diff --git a/prac.py b/prac.py index f35e029..1c7c960 100644 --- a/prac.py +++ b/prac.py @@ -1,108 +1,172 @@ #!/usr/bin/env python3 +# ~~~~~============== HOW TO RUN ==============~~~~~ +# 1) Configure things in CONFIGURATION section +# 2) Change permissions: chmod +x bot.py +# 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done import argparse +from collections import deque from enum import Enum +import time import socket import json from state import StateManager +from order import OrderManager +# ~~~~~============== CONFIGURATION ==============~~~~~ +# Replace "REPLACEME" with your team name! team_name = "HanyangFloorFunction" -# ==================== 설정 ==================== -ORDER_SIZE = 2 -MAX_POS = 20 -ARB_THRESHOLD = 40 +# ~~~~~============== MAIN LOOP ==============~~~~~ + +# You should put your code here! We provide some starter code as an example, +# but feel free to change/remove/edit/update any of it as you'd like. If you +# have any questions about the starter code, or what to do next, please ask us! +# +# To help you get started, the sample code below tries to buy BOND for a low +# price, and it prints the current prices for VALE every second. The sample +# code is intended to be a working example, but it needs some improvement +# before it will start making good trades! -# ==================== -class Dir(str, Enum): - BUY = "BUY" - SELL = "SELL" -# ==================== def main(): args = parse_arguments() - exchange = ExchangeConnection(args) - state = StateManager() - hello = exchange.read_message() + exchange = ExchangeConnection(args=args) - # 포지션 직접 관리 - positions = {} - for sym in hello["symbols"]: - positions[sym["symbol"]] = sym["position"] + # Store and print the "hello" message received from the exchange. This + # contains useful information about your positions. Normally you start with + # all positions at zero, but if you reconnect during a round, you might + # have already bought/sold symbols and have non-zero positions. + hello_message = exchange.read_message() + print("First message from exchange:", hello_message) + + # Send an order for BOND at a good price, but it is low enough that it is + # unlikely it will be traded against. Maybe there is a better price to + # pick? Also, you will need to send more orders over time. + # --- 설정 --- + BOND_FAIR_VALUE = 1000 # BOND fair value (고정) + BOND_ORDER_SIZE = 50 # BOND 주문당 수량 + XLF_CONVERSION_FEE = 100 # XLF 변환 비용 + XLF_MIN_PROFIT = 10 # XLF 차익거래 최소 수익 (불확실한 거래 방지) + VALE_CONVERSION_FEE = 10 # VALE 변환 비용 + VALE_MIN_PROFIT = 3 # VALE 차익거래 최소 수익 + VALE_ARB_SIZE = 10 # VALE 차익거래 단위 + REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) + + # XLF state machine + # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE + # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE + xlf_state = "IDLE" + xlf_pending = {} + xlf_direction = None + xlf_arb_size = 0 + + # VALE state machine + # IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE + # IDLE → BUYING_VALE → CONVERTING → SELLING_VALBZ → IDLE + vale_state = "IDLE" + vale_pending = {} + vale_direction = None + vale_arb_size = 0 + + state = StateManager() + om = OrderManager(exchange) + market_open = False + active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ..., "size": ...}} + + last_refresh = time.time() + + # hello 메시지에서 기존 포지션 로드 (재접속 시 필수) + for sym_info in hello_message["symbols"]: + sym = sym_info["symbol"] + pos = sym_info["position"] + if sym in om.positions: + om.positions[sym] = pos + om.future_positions[sym] = pos + print(f" 초기 포지션 로드: {om.positions}") - order_id = 0 def next_id(): - nonlocal order_id - order_id += 1 - return order_id + return om.next_order() - active_orders = {} + def cancel_all_bond_orders(): + """활성 BOND 주문 전부 취소 + future_positions 롤백""" + for oid in list(active_orders.keys()): + order_info = active_orders[oid] + size = order_info.get("size", 0) + if order_info["dir"] == Dir.BUY: + om.future_positions["BOND"] -= size + else: + om.future_positions["BOND"] += size + om.cancel(oid) + active_orders.pop(oid, None) - # ==================== MARKET MAKING ==================== - def market_make(sym): - bid = state.bid_prices.get(sym) - ask = state.ask_prices.get(sym) - - if bid is None or ask is None: + def place_bond_orders(): + """포지션 한도 안에서 bid/ask 양방향 주문""" + if not market_open: return - if ask - bid <= 2: - return + cancel_all_bond_orders() - pos = positions.get(sym, 0) + buy_price = BOND_FAIR_VALUE - 1 # 999 + sell_price = BOND_FAIR_VALUE + 1 # 1001 + position = om.positions["BOND"] - if abs(pos) > MAX_POS: - return + # 포지션에 따라 size 비대칭 조정 + base_size = BOND_ORDER_SIZE + adjustment = abs(position) // 5 - buy_price = bid + 1 - sell_price = ask - 1 - - if buy_price >= sell_price: - return - - # 포지션 조절 - if pos > 0: - buy_size = 1 - sell_size = ORDER_SIZE + 1 - elif pos < 0: - buy_size = ORDER_SIZE + 1 - sell_size = 1 + if position < 0: + buy_size = min(base_size + adjustment, 100 - position) + sell_size = max(base_size - adjustment, 1) + elif position > 0: + buy_size = max(base_size - adjustment, 1) + sell_size = min(base_size + adjustment, 100 + position) else: - buy_size = sell_size = ORDER_SIZE + buy_size = base_size + sell_size = base_size - oid = next_id() - exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size) - active_orders[oid] = sym + # 포지션 한도 초과 방지 + buy_size = max(0, min(buy_size, 100 - position)) + sell_size = max(0, min(sell_size, 100 + position)) - oid = next_id() - exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size) - active_orders[oid] = sym + if buy_size > 0: + bid = next_id() + exchange.send_add_message( + order_id=bid, symbol="BOND", + dir=Dir.BUY, price=buy_price, size=buy_size + ) + om.future_positions["BOND"] += buy_size + active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size} - # ==================== BOND 안전 수익 ==================== - def bond_arb(): - bid = state.bid_prices.get("BOND") - ask = state.ask_prices.get("BOND") + if sell_size > 0: + ask = next_id() + exchange.send_add_message( + order_id=ask, symbol="BOND", + dir=Dir.SELL, price=sell_price, size=sell_size + ) + om.future_positions["BOND"] -= sell_size + active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size} - if ask and ask < 999: - exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 3) + print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}") - if bid and bid > 1001: - exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 3) + def try_xlf_arb(): + """XLF 차익거래 시도 - IDLE 상태일 때만""" + nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size - # ==================== 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") + if not market_open or xlf_state != "IDLE": + return - 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") + bond_ask = state.ask_prices["BOND"] + gs_ask = state.ask_prices["GS"] + ms_ask = state.ask_prices["MS"] + wfc_ask = state.ask_prices["WFC"] + xlf_bid = state.bid_prices["XLF"] + bond_bid = state.bid_prices["BOND"] + gs_bid = state.bid_prices["GS"] + ms_bid = state.bid_prices["MS"] + wfc_bid = state.bid_prices["WFC"] + xlf_ask = state.ask_prices["XLF"] if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid, bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]: @@ -111,118 +175,455 @@ def main(): 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) - - if abs(pos) > 10: + # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도 + profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE + if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): + print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}") + # BOND 주문 먼저 취소 (XLF용 BOND 매수가 기존 매도에 상쇄되지 않도록) + cancel_all_bond_orders() + xlf_state = "BUYING_BASKET" + xlf_direction = "BASKET_TO_XLF" + xlf_arb_size = 10 + xlf_pending.clear() + for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: + oid = next_id() + exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty) + xlf_pending[oid] = qty return - 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: XLF 매수 → 바스켓 변환 → 각 종목 매도 + profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE + if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): + print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") + cancel_all_bond_orders() + xlf_state = "BUYING_XLF" + xlf_direction = "XLF_TO_BASKET" + xlf_arb_size = 10 + xlf_pending.clear() + oid = next_id() + exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10) + xlf_pending[oid] = 10 - profit2 = basket_bid - xlf_ask * 10 - if profit2 > ARB_THRESHOLD: - exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf_ask, 10) + def handle_xlf_fill(order_id, symbol, dir_, qty): + """XLF state machine 체결 처리 (부분 체결 추적)""" + nonlocal xlf_state, xlf_pending - # ==================== 리스크 관리 ==================== - def risk(): - for sym in ["GS", "MS", "WFC", "XLF"]: - pos = positions.get(sym, 0) + if order_id not in xlf_pending: + return - if abs(pos) > MAX_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) - ) + xlf_pending[order_id] -= qty + if xlf_pending[order_id] <= 0: + del xlf_pending[order_id] - # ==================== LOOP ==================== + if xlf_state == "BUYING_BASKET" and not xlf_pending: + print(" 바스켓 매수 완료 → XLF 변환 시작") + xlf_state = "CONVERTING" + exchange.send_convert_message(next_id(), "XLF", Dir.BUY, xlf_arb_size) + + elif xlf_state == "BUYING_XLF" and not xlf_pending: + print(" XLF 매수 완료 → 바스켓 변환 시작") + xlf_state = "CONVERTING" + exchange.send_convert_message(next_id(), "XLF", Dir.SELL, xlf_arb_size) + + def try_vale_arb(): + """VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만""" + nonlocal vale_state, vale_direction, vale_pending, vale_arb_size + + if not market_open or vale_state != "IDLE": + return + + vale_bid = state.bid_prices["VALE"] + vale_ask = state.ask_prices["VALE"] + valbz_bid = state.bid_prices["VALBZ"] + valbz_ask = state.ask_prices["VALBZ"] + + if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: + return + + valbz_pos = om.positions["VALBZ"] + vale_pos = om.positions["VALE"] + + # 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도 + profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE + arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos) + if profit1 > VALE_MIN_PROFIT and arb_size1 > 0: + print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}") + vale_state = "BUYING_VALBZ" + vale_direction = "VALBZ_TO_VALE" + vale_arb_size = arb_size1 + vale_pending.clear() + oid = next_id() + exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1) + vale_pending[oid] = arb_size1 + return + + # 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도 + profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE + arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos) + if profit2 > VALE_MIN_PROFIT and arb_size2 > 0: + print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}") + vale_state = "BUYING_VALE" + vale_direction = "VALE_TO_VALBZ" + vale_arb_size = arb_size2 + vale_pending.clear() + oid = next_id() + exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2) + vale_pending[oid] = arb_size2 + + def handle_vale_fill(order_id, symbol, dir_, qty): + """VALE state machine 체결 처리 (부분 체결 추적)""" + nonlocal vale_state, vale_pending + + if order_id not in vale_pending: + return + + vale_pending[order_id] -= qty + if vale_pending[order_id] <= 0: + del vale_pending[order_id] + + if vale_state == "BUYING_VALBZ" and not vale_pending: + print(" VALBZ 매수 완료 → VALE 변환 시작") + vale_state = "CONVERTING" + exchange.send_convert_message(next_id(), "VALE", Dir.BUY, vale_arb_size) + + elif vale_state == "BUYING_VALE" and not vale_pending: + print(" VALE 매수 완료 → VALBZ 변환 시작") + vale_state = "CONVERTING" + exchange.send_convert_message(next_id(), "VALE", Dir.SELL, vale_arb_size) + + # Set up some variables to track the bid and ask price of a symbol. Right + # now this doesn't track much information, but it's enough to get a sense + # of the VALE market. + vale_last_print_time = time.time() + + # Here is the main loop of the program. It will continue to read and + # process messages in a loop until a "close" message is received. You + # should write to code handle more types of messages (and not just print + # the message). Feel free to modify any of the starter code below. + # + # Note: a common mistake people make is to call write_message() at least + # once for every read_message() response. + # + # Every message sent to the exchange generates at least one response + # message. Sending a message in response to every exchange message will + # cause a feedback loop where your bot's messages will quickly be + # rate-limited and ignored. Please, don't do that! while True: - msg = exchange.read_message() + message = exchange.read_message() - if msg["type"] == "close": + # Some of the message types below happen infrequently and contain + # important information to help you understand what your bot is doing, + # so they are printed in full. We recommend not always printing every + # message because it can be a lot of information to read. Instead, let + # your code handle the messages and just print the information + # important for you! + if message["type"] == "close": + print("The round has ended") break - elif msg["type"] == "book": - sym = msg["symbol"] + elif message["type"] == "open": + # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨) + print("Market opened:", message) + market_open = True + place_bond_orders() - bid = msg["buy"][0][0] if msg["buy"] else None - ask = msg["sell"][0][0] if msg["sell"] else None + elif message["type"] == "error": + print(message) - state.update_bid_ask_price(sym, bid, ask) + elif message["type"] == "reject": + print(message) + oid = message.get("order_id") + active_orders.pop(oid, None) + if oid in xlf_pending: + print(" XLF 주문 reject → IDLE 복귀") + xlf_state = "IDLE" + xlf_pending.clear() + xlf_direction = None + place_bond_orders() + if oid in vale_pending: + print(" VALE 주문 reject → IDLE 복귀") + vale_state = "IDLE" + vale_pending.clear() + vale_direction = None - for oid in list(active_orders.keys()): - exchange.send_cancel_message(oid) - del active_orders[oid] + elif message["type"] == "ack": + # XLF 변환 ack 처리 + if xlf_state == "CONVERTING": + print(" XLF 변환 완료 → 매도 시작") + if xlf_direction == "BASKET_TO_XLF": + # 변환: BOND -3, GS -2, MS -3, WFC -2, XLF +10 + om.positions["BOND"] -= 3 + om.positions["GS"] -= 2 + om.positions["MS"] -= 3 + om.positions["WFC"] -= 2 + om.positions["XLF"] += xlf_arb_size + om.future_positions["BOND"] -= 3 + om.future_positions["GS"] -= 2 + om.future_positions["MS"] -= 3 + om.future_positions["WFC"] -= 2 + om.future_positions["XLF"] += xlf_arb_size + xlf_state = "SELLING_XLF" + oid = next_id() + exchange.send_add_message( + oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size + ) + xlf_pending[oid] = xlf_arb_size + elif xlf_direction == "XLF_TO_BASKET": + # 변환: XLF -10, BOND +3, GS +2, MS +3, WFC +2 + om.positions["XLF"] -= xlf_arb_size + om.positions["BOND"] += 3 + om.positions["GS"] += 2 + om.positions["MS"] += 3 + om.positions["WFC"] += 2 + om.future_positions["XLF"] -= xlf_arb_size + om.future_positions["BOND"] += 3 + om.future_positions["GS"] += 2 + om.future_positions["MS"] += 3 + om.future_positions["WFC"] += 2 + xlf_state = "SELLING_BASKET" + for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: + oid = next_id() + exchange.send_add_message( + oid, sym, Dir.SELL, state.bid_prices[sym], qty + ) + xlf_pending[oid] = qty - # 전략 실행 - bond_arb() - xlf_arb() + # VALE 변환 ack 처리 + elif vale_state == "CONVERTING": + print(" VALE 변환 완료 → 매도 시작") + if vale_direction == "VALBZ_TO_VALE": + # 변환: VALBZ -size, VALE +size + om.positions["VALBZ"] -= vale_arb_size + om.positions["VALE"] += vale_arb_size + om.future_positions["VALBZ"] -= vale_arb_size + om.future_positions["VALE"] += vale_arb_size + vale_state = "SELLING_VALE" + oid = next_id() + exchange.send_add_message( + oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size + ) + vale_pending[oid] = vale_arb_size + elif vale_direction == "VALE_TO_VALBZ": + # 변환: VALE -size, VALBZ +size + om.positions["VALE"] -= vale_arb_size + om.positions["VALBZ"] += vale_arb_size + om.future_positions["VALE"] -= vale_arb_size + om.future_positions["VALBZ"] += vale_arb_size + vale_state = "SELLING_VALBZ" + oid = next_id() + exchange.send_add_message( + oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size + ) + vale_pending[oid] = vale_arb_size - if sym in ["GS", "MS", "WFC"]: - market_make(sym) + elif message["type"] == "fill": + print(message) + qty = message["size"] + sym = message["symbol"] + dir_ = message["dir"] + oid = message["order_id"] - risk() - - elif msg["type"] == "fill": - qty = msg["size"] - sym = msg["symbol"] - - if msg["dir"] == Dir.BUY: - positions[sym] = positions.get(sym, 0) + qty + # 포지션 업데이트 + if dir_ == Dir.BUY: + om.update_position(sym, oid, qty) else: - positions[sym] = positions.get(sym, 0) - qty + om.update_position(sym, oid, -qty) + + print(f" 포지션 → {om.positions}") + + # BOND 체결 시 무조건 재주문 + if sym == "BOND" and oid in active_orders: + active_orders.pop(oid, None) + place_bond_orders() + + # XLF state machine 체결 처리 + handle_xlf_fill(oid, sym, dir_, qty) + if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending: + print(" XLF 차익거래 완료 → IDLE 복귀") + xlf_state = "IDLE" + xlf_direction = None + # XLF 완료 후 BOND 주문 재배치 + place_bond_orders() + + # VALE state machine 체결 처리 + handle_vale_fill(oid, sym, dir_, qty) + if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: + print(" VALE 차익거래 완료 → IDLE 복귀") + vale_state = "IDLE" + vale_direction = None + + elif message["type"] == "book": + sym = message["symbol"] + state.update_bid_ask_price( + sym, + message["buy"][0][0] if message["buy"] else None, + message["sell"][0][0] if message["sell"] else None + ) + + if sym == "VALE": + now = time.time() + if now > vale_last_print_time + 1: + vale_last_print_time = now + print({ + "vale_bid_price": state.bid_prices["VALE"], + "vale_ask_price": state.ask_prices["VALE"], + }) + + # XLF 관련 심볼 호가 업데이트마다 차익거래 시도 + if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: + try_xlf_arb() + + # VALE/VALBZ 호가 업데이트마다 차익거래 시도 + if sym in ["VALE", "VALBZ"]: + try_vale_arb() + + # 주기적으로 BOND 주문 갱신 (주문 만료 방지) + now = time.time() + if now - last_refresh > REFRESH_INTERVAL: + last_refresh = now + place_bond_orders() + + +# ~~~~~============== PROVIDED CODE ==============~~~~~ + +# You probably don't need to edit anything below this line, but feel free to +# ask if you have any questions about what it is doing or how it works. If you +# do need to change anything below this line, please feel free to + + +class Dir(str, Enum): + BUY = "BUY" + SELL = "SELL" + -# ==================== 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()}) + self.message_timestamps = deque(maxlen=500) + self.exchange_hostname = args.exchange_hostname + self.port = args.port + exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) + self.reader = exchange_socket.makefile("r", 1) + self.writer = exchange_socket + + self._write_message({"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 + """Read a single message from the exchange""" + message = json.loads(self.reader.readline()) + if "dir" in message: + message["dir"] = Dir(message["dir"]) + return message - 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( + self, order_id: int, symbol: str, dir: Dir, price: int, size: int + ): + """Add a new order""" + self._write_message( + { + "type": "add", + "order_id": order_id, + "symbol": symbol, + "dir": dir, + "price": price, + "size": size, + "tif": "DAY", # 설명서 필수 필드: DAY or IOC + } + ) - 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_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): + """Convert between related symbols""" + self._write_message( + { + "type": "convert", + "order_id": order_id, + "symbol": symbol, + "dir": dir, + "size": size, + } + ) - def send_cancel_message(self, oid): - self._write({"type": "cancel", "order_id": oid}) + def send_cancel_message(self, order_id: int): + """Cancel an existing order""" + self._write_message({"type": "cancel", "order_id": order_id}) + + def _connect(self, add_socket_timeout): + s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) + + if add_socket_timeout: + # Automatically raise an exception if no data has been recieved for + # multiple seconds. This should not be enabled on an "empty" test + # exchange. + s.settimeout(5) + s.connect((self.exchange_hostname, self.port)) + return s + + def _write_message(self, message): + what_to_write = json.dumps(message) + if not what_to_write.endswith("\n"): + what_to_write = what_to_write + "\n" + + length_to_send = len(what_to_write) + total_sent = 0 + while total_sent < length_to_send: + sent_this_time = self.writer.send( + what_to_write[total_sent:].encode("utf-8") + ) + if sent_this_time == 0: + raise Exception("Unable to send data to exchange") + total_sent += sent_this_time + + now = time.time() + self.message_timestamps.append(now) + if len( + self.message_timestamps + ) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1): + print( + "WARNING: You are sending messages too frequently. The exchange will start ignoring your messages. Make sure you are not sending a message in response to every exchange message." + ) - def _write(self, msg): - self.writer.send((json.dumps(msg)+"\n").encode()) -# ==================== def parse_arguments(): - parser = argparse.ArgumentParser() + test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} - group = parser.add_mutually_exclusive_group(required=True) - group.add_argument("--production", action="store_true") - group.add_argument("--test", type=str, default="prod-like") + parser = argparse.ArgumentParser(description="Trade on an ETC exchange!") + exchange_address_group = parser.add_mutually_exclusive_group(required=True) + exchange_address_group.add_argument( + "--production", action="store_true", help="Connect to the production exchange." + ) + exchange_address_group.add_argument( + "--test", + type=str, + choices=test_exchange_port_offsets.keys(), + help="Connect to a test exchange.", + ) + + # Connect to a specific host. This is only intended to be used for debugging. + exchange_address_group.add_argument( + "--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS + ) args = parser.parse_args() + args.add_socket_timeout = True if args.production: args.exchange_hostname = "production" args.port = 25000 - else: + elif args.test: args.exchange_hostname = "test-exch-" + team_name - args.port = 22000 + args.port = 22000 + test_exchange_port_offsets[args.test] + if args.test == "empty": + args.add_socket_timeout = False + elif args.specific_address: + args.exchange_hostname, port = args.specific_address.split(":") + args.port = int(port) return args + if __name__ == "__main__": + # Check that [team_name] has been updated. + assert team_name != "REPLAC" + "EME", ( + "Please put your team name in the variable [team_name]." + ) + main() \ No newline at end of file