vale_state, vale_direction, vale_pending, vale_convert_oid
nonlocal vale_state, vale_direction, vale_pending
if not market_open or vale_state != "IDLE": if not market_open or vale_state != "IDLE":
return return
vale_bid = state.bid_prices["VALE"] vale_bid = state.bid_prices.get("VALE")
vale_ask = state.ask_prices["VALE"] vale_ask = state.ask_prices.get("VALE")
valbz_bid = state.bid_prices["VALBZ"] valbz_bid = state.bid_prices.get("VALBZ")
valbz_ask = state.ask_prices["VALBZ"] valbz_ask = state.ask_prices.get("VALBZ")
if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
return return
# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도 # 케이스 1: VALBZ 매수 → VALE 변환 → VALE 매도
profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION: if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION:
print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}") print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
@@ -216,11 +216,11 @@ def main():
vale_direction = "VALBZ_TO_VALE" vale_direction = "VALBZ_TO_VALE"
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, 1) exchange.send_add_message_ioc(oid, "VALBZ", Dir.BUY, valbz_ask, 1)
vale_pending[oid] = 1 vale_pending[oid] = 1
return return
# 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도 # 케이스 2: VALE 매수 → VALBZ 변환 → VALBZ 매도
profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION: if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION:
print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}") print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
@@ -228,155 +228,188 @@ def main():
vale_direction = "VALE_TO_VALBZ" vale_direction = "VALE_TO_VALBZ"
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, 1) exchange.send_add_message_ioc(oid, "VALE", Dir.BUY, vale_ask, 1)
vale_pending[oid] = 1 vale_pending[oid] = 1
def handle_vale_fill(order_id, symbol, dir_, qty): def handle_vale_fill(order_id, symbol, dir_, qty):
"""VALE state machine 체결 처리""" nonlocal vale_state, vale_pending, vale_convert_oid
nonlocal vale_state, vale_pending
if order_id not in vale_pending: if order_id not in vale_pending:
return return
vale_pending[order_id] -= qty vale_pending[order_id] = max(0, vale_pending[order_id] - qty)
if vale_pending[order_id] <= 0: if vale_pending[order_id] == 0:
del vale_pending[order_id] del vale_pending[order_id]
if vale_state == "BUYING_VALBZ" and not vale_pending: if vale_state == "BUYING_VALBZ" and not vale_pending:
print(" VALBZ 매수 완료 → VALE 변환 시작") print(" VALBZ 매수 완료 → VALE 변환 시작")
vale_state = "CONVERTING" vale_state = "CONVERTING"
exchange.send_convert_message(next_id(), "VALE", Dir.BUY, 1) vale_convert_oid = next_id()
exchange.send_convert_message(vale_convert_oid, "VALE", Dir.BUY, 1)
elif vale_state == "BUYING_VALE" and not vale_pending: elif vale_state == "BUYING_VALE" and not vale_pending:
print(" VALE 매수 완료 → VALBZ 변환 시작") print(" VALE 매수 완료 → VALBZ 변환 시작")
vale_state = "CONVERTING" vale_state = "CONVERTING"
exchange.send_convert_message(next_id(), "VALE", Dir.SELL, 1) vale_convert_oid = next_id()
exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, 1)
def handle_vale_out(order_id):
nonlocal vale_state, vale_pending, vale_direction
if order_id not in vale_pending:
return
remaining = vale_pending.pop(order_id, 0)
if not vale_pending:
if vale_state in ("BUYING_VALBZ", "BUYING_VALE"):
print(f" VALE 주문 out (미체결) → IDLE 복귀. 남은:{remaining}")
vale_state = "IDLE"
vale_direction = None
# 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() 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("The round has ended")
break break
elif message["type"] == "open": elif message["type"] == "open":
# 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨)
print("Market opened:", message) print("Market opened:", message)
market_open = True market_open = True
place_bond_orders() place_bond_orders()
elif message["type"] == "error": elif message["type"] == "error":
print(message) print("ERROR:", message)
elif message["type"] == "reject": elif message["type"] == "reject":
print(message) print("REJECT:", message)
oid = message.get("order_id") oid = message.get("order_id")
active_orders.pop(oid, None) active_orders.pop(oid, None)
if oid in xlf_pending: if oid in xlf_pending:
print(" XLF 주문 reject → IDLE 복귀") print(" XLF 주문 reject → IDLE 복귀")
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending.clear() xlf_pending.clear()
xlf_direction = None xlf_direction = None
xlf_convert_oid = None
if oid in vale_pending: if oid in vale_pending:
print(" VALE 주문 reject → IDLE 복귀") print(" VALE 주문 reject → IDLE 복귀")
vale_state = "IDLE" vale_state = "IDLE"
vale_pending.clear() vale_pending.clear()
vale_direction = None vale_direction = None
vale_convert_oid = None
elif message["type"] == "ack": elif message["type"] == "ack":
# XLF 변환 ack 처리 oid = message.get("order_id")
if xlf_state == "CONVERTING":
# ★ 핵심 수정: 변환 주문의 ack인지 명확히 구분
if xlf_state == "CONVERTING" and oid == xlf_convert_oid:
print(" XLF 변환 완료 → 매도 시작") print(" XLF 변환 완료 → 매도 시작")
if xlf_direction == "BASKET_TO_XLF": if xlf_direction == "BASKET_TO_XLF":
xlf_state = "SELLING_XLF" xlf_state = "SELLING_XLF"
oid = next_id() sell_oid = next_id()
exchange.send_add_message( xlf_bid_now = state.bid_prices.get("XLF")
oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10 if xlf_bid_now:
) exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, xlf_bid_now, 10)
xlf_pending[oid] = 10 xlf_pending[sell_oid] = 10
else:
print(" XLF bid 없음 → IDLE 복귀")
xlf_state = "IDLE"
xlf_direction = None
elif xlf_direction == "XLF_TO_BASKET": elif xlf_direction == "XLF_TO_BASKET":
xlf_state = "SELLING_BASKET" xlf_state = "SELLING_BASKET"
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() sell_oid = next_id()
exchange.send_add_message( bid_now = state.bid_prices.get(sym)
oid, sym, Dir.SELL, state.bid_prices[sym], qty if bid_now:
) exchange.send_add_message_ioc(sell_oid, sym, Dir.SELL, bid_now, qty)
xlf_pending[oid] = qty xlf_pending[sell_oid] = qty
if not xlf_pending:
xlf_state = "IDLE"
xlf_direction = None
# VALE 변환 ack 처리 elif vale_state == "CONVERTING" and oid == vale_convert_oid:
elif vale_state == "CONVERTING":
print(" VALE 변환 완료 → 매도 시작") print(" VALE 변환 완료 → 매도 시작")
if vale_direction == "VALBZ_TO_VALE": if vale_direction == "VALBZ_TO_VALE":
vale_state = "SELLING_VALE" vale_state = "SELLING_VALE"
oid = next_id() sell_oid = next_id()
exchange.send_add_message( vale_bid_now = state.bid_prices.get("VALE")
oid, "VALE", Dir.SELL, state.bid_prices["VALE"], 1 if vale_bid_now:
) exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, vale_bid_now, 1)
vale_pending[oid] = 1 vale_pending[sell_oid] = 1
else:
vale_state = "IDLE"
vale_direction = None
elif vale_direction == "VALE_TO_VALBZ": elif vale_direction == "VALE_TO_VALBZ":
vale_state = "SELLING_VALBZ" vale_state = "SELLING_VALBZ"
oid = next_id() sell_oid = next_id()
exchange.send_add_message( valbz_bid_now = state.bid_prices.get("VALBZ")
oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], 1 if valbz_bid_now:
) exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, valbz_bid_now, 1)
vale_pending[oid] = 1 vale_pending[sell_oid] = 1
else:
vale_state = "IDLE"
vale_direction = None
elif message["type"] == "out":
# ★ 핵심 수정: out 메시지 처리
oid = message.get("order_id")
active_orders.pop(oid, None)
handle_xlf_out(oid)
handle_vale_out(oid)
# 매도 완료 체크
if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
print(" XLF 차익거래 완료 → IDLE 복귀")
xlf_state = "IDLE"
xlf_direction = None
xlf_convert_oid = None
if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
print(" VALE 차익거래 완료 → IDLE 복귀")
vale_state = "IDLE"
vale_direction = None
vale_convert_oid = None
elif message["type"] == "fill": elif message["type"] == "fill":
print(message)
qty = message["size"] qty = message["size"]
sym = message["symbol"] sym = message["symbol"]
dir_ = message["dir"] dir_ = message["dir"]
oid = message["order_id"] oid = message["order_id"]
# 포지션 업데이트
if dir_ == Dir.BUY: if dir_ == Dir.BUY:
state.update_position(sym, qty) state.update_position(sym, qty)
else: else:
state.update_position(sym, -qty) state.update_position(sym, -qty)
print(f" 포지션 → {state.positions}") print(f" FILL {sym} {dir_} x{qty} @ {message['price']} | 포지션:{state.positions}")
# BOND 체결 시 무조건 재주문 # ★ 핵심 수정: BOND 체결 시 throttle - 너무 자주 재주문 방지
if sym == "BOND" and oid in active_orders: if sym == "BOND" and oid in active_orders:
active_orders.pop(oid, None) active_orders.pop(oid, None)
now = time.time()
if now - last_bond_fill_time > BOND_REORDER_DELAY:
last_bond_fill_time = now
place_bond_orders() place_bond_orders()
# XLF state machine 체결 처리
handle_xlf_fill(oid, sym, dir_, qty) handle_xlf_fill(oid, sym, dir_, qty)
if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending: if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
print(" XLF 차익거래 완료 → IDLE 복귀") print(" XLF 차익거래 완료 → IDLE 복귀")
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_direction = None xlf_direction = None
xlf_convert_oid = None
# VALE state machine 체결 처리
handle_vale_fill(oid, sym, dir_, qty) handle_vale_fill(oid, sym, dir_, qty)
if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
print(" VALE 차익거래 완료 → IDLE 복귀") print(" VALE 차익거래 완료 → IDLE 복귀")
vale_state = "IDLE" vale_state = "IDLE"
vale_direction = None vale_direction = None
vale_convert_oid = None
elif message["type"] == "book": elif message["type"] == "book":
sym = message["symbol"] sym = message["symbol"]
@@ -391,19 +424,18 @@ def main():
if now > vale_last_print_time + 1: if now > vale_last_print_time + 1:
vale_last_print_time = now vale_last_print_time = now
print({ print({
"vale_bid_price": state.bid_prices["VALE"], "vale_bid": state.bid_prices.get("VALE"),
"vale_ask_price": state.ask_prices["VALE"], "vale_ask": state.ask_prices.get("VALE"),
"valbz_bid": state.bid_prices.get("VALBZ"),
"valbz_ask": state.ask_prices.get("VALBZ"),
}) })
# XLF 관련 심볼 호가 업데이트마다 차익거래 시도
if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
try_xlf_arb() try_xlf_arb()
# VALE/VALBZ 호가 업데이트마다 차익거래 시도
if sym in ["VALE", "VALBZ"]: if sym in ["VALE", "VALBZ"]:
try_vale_arb() try_vale_arb()
# 주기적으로 BOND 주문 갱신 (주문 만료 방지)
now = time.time() now = time.time()
if now - last_refresh > REFRESH_INTERVAL: if now - last_refresh > REFRESH_INTERVAL:
last_refresh = now last_refresh = now
@@ -412,11 +444,6 @@ def main():
# ~~~~~============== PROVIDED CODE ==============~~~~~ # ~~~~~============== 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"
@@ -434,51 +461,50 @@ class ExchangeConnection:
self._write_message({"type": "hello", "team": team_name.upper()}) self._write_message({"type": "hello", "team": team_name.upper()})
def read_message(self): def read_message(self):
"""Read a single message from the exchange"""
message = json.loads(self.reader.readline()) message = json.loads(self.reader.readline())
if "dir" in message: if "dir" in message:
message["dir"] = Dir(message["dir"]) message["dir"] = Dir(message["dir"])
return message return message
def send_add_message( def send_add_message(self, order_id: int, symbol: str, dir: Dir, price: int, size: int):
self, order_id: int, symbol: str, dir: Dir, price: int, size: int """DAY 주문 (장 마감까지 유지)"""
): self._write_message({
"""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_add_message_ioc(self, order_id: int, symbol: str, dir: Dir, price: int, size: int):
"""IOC 주문 (즉시 체결 안 되면 자동 취소) - 차익거래에 사용"""
self._write_message({
"type": "add",
"order_id": order_id,
"symbol": symbol,
"dir": dir,
"price": price,
"size": size,
"tif": "IOC",
})
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
"""Convert between related symbols""" self._write_message({
self._write_message(
{
"type": "convert", "type": "convert",
"order_id": order_id, "order_id": order_id,
"symbol": symbol, "symbol": symbol,
"dir": dir, "dir": dir,
"size": size, "size": size,
} })
)
def send_cancel_message(self, order_id: int): def send_cancel_message(self, order_id: int):
"""Cancel an existing order"""
self._write_message({"type": "cancel", "order_id": order_id}) self._write_message({"type": "cancel", "order_id": order_id})
def _connect(self, add_socket_timeout): def _connect(self, add_socket_timeout):
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
if add_socket_timeout: 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.settimeout(5)
s.connect((self.exchange_hostname, self.port)) s.connect((self.exchange_hostname, self.port))
return s return s
@@ -500,12 +526,9 @@ class ExchangeConnection:
now = time.time() now = time.time()
self.message_timestamps.append(now) self.message_timestamps.append(now)
if len( if (len(self.message_timestamps) == self.message_timestamps.maxlen
self.message_timestamps and self.message_timestamps[0] > (now - 1)):
) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1): print("WARNING: 메시지 전송 너무 빈번! Rate limit 위험.")
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():
@@ -513,17 +536,10 @@ def parse_arguments():
parser = argparse.ArgumentParser(description="Trade on an ETC exchange!") parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
exchange_address_group = parser.add_mutually_exclusive_group(required=True) exchange_address_group = parser.add_mutually_exclusive_group(required=True)
exchange_address_group.add_argument("--production", action="store_true")
exchange_address_group.add_argument( exchange_address_group.add_argument(
"--production", action="store_true", help="Connect to the production exchange." "--test", type=str, choices=test_exchange_port_offsets.keys()
) )
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( exchange_address_group.add_argument(
"--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS "--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
) )
@@ -547,9 +563,7 @@ def parse_arguments():
if __name__ == "__main__": if __name__ == "__main__":
# Check that [team_name] has been updated.
assert team_name != "REPLAC" + "EME", ( assert team_name != "REPLAC" + "EME", (
"Please put your team name in the variable [team_name]." "Please put your team name in the variable [team_name]."
) )
main() main()