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khwkim1111
2026-05-09 16:35:15 +09:00
parent 30e63c9fc8
commit c81c344560
1 changed files with 82 additions and 258 deletions
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prac.py
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@@ -14,70 +14,44 @@ 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 ==============~~~~~
# 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 BOND_FAIR_VALUE = 1000
# unlikely it will be traded against. Maybe there is a better price to BOND_ORDER_SIZE = 60
# pick? Also, you will need to send more orders over time. XLF_CONVERSION_FEE = 100
# --- 설정 --- XLF_MIN_PROFIT = 5
BOND_FAIR_VALUE = 1000 # BOND fair value (고정) VALE_CONVERSION_FEE = 10
BOND_ORDER_SIZE = 50 # BOND 주문당 수량 VALE_MIN_PROFIT = 1
XLF_CONVERSION_FEE = 100 # XLF 변환 비용 VALE_ARB_SIZE = 10
XLF_MIN_PROFIT = 10 # XLF 차익거래 최소 수익 (불확실한 거래 방지) REFRESH_INTERVAL = 5.0
VALE_CONVERSION_FEE = 10 # VALE 변환 비용
VALE_MIN_PROFIT = 3 # VALE 차익거래 최소 수익
VALE_ARB_SIZE = 10 # VALE 차익거래 단위
REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
# XLF state machine
# IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE
# IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE
xlf_state = "IDLE" xlf_state = "IDLE"
xlf_pending = {} xlf_pending = {}
xlf_direction = None xlf_direction = None
xlf_arb_size = 0 xlf_arb_size = 0
xlf_convert_oid = None
# VALE state machine
# IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE
# IDLE → BUYING_VALE → CONVERTING → SELLING_VALBZ → IDLE
vale_state = "IDLE" vale_state = "IDLE"
vale_pending = {} vale_pending = {}
vale_direction = None vale_direction = None
vale_arb_size = 0 vale_arb_size = 0
vale_convert_oid = None
state = StateManager() state = StateManager()
om = OrderManager(exchange) om = OrderManager(exchange)
market_open = False market_open = False
active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ..., "size": ...}} active_orders = {}
last_refresh = time.time() last_refresh = time.time()
# hello 메시지에서 기존 포지션 로드 (재접속 시 필수)
for sym_info in hello_message["symbols"]: for sym_info in hello_message["symbols"]:
sym = sym_info["symbol"] sym = sym_info["symbol"]
pos = sym_info["position"] pos = sym_info["position"]
@@ -89,8 +63,16 @@ def main():
def next_id(): def next_id():
return om.next_order() return om.next_order()
def cancel_bond_sell_orders():
for oid in list(active_orders.keys()):
order_info = active_orders[oid]
if order_info["dir"] == Dir.SELL:
size = order_info.get("size", 0)
om.future_positions["BOND"] += size
om.cancel(oid)
active_orders.pop(oid, None)
def cancel_all_bond_orders(): def cancel_all_bond_orders():
"""활성 BOND 주문 전부 취소 + future_positions 롤백"""
for oid in list(active_orders.keys()): for oid in list(active_orders.keys()):
order_info = active_orders[oid] order_info = active_orders[oid]
size = order_info.get("size", 0) size = order_info.get("size", 0)
@@ -102,17 +84,13 @@ def main():
active_orders.pop(oid, None) active_orders.pop(oid, None)
def place_bond_orders(): def place_bond_orders():
"""포지션 한도 안에서 bid/ask 양방향 주문"""
if not market_open: if not market_open:
return return
cancel_all_bond_orders() cancel_all_bond_orders()
buy_price = BOND_FAIR_VALUE - 1 # 999 buy_price = BOND_FAIR_VALUE - 1
sell_price = BOND_FAIR_VALUE + 1 # 1001 sell_price = BOND_FAIR_VALUE + 1
position = om.positions["BOND"] position = om.positions["BOND"]
# 포지션에 따라 size 비대칭 조정
base_size = BOND_ORDER_SIZE base_size = BOND_ORDER_SIZE
adjustment = abs(position) // 5 adjustment = abs(position) // 5
@@ -126,34 +104,25 @@ def main():
buy_size = base_size buy_size = base_size
sell_size = base_size sell_size = base_size
# 포지션 한도 초과 방지
buy_size = max(0, min(buy_size, 100 - position)) buy_size = max(0, min(buy_size, 100 - position))
sell_size = max(0, min(sell_size, 100 + position)) sell_size = max(0, min(sell_size, 100 + position))
if buy_size > 0: if buy_size > 0:
bid = next_id() bid = next_id()
exchange.send_add_message( exchange.send_add_message(order_id=bid, symbol="BOND", dir=Dir.BUY, price=buy_price, size=buy_size)
order_id=bid, symbol="BOND",
dir=Dir.BUY, price=buy_price, size=buy_size
)
om.future_positions["BOND"] += buy_size om.future_positions["BOND"] += buy_size
active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size} active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size}
if sell_size > 0: if sell_size > 0:
ask = next_id() ask = next_id()
exchange.send_add_message( exchange.send_add_message(order_id=ask, symbol="BOND", dir=Dir.SELL, price=sell_price, size=sell_size)
order_id=ask, symbol="BOND",
dir=Dir.SELL, price=sell_price, size=sell_size
)
om.future_positions["BOND"] -= sell_size om.future_positions["BOND"] -= sell_size
active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size} active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size}
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_arb_size, xlf_convert_oid
nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size
if not market_open or xlf_state != "IDLE": if not market_open or xlf_state != "IDLE":
return return
@@ -168,22 +137,17 @@ def main():
wfc_bid = state.bid_prices["WFC"] wfc_bid = state.bid_prices["WFC"]
xlf_ask = state.ask_prices["XLF"] xlf_ask = state.ask_prices["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]:
return return
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
# 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 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
# BOND 주문 먼저 취소 (XLF용 BOND 매수가 기존 매도에 상쇄되지 않도록) cancel_bond_sell_orders()
cancel_all_bond_orders() xlf_state = "BUYING_BASKET"; xlf_direction = "BASKET_TO_XLF"; xlf_arb_size = 10
xlf_state = "BUYING_BASKET"
xlf_direction = "BASKET_TO_XLF"
xlf_arb_size = 10
xlf_pending.clear() 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()
@@ -191,44 +155,36 @@ def main():
xlf_pending[oid] = qty xlf_pending[oid] = qty
return return
# 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 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
cancel_all_bond_orders() cancel_all_bond_orders()
xlf_state = "BUYING_XLF" xlf_state = "BUYING_XLF"; xlf_direction = "XLF_TO_BASKET"; xlf_arb_size = 10
xlf_direction = "XLF_TO_BASKET"
xlf_arb_size = 10
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(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 (부분 체결 추적)""" 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] -= 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, xlf_arb_size) 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: 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, xlf_arb_size) xlf_convert_oid = next_id()
exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, xlf_arb_size)
def try_vale_arb(): def try_vale_arb():
"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만""" nonlocal vale_state, vale_direction, vale_pending, vale_arb_size, vale_convert_oid
nonlocal vale_state, vale_direction, vale_pending, vale_arb_size
if not market_open or vale_state != "IDLE": if not market_open or vale_state != "IDLE":
return return
@@ -243,86 +199,55 @@ def main():
valbz_pos = om.positions["VALBZ"] valbz_pos = om.positions["VALBZ"]
vale_pos = om.positions["VALE"] vale_pos = om.positions["VALE"]
# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도
profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos) arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
if profit1 > VALE_MIN_PROFIT and arb_size1 > 0: if profit1 > VALE_MIN_PROFIT and arb_size1 > 0:
print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}") print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
vale_state = "BUYING_VALBZ" vale_state = "BUYING_VALBZ"; vale_direction = "VALBZ_TO_VALE"; vale_arb_size = arb_size1
vale_direction = "VALBZ_TO_VALE"
vale_arb_size = arb_size1
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1) exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
vale_pending[oid] = arb_size1 vale_pending[oid] = arb_size1
return return
# 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도
profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos) arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
if profit2 > VALE_MIN_PROFIT and arb_size2 > 0: if profit2 > VALE_MIN_PROFIT and arb_size2 > 0:
print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}") print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}")
vale_state = "BUYING_VALE" vale_state = "BUYING_VALE"; vale_direction = "VALE_TO_VALBZ"; vale_arb_size = arb_size2
vale_direction = "VALE_TO_VALBZ"
vale_arb_size = arb_size2
vale_pending.clear() vale_pending.clear()
oid = next_id() oid = next_id()
exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2) exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
vale_pending[oid] = arb_size2 vale_pending[oid] = arb_size2
def handle_vale_fill(order_id, symbol, dir_, qty): def handle_vale_fill(order_id, symbol, dir_, qty):
"""VALE state machine 체결 처리 (부분 체결 추적)""" 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] -= 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, vale_arb_size) 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: 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, vale_arb_size) 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() 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()
@@ -336,84 +261,56 @@ def main():
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_direction = None
xlf_pending.clear()
xlf_direction = None
place_bond_orders() place_bond_orders()
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_direction = None
vale_pending.clear()
vale_direction = None
elif message["type"] == "ack": elif message["type"] == "ack":
# XLF 변환 ack 처리 ack_oid = message.get("order_id")
if xlf_state == "CONVERTING":
if xlf_state == "CONVERTING" and ack_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":
# 변환: BOND -3, GS -2, MS -3, WFC -2, XLF +10 om.positions["BOND"] -= 3; om.positions["GS"] -= 2
om.positions["BOND"] -= 3 om.positions["MS"] -= 3; om.positions["WFC"] -= 2
om.positions["GS"] -= 2
om.positions["MS"] -= 3
om.positions["WFC"] -= 2
om.positions["XLF"] += xlf_arb_size om.positions["XLF"] += xlf_arb_size
om.future_positions["BOND"] -= 3 om.future_positions["BOND"] -= 3; om.future_positions["GS"] -= 2
om.future_positions["GS"] -= 2 om.future_positions["MS"] -= 3; om.future_positions["WFC"] -= 2
om.future_positions["MS"] -= 3
om.future_positions["WFC"] -= 2
om.future_positions["XLF"] += xlf_arb_size om.future_positions["XLF"] += xlf_arb_size
xlf_state = "SELLING_XLF" xlf_state = "SELLING_XLF"
oid = next_id() oid = next_id()
exchange.send_add_message( exchange.send_add_message(oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size)
oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size
)
xlf_pending[oid] = xlf_arb_size xlf_pending[oid] = xlf_arb_size
elif xlf_direction == "XLF_TO_BASKET": elif xlf_direction == "XLF_TO_BASKET":
# 변환: XLF -10, BOND +3, GS +2, MS +3, WFC +2
om.positions["XLF"] -= xlf_arb_size om.positions["XLF"] -= xlf_arb_size
om.positions["BOND"] += 3 om.positions["BOND"] += 3; om.positions["GS"] += 2
om.positions["GS"] += 2 om.positions["MS"] += 3; om.positions["WFC"] += 2
om.positions["MS"] += 3
om.positions["WFC"] += 2
om.future_positions["XLF"] -= xlf_arb_size om.future_positions["XLF"] -= xlf_arb_size
om.future_positions["BOND"] += 3 om.future_positions["BOND"] += 3; om.future_positions["GS"] += 2
om.future_positions["GS"] += 2 om.future_positions["MS"] += 3; om.future_positions["WFC"] += 2
om.future_positions["MS"] += 3
om.future_positions["WFC"] += 2
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() oid = next_id()
exchange.send_add_message( exchange.send_add_message(oid, sym, Dir.SELL, state.bid_prices[sym], qty)
oid, sym, Dir.SELL, state.bid_prices[sym], qty
)
xlf_pending[oid] = qty xlf_pending[oid] = qty
# VALE 변환 ack 처리 elif vale_state == "CONVERTING" and ack_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":
# 변환: VALBZ -size, VALE +size om.positions["VALBZ"] -= vale_arb_size; om.positions["VALE"] += vale_arb_size
om.positions["VALBZ"] -= vale_arb_size om.future_positions["VALBZ"] -= vale_arb_size; om.future_positions["VALE"] += 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" vale_state = "SELLING_VALE"
oid = next_id() oid = next_id()
exchange.send_add_message( exchange.send_add_message(oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size)
oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size
)
vale_pending[oid] = vale_arb_size vale_pending[oid] = vale_arb_size
elif vale_direction == "VALE_TO_VALBZ": elif vale_direction == "VALE_TO_VALBZ":
# 변환: VALE -size, VALBZ +size om.positions["VALE"] -= vale_arb_size; om.positions["VALBZ"] += vale_arb_size
om.positions["VALE"] -= vale_arb_size om.future_positions["VALE"] -= vale_arb_size; om.future_positions["VALBZ"] += 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" vale_state = "SELLING_VALBZ"
oid = next_id() oid = next_id()
exchange.send_add_message( exchange.send_add_message(oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size)
oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size
)
vale_pending[oid] = vale_arb_size vale_pending[oid] = vale_arb_size
elif message["type"] == "fill": elif message["type"] == "fill":
@@ -423,7 +320,6 @@ def main():
dir_ = message["dir"] dir_ = message["dir"]
oid = message["order_id"] oid = message["order_id"]
# 포지션 업데이트
if dir_ == Dir.BUY: if dir_ == Dir.BUY:
om.update_position(sym, oid, qty) om.update_position(sym, oid, qty)
else: else:
@@ -431,26 +327,22 @@ def main():
print(f" 포지션 → {om.positions}") print(f" 포지션 → {om.positions}")
# BOND 체결 시 무조건 재주문
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)
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 완료 후 BOND 주문 재배치
place_bond_orders() place_bond_orders()
try_xlf_arb()
# 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 try_vale_arb()
elif message["type"] == "book": elif message["type"] == "book":
sym = message["symbol"] sym = message["symbol"]
@@ -464,20 +356,13 @@ def main():
now = time.time() now = time.time()
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_ask_price": state.ask_prices["VALE"]})
"vale_bid_price": state.bid_prices["VALE"],
"vale_ask_price": state.ask_prices["VALE"],
})
# 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
@@ -486,11 +371,6 @@ 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"
@@ -504,55 +384,27 @@ class ExchangeConnection:
exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
self.reader = exchange_socket.makefile("r", 1) self.reader = exchange_socket.makefile("r", 1)
self.writer = exchange_socket self.writer = exchange_socket
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 self._write_message({"type": "add", "order_id": order_id, "symbol": symbol,
): "dir": dir, "price": price, "size": size, "tif": "DAY"})
"""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_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({"type": "convert", "order_id": order_id, "symbol": symbol, "dir": dir, "size": size})
self._write_message(
{
"type": "convert",
"order_id": order_id,
"symbol": symbol,
"dir": dir,
"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
@@ -561,53 +413,30 @@ class ExchangeConnection:
what_to_write = json.dumps(message) what_to_write = json.dumps(message)
if not what_to_write.endswith("\n"): if not what_to_write.endswith("\n"):
what_to_write = what_to_write + "\n" what_to_write = what_to_write + "\n"
length_to_send = len(what_to_write) length_to_send = len(what_to_write)
total_sent = 0 total_sent = 0
while total_sent < length_to_send: while total_sent < length_to_send:
sent_this_time = self.writer.send( sent_this_time = self.writer.send(what_to_write[total_sent:].encode("utf-8"))
what_to_write[total_sent:].encode("utf-8")
)
if sent_this_time == 0: if sent_this_time == 0:
raise Exception("Unable to send data to exchange") raise Exception("Unable to send data to exchange")
total_sent += sent_this_time total_sent += sent_this_time
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 and self.message_timestamps[0] > (now - 1):
self.message_timestamps 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.")
) == 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} test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
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( exchange_address_group.add_argument("--production", action="store_true")
"--production", action="store_true", help="Connect to the production exchange." exchange_address_group.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys())
) exchange_address_group.add_argument("--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS)
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 args.add_socket_timeout = True
if args.production: if args.production:
args.exchange_hostname = "production" args.exchange_hostname = "production"; args.port = 25000
args.port = 25000
elif args.test: 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 + test_exchange_port_offsets[args.test]
@@ -616,14 +445,9 @@ def parse_arguments():
elif args.specific_address: elif args.specific_address:
args.exchange_hostname, port = args.specific_address.split(":") args.exchange_hostname, port = args.specific_address.split(":")
args.port = int(port) 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"
assert team_name != "REPLAC" + "EME", (
"Please put your team name in the variable [team_name]."
)
main() main()