commit

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()