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modify state

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yenru0
2026-05-09 13:02:28 +09:00
parent f51b22c3f2
commit d9dca41f18
1 changed files with 17 additions and 44 deletions
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61
state.py
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@@ -1,10 +1,8 @@
from collections import deque
CONVERSION_FEE = 5 CONVERSION_FEE = 5
class StateManager: class StateManager:
def __init__(self, tick_size=20): def __init__(self):
symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"] symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
self.positions = {s: 0 for s in symbols} self.positions = {s: 0 for s in symbols}
self.orders = {s: {} for s in symbols} self.orders = {s: {} for s in symbols}
@@ -12,8 +10,6 @@ class StateManager:
self.ask_prices = {s: None for s in symbols} self.ask_prices = {s: None for s in symbols}
self.bid_depths = {s: 0 for s in symbols} self.bid_depths = {s: 0 for s in symbols}
self.ask_depths = {s: 0 for s in symbols} self.ask_depths = {s: 0 for s in symbols}
self.tick_size = tick_size
self.price_ticks = {s: deque(maxlen=tick_size) for s in symbols}
self.last_prices = {s: None for s in symbols} self.last_prices = {s: None for s in symbols}
self.fair_values = { self.fair_values = {
"BOND": 1000, "BOND": 1000,
@@ -24,42 +20,21 @@ class StateManager:
"WFC": None, "WFC": None,
"XLF": None, "XLF": None,
} }
self.last_prices = {} self.predicted_prices = {s: None for s in symbols}
self.etf_components = { self.etf_components = {
"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2} "XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}
} }
self.etf_shares = {"XLF": 10} self.etf_shares = {"XLF": 10}
def add_price_tick(self, symbol: str, price: int):
self.price_ticks[symbol].append(price)
self.last_prices[symbol] = price
def get_price_ticks(self, symbol: str):
return list(self.price_ticks.get(symbol, []))
def get_last_price(self, symbol: str): def get_last_price(self, symbol: str):
return self.last_prices.get(symbol) return self.last_prices.get(symbol)
def get_avg_price(self, symbol: str):
ticks = self.get_price_ticks(symbol)
if ticks:
return sum(ticks) / len(ticks)
return None
def get_ma(self, symbol: str, period: int):
ticks = self.get_price_ticks(symbol)
if len(ticks) >= period:
return sum(list(ticks)[-period:]) / period
return None
def update_position(self, symbol: str, quantity: int): def update_position(self, symbol: str, quantity: int):
self.positions[symbol] = self.positions.get(symbol, 0) + quantity self.positions[symbol] = self.positions.get(symbol, 0) + quantity
def update_bid_price(self, symbol: str, price: int): def update_bid_ask_price(self, symbol: str, bid_price: int, ask_price: int):
self.bid_prices[symbol] = price self.bid_prices[symbol] = bid_price
self.ask_prices[symbol] = ask_price
def update_ask_price(self, symbol: str, price: int):
self.ask_prices[symbol] = price
def get_position(self, symbol: str) -> int: def get_position(self, symbol: str) -> int:
return self.positions.get(symbol, 0) return self.positions.get(symbol, 0)
@@ -71,9 +46,6 @@ class StateManager:
return ask - bid return ask - bid
return None return None
def update_last_price(self, symbol: str, price: int):
self.last_prices[symbol] = price
def get_mid_price(self, symbol: str): def get_mid_price(self, symbol: str):
bid = self.bid_prices[symbol] bid = self.bid_prices[symbol]
ask = self.ask_prices[symbol] ask = self.ask_prices[symbol]
@@ -91,22 +63,23 @@ class StateManager:
return bid_depth - ask_depth return bid_depth - ask_depth
def get_predicted_price(self, symbol: str) -> int: def get_predicted_price(self, symbol: str) -> int:
mid_price = self.get_mid_price(symbol) return self.predicted_prices.get(symbol)
imbalance = self.get_imbalance(symbol)
if mid_price is not None: def update_predicted_price(self, symbol: str):
return self.get_last_price(symbol) mid = self.get_mid_price(symbol)
if mid is not None:
self.predicted_prices[symbol] = mid
def update_fair_value(self): def update_fair_value(self):
valbz_price = self.get_mid_price("VALBZ") valbz_price = self.get_predicted_price("VALBZ")
if valbz_price is not None: if valbz_price is not None:
self.fair_values["VALBZ"] = valbz_price self.fair_values["VALBZ"] = valbz_price
self.fair_values["VALE"] = valbz_price - self.conversion_fee self.fair_values["VALE"] = valbz_price - self.conversion_fee
bond_price = self.get_mid_price("BOND") bond_price = self.get_predicted_price("BOND")
gs_price = self.get_mid_price("GS") gs_price = self.get_predicted_price("GS")
ms_price = self.get_mid_price("MS") ms_price = self.get_predicted_price("MS")
wfc_price = self.get_mid_price("WFC") wfc_price = self.get_predicted_price("WFC")
if all(p is not None for p in [bond_price, gs_price, ms_price, wfc_price]): if all(p is not None for p in [bond_price, gs_price, ms_price, wfc_price]):
component_value = ( component_value = (
bond_price * self.etf_components["XLF"]["BOND"] bond_price * self.etf_components["XLF"]["BOND"]