bot split sex

bot split/ETC.py

@@ -0,0 +1,135 @@
+import argparse
+from collections import deque
+from enum import Enum
+import time
+import socket
+import json
+team_name = "HanyangFloorFunction"
+
+class Dir(str, Enum):
+    BUY = "BUY"
+    SELL = "SELL"
+
+
+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()})
+
+    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
+
+    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",
+            }
+        )
+
+    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 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
+    )
+
+    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)
+
+    return args

bot split/bot sb.py

@@ -0,0 +1,129 @@
+#!/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
+from enum import Enum
+import time
+import socket
+import json
+
+from state import StateManager
+
+# ~~~~~============== 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!
+
+
+def main():
+    args = parse_arguments()
+    state = StateManager()
+
+    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)
+
+    # 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.
+    exchange.send_add_message(order_id=1, symbol="BOND", dir=Dir.BUY, price=990, size=1)
+
+    # 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_bid_price, vale_ask_price = None, None
+    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:
+        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")
+            break
+        elif message["type"] == "error":
+            print(message)
+        elif message["type"] == "reject":
+            print(message)
+        elif message["type"] == "fill":
+            on_fill(message)
+        elif message["type"] == "book":
+            on_book(message)
+            
+def on_fill(message):
+    ;
+    
+def on_book(message):
+    if message["symbol"] == "VALE":
+        def best_price(side):
+            if message[side]:
+                return message[side][0][0]
+
+        vale_bid_price = best_price("buy")
+        vale_ask_price = best_price("sell")
+
+        now = time.time()
+
+        if now > vale_last_print_time + 1:
+            vale_last_print_time = now
+            print(
+                {
+                    "vale_bid_price": vale_bid_price,
+                    "vale_ask_price": vale_ask_price,
+                }
+            )
+    elif message["symbol"] == "VALBZ":
+        
+        
+
+
+# ~~~~~============== 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
+
+
+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()

bot split/bot split.py

@@ -5,9 +5,10 @@
 # 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done
 import argparse
 import time
-from ETC import ExchangeConnection
+from ETC import ExchangeConnection, Dir, team_name
-from ETC import Dir
+from order_new import OrderManager
-from ETC import team_name
+from position import PositionManager
+from value import ValueManager
 
 # ~~~~~============== CONFIGURATION  ==============~~~~~
 # Replace "REPLACEME" with your team name!
@@ -25,49 +26,26 @@ from ETC import team_name
 
 
 def main():
+    global args, exchange, positionMan, orderMan, valueMan
+    
     args = parse_arguments()
-
     exchange = ExchangeConnection(args=args)
+    positionMan = PositionManager()
+    orderMan = OrderManager(exchange, positionMan)
+    valueMan = ValueManager()
     
-    # 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)
     
-    # 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.
     exchange.send_add_message(order_id=1, symbol="BOND", dir=Dir.BUY, price=990, size=1)
 
-    # 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_bid_price, vale_ask_price = None, None
     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:
         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")
             break
@@ -76,27 +54,45 @@ def main():
         elif message["type"] == "reject":
             print(message)
         elif message["type"] == "fill":
-            print(message)
+            on_fill(message)
         elif message["type"] == "book":
-            if message["symbol"] == "VALE":
+            on_book(message)
             
+def on_fill(message):
+    if (message["dir"] == Dir.BUY):
+        positionMan.update_position(message["symbol"], message["size"])
+    elif (message["dir"] == Dir.SELL):
+        positionMan.update_position(message["symbol"], -message["size"])
+    
+def on_book(message):
+    valueMan.set_value(message["symbol"], message["buy"][0][0], message["sell"][0][0])
+    
+    if message["symbol"] == "VALE" or message["symbol"] == "VALBZ":
         def best_price(side):
             if message[side]:
                 return message[side][0][0]
-
+        # best_price("buy")
-                vale_bid_price = best_price("buy")
+        # best_price("sell")
-                vale_ask_price = best_price("sell")
 
         now = time.time()
 
-                if now > vale_last_print_time + 1:
+        if now > vale_last_print_time:
             vale_last_print_time = now
-                    print(
+            
-                        {
+            valePos = positionMan.get_position("VALE")
-                            "vale_bid_price": vale_bid_price,
+            valeBid = valueMan.get_bid("VALE")
-                            "vale_ask_price": vale_ask_price,
+            valeAsk = valueMan.get_ask("VALE")
-                        }
+            valbzPos = positionMan.get_position("VALBZ")
-                    )
+            valbzBid = valueMan.get_bid("VALBZ")
+            valbzAsk = valueMan.get_ask("VALBZ")
+            FEE = 10
+            if (valePos * positionMan.get_position["VALE"] + FEE < 
+                valbzPos * positionMan.get_position["VALBZ"]):
+                orderMan.convert("VALE", Dir.SELL, valePos)
+            if (valePos * positionMan.get_position["VALE"] > 
+                valbzPos * positionMan.get_position["VALBZ"] + FEE):
+                orderMan.convert("VALBZ", Dir.SELL, valbzPos)
+        
 
 
 # ~~~~~============== PROVIDED CODE ==============~~~~~

bot split/order_new.py

@@ -0,0 +1,52 @@
+import time
+from collections import deque
+from ETC import ExchangeConnection, Dir
+from position import PositionManager
+
+class OrderManager:
+    def __init__(self, exchange: ExchangeConnection, positionMan: PositionManager):
+        self.exchange = exchange
+        self._order_size = 0
+        
+        self._send_timestamps = deque(maxlen=500)
+        
+        self.positionMan = positionMan
+
+    def _next_order(self):
+        self._order_size += 1
+        return self._order_size
+    
+    def _attempt_send(self, action_type: str, symbol: str, dir: Dir, price: int, size: int) -> bool:
+        """
+        주문 전송을 시도합니다. 
+        제한에 걸려 무시되면 False를, 정상 전송되면 True를 반환합니다.
+        """
+        now = time.time()
+        
+        if len(self._send_timestamps) == 500:
+            elapsed = now - self._send_timestamps[0]
+            if elapsed < 1.01:
+                return False
+
+        # 전송 조건 통과 시 실제 통신 수행
+        if action_type == "add":
+            self.exchange.send_add_message(symbol=symbol, dir=dir, price=price, size=size)
+        elif action_type == "cancel":
+            self.exchange.send_cancel_message(symbol=symbol, dir=dir, price=price, size=size)
+        elif action_type == "convert":
+            self.exchange.send_convert_message(symbol=symbol, dir=dir, price=price, size=size)
+            
+        self._send_timestamps.append(now)
+        return True
+
+    def sell(self, symbol: str, dir: Dir, price: int, size: int):
+        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=dir, price=price, size=size)
+
+    def buy(self, symbol: str, dir: Dir, price: int, size: int):
+        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=dir, price=price, size=size)
+    
+    def convert(self, symbol: str, dir: Dir, size: int):
+        return self._attempt_send("convert", order_id=self._next_order(), symbol=symbol, dir=dir, size=size)
+
+    def cancel(self, order_id: int):
+        return self._attempt_send("cancel", order_id=order_id)

bot split/position.py

@@ -0,0 +1,28 @@
+
+
+class PositionManager:
+    def __init__(self):
+        self.POSITION_LIMIT = {
+            "BOND": 100,
+            "GS": 10,
+            "MS": 10,
+            "VALBZ": 100,
+            "VALE": 100,
+            "WFC": 100,
+            "XLF": 100 
+        }
+        self.position = {
+            "BOND": 0,
+            "GS": 0,
+            "MS": 0,
+            "VALBZ": 0,
+            "VALE": 0,
+            "WFC": 0,
+            "XLF": 0
+        }
+    
+    def update_position(self, symbol: str, quantity: int):
+        self.position[symbol] += quantity
+        
+    def get_position(self, symbol: str):
+        return self.position[symbol]

bot split/value.py

@@ -0,0 +1,21 @@
+class ValueManager:
+    def __init__(self):
+        self.value = {
+            # symbol: [bid, ask]
+            "BOND": [0, 0],
+            "GS": [0, 0],
+            "MS": [0, 0],
+            "VALBZ": [0, 0],
+            "VALE": [0, 0],
+            "WFC": [0, 0],
+            "XLF": [0, 0]
+        }
+        
+    def set_value(self, symbol: str, bid: int, ask: int):
+        self.value[symbol] = [bid, ask]
+        
+    def get_bid(self, symbol: str):
+        return self.value[symbol][0]
+    
+    def get_ask(self, symbol: str):
+        return self.value[symbol][1]