diff --git a/new_prac.py b/new_prac.py new file mode 100644 index 0000000..a27c48e --- /dev/null +++ b/new_prac.py @@ -0,0 +1,198 @@ +#!/usr/bin/env python3 + +import argparse +from enum import Enum +import socket +import json +from state import StateManager + +team_name = "HanyangFloorFunction" + +# ==================== 설정 ==================== +ORDER_SIZE = 6 +MAX_POS = 40 +KILL_POS = 50 +ARB_THRESHOLD = 10 + +# ==================== +class Dir(str, Enum): + BUY = "BUY" + SELL = "SELL" + +# ==================== +def main(): + args = parse_arguments() + exchange = ExchangeConnection(args) + + state = StateManager() + hello = exchange.read_message() + + positions = {s["symbol"]: s["position"] for s in hello["symbols"]} + + order_id = 0 + def next_id(): + nonlocal order_id + order_id += 1 + return order_id + + active_orders = {} + + # ==================== 공격형 MM ==================== + def market_make(sym): + bid = state.bid_prices.get(sym) + ask = state.ask_prices.get(sym) + if bid is None or ask is None: + return + + pos = positions.get(sym, 0) + + if abs(pos) > MAX_POS: + return + + buy_price = bid + 2 + sell_price = ask - 2 + + if buy_price >= sell_price: + return + + buy_size = ORDER_SIZE + sell_size = ORDER_SIZE + + if pos > 0: + sell_size += 2 + elif pos < 0: + buy_size += 2 + + oid = next_id() + exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size) + active_orders[oid] = sym + + oid = next_id() + exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size) + active_orders[oid] = sym + + # ==================== Fill 기반 재주문 ==================== + def refill(sym): + market_make(sym) + + # ==================== XLF Arb (공격형) ==================== + def xlf_arb(): + bond = state.bid_prices.get("BOND") + gs = state.bid_prices.get("GS") + ms = state.bid_prices.get("MS") + wfc = state.bid_prices.get("WFC") + xlf = state.ask_prices.get("XLF") + + if None in [bond, gs, ms, wfc, xlf]: + return + + basket = bond*3 + gs*2 + ms*3 + wfc*2 + profit = basket - xlf*10 + + if profit > ARB_THRESHOLD: + exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf, 5) + + # ==================== 리스크 ==================== + def risk(): + for sym in positions: + pos = positions[sym] + + if abs(pos) > KILL_POS: + if pos > 0: + exchange.send_add_message_ioc( + next_id(), sym, Dir.SELL, + state.bid_prices.get(sym, 1), abs(pos) + ) + else: + exchange.send_add_message_ioc( + next_id(), sym, Dir.BUY, + state.ask_prices.get(sym, 99999), abs(pos) + ) + + # ==================== LOOP ==================== + while True: + msg = exchange.read_message() + + if msg["type"] == "close": + break + + elif msg["type"] == "book": + sym = msg["symbol"] + + bid = msg["buy"][0][0] if msg["buy"] else None + ask = msg["sell"][0][0] if msg["sell"] else None + + state.update_bid_ask_price(sym, bid, ask) + + # 기존 주문 일부만 cancel (속도 유지) + for oid in list(active_orders.keys())[:4]: + exchange.send_cancel_message(oid) + del active_orders[oid] + + # 전략 실행 + if sym in ["GS", "MS", "WFC"]: + market_make(sym) + + xlf_arb() + risk() + + elif msg["type"] == "fill": + sym = msg["symbol"] + qty = msg["size"] + + if msg["dir"] == Dir.BUY: + positions[sym] += qty + else: + positions[sym] -= qty + + # 🔥 체결 즉시 재주문 + if sym in ["GS", "MS", "WFC"]: + refill(sym) + +# ==================== +class ExchangeConnection: + def __init__(self, args): + s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) + s.connect((args.exchange_hostname, args.port)) + self.reader = s.makefile("r", 1) + self.writer = s + self._write({"type": "hello", "team": team_name.upper()}) + + def read_message(self): + msg = json.loads(self.reader.readline()) + if "dir" in msg: + msg["dir"] = Dir(msg["dir"]) + 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"}) + + 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"}) + + def send_cancel_message(self, oid): + self._write({"type": "cancel", "order_id": oid}) + + def _write(self, msg): + self.writer.send((json.dumps(msg)+"\n").encode()) + +# ==================== +def parse_arguments(): + parser = argparse.ArgumentParser() + group = parser.add_mutually_exclusive_group(required=True) + group.add_argument("--production", action="store_true") + group.add_argument("--test", type=str, default="prod-like") + + args = parser.parse_args() + + if args.production: + args.exchange_hostname = "production" + args.port = 25000 + else: + args.exchange_hostname = "test-exch-" + team_name + args.port = 22000 + + return args + +if __name__ == "__main__": + main() \ No newline at end of file