commit

prac.py

@@ -10,7 +10,8 @@ team_name = "HanyangFloorFunction"
 
 # ==================== 설정 ====================
 ORDER_SIZE = 2
-MAX_POS = 30
+MAX_POS = 20
+ARB_THRESHOLD = 40   # 🔥 보수적으로 (중요)
 
 # ====================
 class Dir(str, Enum):
@@ -25,19 +26,17 @@ def main():
     state = StateManager()
     hello = exchange.read_message()
 
-    # 🔥 포지션 직접 관리
+    # 포지션 직접 관리
     positions = {}
     for sym in hello["symbols"]:
         positions[sym["symbol"]] = sym["position"]
 
-    # 🔥 order id
     order_id = 0
     def next_id():
         nonlocal order_id
         order_id += 1
         return order_id
 
-    # 🔥 active order 관리 (핵심)
     active_orders = {}
 
     # ==================== MARKET MAKING ====================
@@ -48,34 +47,34 @@ def main():
         if bid is None or ask is None:
             return
 
+        if ask - bid <= 2:  # 🔥 스프레드 너무 좁으면 패스
+            return
+
         pos = positions.get(sym, 0)
 
-        # 🔥 포지션 제한
-        if pos > MAX_POS:
-            return
-        if pos < -MAX_POS:
+        if abs(pos) > MAX_POS:
             return
 
-        # 🔥 핵심: 스프레드 내부에서만 주문
         buy_price = bid + 1
         sell_price = ask - 1
 
-        # 🔥 포지션 방향 제어
+        if buy_price >= sell_price:
+            return
+
+        # 포지션 조절
         if pos > 0:
             buy_size = 1
-            sell_size = ORDER_SIZE + 2
+            sell_size = ORDER_SIZE + 1
         elif pos < 0:
-            buy_size = ORDER_SIZE + 2
+            buy_size = ORDER_SIZE + 1
             sell_size = 1
         else:
             buy_size = sell_size = ORDER_SIZE
 
-        # BUY
         oid = next_id()
         exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
         active_orders[oid] = sym
 
-        # SELL
         oid = next_id()
         exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
         active_orders[oid] = sym
@@ -85,15 +84,52 @@ def main():
         bid = state.bid_prices.get("BOND")
         ask = state.ask_prices.get("BOND")
 
-        if ask and ask < 1000:
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 5)
+        if ask and ask < 999:
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 3)
 
-        if bid and bid > 1000:
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 5)
+        if bid and bid > 1001:
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 3)
+
+    # ==================== XLF 차익거래 (초안전 버전) ====================
+    def xlf_arb():
+        bond_ask = state.ask_prices.get("BOND")
+        gs_ask   = state.ask_prices.get("GS")
+        ms_ask   = state.ask_prices.get("MS")
+        wfc_ask  = state.ask_prices.get("WFC")
+        xlf_bid  = state.bid_prices.get("XLF")
+
+        bond_bid = state.bid_prices.get("BOND")
+        gs_bid   = state.bid_prices.get("GS")
+        ms_bid   = state.bid_prices.get("MS")
+        wfc_bid  = state.bid_prices.get("WFC")
+        xlf_ask  = state.ask_prices.get("XLF")
+
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
+                    bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
+            return
+
+        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
+
+        pos = positions.get("XLF", 0)
+
+        # 🔥 포지션 제한
+        if abs(pos) > 10:
+            return
+
+        # 🔥 케이스 1
+        profit1 = xlf_bid * 10 - basket_ask
+        if profit1 > ARB_THRESHOLD:
+            exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
+
+        # 🔥 케이스 2
+        profit2 = basket_bid - xlf_ask * 10
+        if profit2 > ARB_THRESHOLD:
+            exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf_ask, 10)
 
     # ==================== 리스크 관리 ====================
     def risk():
-        for sym in ["GS", "MS", "WFC"]:
+        for sym in ["GS", "MS", "WFC", "XLF"]:
             pos = positions.get(sym, 0)
 
             if abs(pos) > MAX_POS:
@@ -123,13 +159,14 @@ def main():
 
             state.update_bid_ask_price(sym, bid, ask)
 
-            # 🔥 기존 주문 전부 취소 (핵심)
+            # 🔥 모든 주문 취소 (핵심)
             for oid in list(active_orders.keys()):
                 exchange.send_cancel_message(oid)
                 del active_orders[oid]
 
             # 전략 실행
             bond_arb()
+            xlf_arb()
 
             if sym in ["GS", "MS", "WFC"]:
                 market_make(sym)
@@ -161,26 +198,10 @@ class ExchangeConnection:
         return msg
 
     def send_add_message(self, oid, sym, dir, price, size):
-        self._write({
-            "type":"add",
-            "order_id":oid,
-            "symbol":sym,
-            "dir":dir,
-            "price":price,
-            "size":size,
-            "tif":"DAY"
-        })
+        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
 
     def send_add_message_ioc(self, oid, sym, dir, price, size):
-        self._write({
-            "type":"add",
-            "order_id":oid,
-            "symbol":sym,
-            "dir":dir,
-            "price":price,
-            "size":size,
-            "tif":"IOC"
-        })
+        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
 
     def send_cancel_message(self, oid):
         self._write({"type": "cancel", "order_id": oid})