commit
This commit is contained in:
693
prac.py
693
prac.py
@@ -1,108 +1,172 @@
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#!/usr/bin/env python3
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#!/usr/bin/env python3
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# ~~~~~============== HOW TO RUN ==============~~~~~
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# 1) Configure things in CONFIGURATION section
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# 2) Change permissions: chmod +x bot.py
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# 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done
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import argparse
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import argparse
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from collections import deque
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from enum import Enum
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from enum import Enum
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import time
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import socket
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import socket
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import json
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import json
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from state import StateManager
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from state import StateManager
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from order import OrderManager
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# ~~~~~============== CONFIGURATION ==============~~~~~
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# Replace "REPLACEME" with your team name!
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team_name = "HanyangFloorFunction"
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team_name = "HanyangFloorFunction"
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# ==================== 설정 ====================
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# ~~~~~============== MAIN LOOP ==============~~~~~
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ORDER_SIZE = 2
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MAX_POS = 20
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# You should put your code here! We provide some starter code as an example,
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ARB_THRESHOLD = 40
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# but feel free to change/remove/edit/update any of it as you'd like. If you
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# have any questions about the starter code, or what to do next, please ask us!
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#
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# To help you get started, the sample code below tries to buy BOND for a low
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# price, and it prints the current prices for VALE every second. The sample
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# code is intended to be a working example, but it needs some improvement
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# before it will start making good trades!
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# ====================
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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# ====================
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def main():
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def main():
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args = parse_arguments()
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args = parse_arguments()
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exchange = ExchangeConnection(args)
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state = StateManager()
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exchange = ExchangeConnection(args=args)
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hello = exchange.read_message()
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# 포지션 직접 관리
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# Store and print the "hello" message received from the exchange. This
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positions = {}
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# contains useful information about your positions. Normally you start with
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for sym in hello["symbols"]:
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# all positions at zero, but if you reconnect during a round, you might
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positions[sym["symbol"]] = sym["position"]
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# have already bought/sold symbols and have non-zero positions.
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hello_message = exchange.read_message()
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print("First message from exchange:", hello_message)
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# Send an order for BOND at a good price, but it is low enough that it is
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# unlikely it will be traded against. Maybe there is a better price to
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# pick? Also, you will need to send more orders over time.
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# --- 설정 ---
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BOND_FAIR_VALUE = 1000 # BOND fair value (고정)
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BOND_ORDER_SIZE = 50 # BOND 주문당 수량
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XLF_CONVERSION_FEE = 100 # XLF 변환 비용
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XLF_MIN_PROFIT = 10 # XLF 차익거래 최소 수익 (불확실한 거래 방지)
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VALE_CONVERSION_FEE = 10 # VALE 변환 비용
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VALE_MIN_PROFIT = 3 # VALE 차익거래 최소 수익
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VALE_ARB_SIZE = 10 # VALE 차익거래 단위
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REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
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# XLF state machine
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# IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE
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# IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE
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xlf_state = "IDLE"
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xlf_pending = {}
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xlf_direction = None
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xlf_arb_size = 0
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# VALE state machine
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# IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE
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# IDLE → BUYING_VALE → CONVERTING → SELLING_VALBZ → IDLE
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vale_state = "IDLE"
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vale_pending = {}
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vale_direction = None
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vale_arb_size = 0
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state = StateManager()
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om = OrderManager(exchange)
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market_open = False
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active_orders = {} # BOND 전용 {order_id: {"dir": ..., "price": ..., "size": ...}}
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last_refresh = time.time()
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# hello 메시지에서 기존 포지션 로드 (재접속 시 필수)
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for sym_info in hello_message["symbols"]:
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sym = sym_info["symbol"]
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pos = sym_info["position"]
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if sym in om.positions:
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om.positions[sym] = pos
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om.future_positions[sym] = pos
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print(f" 초기 포지션 로드: {om.positions}")
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order_id = 0
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def next_id():
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def next_id():
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nonlocal order_id
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return om.next_order()
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order_id += 1
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return order_id
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active_orders = {}
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def cancel_all_bond_orders():
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"""활성 BOND 주문 전부 취소 + future_positions 롤백"""
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for oid in list(active_orders.keys()):
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order_info = active_orders[oid]
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size = order_info.get("size", 0)
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if order_info["dir"] == Dir.BUY:
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om.future_positions["BOND"] -= size
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else:
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om.future_positions["BOND"] += size
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om.cancel(oid)
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active_orders.pop(oid, None)
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# ==================== MARKET MAKING ====================
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def place_bond_orders():
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def market_make(sym):
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"""포지션 한도 안에서 bid/ask 양방향 주문"""
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bid = state.bid_prices.get(sym)
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if not market_open:
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ask = state.ask_prices.get(sym)
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if bid is None or ask is None:
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return
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return
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if ask - bid <= 2:
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cancel_all_bond_orders()
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return
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pos = positions.get(sym, 0)
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buy_price = BOND_FAIR_VALUE - 1 # 999
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sell_price = BOND_FAIR_VALUE + 1 # 1001
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position = om.positions["BOND"]
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if abs(pos) > MAX_POS:
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# 포지션에 따라 size 비대칭 조정
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return
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base_size = BOND_ORDER_SIZE
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adjustment = abs(position) // 5
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buy_price = bid + 1
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if position < 0:
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sell_price = ask - 1
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buy_size = min(base_size + adjustment, 100 - position)
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sell_size = max(base_size - adjustment, 1)
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if buy_price >= sell_price:
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elif position > 0:
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return
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buy_size = max(base_size - adjustment, 1)
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sell_size = min(base_size + adjustment, 100 + position)
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# 포지션 조절
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if pos > 0:
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buy_size = 1
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sell_size = ORDER_SIZE + 1
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elif pos < 0:
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buy_size = ORDER_SIZE + 1
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sell_size = 1
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else:
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else:
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buy_size = sell_size = ORDER_SIZE
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buy_size = base_size
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sell_size = base_size
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oid = next_id()
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# 포지션 한도 초과 방지
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exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
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buy_size = max(0, min(buy_size, 100 - position))
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active_orders[oid] = sym
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sell_size = max(0, min(sell_size, 100 + position))
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oid = next_id()
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if buy_size > 0:
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exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
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bid = next_id()
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active_orders[oid] = sym
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exchange.send_add_message(
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order_id=bid, symbol="BOND",
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dir=Dir.BUY, price=buy_price, size=buy_size
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)
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om.future_positions["BOND"] += buy_size
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active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size}
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# ==================== BOND 안전 수익 ====================
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if sell_size > 0:
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def bond_arb():
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ask = next_id()
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bid = state.bid_prices.get("BOND")
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exchange.send_add_message(
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ask = state.ask_prices.get("BOND")
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order_id=ask, symbol="BOND",
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dir=Dir.SELL, price=sell_price, size=sell_size
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)
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om.future_positions["BOND"] -= sell_size
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active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size}
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if ask and ask < 999:
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print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}")
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 3)
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if bid and bid > 1001:
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def try_xlf_arb():
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 3)
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"""XLF 차익거래 시도 - IDLE 상태일 때만"""
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nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size
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# ==================== XLF 차익거래 (초안전 버전) ====================
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if not market_open or xlf_state != "IDLE":
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def xlf_arb():
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return
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bond_ask = state.ask_prices.get("BOND")
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gs_ask = state.ask_prices.get("GS")
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ms_ask = state.ask_prices.get("MS")
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wfc_ask = state.ask_prices.get("WFC")
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xlf_bid = state.bid_prices.get("XLF")
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bond_bid = state.bid_prices.get("BOND")
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bond_ask = state.ask_prices["BOND"]
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gs_bid = state.bid_prices.get("GS")
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gs_ask = state.ask_prices["GS"]
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ms_bid = state.bid_prices.get("MS")
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ms_ask = state.ask_prices["MS"]
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wfc_bid = state.bid_prices.get("WFC")
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wfc_ask = state.ask_prices["WFC"]
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xlf_ask = state.ask_prices.get("XLF")
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xlf_bid = state.bid_prices["XLF"]
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bond_bid = state.bid_prices["BOND"]
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gs_bid = state.bid_prices["GS"]
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ms_bid = state.bid_prices["MS"]
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wfc_bid = state.bid_prices["WFC"]
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xlf_ask = state.ask_prices["XLF"]
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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@@ -111,118 +175,455 @@ def main():
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basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
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basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
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basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
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basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
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pos = positions.get("XLF", 0)
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# 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도
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profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
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if abs(pos) > 10:
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if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
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print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
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# BOND 주문 먼저 취소 (XLF용 BOND 매수가 기존 매도에 상쇄되지 않도록)
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cancel_all_bond_orders()
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xlf_state = "BUYING_BASKET"
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xlf_direction = "BASKET_TO_XLF"
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xlf_arb_size = 10
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xlf_pending.clear()
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for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
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oid = next_id()
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exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
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xlf_pending[oid] = qty
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return
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return
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profit1 = xlf_bid * 10 - basket_ask
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# 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
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if profit1 > ARB_THRESHOLD:
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profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
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exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
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if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
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print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
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cancel_all_bond_orders()
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xlf_state = "BUYING_XLF"
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xlf_direction = "XLF_TO_BASKET"
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xlf_arb_size = 10
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xlf_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10)
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xlf_pending[oid] = 10
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profit2 = basket_bid - xlf_ask * 10
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def handle_xlf_fill(order_id, symbol, dir_, qty):
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if profit2 > ARB_THRESHOLD:
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"""XLF state machine 체결 처리 (부분 체결 추적)"""
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exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf_ask, 10)
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nonlocal xlf_state, xlf_pending
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# ==================== 리스크 관리 ====================
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if order_id not in xlf_pending:
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def risk():
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return
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for sym in ["GS", "MS", "WFC", "XLF"]:
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pos = positions.get(sym, 0)
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if abs(pos) > MAX_POS:
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xlf_pending[order_id] -= qty
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if pos > 0:
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if xlf_pending[order_id] <= 0:
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exchange.send_add_message_ioc(
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del xlf_pending[order_id]
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next_id(), sym, Dir.SELL,
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state.bid_prices.get(sym, 1), abs(pos)
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)
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else:
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exchange.send_add_message_ioc(
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next_id(), sym, Dir.BUY,
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state.ask_prices.get(sym, 99999), abs(pos)
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)
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# ==================== LOOP ====================
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if xlf_state == "BUYING_BASKET" and not xlf_pending:
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print(" 바스켓 매수 완료 → XLF 변환 시작")
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xlf_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "XLF", Dir.BUY, xlf_arb_size)
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elif xlf_state == "BUYING_XLF" and not xlf_pending:
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print(" XLF 매수 완료 → 바스켓 변환 시작")
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xlf_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "XLF", Dir.SELL, xlf_arb_size)
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def try_vale_arb():
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"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만"""
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nonlocal vale_state, vale_direction, vale_pending, vale_arb_size
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if not market_open or vale_state != "IDLE":
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return
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vale_bid = state.bid_prices["VALE"]
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vale_ask = state.ask_prices["VALE"]
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valbz_bid = state.bid_prices["VALBZ"]
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valbz_ask = state.ask_prices["VALBZ"]
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if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
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return
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valbz_pos = om.positions["VALBZ"]
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vale_pos = om.positions["VALE"]
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# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도
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profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
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arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
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if profit1 > VALE_MIN_PROFIT and arb_size1 > 0:
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print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
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||||||
|
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:
|
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
|
break
|
||||||
|
|
||||||
elif msg["type"] == "book":
|
elif message["type"] == "open":
|
||||||
sym = msg["symbol"]
|
# 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
|
elif message["type"] == "error":
|
||||||
ask = msg["sell"][0][0] if msg["sell"] else None
|
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()):
|
elif message["type"] == "ack":
|
||||||
exchange.send_cancel_message(oid)
|
# XLF 변환 ack 처리
|
||||||
del active_orders[oid]
|
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
|
# VALE 변환 ack 처리
|
||||||
bond_arb()
|
elif vale_state == "CONVERTING":
|
||||||
xlf_arb()
|
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"]:
|
elif message["type"] == "fill":
|
||||||
market_make(sym)
|
print(message)
|
||||||
|
qty = message["size"]
|
||||||
|
sym = message["symbol"]
|
||||||
|
dir_ = message["dir"]
|
||||||
|
oid = message["order_id"]
|
||||||
|
|
||||||
risk()
|
# 포지션 업데이트
|
||||||
|
if dir_ == Dir.BUY:
|
||||||
elif msg["type"] == "fill":
|
om.update_position(sym, oid, qty)
|
||||||
qty = msg["size"]
|
|
||||||
sym = msg["symbol"]
|
|
||||||
|
|
||||||
if msg["dir"] == Dir.BUY:
|
|
||||||
positions[sym] = positions.get(sym, 0) + qty
|
|
||||||
else:
|
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:
|
class ExchangeConnection:
|
||||||
def __init__(self, args):
|
def __init__(self, args):
|
||||||
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
|
self.message_timestamps = deque(maxlen=500)
|
||||||
s.connect((args.exchange_hostname, args.port))
|
self.exchange_hostname = args.exchange_hostname
|
||||||
self.reader = s.makefile("r", 1)
|
self.port = args.port
|
||||||
self.writer = s
|
exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
|
||||||
self._write({"type": "hello", "team": team_name.upper()})
|
self.reader = exchange_socket.makefile("r", 1)
|
||||||
|
self.writer = exchange_socket
|
||||||
|
|
||||||
|
self._write_message({"type": "hello", "team": team_name.upper()})
|
||||||
|
|
||||||
def read_message(self):
|
def read_message(self):
|
||||||
msg = json.loads(self.reader.readline())
|
"""Read a single message from the exchange"""
|
||||||
if "dir" in msg:
|
message = json.loads(self.reader.readline())
|
||||||
msg["dir"] = Dir(msg["dir"])
|
if "dir" in message:
|
||||||
return msg
|
message["dir"] = Dir(message["dir"])
|
||||||
|
return message
|
||||||
|
|
||||||
def send_add_message(self, oid, sym, dir, price, size):
|
def send_add_message(
|
||||||
self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
|
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):
|
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
|
||||||
self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
|
"""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):
|
def send_cancel_message(self, order_id: int):
|
||||||
self._write({"type": "cancel", "order_id": oid})
|
"""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():
|
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)
|
parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
|
||||||
group.add_argument("--production", action="store_true")
|
exchange_address_group = parser.add_mutually_exclusive_group(required=True)
|
||||||
group.add_argument("--test", type=str, default="prod-like")
|
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 = parser.parse_args()
|
||||||
|
args.add_socket_timeout = True
|
||||||
|
|
||||||
if args.production:
|
if args.production:
|
||||||
args.exchange_hostname = "production"
|
args.exchange_hostname = "production"
|
||||||
args.port = 25000
|
args.port = 25000
|
||||||
else:
|
elif args.test:
|
||||||
args.exchange_hostname = "test-exch-" + team_name
|
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
|
return args
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
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()
|
main()
|
||||||
Reference in New Issue
Block a user