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add pos_limit

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yenru0
2026-05-09 16:16:02 +09:00
parent 44325c398a
commit e179de53ab
1 changed files with 39 additions and 10 deletions
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49
bot_new.py
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@@ -112,6 +112,17 @@ class StateManager:
self.CONVERSION_FEE = 10 self.CONVERSION_FEE = 10
self.ETF_COMPONENTS = {"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}} self.ETF_COMPONENTS = {"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}}
self.ETF_SHARES = {"XLF": 10} self.ETF_SHARES = {"XLF": 10}
self.POSITION_LIMIT = {
"BOND": 100,
"VALBZ": 10,
"VALE": 10,
"GS": 100,
"MS": 100,
"WFC": 100,
"XLF": 100,
}
self.last_strategy_time = 0
self.strategy_interval = 0.1
def position_for_symbol(self, symbol): def position_for_symbol(self, symbol):
return self.positions_by_symbol.get(symbol, 0) return self.positions_by_symbol.get(symbol, 0)
@@ -227,22 +238,40 @@ class StateManager:
self.average_xlf_price.pop(0) self.average_xlf_price.pop(0)
self.average_xlf_price.append(price) self.average_xlf_price.append(price)
def can_add_position(self, symbol, size, is_buy):
current = self.position_for_symbol(symbol)
if is_buy:
return current + size <= self.POSITION_LIMIT.get(symbol, 100)
else:
return current - size >= -self.POSITION_LIMIT.get(symbol, 100)
def execute_strategies(self): def execute_strategies(self):
now = time.time()
if now - self.last_strategy_time < self.strategy_interval:
return
self.last_strategy_time = now
avg_valbz = self.get_average_price(self.average_valbz_price) avg_valbz = self.get_average_price(self.average_valbz_price)
avg_vale = self.get_average_price(self.average_vale_price) avg_vale = self.get_average_price(self.average_vale_price)
avg_xlf = self.get_average_price(self.average_xlf_price) avg_xlf = self.get_average_price(self.average_xlf_price)
if len(self.average_valbz_price) >= 5: if len(self.average_valbz_price) >= 5:
self.set_orders_in_symbol_for_direction("VALBZ", "SELL", {avg_valbz + 1: 1}) sell_size = 1 if self.can_add_position("VALBZ", 1, False) else 0
self.set_orders_in_symbol_for_direction("VALBZ", "BUY", {avg_valbz - 1: 1}) buy_size = 1 if self.can_add_position("VALBZ", 1, True) else 0
self.set_orders_in_symbol_for_direction("VALBZ", "SELL", {avg_valbz + 1: sell_size})
self.set_orders_in_symbol_for_direction("VALBZ", "BUY", {avg_valbz - 1: buy_size})
if len(self.average_vale_price) >= 5: if len(self.average_vale_price) >= 5:
self.set_orders_in_symbol_for_direction("VALE", "SELL", {avg_vale + 1: 1}) sell_size = 1 if self.can_add_position("VALE", 1, False) else 0
self.set_orders_in_symbol_for_direction("VALE", "BUY", {avg_vale - 1: 1}) buy_size = 1 if self.can_add_position("VALE", 1, True) else 0
self.set_orders_in_symbol_for_direction("VALE", "SELL", {avg_vale + 1: sell_size})
self.set_orders_in_symbol_for_direction("VALE", "BUY", {avg_vale - 1: buy_size})
if len(self.average_xlf_price) >= 25: if len(self.average_xlf_price) >= 25:
self.set_orders_in_symbol_for_direction("XLF", "SELL", {avg_xlf + 1: 1}) sell_size = 1 if self.can_add_position("XLF", 1, False) else 0
self.set_orders_in_symbol_for_direction("XLF", "BUY", {avg_xlf - 1: 1}) buy_size = 1 if self.can_add_position("XLF", 1, True) else 0
self.set_orders_in_symbol_for_direction("XLF", "SELL", {avg_xlf + 1: sell_size})
self.set_orders_in_symbol_for_direction("XLF", "BUY", {avg_xlf - 1: buy_size})
self.execute_arb() self.execute_arb()
@@ -257,12 +286,12 @@ class StateManager:
spread = avg_valbz - avg_vale spread = avg_valbz - avg_vale
if spread > self.CONVERSION_FEE: if spread > self.CONVERSION_FEE:
if abs(vale_pos + 1) <= 10 and abs(valbz_pos - 1) <= 10: if self.can_add_position("VALE", 1, True) and self.can_add_position("VALBZ", 1, False):
self.send_order("VALE", "BUY", avg_vale, 1) self.send_order("VALE", "BUY", avg_vale, 1)
self.convert("VALE", Dir.SELL, 1) self.convert("VALE", Dir.SELL, 1)
self.send_order("VALBZ", "SELL", avg_valbz, 1) self.send_order("VALBZ", "SELL", avg_valbz, 1)
elif spread < -self.CONVERSION_FEE: elif spread < -self.CONVERSION_FEE:
if abs(vale_pos - 1) <= 10 and abs(valbz_pos + 1) <= 10: if self.can_add_position("VALE", 1, False) and self.can_add_position("VALBZ", 1, True):
self.send_order("VALE", "SELL", avg_vale, 1) self.send_order("VALE", "SELL", avg_vale, 1)
self.convert("VALE", Dir.BUY, 1) self.convert("VALE", Dir.BUY, 1)
self.send_order("VALBZ", "BUY", avg_valbz, 1) self.send_order("VALBZ", "BUY", avg_valbz, 1)
@@ -270,9 +299,9 @@ class StateManager:
def on_startup(self): def on_startup(self):
bond_pos = self.position_for_symbol("BOND") bond_pos = self.position_for_symbol("BOND")
if bond_pos > 0: if bond_pos > 0:
self.send_order("BOND", "SELL", 1001, bond_pos) self.send_order("BOND", "SELL", 1001, min(bond_pos, self.POSITION_LIMIT["BOND"]))
elif bond_pos < 0: elif bond_pos < 0:
self.send_order("BOND", "BUY", 999, -bond_pos) self.send_order("BOND", "BUY", 999, min(-bond_pos, self.POSITION_LIMIT["BOND"]))
def parse_arguments(): def parse_arguments():