diff --git a/bot bond sell.py b/bot bond sell.py index d560cd9..608d5a0 100644 --- a/bot bond sell.py +++ b/bot bond sell.py @@ -1,32 +1,3 @@ -#!/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 - -# ~~~~~============== CONFIGURATION ==============~~~~~ -# Replace "REPLACEME" with your team name! -team_name = "HanyangFloorFunction" - -# ~~~~~============== 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! - - def main(): args = parse_arguments() @@ -43,9 +14,9 @@ def main(): # unlikely it will be traded against. Maybe there is a better price to # pick? Also, you will need to send more orders over time. # --- BOND 마켓 메이킹 설정 --- - FAIR_VALUE = 1000 # BOND fair value (고정, 설명서 명시) - ORDER_SIZE = 10 # 주문당 수량 - MAX_POSITION = 100 # 포지션 한도 (설명서: BOND limit = 100) + FAIR_VALUE = 1000 # BOND fair value (고정) + ORDER_SIZE = 100 # 한 번에 최대한 많이 (포지션 한도 = 100) + MAX_POSITION = 100 # 최대 포지션 한도 REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) position = 0 # 현재 BOND 포지션 @@ -53,57 +24,50 @@ def main(): active_orders = {} # {order_id: {"dir": ..., "price": ...}} market_open = False # 시장 open 여부 (open 전에는 주문 불가) - # 호가창에서 파악한 BOND 최우선 bid/ask - bond_best_bid = None - bond_best_ask = None - def next_id(): nonlocal order_id order_id += 1 return order_id def cancel_all_bond_orders(): - """활성 BOND 주문 전부 취소""" - for oid in list(active_orders.keys()): - exchange.send_cancel_message(oid) - active_orders.pop(oid, None) + """BOND 주문 전부 한 번에 취소 (mass_cancel 사용)""" + exchange.send_mass_cancel_message(symbol="BOND") + active_orders.clear() def place_bond_orders(): - """호가창 기반으로 경쟁자보다 1틱 더 좋은 가격에 주문""" + """포지션 한도 안에서 bid/ask 양방향 주문""" if not market_open: return cancel_all_bond_orders() - # 호가창 정보가 없으면 기본값 사용 - best_bid = bond_best_bid if bond_best_bid is not None else 999 - best_ask = bond_best_ask if bond_best_ask is not None else 1001 + # 포지션이 음수면 매수 가격을 올려서 빨리 사들임 + # 포지션이 양수면 매도 가격을 내려서 빨리 팖 + skew = position // 10 # 포지션 10마다 1틱 조정 - # 경쟁자보다 1틱 더 좋은 가격, 단 fair value를 절대 넘지 않음 - # 매수: 경쟁자 bid + 1 (단, fair value - 1 이하) - # 매도: 경쟁자 ask - 1 (단, fair value + 1 이상) - buy_price = min(best_bid + 1, FAIR_VALUE - 1) # 최대 999 - sell_price = max(best_ask - 1, FAIR_VALUE + 1) # 최소 1001 + buy_price = min(FAIR_VALUE - 1 + skew, FAIR_VALUE - 1) # 최대 999 + sell_price = max(FAIR_VALUE + 1 + skew, FAIR_VALUE + 1) # 최소 1001 - print(f" BOND 주문 → 매수: {buy_price}, 매도: {sell_price}") + buy_size = min(ORDER_SIZE, MAX_POSITION - position) + sell_size = min(ORDER_SIZE, MAX_POSITION + position) - # 포지션이 한도에 걸리면 한쪽 방향 주문 스킵 - if position < MAX_POSITION: + if buy_size > 0: bid = next_id() exchange.send_add_message( order_id=bid, symbol="BOND", - dir=Dir.BUY, price=buy_price, size=ORDER_SIZE + dir=Dir.BUY, price=buy_price, size=buy_size ) active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} - if position > -MAX_POSITION: + if sell_size > 0: ask = next_id() exchange.send_add_message( order_id=ask, symbol="BOND", - dir=Dir.SELL, price=sell_price, size=ORDER_SIZE + dir=Dir.SELL, price=sell_price, size=sell_size ) active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} + print(f" BOND 주문 → 매수: {buy_price} x{buy_size}, 매도: {sell_price} x{sell_size}, 포지션: {position}") # 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. @@ -156,20 +120,8 @@ def main(): position += qty else: position -= qty - print(f" → BOND position: {position}") place_bond_orders() elif message["type"] == "book": - if message["symbol"] == "BOND": - # BOND 호가창 업데이트 → 가격 재계산 후 주문 갱신 - bond_best_bid = message["buy"][0][0] if message["buy"] else None - bond_best_ask = message["sell"][0][0] if message["sell"] else None - - # 호가창이 바뀔 때마다 주문 갱신 (단, rate limit 주의) - now = time.time() - if now - last_refresh > REFRESH_INTERVAL: - last_refresh = now - place_bond_orders() - if message["symbol"] == "VALE": def best_price(side): @@ -190,147 +142,8 @@ def main(): } ) - -# ~~~~~============== 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): - 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, - "tif": "DAY", # 설명서 필수 필드: DAY or 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, 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 parse_arguments(): - test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} - - 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 - elif args.test: - args.exchange_hostname = "test-exch-" + team_name - 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 + # 주기적으로 BOND 주문 갱신 (주문 만료 방지) + now = time.time() + if now - last_refresh > REFRESH_INTERVAL: + last_refresh = now + place_bond_orders() \ No newline at end of file