commit

bot bond sell.py

@@ -46,28 +46,35 @@ def main():
     # pick? Also, you will need to send more orders over time.
     # --- 설정 ---
     BOND_FAIR_VALUE     = 1000  # BOND fair value (고정)
-    BOND_ORDER_SIZE     = 30    # BOND 주문당 수량
+    BOND_ORDER_SIZE     = 80    # BOND 주문당 수량 (크게 설정해서 체결 기회 극대화)
     XLF_CONVERSION_FEE  = 100   # XLF 변환 비용
     VALE_CONVERSION_FEE = 10    # VALE 변환 비용
+    VALE_ARB_SIZE       = 10    # VALE 차익거래 단위
     REFRESH_INTERVAL    = 5.0   # 주문 갱신 주기 (초)
 
     # XLF state machine
+    # IDLE → BUYING_BASKET → CONVERTING → SELLING_XLF → IDLE
+    # IDLE → BUYING_XLF → CONVERTING → SELLING_BASKET → IDLE
     xlf_state     = "IDLE"
     xlf_pending   = {}
     xlf_direction = None
+    xlf_arb_size  = 0  # 현재 차익거래 수량 추적
 
     # VALE state machine
+    # IDLE → BUYING_VALBZ → CONVERTING → SELLING_VALE → IDLE
+    # IDLE → BUYING_VALE → CONVERTING → SELLING_VALBZ → IDLE
     vale_state     = "IDLE"
     vale_pending   = {}
     vale_direction = None
+    vale_arb_size  = 0  # 현재 차익거래 수량 추적
 
     state         = StateManager()
     om            = OrderManager(exchange)
     market_open   = False
     active_orders = {}  # BOND 전용 {order_id: {"dir": ..., "price": ...}}
 
-    last_refresh      = time.time()
-    vale_last_print   = time.time()
+    last_refresh     = time.time()
+    vale_last_print  = time.time()
 
     def next_id():
         return om.next_order()
@@ -85,10 +92,11 @@ def main():
 
         cancel_all_bond_orders()
 
-        buy_price  = BOND_FAIR_VALUE - 1
-        sell_price = BOND_FAIR_VALUE + 1
+        buy_price  = BOND_FAIR_VALUE - 1   # 999
+        sell_price = BOND_FAIR_VALUE + 1   # 1001
         position   = om.positions["BOND"]
 
+        # 포지션에 따라 size 비대칭 조정
         base_size  = BOND_ORDER_SIZE
         adjustment = abs(position) // 5
 
@@ -102,25 +110,31 @@ def main():
             buy_size  = base_size
             sell_size = base_size
 
-        bid = next_id()
-        if exchange.send_add_message(
-            order_id=bid, symbol="BOND",
-            dir=Dir.BUY, price=buy_price, size=buy_size
-        ) is not False:
+        # 포지션 한도 초과 방지
+        buy_size  = min(buy_size,  100 - position)
+        sell_size = min(sell_size, 100 + position)
+
+        if buy_size > 0:
+            bid = next_id()
+            exchange.send_add_message(
+                order_id=bid, symbol="BOND",
+                dir=Dir.BUY, price=buy_price, size=buy_size
+            )
             active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
 
-        ask = next_id()
-        if exchange.send_add_message(
-            order_id=ask, symbol="BOND",
-            dir=Dir.SELL, price=sell_price, size=sell_size
-        ) is not False:
+        if sell_size > 0:
+            ask = next_id()
+            exchange.send_add_message(
+                order_id=ask, symbol="BOND",
+                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}")
 
     def try_xlf_arb():
         """XLF 차익거래 시도 - IDLE 상태일 때만"""
-        nonlocal xlf_state, xlf_direction, xlf_pending
+        nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size
 
         if not market_open or xlf_state != "IDLE":
             return
@@ -149,6 +163,7 @@ def main():
             print(f"  XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
             xlf_state     = "BUYING_BASKET"
             xlf_direction = "BASKET_TO_XLF"
+            xlf_arb_size  = 10
             xlf_pending.clear()
             for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
                 oid = next_id()
@@ -162,13 +177,14 @@ def main():
             print(f"  XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
             xlf_state     = "BUYING_XLF"
             xlf_direction = "XLF_TO_BASKET"
+            xlf_arb_size  = 10
             xlf_pending.clear()
             oid = next_id()
             exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10)
             xlf_pending[oid] = 10
 
     def handle_xlf_fill(order_id, symbol, dir_, qty):
-        """XLF state machine 체결 처리"""
+        """XLF state machine 체결 처리 (부분 체결 추적)"""
         nonlocal xlf_state, xlf_pending
 
         if order_id not in xlf_pending:
@@ -181,16 +197,16 @@ def main():
         if xlf_state == "BUYING_BASKET" and not xlf_pending:
             print("  바스켓 매수 완료 → XLF 변환 시작")
             xlf_state = "CONVERTING"
-            exchange.send_convert_message(next_id(), "XLF", Dir.BUY, 10)
+            exchange.send_convert_message(next_id(), "XLF", Dir.BUY, xlf_arb_size)
 
         elif xlf_state == "BUYING_XLF" and not xlf_pending:
             print("  XLF 매수 완료 → 바스켓 변환 시작")
             xlf_state = "CONVERTING"
-            exchange.send_convert_message(next_id(), "XLF", Dir.SELL, 10)
+            exchange.send_convert_message(next_id(), "XLF", Dir.SELL, xlf_arb_size)
 
     def try_vale_arb():
         """VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만"""
-        nonlocal vale_state, vale_direction, vale_pending
+        nonlocal vale_state, vale_direction, vale_pending, vale_arb_size
 
         if not market_open or vale_state != "IDLE":
             return
@@ -203,31 +219,38 @@ def main():
         if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
             return
 
+        valbz_pos = om.positions["VALBZ"]
+        vale_pos  = om.positions["VALE"]
+
         # 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도
-        profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
-        if profit1 > 0 and om.check_pos_limit("VALBZ"):
-            print(f"  VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
+        profit1   = vale_bid - valbz_ask - VALE_CONVERSION_FEE
+        arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
+        if profit1 > 0 and arb_size1 > 0:
+            print(f"  VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
             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, 1)
-            vale_pending[oid] = 1
+            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
-        if profit2 > 0 and om.check_pos_limit("VALE"):
-            print(f"  VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
+        profit2   = valbz_bid - vale_ask - VALE_CONVERSION_FEE
+        arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
+        if profit2 > 0 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, 1)
-            vale_pending[oid] = 1
+            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"""
+        """VALE state machine 체결 처리 (부분 체결 추적)"""
         nonlocal vale_state, vale_pending
 
         if order_id not in vale_pending:
@@ -240,12 +263,12 @@ def main():
         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, 1)
+            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, 1)
+            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
@@ -306,13 +329,25 @@ def main():
             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.update_position("BOND", -1, -3)
+                    om.update_position("GS",   -1, -2)
+                    om.update_position("MS",   -1, -3)
+                    om.update_position("WFC",  -1, -2)
+                    om.update_position("XLF",  -1, xlf_arb_size)
                     xlf_state = "SELLING_XLF"
                     oid = next_id()
                     exchange.send_add_message(
-                        oid, "XLF", Dir.SELL, state.bid_prices["XLF"], 10
+                        oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size
                     )
-                    xlf_pending[oid] = 10
+                    xlf_pending[oid] = xlf_arb_size
                 elif xlf_direction == "XLF_TO_BASKET":
+                    # 변환: XLF -10, BOND +3, GS +2, MS +3, WFC +2
+                    om.update_position("XLF",  -1, -xlf_arb_size)
+                    om.update_position("BOND", -1, 3)
+                    om.update_position("GS",   -1, 2)
+                    om.update_position("MS",   -1, 3)
+                    om.update_position("WFC",  -1, 2)
                     xlf_state = "SELLING_BASKET"
                     for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
                         oid = next_id()
@@ -325,19 +360,25 @@ def main():
             elif vale_state == "CONVERTING":
                 print("  VALE 변환 완료 → 매도 시작")
                 if vale_direction == "VALBZ_TO_VALE":
+                    # 변환: VALBZ -size, VALE +size
+                    om.update_position("VALBZ", -1, -vale_arb_size)
+                    om.update_position("VALE",  -1,  vale_arb_size)
                     vale_state = "SELLING_VALE"
                     oid = next_id()
                     exchange.send_add_message(
-                        oid, "VALE", Dir.SELL, state.bid_prices["VALE"], 1
+                        oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size
                     )
-                    vale_pending[oid] = 1
+                    vale_pending[oid] = vale_arb_size
                 elif vale_direction == "VALE_TO_VALBZ":
+                    # 변환: VALE -size, VALBZ +size
+                    om.update_position("VALE",  -1, -vale_arb_size)
+                    om.update_position("VALBZ", -1,  vale_arb_size)
                     vale_state = "SELLING_VALBZ"
                     oid = next_id()
                     exchange.send_add_message(
-                        oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], 1
+                        oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size
                     )
-                    vale_pending[oid] = 1
+                    vale_pending[oid] = vale_arb_size
 
         elif message["type"] == "fill":
             print(message)