add: bot bond selling
This commit is contained in:
235
bot bond sell.py
235
bot bond sell.py
@@ -1,32 +1,3 @@
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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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from collections import deque
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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 json
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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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# ~~~~~============== MAIN LOOP ==============~~~~~
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# You should put your code here! We provide some starter code as an example,
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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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def main():
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args = parse_arguments()
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@@ -43,9 +14,9 @@ def main():
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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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# --- BOND 마켓 메이킹 설정 ---
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FAIR_VALUE = 1000 # BOND fair value (고정, 설명서 명시)
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ORDER_SIZE = 10 # 주문당 수량
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MAX_POSITION = 100 # 포지션 한도 (설명서: BOND limit = 100)
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FAIR_VALUE = 1000 # BOND fair value (고정)
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ORDER_SIZE = 100 # 한 번에 최대한 많이 (포지션 한도 = 100)
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MAX_POSITION = 100 # 최대 포지션 한도
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REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
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position = 0 # 현재 BOND 포지션
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@@ -53,57 +24,50 @@ def main():
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active_orders = {} # {order_id: {"dir": ..., "price": ...}}
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market_open = False # 시장 open 여부 (open 전에는 주문 불가)
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# 호가창에서 파악한 BOND 최우선 bid/ask
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bond_best_bid = None
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bond_best_ask = None
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def next_id():
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nonlocal order_id
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order_id += 1
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return order_id
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def cancel_all_bond_orders():
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"""활성 BOND 주문 전부 취소"""
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for oid in list(active_orders.keys()):
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exchange.send_cancel_message(oid)
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active_orders.pop(oid, None)
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"""BOND 주문 전부 한 번에 취소 (mass_cancel 사용)"""
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exchange.send_mass_cancel_message(symbol="BOND")
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active_orders.clear()
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def place_bond_orders():
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"""호가창 기반으로 경쟁자보다 1틱 더 좋은 가격에 주문"""
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"""포지션 한도 안에서 bid/ask 양방향 주문"""
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if not market_open:
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return
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cancel_all_bond_orders()
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# 호가창 정보가 없으면 기본값 사용
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best_bid = bond_best_bid if bond_best_bid is not None else 999
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best_ask = bond_best_ask if bond_best_ask is not None else 1001
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# 포지션이 음수면 매수 가격을 올려서 빨리 사들임
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# 포지션이 양수면 매도 가격을 내려서 빨리 팖
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skew = position // 10 # 포지션 10마다 1틱 조정
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# 경쟁자보다 1틱 더 좋은 가격, 단 fair value를 절대 넘지 않음
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# 매수: 경쟁자 bid + 1 (단, fair value - 1 이하)
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# 매도: 경쟁자 ask - 1 (단, fair value + 1 이상)
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buy_price = min(best_bid + 1, FAIR_VALUE - 1) # 최대 999
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sell_price = max(best_ask - 1, FAIR_VALUE + 1) # 최소 1001
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buy_price = min(FAIR_VALUE - 1 + skew, FAIR_VALUE - 1) # 최대 999
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sell_price = max(FAIR_VALUE + 1 + skew, FAIR_VALUE + 1) # 최소 1001
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print(f" BOND 주문 → 매수: {buy_price}, 매도: {sell_price}")
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buy_size = min(ORDER_SIZE, MAX_POSITION - position)
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sell_size = min(ORDER_SIZE, MAX_POSITION + position)
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# 포지션이 한도에 걸리면 한쪽 방향 주문 스킵
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if position < MAX_POSITION:
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if buy_size > 0:
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bid = next_id()
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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=ORDER_SIZE
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dir=Dir.BUY, price=buy_price, size=buy_size
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)
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active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
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if position > -MAX_POSITION:
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if sell_size > 0:
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ask = next_id()
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exchange.send_add_message(
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order_id=ask, symbol="BOND",
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dir=Dir.SELL, price=sell_price, size=ORDER_SIZE
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dir=Dir.SELL, price=sell_price, size=sell_size
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)
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active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
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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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# Set up some variables to track the bid and ask price of a symbol. Right
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# now this doesn't track much information, but it's enough to get a sense
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# of the VALE market.
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@@ -156,20 +120,8 @@ def main():
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position += qty
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else:
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position -= qty
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print(f" → BOND position: {position}")
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place_bond_orders()
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elif message["type"] == "book":
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if message["symbol"] == "BOND":
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# BOND 호가창 업데이트 → 가격 재계산 후 주문 갱신
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bond_best_bid = message["buy"][0][0] if message["buy"] else None
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bond_best_ask = message["sell"][0][0] if message["sell"] else None
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# 호가창이 바뀔 때마다 주문 갱신 (단, rate limit 주의)
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now = time.time()
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if now - last_refresh > REFRESH_INTERVAL:
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last_refresh = now
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place_bond_orders()
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if message["symbol"] == "VALE":
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def best_price(side):
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@@ -190,147 +142,8 @@ def main():
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}
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)
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# ~~~~~============== PROVIDED CODE ==============~~~~~
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# You probably don't need to edit anything below this line, but feel free to
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# ask if you have any questions about what it is doing or how it works. If you
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# do need to change anything below this line, please feel free to
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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class ExchangeConnection:
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def __init__(self, args):
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self.message_timestamps = deque(maxlen=500)
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self.exchange_hostname = args.exchange_hostname
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self.port = args.port
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exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
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self.reader = exchange_socket.makefile("r", 1)
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self.writer = exchange_socket
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self._write_message({"type": "hello", "team": team_name.upper()})
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def read_message(self):
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"""Read a single message from the exchange"""
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message = json.loads(self.reader.readline())
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if "dir" in message:
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message["dir"] = Dir(message["dir"])
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return message
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def send_add_message(
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self, order_id: int, symbol: str, dir: Dir, price: int, size: int
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):
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"""Add a new order"""
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self._write_message(
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{
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"type": "add",
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"order_id": order_id,
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"symbol": symbol,
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"dir": dir,
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"price": price,
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"size": size,
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"tif": "DAY", # 설명서 필수 필드: DAY or IOC
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}
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)
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def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
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"""Convert between related symbols"""
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self._write_message(
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{
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"type": "convert",
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"order_id": order_id,
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"symbol": symbol,
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"dir": dir,
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"size": size,
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}
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)
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def send_cancel_message(self, order_id: int):
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"""Cancel an existing order"""
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self._write_message({"type": "cancel", "order_id": order_id})
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def _connect(self, add_socket_timeout):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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if add_socket_timeout:
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# Automatically raise an exception if no data has been recieved for
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# multiple seconds. This should not be enabled on an "empty" test
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# exchange.
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s.settimeout(5)
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s.connect((self.exchange_hostname, self.port))
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return s
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def _write_message(self, message):
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what_to_write = json.dumps(message)
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if not what_to_write.endswith("\n"):
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what_to_write = what_to_write + "\n"
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length_to_send = len(what_to_write)
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total_sent = 0
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while total_sent < length_to_send:
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sent_this_time = self.writer.send(
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what_to_write[total_sent:].encode("utf-8")
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)
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if sent_this_time == 0:
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raise Exception("Unable to send data to exchange")
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total_sent += sent_this_time
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now = time.time()
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self.message_timestamps.append(now)
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if len(
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self.message_timestamps
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) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1):
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print(
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"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."
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)
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def parse_arguments():
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test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
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parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
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exchange_address_group = parser.add_mutually_exclusive_group(required=True)
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exchange_address_group.add_argument(
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"--production", action="store_true", help="Connect to the production exchange."
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)
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exchange_address_group.add_argument(
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"--test",
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type=str,
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choices=test_exchange_port_offsets.keys(),
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help="Connect to a test exchange.",
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)
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# Connect to a specific host. This is only intended to be used for debugging.
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exchange_address_group.add_argument(
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"--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
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)
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args = parser.parse_args()
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args.add_socket_timeout = True
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if args.production:
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args.exchange_hostname = "production"
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args.port = 25000
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elif args.test:
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args.exchange_hostname = "test-exch-" + team_name
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args.port = 22000 + test_exchange_port_offsets[args.test]
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if args.test == "empty":
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args.add_socket_timeout = False
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elif args.specific_address:
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args.exchange_hostname, port = args.specific_address.split(":")
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args.port = int(port)
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return args
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if __name__ == "__main__":
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# Check that [team_name] has been updated.
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assert team_name != "REPLAC" + "EME", (
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"Please put your team name in the variable [team_name]."
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)
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main()
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# 주기적으로 BOND 주문 갱신 (주문 만료 방지)
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now = time.time()
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if now - last_refresh > REFRESH_INTERVAL:
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last_refresh = now
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place_bond_orders()
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