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yenru0
2026-05-09 14:04:07 +09:00
parent d17815f727
commit f015d73e87
5 changed files with 156 additions and 209 deletions
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97
bot split/ETC.py
View File

@@ -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."
)

52
bot split/order.py
View File

@@ -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)

95
bot.py
View File

@@ -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
# unlikely it will be traded against. Maybe there is a better price to
# 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)
orderman.sell("BOND", 1001, 99)
orderman.buy("BOND", 999, 99)
# 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")
vale_ask_price = best_price("sell")
bid_price = int(best_price("buy"))
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 ==============~~~~~

106
order.py
View File

@@ -1,10 +1,108 @@
class OrderManager:
_order_size = 0
import time
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]

7
state.py
View File

@@ -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