add many change

bot split/ETC.py

@@ -1,97 +0,0 @@
-from collections import deque
-from enum import Enum
-import time
-import socket
-import json
-import order
-
-team_name = "HanyangFloorFunction"
-
-class Dir(str, Enum):
-    BUY = "BUY"
-    SELL = "SELL"
-
-class ExchangeConnection:
-    def __init__(self, args):
-        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):
-        """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, 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,
-            }
-        )
-
-    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, 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."
-            )
-

bot split/order.py

@@ -1,52 +0,0 @@
-import time
-from collections import deque
-from ETC import ExchangeConnection, Dir
-
-class OrderManager:
-    def __init__(self, exchange: ExchangeConnection):
-        self.exchange = exchange
-        self._order_size = 0
-        
-        # 최근 500개의 전송 시간만 기록하는 데크
-        self._send_timestamps = deque(maxlen=500)
-
-    def next_order(self):
-        self._order_size += 1
-        return self._order_size
-    
-    def _attempt_send(self, action_type: str, **kwargs) -> bool:
-        """
-        주문 전송을 시도합니다. 
-        제한에 걸려 무시되면 False를, 정상 전송되면 True를 반환합니다.
-        """
-        now = time.time()
-        
-        # 최근 500개를 이미 보냈다면, 가장 오래된 주문(0번 인덱스)의 시간을 확인
-        if len(self._send_timestamps) == 500:
-            elapsed = now - self._send_timestamps[0]
-            if elapsed < 1.01:
-                # 1.01초 내에 500개를 이미 보냈으므로 이 요청은 무시합니다.
-                # (print문은 필요시 주석 해제하여 로깅 용도로 사용하세요)
-                # print("전송 제한 초과! 주문이 무시되었습니다.")
-                return False
-
-        # 전송 조건 통과 시 실제 통신 수행
-        if action_type == "add":
-            self.exchange.send_add_message(**kwargs)
-        elif action_type == "cancel":
-            self.exchange.send_cancel_message(**kwargs)
-        elif action_type == "convert":
-            self.exchange.send_convert_message(**kwargs)
-            
-        # 전송한 시간 기록
-        self._send_timestamps.append(now)
-        return True
-
-    def sell(self, symbol: str, dir: Dir, price: int, size: int):
-        return self._attempt_send("add", order_id=self.next_order(), symbol=symbol, dir=dir, price=price, size=size)
-
-    def buy(self, symbol: str, dir: Dir, price: int, size: int):
-        return self._attempt_send("add", order_id=self.next_order(), symbol=symbol, dir=dir, price=price, size=size)
-
-    def cancel(self, order_id: int):
-        return self._attempt_send("cancel", order_id=order_id)

bot.py

@@ -12,7 +12,7 @@ import socket
 import json
 
 from state import StateManager
-
+from order import OrderManager
 # ~~~~~============== CONFIGURATION  ==============~~~~~
 # Replace "REPLACEME" with your team name!
 team_name = "HanyangFloorFunction"
@@ -32,48 +32,18 @@ team_name = "HanyangFloorFunction"
 def main():
     args = parse_arguments()
     state = StateManager()
-
     exchange = ExchangeConnection(args=args)
+    orderman = OrderManager(exchange)
 
-    # 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
+    orderman.sell("BOND", 1001, 99)
-    # unlikely it will be traded against. Maybe there is a better price to
+    orderman.buy("BOND", 999, 99)
-    # pick? Also, you will need to send more orders over time.
-    exchange.send_add_message(order_id=1, symbol="BOND", dir=Dir.BUY, price=990, size=1)
 
-    # 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_bid_price, vale_ask_price = None, None
-    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:
         message = exchange.read_message()
 
-        # 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
@@ -81,28 +51,55 @@ def main():
             print(message)
         elif message["type"] == "reject":
             print(message)
-        elif message["type"] == "fill":
-            print(message)
         elif message["type"] == "book":
-            if message["symbol"] == "VALE":
+            on_book(message, state)
+        elif message["type"] == "trade":
+            on_trade(message, state)
+        elif message["type"] == "fill":
+            on_fill(message, orderman, state)
 
-                def best_price(side):
+
+def on_book(message: dict, state: StateManager):
+    symbol = message["symbol"]
+
+    def best_price(side) -> int:
         if message[side]:
             return message[side][0][0]
 
-                vale_bid_price = best_price("buy")
+    bid_price = int(best_price("buy"))
-                vale_ask_price = best_price("sell")
+    ask_price = int(best_price("sell"))
 
-                now = time.time()
+    state.update_bid_ask_price(symbol, bid_price, ask_price)
+
+def on_fill(message: dict, orderman: OrderManager, state: StateManager):
+    symbol = message["symbol"]
+    dir = message["dir"]
+    size = message["size"]
+
+    quantity = size if dir == Dir.BUY else -size
+    orderman.update_position(symbol, message["order_id"], quantity)
+
+
+def on_trade(message: dict, orderman: OrderManager, state: StateManager):
+    symbol = message["symbol"]
+    price = message["price"]
+
+    state.set_last_price(symbol, price)
+
+    # 거래도
+    p_valbz = state.get_fair_value("VALBZ")
+    p_vale = state.get_fair_value("VALE")
+    
+    if state.get_last_price("VALBZ") is None or state.get_last_price("VALE") is None:
+        return
+    
+    FEE = 10
+    SZ = 10
+    if p_vale < p_valbz:
+        if p_vale * SZ + FEE < p_valbz * SZ:
+            orderman.buy("VALE", p_vale, SZ)
+            orderman.sell("VALBZ", p_valbz, SZ)
         
-                if now > vale_last_print_time + 1:
-                    vale_last_print_time = now
-                    print(
-                        {
-                            "vale_bid_price": vale_bid_price,
-                            "vale_ask_price": vale_ask_price,
-                        }
-                    )
 
 
 # ~~~~~============== PROVIDED CODE ==============~~~~~

order.py

@@ -1,10 +1,108 @@
-class OrderManager:
+import time
-    _order_size = 0
+from collections import deque
 
-    def __init__(self):
+
+class OrderManager:
+    def __init__(self, exchange: "ExchangeConnection"):
+        symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
+
+        self.POSITIONS_LIMIT = {
+            "BOND": 100,
+            "VALBZ": 10,
+            "VALE": 10,
+            "GS": 100,
+            "MS": 100,
+            "WFC": 100,
+            "XLF": 100,
+
+        }
+
+        self.exchange = exchange
         self._order_size = 0
 
-    def next_order(self):
+        # 최근 500개의 전송 시간만 기록하는 데크
+        self._send_timestamps = deque(maxlen=500)
+
+        self.orders = {}
+
+        self.positions = {s: 0 for s in symbols}
+        self.future_positions = {s: 0 for s in symbols}
+
+    def add_order(self, order_id: int, symbol: str, size: int):
+        self.orders[order_id] = size
+
+    def get_order(self, order_id: int):
+        return self.orders.get(order_id)
+
+    def _next_order(self):
         self._order_size += 1
         return self._order_size
 
+    def _attempt_send(self, action_type: str, **kwargs) -> bool:
+        """
+        주문 전송을 시도합니다.
+        제한에 걸려 무시되면 False를, 정상 전송되면 True를 반환합니다.
+        """
+        now = time.time()
+
+        # 최근 500개를 이미 보냈다면, 가장 오래된 주문(0번 인덱스)의 시간을 확인
+        if len(self._send_timestamps) == 500:
+            elapsed = now - self._send_timestamps[0]
+            if elapsed < 1.01:
+                # 1.01초 내에 500개를 이미 보냈으므로 이 요청은 무시합니다.
+                # (print문은 필요시 주석 해제하여 로깅 용도로 사용하세요)
+                # print("전송 제한 초과! 주문이 무시되었습니다.")
+                return False
+
+        # 전송 조건 통과 시 실제 통신 수행
+        if action_type == "add":
+            size = kwargs["size"]
+            if self.future_positions[kwargs["symbol"]] + size > self.POSITIONS_LIMIT[kwargs["symbol"]]:
+                return False
+            
+            self.future_positions[kwargs["symbol"]] += size
+            self.exchange.send_add_message(**kwargs)
+
+        elif action_type == "cancel":
+            self.exchange.send_cancel_message(**kwargs)
+        elif action_type == "convert":
+            self.exchange.send_convert_message(**kwargs)
+
+        # 전송한 시간 기록
+        self._send_timestamps.append(now)
+        return True
+
+    def sell(self, symbol: str, price: int, size: int):
+        return self._attempt_send(
+            "add",
+            order_id=self._next_order(),
+            symbol=symbol,
+            dir="SELL",
+            price=price,
+            size=size,
+        )
+
+    def buy(self, symbol: str, price: int, size: int):
+        return self._attempt_send(
+            "add",
+            order_id=self._next_order(),
+            symbol=symbol,
+            dir="BUY",
+            price=price,
+            size=size,
+        )
+
+    def cancel(self, order_id: int):
+        return self._attempt_send("cancel", order_id=order_id)
+
+    def update_position(self, symbol: str, order_id: int, quantity: int):
+        self.positions[symbol] = self.positions.get(symbol, 0) + quantity
+        if order_id in self.orders:
+            new_size = self.orders[order_id]["quantity"] + quantity
+            if new_size <= 0:
+                del self.orders[order_id]
+            else:
+                self.orders[order_id]["quantity"] = new_size
+
+    def check_pos_limit(self, symbol: str) -> bool:
+        return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol] 

state.py

@@ -4,8 +4,6 @@ CONVERSION_FEE = 5
 class StateManager:
     def __init__(self):
         symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]
-        self.positions = {s: 0 for s in symbols}
-        self.orders = {s: {} for s in symbols}
         self.bid_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}
@@ -26,6 +24,9 @@ class StateManager:
         }
         self.etf_shares = {"XLF": 10}
 
+    def set_last_price(self, symbol: str, price: int):
+        self.last_prices[symbol] = price
+    
     def get_last_price(self, symbol: str):
         return self.last_prices.get(symbol)
 
@@ -71,7 +72,7 @@ class StateManager:
             self.predicted_prices[symbol] = mid
 
     def update_fair_value(self):
-        valbz_price = self.get_predicted_price("VALBZ")
+        valbz_price = self.last_prices.get("VALBZ")
         if valbz_price is not None:
             self.fair_values["VALBZ"] = valbz_price
             self.fair_values["VALE"] = valbz_price