last

bot bond sell.py

@@ -46,20 +46,27 @@ 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     = 50    # BOND 주문당 수량
     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
 
     # 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
 
     state         = StateManager()
     om            = OrderManager(exchange)
@@ -67,7 +74,6 @@ def main():
     active_orders = {}  # BOND 전용 {order_id: {"dir": ..., "price": ...}}
 
     last_refresh     = time.time()
-    vale_last_print   = time.time()
 
     def next_id():
         return om.next_order()
@@ -85,10 +91,11 @@ def main():
 
         cancel_all_bond_orders()
 
-        buy_price  = BOND_FAIR_VALUE - 1
+        buy_price  = BOND_FAIR_VALUE - 1   # 999
-        sell_price = BOND_FAIR_VALUE + 1
+        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 +109,31 @@ def main():
             buy_size  = base_size
             sell_size = base_size
 
+        # 포지션 한도 초과 방지
+        buy_size  = max(0, min(buy_size,  100 - position))
+        sell_size = max(0, min(sell_size, 100 + position))
+
+        if buy_size > 0:
             bid = next_id()
-        if exchange.send_add_message(
+            exchange.send_add_message(
                 order_id=bid, symbol="BOND",
                 dir=Dir.BUY, price=buy_price, size=buy_size
-        ) is not False:
+            )
             active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
 
+        if sell_size > 0:
             ask = next_id()
-        if exchange.send_add_message(
+            exchange.send_add_message(
                 order_id=ask, symbol="BOND",
                 dir=Dir.SELL, price=sell_price, size=sell_size
-        ) is not False:
+            )
             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
@@ -147,8 +160,11 @@ def main():
         profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
         if profit1 > 0 and om.check_pos_limit("XLF"):
             print(f"  XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
+            # BOND 주문 먼저 취소 (XLF용 BOND 매수가 기존 매도에 상쇄되지 않도록)
+            cancel_all_bond_orders()
             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()
@@ -160,15 +176,17 @@ def main():
         profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
         if profit2 > 0 and om.check_pos_limit("XLF"):
             print(f"  XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
+            cancel_all_bond_orders()
             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 +199,16 @@ 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 +221,38 @@ 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"):
+        arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
-            print(f"  VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
+        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)
+            exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
-            vale_pending[oid] = 1
+            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"):
+        arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
-            print(f"  VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
+        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)
+            exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
-            vale_pending[oid] = 1
+            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 +265,12 @@ 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
@@ -295,6 +320,7 @@ def main():
                 xlf_state = "IDLE"
                 xlf_pending.clear()
                 xlf_direction = None
+                place_bond_orders()
             if oid in vale_pending:
                 print("  VALE 주문 reject → IDLE 복귀")
                 vale_state = "IDLE"
@@ -306,13 +332,25 @@ 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.positions["BOND"] -= 3
+                    om.positions["GS"]   -= 2
+                    om.positions["MS"]   -= 3
+                    om.positions["WFC"]  -= 2
+                    om.positions["XLF"]  += 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.positions["XLF"]  -= xlf_arb_size
+                    om.positions["BOND"] += 3
+                    om.positions["GS"]   += 2
+                    om.positions["MS"]   += 3
+                    om.positions["WFC"]  += 2
                     xlf_state = "SELLING_BASKET"
                     for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
                         oid = next_id()
@@ -325,19 +363,25 @@ def main():
             elif vale_state == "CONVERTING":
                 print("  VALE 변환 완료 → 매도 시작")
                 if vale_direction == "VALBZ_TO_VALE":
+                    # 변환: VALBZ -size, VALE +size
+                    om.positions["VALBZ"] -= vale_arb_size
+                    om.positions["VALE"]  += 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.positions["VALE"]  -= vale_arb_size
+                    om.positions["VALBZ"] += 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)
@@ -365,6 +409,8 @@ def main():
                 print("  XLF 차익거래 완료 → IDLE 복귀")
                 xlf_state = "IDLE"
                 xlf_direction = None
+                # XLF 완료 후 BOND 주문 재배치
+                place_bond_orders()
 
             # VALE state machine 체결 처리
             handle_vale_fill(oid, sym, dir_, qty)

bot split/bot split.py

@@ -35,6 +35,9 @@ def main():
     print("First message from exchange:", hello_message)
     
     #
+    man.orderMan.buy("BOND", 999, 99)
+    man.orderMan.sell("BOND", 1001, 99)
+    
     last_print_time = time.time()
 
     while True:
@@ -61,7 +64,10 @@ def on_fill(message, man: Manager):
 def on_book(message, man: Manager):
     global last_print_time
     
-    man.valueMan.set_value(message["symbol"], message["buy"][0][0], message["sell"][0][0])
+    if (message["buy"]):
+        man.valueMan.set_bid(message["symbol"], message["buy"][0][0])
+    if (message["sell"]):
+        man.valueMan.set_ask(message["symbol"], message["sell"][0][0])
     
     if message["symbol"] == "VALE" or message["symbol"] == "VALBZ":
         def best_price(side):
@@ -72,7 +78,7 @@ def on_book(message, man: Manager):
 
         now = time.time()
 
-        if now > last_print_time:
+        if now >= last_print_time+1:
             last_print_time = now
             
             valePos = man.positionMan.get_position("VALE")
@@ -82,12 +88,35 @@ def on_book(message, man: Manager):
             valbzBid = man.valueMan.get_bid("VALBZ")
             valbzAsk = man.valueMan.get_ask("VALBZ")
             FEE = 10
-            if (valePos * valeBid + FEE < 
+            if ((valeBid > 0 and valbzBid) and 
-                valbzPos * valeBid):
+                valePos * valeBid + FEE < 
+                valbzPos * valbzBid):
                 man.orderMan.convert("VALE", Dir.SELL, valePos)
-            if (valePos * valeBid > 
+            if ((valeBid > 0 and valbzBid) and 
-                valbzPos * valeBid + FEE):
+                valePos * valeBid > 
+                valbzPos * valbzBid + FEE):
                 man.orderMan.convert("VALBZ", Dir.SELL, valbzPos)
+    elif message["symbol"] == "MS" or message["symbol"] == "GS":
+        now = time.time()
+
+        if now >= last_print_time+1:
+            last_print_time = now
+            
+            if (man.valueMan.get_bid(message["symbol"])+10 < man.valueMan.get_ask(message["symbol"])):
+                man.orderMan.buy(message["symbol"], man.valueMan.get_bid(message["symbol"])-1, 10)
+            else:
+                man.orderMan.sell(message["symbol"], man.valueMan.get_ask(message["symbol"])+1, 10)
+    elif message["symbol"] == "WLF":
+        now = time.time()
+
+        if now >= last_print_time+1:
+            last_print_time = now
+            
+            if (man.positionMan.get_position("BOND") > 3 and
+                man.positionMan.get_position("GS") > 2 and
+                man.positionMan.get_position("MS") > 3 and
+                man.positionMan.get_position("WFC") > 2):
+                
         
 
 

bot split/manager.py

@@ -1,5 +1,5 @@
 from ETC import ExchangeConnection
-from order_new import OrderManager
+from order import OrderManager
 from position import PositionManager
 from value import ValueManager
 

bot split/order.py

@@ -16,34 +16,34 @@ class OrderManager:
         self._order_size += 1
         return self._order_size
     
-    def _attempt_send(self, action_type: str, symbol: str, dir: Dir, price: int, size: int) -> bool:
+    def _attempt_send(self, action_type: str, order_id: int, symbol: str, dir: Dir, price: int, size: int) -> bool:
         """
         주문 전송을 시도합니다. 
         제한에 걸려 무시되면 False를, 정상 전송되면 True를 반환합니다.
         """
         now = time.time()
         
-        if len(self._send_timestamps) == 500:
+        # if len(self._send_timestamps) == 500:
-            elapsed = now - self._send_timestamps[0]
+        #     elapsed = now - self._send_timestamps[0]
-            if elapsed < 1.01:
+        #     if elapsed < 1.01:
-                return False
+        #         return False
 
         # 전송 조건 통과 시 실제 통신 수행
         if action_type == "add":
-            self.exchange.send_add_message(symbol=symbol, dir=dir, price=price, size=size)
+            self.exchange.send_add_message(symbol=symbol, order_id=order_id, dir=dir, price=price, size=size)
         elif action_type == "cancel":
-            self.exchange.send_cancel_message(symbol=symbol, dir=dir, price=price, size=size)
+            self.exchange.send_cancel_message(order_id=order_id)
         elif action_type == "convert":
-            self.exchange.send_convert_message(symbol=symbol, dir=dir, price=price, size=size)
+            self.exchange.send_convert_message(symbol=symbol, order_id=order_id, dir=dir, size=size)
             
         self._send_timestamps.append(now)
         return True
 
-    def sell(self, symbol: str, dir: Dir, price: int, size: int):
+    def sell(self, symbol: str, price: int, size: int):
-        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=dir, price=price, size=size)
+        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=Dir.SELL, price=price, size=size)
 
-    def buy(self, symbol: str, dir: Dir, price: int, size: int):
+    def buy(self, symbol: str, price: int, size: int):
-        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=dir, price=price, size=size)
+        return self._attempt_send("add", order_id=self._next_order(), symbol=symbol, dir=Dir.BUY, price=price, size=size)
     
     def convert(self, symbol: str, dir: Dir, size: int):
         return self._attempt_send("convert", order_id=self._next_order(), symbol=symbol, dir=dir, size=size)

bot split/value.py

@@ -12,7 +12,14 @@ class ValueManager:
         }
        
     def set_value(self, symbol: str, bid: int, ask: int):
-        self.value[symbol] = [bid, ask]
+        self.set_bid(symbol, bid)
+        self.set_ask(symbol, ask)
+        
+    def set_bid(self, symbol: str, bid: int):
+        self.value[symbol][0] = bid   
+        
+    def set_ask(self, symbol: str, ask: int):
+        self.value[symbol][1] = ask
         
     def get_bid(self, symbol: str):
         return self.value[symbol][0]

bot.py

@@ -39,8 +39,19 @@ def main():
     hello_message = exchange.read_message()
     print("First message from exchange:", hello_message)
 
-    orderman.sell("BOND", 1001, 99)
+    if "symbols" in hello_message:
-    orderman.buy("BOND", 999, 99)
+        for sym_data in hello_message["symbols"]:
+            sym = sym_data["symbol"]
+            pos = sym_data["position"]
+            if sym in orderman.positions:
+                orderman.positions[sym] = pos
+                orderman.future_positions[sym] = pos
+
+    bond_pos = orderman.positions["BOND"]
+    if bond_pos > 0:
+        orderman.sell("BOND", 1001, bond_pos)
+    elif bond_pos < 0:
+        orderman.buy("BOND", 999, bond_pos)
 
     while True:
         message = exchange.read_message()
@@ -87,6 +98,7 @@ def on_trade(message: dict, orderman: OrderManager, state: StateManager):
 
     state.set_last_price(symbol, price)
     
+    if orderman.positions["VALE"] - orderman.future_positions["VALE"] == 0 and orderman.positions["VALBZ"] - orderman.future_positions["VALBZ"] == 0:
         execute_arb(orderman, state)
 
 

bot_new.py

@@ -0,0 +1,433 @@
+#!/usr/bin/env python3
+import argparse
+from collections import deque
+from enum import Enum
+import time
+import socket
+import json
+from itertools import chain
+
+
+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):
+        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):
+        self._write_message(
+            {
+                "type": "add",
+                "order_id": order_id,
+                "symbol": symbol,
+                "dir": dir,
+                "price": price,
+                "size": size,
+                "tif": "DAY",
+            }
+        )
+
+    def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
+        self._write_message(
+            {
+                "type": "convert",
+                "order_id": order_id,
+                "symbol": symbol,
+                "dir": dir,
+                "size": size,
+            }
+        )
+
+    def send_cancel_message(self, order_id: int):
+        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:
+            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.")
+
+
+class Order:
+    def __init__(self, symbol, size, price, dir):
+        self.symbol = symbol
+        self.size = size
+        self.price = price
+        self.dir = dir
+
+
+class StateManager:
+    def __init__(self, exchange):
+        self.exchange = exchange
+        self.order_id_counter = -1
+        self.positions_by_symbol = {}
+        self.unacked_orders = {}
+        self.open_orders = {}
+        self.pending_cancels = set()
+
+        self.average_vale_price = []
+        self.average_valbz_price = []
+        self.average_xlf_price = []
+
+        self.CONVERSION_FEE = 10
+        self.ETF_COMPONENTS = {"XLF": {"BOND": 3, "GS": 2, "MS": 3, "WFC": 2}}
+        self.ETF_SHARES = {"XLF": 10}
+        self.POSITION_LIMIT = {
+            "BOND": 100,
+            "VALBZ": 10,
+            "VALE": 10,
+            "GS": 100,
+            "MS": 100,
+            "WFC": 100,
+            "XLF": 100,
+        }
+        self.last_strategy_time = 0
+        self.strategy_interval = 0.1
+
+        self.ema_fast_period = 5
+        self.ema_slow_period = 20
+        self.ema_prices = {sym: [] for sym in ["VALBZ", "VALE", "XLF"]}
+        self.ema_fast = {sym: None for sym in ["VALBZ", "VALE", "XLF"]}
+        self.ema_slow = {sym: None for sym in ["VALBZ", "VALE", "XLF"]}
+        self.prev_ema_fast = {sym: None for sym in ["VALBZ", "VALE", "XLF"]}
+        self.position_signal = {sym: 0 for sym in ["VALBZ", "VALE", "XLF"]}
+        self.bid_prices = {sym: None for sym in ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]}
+        self.ask_prices = {sym: None for sym in ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]}
+        self.bid_depths = {sym: 0 for sym in ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]}
+        self.ask_depths = {sym: 0 for sym in ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]}
+
+    def position_for_symbol(self, symbol):
+        return self.positions_by_symbol.get(symbol, 0)
+
+    def next_order_id(self):
+        self.order_id_counter += 1
+        return self.order_id_counter
+
+    def on_ack(self, message):
+        order_id = message["order_id"]
+        if order_id in self.unacked_orders:
+            self.open_orders[order_id] = self.unacked_orders.pop(order_id)
+
+    def on_fill(self, message):
+        order_id = message["order_id"]
+        symbol = message["symbol"]
+        dir = message["dir"]
+        raw_size = message["size"]
+        size_multiplier = 1 if dir == Dir.BUY.value else -1
+        size = raw_size * size_multiplier
+        if order_id in self.open_orders:
+            self.open_orders[order_id].size -= raw_size
+            self.positions_by_symbol[symbol] = self.positions_by_symbol.get(symbol, 0) + size
+
+    def on_out(self, message):
+        order_id = int(message["order_id"])
+        if order_id in self.open_orders:
+            del self.open_orders[order_id]
+            self.pending_cancels.discard(order_id)
+
+    def on_hello(self, message):
+        symbol_positions = message["symbols"]
+        for symbol_position in symbol_positions:
+            symbol = symbol_position["symbol"]
+            position = symbol_position["position"]
+            self.positions_by_symbol[symbol] = position
+
+    def on_reject(self, message):
+        order_id = message["order_id"]
+        if order_id in self.unacked_orders:
+            del self.unacked_orders[order_id]
+
+    def send_order(self, symbol, dir, price, size):
+        order_id = self.next_order_id()
+        order = Order(symbol, size, price, Dir(dir))
+        self.unacked_orders[order_id] = order
+        self.exchange.send_add_message(order_id, symbol, dir, price, size)
+        return order_id
+
+    def cancel_order(self, order_id):
+        self.pending_cancels.add(order_id)
+        self.exchange.send_cancel_message(order_id)
+
+    def open_and_pending_orders_in_symbol_and_direction_by_price_level(self, symbol, dir):
+        output = {}
+        for order_id, order in chain(self.open_orders.items(), self.unacked_orders.items()):
+            if order.symbol == symbol and order.dir == dir and order_id not in self.pending_cancels:
+                price_level = order.price
+                if price_level not in output:
+                    output[price_level] = {}
+                output[price_level][order_id] = order
+        return output
+
+    def set_orders_in_symbol_for_direction(self, symbol, dir, size_by_price_level):
+        current_orders = self.open_and_pending_orders_in_symbol_and_direction_by_price_level(symbol, dir)
+        for price_level in set(size_by_price_level.keys()) | set(current_orders.keys()):
+            current_orders_by_order_id = current_orders.get(price_level, {})
+            current_size_at_price_level = sum(order.size for order in current_orders_by_order_id.values())
+            desired_size_for_price_level = size_by_price_level.get(price_level, 0)
+
+            if current_size_at_price_level == desired_size_for_price_level:
+                pass
+            elif current_size_at_price_level < desired_size_for_price_level:
+                self.send_order(symbol, dir, price_level, desired_size_for_price_level - current_size_at_price_level)
+            else:
+                for order_id in current_orders_by_order_id:
+                    if order_id not in self.pending_cancels:
+                        self.cancel_order(order_id)
+                if desired_size_for_price_level != 0:
+                    self.send_order(symbol, dir, price_level, desired_size_for_price_level)
+
+    def get_average_price(self, average_list):
+        if not average_list:
+            return 0
+        return int(sum(average_list) / len(average_list))
+
+    def convert(self, symbol, dir, size):
+        order_id = self.next_order_id()
+        self.exchange.send_convert_message(order_id, symbol, dir, size)
+
+    def calculate_ema(self, prices, period):
+        if len(prices) < period:
+            return None
+        alpha = 2 / (period + 1)
+        ema = prices[0]
+        for price in prices[1:]:
+            ema = alpha * price + (1 - alpha) * ema
+        return ema
+
+    def update_ema_prices(self, trade_message):
+        symbol = trade_message["symbol"]
+        price = trade_message["price"]
+
+        if symbol not in ["VALBZ", "VALE", "XLF"]:
+            return
+
+        self.ema_prices[symbol].append(price)
+        max_len = self.ema_slow_period
+        if len(self.ema_prices[symbol]) > max_len:
+            self.ema_prices[symbol].pop(0)
+
+        self.prev_ema_fast[symbol] = self.ema_fast[symbol]
+        self.ema_fast[symbol] = self.calculate_ema(self.ema_prices[symbol], self.ema_fast_period)
+        self.ema_slow[symbol] = self.calculate_ema(self.ema_prices[symbol], self.ema_slow_period)
+
+    def get_cross_signal(self, symbol):
+        if self.ema_fast[symbol] is None or self.ema_slow[symbol] is None:
+            return 0
+        if self.prev_ema_fast[symbol] is None:
+            return 0
+        
+        prev_fast = self.prev_ema_fast[symbol]
+        prev_slow = self.ema_slow[symbol]
+        curr_fast = self.ema_fast[symbol]
+        curr_slow = self.ema_slow[symbol]
+
+        if prev_fast <= prev_slow and curr_fast > curr_slow:
+            return 1
+        elif prev_fast >= prev_slow and curr_fast < curr_slow:
+            return -1
+        return 0
+
+    def update_book(self, book_message):
+        symbol = book_message["symbol"]
+        if symbol not in self.bid_prices:
+            return
+
+        buy = book_message.get("buy", [])
+        sell = book_message.get("sell", [])
+
+        if buy:
+            self.bid_prices[symbol] = buy[0][0]
+            self.bid_depths[symbol] = sum(depth for _, depth in buy[:3])
+        if sell:
+            self.ask_prices[symbol] = sell[0][0]
+            self.ask_depths[symbol] = sum(depth for _, depth in sell[:3])
+
+    def get_book_imbalance(self, symbol):
+        bid = self.bid_depths.get(symbol, 0)
+        ask = self.ask_depths.get(symbol, 0)
+        if bid + ask == 0:
+            return 0
+        return (bid - ask) / (bid + ask)
+
+    def get_fair_value_from_book(self, symbol):
+        bid = self.bid_prices.get(symbol)
+        ask = self.ask_prices.get(symbol)
+        if bid is not None and ask is not None:
+            return (bid + ask) // 2
+        return None
+
+    def can_add_position(self, symbol, size, is_buy):
+        current = self.position_for_symbol(symbol)
+        if is_buy:
+            return current + size <= self.POSITION_LIMIT.get(symbol, 100)
+        else:
+            return current - size >= -self.POSITION_LIMIT.get(symbol, 100)
+
+    def execute_strategies(self):
+        now = time.time()
+        if now - self.last_strategy_time < self.strategy_interval:
+            return
+        self.last_strategy_time = now
+
+        for sym in ["VALBZ", "VALE", "XLF"]:
+            ema_signal = self.get_cross_signal(sym)
+            imbalance = self.get_book_imbalance(sym)
+            fair = self.get_fair_value_from_book(sym)
+
+            if fair is None:
+                continue
+
+            signal_strength = abs(ema_signal) + (1 if abs(imbalance) > 0.3 else 0)
+            if signal_strength == 0:
+                continue
+
+            if ema_signal == 1 and self.position_signal[sym] <= 0:
+                size = 1 if self.can_add_position(sym, 1, True) else 0
+                if size > 0:
+                    price = fair + 1
+                    self.set_orders_in_symbol_for_direction(sym, "BUY", {price: size})
+                    self.position_signal[sym] = 1
+            elif ema_signal == -1 and self.position_signal[sym] >= 0:
+                size = 1 if self.can_add_position(sym, 1, False) else 0
+                if size > 0:
+                    price = fair - 1
+                    self.set_orders_in_symbol_for_direction(sym, "SELL", {price: size})
+                    self.position_signal[sym] = -1
+
+        self.execute_arb()
+
+    def execute_arb(self):
+        vale_pos = self.position_for_symbol("VALE")
+        valbz_pos = self.position_for_symbol("VALBZ")
+        xlf_pos = self.position_for_symbol("XLF")
+
+        if len(self.average_valbz_price) >= 5 and len(self.average_vale_price) >= 5:
+            avg_valbz = self.get_average_price(self.average_valbz_price)
+            avg_vale = self.get_average_price(self.average_vale_price)
+
+            spread = avg_valbz - avg_vale
+            if spread > self.CONVERSION_FEE:
+                if self.can_add_position("VALE", 1, True) and self.can_add_position("VALBZ", 1, False):
+                    self.send_order("VALE", "BUY", avg_vale, 1)
+                    self.convert("VALE", Dir.SELL, 1)
+                    self.send_order("VALBZ", "SELL", avg_valbz, 1)
+            elif spread < -self.CONVERSION_FEE:
+                if self.can_add_position("VALE", 1, False) and self.can_add_position("VALBZ", 1, True):
+                    self.send_order("VALE", "SELL", avg_vale, 1)
+                    self.convert("VALE", Dir.BUY, 1)
+                    self.send_order("VALBZ", "BUY", avg_valbz, 1)
+
+    def on_startup(self):
+        bond_pos = self.position_for_symbol("BOND")
+        if bond_pos > 0:
+            self.send_order("BOND", "SELL", 1001, min(bond_pos, self.POSITION_LIMIT["BOND"]))
+        elif bond_pos < 0:
+            self.send_order("BOND", "BUY", 999, min(-bond_pos, self.POSITION_LIMIT["BOND"]))
+
+
+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.")
+    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
+
+
+def main():
+    args = parse_arguments()
+    exchange = ExchangeConnection(args=args)
+    state_manager = StateManager(exchange)
+
+    hello_message = exchange.read_message()
+    print("First message from exchange:", hello_message)
+    state_manager.on_hello(hello_message)
+
+    state_manager.on_startup()
+
+    while True:
+        message = exchange.read_message()
+
+        if message["type"] == "close":
+            print("The round has ended")
+            break
+        elif message["type"] == "error":
+            print(message)
+        elif message["type"] == "reject":
+            print(message)
+            state_manager.on_reject(message)
+        elif message["type"] == "fill":
+            print(message)
+            state_manager.on_fill(message)
+        elif message["type"] == "trade":
+            state_manager.update_ema_prices(message)
+            state_manager.execute_strategies()
+        elif message["type"] == "ack":
+            state_manager.on_ack(message)
+        elif message["type"] == "out":
+            state_manager.on_out(message)
+        elif message["type"] == "book":
+            state_manager.update_book(message)
+
+
+if __name__ == "__main__":
+    assert team_name != "REPLACEME", "Please put your team name in the variable [team_name]."
+    main()

bot_x.py

@@ -0,0 +1,918 @@
+#!/usr/bin/env python3
+
+import argparse
+from collections import deque
+from enum import Enum
+import time
+import socket
+import json
+from state import StateManager
+from order import OrderManager
+
+
+class PriceHistory:
+    def __init__(self, maxlen=100):
+        self.prices = deque(maxlen=maxlen)
+
+    def add(self, price):
+        if price is not None:
+            self.prices.append(price)
+
+    def get_all(self):
+        return list(self.prices)
+
+    def __len__(self):
+        return len(self.prices)
+
+
+class TechnicalAnalyzer:
+    @staticmethod
+    def calculate_ema(prices, period):
+        if len(prices) < period:
+            return None
+        alpha = 2 / (period + 1)
+        ema = prices[0]
+        for price in prices[1:]:
+            ema = alpha * price + (1 - alpha) * ema
+        return ema
+
+    @staticmethod
+    def calculate_rsi(prices, period=14):
+        if len(prices) < period + 1:
+            return None
+        gains = []
+        losses = []
+        for i in range(1, len(prices)):
+            diff = prices[i] - prices[i - 1]
+            if diff > 0:
+                gains.append(diff)
+                losses.append(0)
+            else:
+                gains.append(0)
+                losses.append(abs(diff))
+        avg_gain = sum(gains[-period:]) / period
+        avg_loss = sum(losses[-period:]) / period
+        if avg_loss == 0:
+            return 100
+        rs = avg_gain / avg_loss
+        return 100 - (100 / (1 + rs))
+
+    @staticmethod
+    def calculate_sma(prices, period):
+        if len(prices) < period:
+            return None
+        return sum(prices[-period:]) / period
+
+    @staticmethod
+    def calculate_std(prices, period):
+        if len(prices) < period:
+            return None
+        sma = TechnicalAnalyzer.calculate_sma(prices, period)
+        variance = sum((p - sma) ** 2 for p in prices[-period:]) / period
+        return variance ** 0.5
+
+    @staticmethod
+    def calculate_zscore(prices, period=20):
+        if len(prices) < period:
+            return None
+        sma = TechnicalAnalyzer.calculate_sma(prices, period)
+        std = TechnicalAnalyzer.calculate_std(prices, period)
+        if std is None or std == 0:
+            return None
+        return (prices[-1] - sma) / std
+
+    @staticmethod
+    def calculate_vwap(prices, volumes=None):
+        if not prices:
+            return None
+        if volumes is None:
+            volumes = [1] * len(prices)
+        total_pv = sum(p * v for p, v in zip(prices, volumes))
+        return total_pv / sum(volumes)
+
+
+class CrossEMAStrategy:
+    def __init__(self, fast_period=10, slow_period=30, rsi_period=14,
+                 oversold=30, overbought=70, size=5):
+        self.fast_period = fast_period
+        self.slow_period = slow_period
+        self.rsi_period = rsi_period
+        self.oversold = oversold
+        self.overbought = overbought
+        self.size = size
+        self.price_histories = {}
+        self.last_signal = {}
+
+    def register_symbol(self, symbol):
+        if symbol not in self.price_histories:
+            maxlen = max(self.slow_period, self.rsi_period) + 10
+            self.price_histories[symbol] = PriceHistory(maxlen=maxlen)
+            self.last_signal[symbol] = None
+
+    def update(self, symbol, price):
+        self.register_symbol(symbol)
+        self.price_histories[symbol].add(price)
+
+    def get_signal(self, symbol):
+        history = self.price_histories[symbol]
+        prices = history.get_all()
+
+        if len(prices) < self.slow_period:
+            return None, None, None
+
+        fast_ema = TechnicalAnalyzer.calculate_ema(prices, self.fast_period)
+        slow_ema = TechnicalAnalyzer.calculate_ema(prices, self.slow_period)
+        rsi = TechnicalAnalyzer.calculate_rsi(prices, self.rsi_period)
+
+        if fast_ema is None or slow_ema is None:
+            return None, None, None
+
+        prev_fast = TechnicalAnalyzer.calculate_ema(prices[:-1], self.fast_period)
+        prev_slow = TechnicalAnalyzer.calculate_ema(prices[:-1], self.slow_period)
+
+        if prev_fast is None or prev_slow is None:
+            return None, None, None
+
+        signal = None
+
+        if prev_fast <= prev_slow and fast_ema > slow_ema:
+            signal = "LONG"
+        elif prev_fast >= prev_slow and fast_ema < slow_ema:
+            signal = "SHORT"
+
+        return signal, rsi, (fast_ema, slow_ema)
+
+    def should_trade(self, symbol, rsi):
+        if rsi is None:
+            return True
+        if self.last_signal.get(symbol) == "LONG" and rsi > self.overbought:
+            return True
+        if self.last_signal.get(symbol) == "SHORT" and rsi < self.oversold:
+            return True
+        return False
+
+
+class MeanReversionStrategy:
+    def __init__(self, lookback_period=20, zscore_threshold=2.0,
+                 size=5, exit_threshold=0.5):
+        self.lookback_period = lookback_period
+        self.zscore_threshold = zscore_threshold
+        self.size = size
+        self.exit_threshold = exit_threshold
+        self.price_histories = {}
+        self.position = {}
+        self.entry_zscore = {}
+
+    def register_symbol(self, symbol):
+        if symbol not in self.price_histories:
+            maxlen = self.lookback_period + 10
+            self.price_histories[symbol] = PriceHistory(maxlen=maxlen)
+            self.position[symbol] = None
+            self.entry_zscore[symbol] = None
+
+    def update(self, symbol, price):
+        self.register_symbol(symbol)
+        self.price_histories[symbol].add(price)
+
+    def get_signal(self, symbol):
+        history = self.price_histories[symbol]
+        prices = history.get_all()
+
+        if len(prices) < self.lookback_period:
+            return None, None
+
+        zscore = TechnicalAnalyzer.calculate_zscore(prices, self.lookback_period)
+        if zscore is None:
+            return None, None
+
+        current_pos = self.position[symbol]
+
+        if current_pos is None:
+            if zscore > self.zscore_threshold:
+                return "SHORT", zscore
+            elif zscore < -self.zscore_threshold:
+                return "LONG", zscore
+        else:
+            if current_pos == "LONG" and zscore >= -self.exit_threshold:
+                return "CLOSE_LONG", zscore
+            elif current_pos == "SHORT" and zscore <= self.exit_threshold:
+                return "CLOSE_SHORT", zscore
+
+        return None, zscore
+
+    def set_position(self, symbol, pos):
+        self.position[symbol] = pos
+
+
+team_name = "HanyangFloorFunction"
+
+
+class OrderRateLimiter:
+    def __init__(self, max_per_second=500):
+        self.max_per_second = max_per_second
+        self.timestamps = deque(maxlen=max_per_second + 100)
+
+    def can_send(self):
+        now = time.time()
+        self.timestamps.append(now)
+        recent = [t for t in self.timestamps if now - t < 1.0]
+        if len(recent) >= self.max_per_second:
+            return False
+        return True
+
+    def reset_if_needed(self):
+        now = time.time()
+        while self.timestamps and now - self.timestamps[0] >= 1.0:
+            self.timestamps.popleft()
+
+
+def main():
+    args = parse_arguments()
+
+    exchange = ExchangeConnection(args=args)
+
+    hello_message = exchange.read_message()
+    print("First message from exchange:", hello_message)
+
+    BOND_FAIR_VALUE = 1000
+    BOND_ORDER_SIZE = 50
+    XLF_CONVERSION_FEE = 100
+    VALE_CONVERSION_FEE = 10
+    VALE_ARB_SIZE = 10
+    REFRESH_INTERVAL = 5.0
+
+    FAST_EMA_PERIOD = 10
+    SLOW_EMA_PERIOD = 30
+    EMA_SIZE = 5
+
+    MEAN_REV_LOOKBACK = 20
+    MEAN_REV_ZSCORE_THRESH = 2.0
+    MEAN_REV_SIZE = 5
+    MEAN_REV_EXIT_THRESH = 0.5
+
+    xlf_state = "IDLE"
+    xlf_pending = {}
+    xlf_direction = None
+    xlf_arb_size = 0
+
+    vale_state = "IDLE"
+    vale_pending = {}
+    vale_direction = None
+    vale_arb_size = 0
+
+    state = StateManager()
+    om = OrderManager(exchange)
+    rate_limiter = OrderRateLimiter(max_per_second=500)
+    market_open = False
+    active_orders = {}
+
+    last_refresh = time.time()
+
+    cross_ema = CrossEMAStrategy(
+        fast_period=FAST_EMA_PERIOD,
+        slow_period=SLOW_EMA_PERIOD,
+        size=EMA_SIZE
+    )
+
+    mean_rev = MeanReversionStrategy(
+        lookback_period=MEAN_REV_LOOKBACK,
+        zscore_threshold=MEAN_REV_ZSCORE_THRESH,
+        size=MEAN_REV_SIZE,
+        exit_threshold=MEAN_REV_EXIT_THRESH
+    )
+
+    symbols_for_ema = ["VALE", "VALBZ", "GS", "MS", "WFC", "XLF"]
+    symbols_for_mr = ["VALE", "VALBZ", "GS", "MS", "WFC", "XLF"]
+
+    for sym in symbols_for_ema:
+        cross_ema.register_symbol(sym)
+        mean_rev.register_symbol(sym)
+
+    active_ema_orders = {}
+    active_mr_orders = {}
+
+    def next_id():
+        return om.next_order()
+
+    def cancel_all_bond_orders():
+        for oid in list(active_orders.keys()):
+            om.cancel(oid)
+            active_orders.pop(oid, None)
+
+    def cancel_ema_orders_for_symbol(symbol):
+        to_cancel = [oid for oid, info in active_ema_orders.items() if info["symbol"] == symbol]
+        for oid in to_cancel:
+            om.cancel(oid)
+            active_ema_orders.pop(oid, None)
+
+    def cancel_mr_orders_for_symbol(symbol):
+        to_cancel = [oid for oid, info in active_mr_orders.items() if info["symbol"] == symbol]
+        for oid in to_cancel:
+            om.cancel(oid)
+            active_mr_orders.pop(oid, None)
+
+    def place_bond_orders():
+        if not market_open:
+            return
+
+        cancel_all_bond_orders()
+
+        buy_price = BOND_FAIR_VALUE - 1
+        sell_price = BOND_FAIR_VALUE + 1
+        position = om.positions["BOND"]
+
+        base_size = BOND_ORDER_SIZE
+        adjustment = abs(position) // 5
+
+        if position < 0:
+            buy_size = min(base_size + adjustment, 100 - position)
+            sell_size = max(base_size - adjustment, 1)
+        elif position > 0:
+            buy_size = max(base_size - adjustment, 1)
+            sell_size = min(base_size + adjustment, 100 + position)
+        else:
+            buy_size = base_size
+            sell_size = base_size
+
+        buy_size = max(0, min(buy_size, 100 - position))
+        sell_size = max(0, 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}
+
+        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():
+        nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size
+
+        if not market_open or xlf_state != "IDLE":
+            return
+        if any(mean_rev.position.get(s) is not None for s in symbols_for_mr):
+            return
+        if any(cross_ema.last_signal.get(s) is not None for s in symbols_for_ema):
+            return
+        rate_limiter.reset_if_needed()
+        if not rate_limiter.can_send():
+            return
+
+        bond_ask = state.ask_prices["BOND"]
+        gs_ask = state.ask_prices["GS"]
+        ms_ask = state.ask_prices["MS"]
+        wfc_ask = state.ask_prices["WFC"]
+        xlf_bid = state.bid_prices["XLF"]
+        bond_bid = state.bid_prices["BOND"]
+        gs_bid = state.bid_prices["GS"]
+        ms_bid = state.bid_prices["MS"]
+        wfc_bid = state.bid_prices["WFC"]
+        xlf_ask = state.ask_prices["XLF"]
+
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
+                    bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
+            return
+
+        basket_ask = bond_ask * 3 + gs_ask * 2 + ms_ask * 3 + wfc_ask * 2
+        basket_bid = bond_bid * 3 + gs_bid * 2 + ms_bid * 3 + wfc_bid * 2
+
+        profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
+        if profit1 > 0 and om.check_pos_limit("XLF"):
+            print(f"  XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
+            cancel_all_bond_orders()
+            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()
+                exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
+                xlf_pending[oid] = qty
+            return
+
+        profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
+        if profit2 > 0 and om.check_pos_limit("XLF"):
+            print(f"  XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
+            cancel_all_bond_orders()
+            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):
+        nonlocal xlf_state, xlf_pending
+
+        if order_id not in xlf_pending:
+            return
+
+        xlf_pending[order_id] -= qty
+        if xlf_pending[order_id] <= 0:
+            del xlf_pending[order_id]
+
+        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, 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, xlf_arb_size)
+
+    def try_vale_arb():
+        nonlocal vale_state, vale_direction, vale_pending, vale_arb_size
+
+        if not market_open or vale_state != "IDLE":
+            return
+        if any(mean_rev.position.get(s) is not None for s in symbols_for_mr):
+            return
+        if any(cross_ema.last_signal.get(s) is not None for s in symbols_for_ema):
+            return
+        rate_limiter.reset_if_needed()
+        if not rate_limiter.can_send():
+            return
+
+        vale_bid = state.bid_prices["VALE"]
+        vale_ask = state.ask_prices["VALE"]
+        valbz_bid = state.bid_prices["VALBZ"]
+        valbz_ask = state.ask_prices["VALBZ"]
+
+        if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
+            return
+
+        valbz_pos = om.positions["VALBZ"]
+        vale_pos = om.positions["VALE"]
+
+        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, arb_size1)
+            vale_pending[oid] = arb_size1
+            return
+
+        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, arb_size2)
+            vale_pending[oid] = arb_size2
+
+    def handle_vale_fill(order_id, symbol, dir_, qty):
+        nonlocal vale_state, vale_pending
+
+        if order_id not in vale_pending:
+            return
+
+        vale_pending[order_id] -= qty
+        if vale_pending[order_id] <= 0:
+            del vale_pending[order_id]
+
+        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, 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, vale_arb_size)
+
+    def try_ema_trade():
+        if not market_open:
+            return
+        if xlf_state != "IDLE" or vale_state != "IDLE":
+            return
+        if any(mean_rev.position.get(s) is not None for s in symbols_for_mr):
+            return
+        rate_limiter.reset_if_needed()
+        if not rate_limiter.can_send():
+            return
+
+        for symbol in symbols_for_ema:
+            mid_price = state.get_mid_price(symbol)
+            if mid_price is None:
+                continue
+
+            cross_ema.update(symbol, mid_price)
+            signal, rsi, ema_values = cross_ema.get_signal(symbol)
+
+            if signal is None:
+                continue
+
+            current_pos = om.positions[symbol]
+            limit = om.POSITIONS_LIMIT.get(symbol, 100)
+            remaining_capacity = limit - current_pos if signal == "LONG" else limit + current_pos
+
+            if remaining_capacity <= 0:
+                continue
+
+            size = min(cross_ema.size, remaining_capacity)
+            cancel_ema_orders_for_symbol(symbol)
+
+            if signal == "LONG":
+                bid_price = state.bid_prices[symbol]
+                if bid_price is not None and om.check_pos_limit(symbol):
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.BUY, bid_price + 1, size)
+                    active_ema_orders[oid] = {"symbol": symbol, "dir": "LONG"}
+                    cross_ema.last_signal[symbol] = "LONG"
+                    print(f"  CrossEMA: {symbol} LONG (bid:{bid_price}, rsi:{rsi:.1f}, ema:{ema_values})")
+
+            elif signal == "SHORT":
+                ask_price = state.ask_prices[symbol]
+                if ask_price is not None and om.check_pos_limit(symbol):
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.SELL, ask_price - 1, size)
+                    active_ema_orders[oid] = {"symbol": symbol, "dir": "SHORT"}
+                    cross_ema.last_signal[symbol] = "SHORT"
+                    print(f"  CrossEMA: {symbol} SHORT (ask:{ask_price}, rsi:{rsi:.1f}, ema:{ema_values})")
+
+    def try_mean_reversion_trade():
+        if not market_open:
+            return
+        if xlf_state != "IDLE" or vale_state != "IDLE":
+            return
+        rate_limiter.reset_if_needed()
+        if not rate_limiter.can_send():
+            return
+
+        for symbol in symbols_for_mr:
+            mid_price = state.get_mid_price(symbol)
+            if mid_price is None:
+                continue
+
+            mean_rev.update(symbol, mid_price)
+            signal, zscore = mean_rev.get_signal(symbol)
+
+            if signal is None:
+                continue
+
+            current_pos = om.positions[symbol]
+            limit = om.POSITIONS_LIMIT.get(symbol, 100)
+
+            if signal == "LONG":
+                remaining_capacity = limit - current_pos
+                if remaining_capacity <= 0:
+                    continue
+                size = min(mean_rev.size, remaining_capacity)
+                cancel_mr_orders_for_symbol(symbol)
+                bid_price = state.bid_prices[symbol]
+                if bid_price is not None and om.check_pos_limit(symbol):
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.BUY, bid_price + 1, size)
+                    active_mr_orders[oid] = {"symbol": symbol, "dir": "LONG"}
+                    mean_rev.set_position(symbol, "LONG")
+                    mean_rev.entry_zscore[symbol] = zscore
+                    print(f"  MeanRev: {symbol} LONG (zscore:{zscore:.2f})")
+
+            elif signal == "SHORT":
+                remaining_capacity = limit + current_pos
+                if remaining_capacity <= 0:
+                    continue
+                size = min(mean_rev.size, remaining_capacity)
+                cancel_mr_orders_for_symbol(symbol)
+                ask_price = state.ask_prices[symbol]
+                if ask_price is not None and om.check_pos_limit(symbol):
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.SELL, ask_price - 1, size)
+                    active_mr_orders[oid] = {"symbol": symbol, "dir": "SHORT"}
+                    mean_rev.set_position(symbol, "SHORT")
+                    mean_rev.entry_zscore[symbol] = zscore
+                    print(f"  MeanRev: {symbol} SHORT (zscore:{zscore:.2f})")
+
+            elif signal == "CLOSE_LONG":
+                if current_pos <= 0:
+                    mean_rev.set_position(symbol, None)
+                    continue
+                size = min(current_pos, mean_rev.size)
+                cancel_mr_orders_for_symbol(symbol)
+                ask_price = state.ask_prices[symbol]
+                if ask_price is not None:
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.SELL, ask_price - 1, size)
+                    active_mr_orders[oid] = {"symbol": symbol, "dir": "CLOSE_LONG"}
+                    print(f"  MeanRev: {symbol} CLOSE_LONG (zscore:{zscore:.2f})")
+
+            elif signal == "CLOSE_SHORT":
+                if current_pos >= 0:
+                    mean_rev.set_position(symbol, None)
+                    continue
+                size = min(abs(current_pos), mean_rev.size)
+                cancel_mr_orders_for_symbol(symbol)
+                bid_price = state.bid_prices[symbol]
+                if bid_price is not None:
+                    oid = next_id()
+                    exchange.send_add_message(oid, symbol, Dir.BUY, bid_price + 1, size)
+                    active_mr_orders[oid] = {"symbol": symbol, "dir": "CLOSE_SHORT"}
+                    print(f"  MeanRev: {symbol} CLOSE_SHORT (zscore:{zscore:.2f})")
+
+    vale_last_print_time = time.time()
+
+    while True:
+        message = exchange.read_message()
+
+        if message["type"] == "close":
+            print("The round has ended")
+            break
+
+        elif message["type"] == "open":
+            print("Market opened:", message)
+            market_open = True
+            place_bond_orders()
+
+        elif message["type"] == "error":
+            print(message)
+
+        elif message["type"] == "reject":
+            print(message)
+            oid = message.get("order_id")
+            active_orders.pop(oid, None)
+            active_ema_orders.pop(oid, None)
+            active_mr_orders.pop(oid, None)
+            if oid in xlf_pending:
+                print("  XLF 주문 reject → IDLE 복귀")
+                xlf_state = "IDLE"
+                xlf_pending.clear()
+                xlf_direction = None
+                place_bond_orders()
+            if oid in vale_pending:
+                print("  VALE 주문 reject → IDLE 복귀")
+                vale_state = "IDLE"
+                vale_pending.clear()
+                vale_direction = None
+
+        elif message["type"] == "ack":
+            if xlf_state == "CONVERTING":
+                print("  XLF 변환 완료 → 매도 시작")
+                if xlf_direction == "BASKET_TO_XLF":
+                    om.positions["BOND"] -= 3
+                    om.positions["GS"] -= 2
+                    om.positions["MS"] -= 3
+                    om.positions["WFC"] -= 2
+                    om.positions["XLF"] += xlf_arb_size
+                    xlf_state = "SELLING_XLF"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size
+                    )
+                    xlf_pending[oid] = xlf_arb_size
+                elif xlf_direction == "XLF_TO_BASKET":
+                    om.positions["XLF"] -= xlf_arb_size
+                    om.positions["BOND"] += 3
+                    om.positions["GS"] += 2
+                    om.positions["MS"] += 3
+                    om.positions["WFC"] += 2
+                    xlf_state = "SELLING_BASKET"
+                    for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
+                        oid = next_id()
+                        exchange.send_add_message(
+                            oid, sym, Dir.SELL, state.bid_prices[sym], qty
+                        )
+                        xlf_pending[oid] = qty
+
+            elif vale_state == "CONVERTING":
+                print("  VALE 변환 완료 → 매도 시작")
+                if vale_direction == "VALBZ_TO_VALE":
+                    om.positions["VALBZ"] -= vale_arb_size
+                    om.positions["VALE"] += vale_arb_size
+                    vale_state = "SELLING_VALE"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size
+                    )
+                    vale_pending[oid] = vale_arb_size
+                elif vale_direction == "VALE_TO_VALBZ":
+                    om.positions["VALE"] -= vale_arb_size
+                    om.positions["VALBZ"] += vale_arb_size
+                    vale_state = "SELLING_VALBZ"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size
+                    )
+                    vale_pending[oid] = vale_arb_size
+
+        elif message["type"] == "fill":
+            print(message)
+            qty = message["size"]
+            sym = message["symbol"]
+            dir_ = message["dir"]
+            oid = message["order_id"]
+
+            if dir_ == Dir.BUY:
+                om.update_position(sym, oid, qty)
+            else:
+                om.update_position(sym, oid, -qty)
+
+            print(f"  포지션 → {om.positions}")
+
+            if sym == "BOND" and oid in active_orders:
+                active_orders.pop(oid, None)
+                place_bond_orders()
+
+            if oid in active_ema_orders:
+                active_ema_orders.pop(oid, None)
+
+            if oid in active_mr_orders:
+                info = active_mr_orders.pop(oid)
+                if info["dir"] in ("CLOSE_LONG", "CLOSE_SHORT"):
+                    mean_rev.set_position(sym, None)
+
+            handle_xlf_fill(oid, sym, dir_, qty)
+            if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
+                print("  XLF 차익거래 완료 → IDLE 복귀")
+                xlf_state = "IDLE"
+                xlf_direction = None
+                place_bond_orders()
+
+            handle_vale_fill(oid, sym, dir_, qty)
+            if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
+                print("  VALE 차익거래 완료 → IDLE 복귀")
+                vale_state = "IDLE"
+                vale_direction = None
+
+        elif message["type"] == "book":
+            sym = message["symbol"]
+            state.update_bid_ask_price(
+                sym,
+                message["buy"][0][0] if message["buy"] else None,
+                message["sell"][0][0] if message["sell"] else None
+            )
+
+            if sym == "VALE":
+                now = time.time()
+                if now > vale_last_print_time + 1:
+                    vale_last_print_time = now
+                    print({
+                        "vale_bid_price": state.bid_prices["VALE"],
+                        "vale_ask_price": state.ask_prices["VALE"],
+                    })
+
+            if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
+                try_xlf_arb()
+
+            if sym in ["VALE", "VALBZ"]:
+                try_vale_arb()
+
+            if sym in symbols_for_ema:
+                try_mean_reversion_trade()
+
+            if sym in symbols_for_ema:
+                try_ema_trade()
+
+            now = time.time()
+            if now - last_refresh > REFRESH_INTERVAL:
+                last_refresh = now
+                place_bond_orders()
+
+
+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):
+        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
+    ):
+        self._write_message(
+            {
+                "type": "add",
+                "order_id": order_id,
+                "symbol": symbol,
+                "dir": dir,
+                "price": price,
+                "size": size,
+                "tif": "DAY",
+            }
+        )
+
+    def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
+        self._write_message(
+            {
+                "type": "convert",
+                "order_id": order_id,
+                "symbol": symbol,
+                "dir": dir,
+                "size": size,
+            }
+        )
+
+    def send_cancel_message(self, order_id: int):
+        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:
+            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.",
+    )
+
+    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__":
+    assert team_name != "REPLAC" + "EME", (
+        "Please put your team name in the variable [team_name]."
+    )
+
+    main()

new_prac.py

@@ -1,74 +1,204 @@
 #!/usr/bin/env python3
-import argparse, socket, json
+
+import argparse
+from collections import deque
 from enum import Enum
+import time
+import socket
+import json
 from state import StateManager
+from order import OrderManager
 
 team_name = "HanyangFloorFunction"
 
+MAX_ARBS = 5
+XLF_SIZE = 50
+VALE_SIZE = 50
+
+
+def main():
+    args = parse_arguments()
+    exchange = ExchangeConnection(args=args)
+
+    hello_message = exchange.read_message()
+    print("First message:", hello_message)
+
+    state = StateManager()
+    om = OrderManager(exchange)
+
+    market_open = False
+    xlf_pending = {}
+
+    def next_id():
+        return om.next_order()
+
+    # ---------------- BOND ----------------
+    def place_bond_orders():
+        if not market_open:
+            return
+
+        bid = state.bid_prices["BOND"]
+        ask = state.ask_prices["BOND"]
+
+        if bid is None or ask is None:
+            return
+
+        buy_price = bid + 1
+        sell_price = ask - 1
+
+        size = 100
+
+        exchange.send_add_message(next_id(), "BOND", Dir.BUY, buy_price, size)
+        exchange.send_add_message(next_id(), "BOND", Dir.SELL, sell_price, size)
+
+    # ---------------- XLF ----------------
+    def try_xlf_arb():
+        if not market_open:
+            return
+
+        if len(xlf_pending) >= MAX_ARBS:
+            return
+
+        bond_ask = state.ask_prices["BOND"]
+        gs_ask = state.ask_prices["GS"]
+        ms_ask = state.ask_prices["MS"]
+        wfc_ask = state.ask_prices["WFC"]
+        xlf_bid = state.bid_prices["XLF"]
+
+        bond_bid = state.bid_prices["BOND"]
+        gs_bid = state.bid_prices["GS"]
+        ms_bid = state.bid_prices["MS"]
+        wfc_bid = state.bid_prices["WFC"]
+        xlf_ask = state.ask_prices["XLF"]
+
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
+                    bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
+            return
+
+        basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
+        basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
+
+        profit1 = xlf_bid * 10 - basket_ask - 100
+        profit2 = basket_bid - xlf_ask * 10 - 100
+
+        # 🔥 공격 (손해도 감수)
+        if profit1 > -50:
+            for sym, qty in [("BOND",3),("GS",2),("MS",3),("WFC",2)]:
+                oid = next_id()
+                exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
+                xlf_pending[oid] = qty
+
+        elif profit2 > -50:
+            oid = next_id()
+            exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, XLF_SIZE)
+            xlf_pending[oid] = XLF_SIZE
+
+    # ---------------- VALE ----------------
+    def try_vale_arb():
+        if not market_open:
+            return
+
+        vale_bid = state.bid_prices["VALE"]
+        vale_ask = state.ask_prices["VALE"]
+        valbz_bid = state.bid_prices["VALBZ"]
+        valbz_ask = state.ask_prices["VALBZ"]
+
+        if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
+            return
+
+        profit1 = vale_bid - valbz_ask - 10
+        profit2 = valbz_bid - vale_ask - 10
+
+        if profit1 > -5:
+            exchange.send_add_message(next_id(), "VALBZ", Dir.BUY, valbz_ask, VALE_SIZE)
+
+        elif profit2 > -5:
+            exchange.send_add_message(next_id(), "VALE", Dir.BUY, vale_ask, VALE_SIZE)
+
+    # ---------------- MAIN LOOP ----------------
+    while True:
+        message = exchange.read_message()
+
+        if message["type"] == "close":
+            print("Round ended")
+            break
+
+        elif message["type"] == "open":
+            print("Market opened")
+            market_open = True
+            place_bond_orders()
+
+        elif message["type"] == "fill":
+            sym = message["symbol"]
+            qty = message["size"]
+            dir_ = message["dir"]
+
+            if dir_ == Dir.BUY:
+                om.update_position(sym, message["order_id"], qty)
+            else:
+                om.update_position(sym, message["order_id"], -qty)
+
+            print("Position:", om.positions)
+
+        elif message["type"] == "book":
+            sym = message["symbol"]
+
+            state.update_bid_ask_price(
+                sym,
+                message["buy"][0][0] if message["buy"] else None,
+                message["sell"][0][0] if message["sell"] else None
+            )
+
+            # 핵심 실행
+            try_xlf_arb()
+            try_vale_arb()
+            place_bond_orders()
+
+
 class Dir(str, Enum):
     BUY = "BUY"
     SELL = "SELL"
 
-def main():
+
+class ExchangeConnection:
+    def __init__(self, args):
+        self.exchange_hostname = args.exchange_hostname
+        self.port = args.port
+        sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+        sock.connect((self.exchange_hostname, self.port))
+        self.reader = sock.makefile("r", 1)
+        self.writer = sock
+        self._write({"type": "hello", "team": team_name})
+
+    def read_message(self):
+        msg = json.loads(self.reader.readline())
+        if "dir" in msg:
+            msg["dir"] = Dir(msg["dir"])
+        return msg
+
+    def send_add_message(self, order_id, symbol, dir, price, size):
+        self._write({
+            "type": "add",
+            "order_id": order_id,
+            "symbol": symbol,
+            "dir": dir,
+            "price": price,
+            "size": size,
+            "tif": "DAY"
+        })
+
+    def _write(self, msg):
+        self.writer.send((json.dumps(msg) + "\n").encode())
+
+
+def parse_arguments():
     parser = argparse.ArgumentParser()
-    parser.add_argument("--test", default="prod-like")
+    parser.add_argument("--test", required=True)
     args = parser.parse_args()
+    args.exchange_hostname = "test-exch-" + team_name
+    args.port = 22000
+    return args
 
-    s = socket.socket()
-    s.connect(("test-exch-"+team_name, 22000))
-    r = s.makefile("r",1)
-
-    def send(m):
-        s.send((json.dumps(m)+"\n").encode())
-
-    send({"type":"hello","team":team_name.upper()})
-
-    st = StateManager()
-
-    hello = json.loads(r.readline())
-
-    pos = {}
-    for sym in hello["symbols"]:
-        pos[sym["symbol"]] = sym["position"]
-
-    oid = 0
-    def nid():
-        nonlocal oid; oid+=1; return oid
-
-    while True:
-        m = json.loads(r.readline())
-
-        if m["type"] == "close":
-            break
-
-        if m["type"] == "book":
-            sym = m["symbol"]
-
-            if not m["buy"] or not m["sell"]:
-                continue
-
-            bid = m["buy"][0][0]
-            ask = m["sell"][0][0]
-
-            # 🔥 spread 충분할 때만
-            if ask - bid >= 3:
-                send({"type":"add","order_id":nid(),"symbol":sym,
-                      "dir":"BUY","price":bid+1,"size":1})
-                send({"type":"add","order_id":nid(),"symbol":sym,
-                      "dir":"SELL","price":ask-1,"size":1})
-
-        if m["type"] == "fill":
-            sym = m["symbol"]
-            q = m["size"]
-
-            pos[sym] = pos.get(sym,0)
-
-            if m["dir"] == "BUY":
-                pos[sym] += q
-            else:
-                pos[sym] -= q
-
-            print("POS:", pos)
 
 if __name__ == "__main__":
     main()

prac copy.py

@@ -0,0 +1,228 @@
+#!/usr/bin/env python3
+
+import argparse
+from enum import Enum
+import socket
+import json
+from state import StateManager
+
+team_name = "HanyangFloorFunction"
+
+# ==================== 설정 ====================
+ORDER_SIZE = 2
+MAX_POS = 20
+ARB_THRESHOLD = 40   
+
+# ====================
+class Dir(str, Enum):
+    BUY = "BUY"
+    SELL = "SELL"
+
+# ====================
+def main():
+    args = parse_arguments()
+    exchange = ExchangeConnection(args)
+
+    state = StateManager()
+    hello = exchange.read_message()
+
+    # 포지션 직접 관리
+    positions = {}
+    for sym in hello["symbols"]:
+        positions[sym["symbol"]] = sym["position"]
+
+    order_id = 0
+    def next_id():
+        nonlocal order_id
+        order_id += 1
+        return order_id
+
+    active_orders = {}
+
+    # ==================== MARKET MAKING ====================
+    def market_make(sym):
+        bid = state.bid_prices.get(sym)
+        ask = state.ask_prices.get(sym)
+
+        if bid is None or ask is None:
+            return
+
+        if ask - bid <= 2: 
+            return
+
+        pos = positions.get(sym, 0)
+
+        if abs(pos) > MAX_POS:
+            return
+
+        buy_price = bid + 1
+        sell_price = ask - 1
+
+        if buy_price >= sell_price:
+            return
+
+        # 포지션 조절
+        if pos > 0:
+            buy_size = 1
+            sell_size = ORDER_SIZE + 1
+        elif pos < 0:
+            buy_size = ORDER_SIZE + 1
+            sell_size = 1
+        else:
+            buy_size = sell_size = ORDER_SIZE
+
+        oid = next_id()
+        exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
+        active_orders[oid] = sym
+
+        oid = next_id()
+        exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
+        active_orders[oid] = sym
+
+    # ==================== BOND 안전 수익 ====================
+    def bond_arb():
+        bid = state.bid_prices.get("BOND")
+        ask = state.ask_prices.get("BOND")
+
+        if ask and ask < 999:
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 3)
+
+        if bid and bid > 1001:
+            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 3)
+
+    # ==================== XLF 차익거래 (초안전 버전) ====================
+    def xlf_arb():
+        bond_ask = state.ask_prices.get("BOND")
+        gs_ask   = state.ask_prices.get("GS")
+        ms_ask   = state.ask_prices.get("MS")
+        wfc_ask  = state.ask_prices.get("WFC")
+        xlf_bid  = state.bid_prices.get("XLF")
+
+        bond_bid = state.bid_prices.get("BOND")
+        gs_bid   = state.bid_prices.get("GS")
+        ms_bid   = state.bid_prices.get("MS")
+        wfc_bid  = state.bid_prices.get("WFC")
+        xlf_ask  = state.ask_prices.get("XLF")
+
+        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
+                    bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
+            return
+
+        basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
+        basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
+
+        pos = positions.get("XLF", 0)
+
+        if abs(pos) > 10:
+            return
+
+        profit1 = xlf_bid * 10 - basket_ask
+        if profit1 > ARB_THRESHOLD:
+            exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
+
+        profit2 = basket_bid - xlf_ask * 10
+        if profit2 > ARB_THRESHOLD:
+            exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf_ask, 10)
+
+    # ==================== 리스크 관리 ====================
+    def risk():
+        for sym in ["GS", "MS", "WFC", "XLF"]:
+            pos = positions.get(sym, 0)
+
+            if abs(pos) > MAX_POS:
+                if pos > 0:
+                    exchange.send_add_message_ioc(
+                        next_id(), sym, Dir.SELL,
+                        state.bid_prices.get(sym, 1), abs(pos)
+                    )
+                else:
+                    exchange.send_add_message_ioc(
+                        next_id(), sym, Dir.BUY,
+                        state.ask_prices.get(sym, 99999), abs(pos)
+                    )
+
+    # ==================== LOOP ====================
+    while True:
+        msg = exchange.read_message()
+
+        if msg["type"] == "close":
+            break
+
+        elif msg["type"] == "book":
+            sym = msg["symbol"]
+
+            bid = msg["buy"][0][0] if msg["buy"] else None
+            ask = msg["sell"][0][0] if msg["sell"] else None
+
+            state.update_bid_ask_price(sym, bid, ask)
+
+            for oid in list(active_orders.keys()):
+                exchange.send_cancel_message(oid)
+                del active_orders[oid]
+
+            # 전략 실행
+            bond_arb()
+            xlf_arb()
+
+            if sym in ["GS", "MS", "WFC"]:
+                market_make(sym)
+
+            risk()
+
+        elif msg["type"] == "fill":
+            qty = msg["size"]
+            sym = msg["symbol"]
+
+            if msg["dir"] == Dir.BUY:
+                positions[sym] = positions.get(sym, 0) + qty
+            else:
+                positions[sym] = positions.get(sym, 0) - qty
+
+# ====================
+class ExchangeConnection:
+    def __init__(self, args):
+        s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+        s.connect((args.exchange_hostname, args.port))
+        self.reader = s.makefile("r", 1)
+        self.writer = s
+        self._write({"type": "hello", "team": team_name.upper()})
+
+    def read_message(self):
+        msg = json.loads(self.reader.readline())
+        if "dir" in msg:
+            msg["dir"] = Dir(msg["dir"])
+        return msg
+
+    def send_add_message(self, oid, sym, dir, price, size):
+        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
+
+    def send_add_message_ioc(self, oid, sym, dir, price, size):
+        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
+
+    def send_cancel_message(self, oid):
+        self._write({"type": "cancel", "order_id": oid})
+
+    def _write(self, msg):
+        self.writer.send((json.dumps(msg)+"\n").encode())
+
+# ====================
+def parse_arguments():
+    parser = argparse.ArgumentParser()
+
+    group = parser.add_mutually_exclusive_group(required=True)
+    group.add_argument("--production", action="store_true")
+    group.add_argument("--test", type=str, default="prod-like")
+
+    args = parser.parse_args()
+
+    if args.production:
+        args.exchange_hostname = "production"
+        args.port = 25000
+    else:
+        args.exchange_hostname = "test-exch-" + team_name
+        args.port = 22000
+
+    return args
+
+if __name__ == "__main__":
+    main()

prac.py

@@ -1,108 +1,190 @@
 #!/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
 from state import StateManager
+from order import OrderManager
 
+# ~~~~~============== CONFIGURATION  ==============~~~~~
+# Replace "REPLACEME" with your team name!
 team_name = "HanyangFloorFunction"
 
-# ==================== 설정 ====================
+# ~~~~~============== MAIN LOOP ==============~~~~~
-ORDER_SIZE = 2
+
-MAX_POS = 20
+# You should put your code here! We provide some starter code as an example,
-ARB_THRESHOLD = 40   
+# 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!
 
-# ====================
-class Dir(str, Enum):
-    BUY = "BUY"
-    SELL = "SELL"
 
-# ====================
 def main():
     args = parse_arguments()
-    exchange = ExchangeConnection(args)
+
+    exchange = ExchangeConnection(args=args)
+
+    # 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.
+    # --- 설정 ---
+    BOND_FAIR_VALUE     = 1000  # BOND fair value (고정)
+    BOND_ORDER_SIZE     = 60    # BOND 주문당 수량
+    XLF_CONVERSION_FEE  = 100   # XLF 변환 비용
+    XLF_MIN_PROFIT      = 5     # XLF 차익거래 최소 수익
+    XLF_COOLDOWN        = 2.0   # XLF 실패 후 재시도 대기 시간 (초)
+    VALE_CONVERSION_FEE = 10    # VALE 변환 비용
+    VALE_MIN_PROFIT     = 1     # VALE 차익거래 최소 수익
+    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
+    xlf_convert_oid = None
+    xlf_last_fail   = 0.0  # 마지막 XLF 실패 시간
+
+    # VALE state machine (XLF와 독립적으로 동시 실행 가능)
+    # 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
+    vale_convert_oid = None
 
     state         = StateManager()
-    hello = exchange.read_message()
+    om            = OrderManager(exchange)
+    market_open   = False
+    active_orders = {}  # BOND 전용 {order_id: {"dir": ..., "price": ..., "size": ...}}
 
-    # 포지션 직접 관리
+    last_refresh = time.time()
-    positions = {}
+
-    for sym in hello["symbols"]:
+    # hello 메시지에서 기존 포지션 로드 (재접속 시 필수)
-        positions[sym["symbol"]] = sym["position"]
+    for sym_info in hello_message["symbols"]:
+        sym = sym_info["symbol"]
+        pos = sym_info["position"]
+        if sym in om.positions:
+            om.positions[sym]        = pos
+            om.future_positions[sym] = pos
+    print(f"  초기 포지션 로드: {om.positions}")
 
-    order_id = 0
     def next_id():
-        nonlocal order_id
+        return om.next_order()
-        order_id += 1
-        return order_id
 
-    active_orders = {}
+    def cancel_bond_sell_orders():
+        """BOND 매도 주문만 취소 (basket→XLF 시 매수 주문은 유지)"""
+        for oid in list(active_orders.keys()):
+            order_info = active_orders[oid]
+            if order_info["dir"] == Dir.SELL:
+                size = order_info.get("size", 0)
+                om.future_positions["BOND"] += size
+                om.cancel(oid)
+                active_orders.pop(oid, None)
 
-    # ==================== MARKET MAKING ====================
+    def cancel_all_bond_orders():
-    def market_make(sym):
+        """활성 BOND 주문 전부 취소 + future_positions 롤백"""
-        bid = state.bid_prices.get(sym)
+        for oid in list(active_orders.keys()):
-        ask = state.ask_prices.get(sym)
+            order_info = active_orders[oid]
-
+            size = order_info.get("size", 0)
-        if bid is None or ask is None:
+            if order_info["dir"] == Dir.BUY:
-            return
+                om.future_positions["BOND"] -= size
-
-        if ask - bid <= 2: 
-            return
-
-        pos = positions.get(sym, 0)
-
-        if abs(pos) > MAX_POS:
-            return
-
-        buy_price = bid + 1
-        sell_price = ask - 1
-
-        if buy_price >= sell_price:
-            return
-
-        # 포지션 조절
-        if pos > 0:
-            buy_size = 1
-            sell_size = ORDER_SIZE + 1
-        elif pos < 0:
-            buy_size = ORDER_SIZE + 1
-            sell_size = 1
             else:
-            buy_size = sell_size = ORDER_SIZE
+                om.future_positions["BOND"] += size
+            om.cancel(oid)
+            active_orders.pop(oid, None)
 
-        oid = next_id()
+    def place_bond_orders():
-        exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size)
+        """포지션 한도 안에서 bid/ask 양방향 주문"""
-        active_orders[oid] = sym
+        if not market_open:
+            return
 
-        oid = next_id()
+        cancel_all_bond_orders()
-        exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size)
-        active_orders[oid] = sym
 
-    # ==================== BOND 안전 수익 ====================
+        buy_price  = BOND_FAIR_VALUE - 1   # 999
-    def bond_arb():
+        sell_price = BOND_FAIR_VALUE + 1   # 1001
-        bid = state.bid_prices.get("BOND")
+        position   = om.positions["BOND"]
-        ask = state.ask_prices.get("BOND")
 
-        if ask and ask < 999:
+        # 포지션에 따라 size 비대칭 조정
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 3)
+        base_size  = BOND_ORDER_SIZE
+        adjustment = abs(position) // 5
 
-        if bid and bid > 1001:
+        if position < 0:
-            exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 3)
+            buy_size  = min(base_size + adjustment, 100 - position)
+            sell_size = max(base_size - adjustment, 1)
+        elif position > 0:
+            buy_size  = max(base_size - adjustment, 1)
+            sell_size = min(base_size + adjustment, 100 + position)
+        else:
+            buy_size  = base_size
+            sell_size = base_size
 
-    # ==================== XLF 차익거래 (초안전 버전) ====================
+        # 포지션 한도 초과 방지
-    def xlf_arb():
+        buy_size  = max(0, min(buy_size,  100 - position))
-        bond_ask = state.ask_prices.get("BOND")
+        sell_size = max(0, min(sell_size, 100 + position))
-        gs_ask   = state.ask_prices.get("GS")
-        ms_ask   = state.ask_prices.get("MS")
-        wfc_ask  = state.ask_prices.get("WFC")
-        xlf_bid  = state.bid_prices.get("XLF")
 
-        bond_bid = state.bid_prices.get("BOND")
+        if buy_size > 0:
-        gs_bid   = state.bid_prices.get("GS")
+            bid = next_id()
-        ms_bid   = state.bid_prices.get("MS")
+            exchange.send_add_message(
-        wfc_bid  = state.bid_prices.get("WFC")
+                order_id=bid, symbol="BOND",
-        xlf_ask  = state.ask_prices.get("XLF")
+                dir=Dir.BUY, price=buy_price, size=buy_size
+            )
+            om.future_positions["BOND"] += buy_size
+            active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size}
+
+        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
+            )
+            om.future_positions["BOND"] -= sell_size
+            active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size}
+
+        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 + 쿨다운 통과 시에만"""
+        nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size, xlf_convert_oid
+
+        if not market_open or xlf_state != "IDLE":
+            return
+
+        # 실패 후 쿨다운 체크
+        if time.time() - xlf_last_fail < XLF_COOLDOWN:
+            return
+
+        bond_ask = state.ask_prices["BOND"]
+        gs_ask   = state.ask_prices["GS"]
+        ms_ask   = state.ask_prices["MS"]
+        wfc_ask  = state.ask_prices["WFC"]
+        xlf_bid  = state.bid_prices["XLF"]
+        bond_bid = state.bid_prices["BOND"]
+        gs_bid   = state.bid_prices["GS"]
+        ms_bid   = state.bid_prices["MS"]
+        wfc_bid  = state.bid_prices["WFC"]
+        xlf_ask  = state.ask_prices["XLF"]
 
         if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
                     bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
@@ -111,118 +193,471 @@ def main():
         basket_ask = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
         basket_bid = bond_bid*3 + gs_bid*2 + ms_bid*3 + wfc_bid*2
 
-        pos = positions.get("XLF", 0)
+        # 바스켓 심볼 포지션 한도 체크
+        def basket_has_room():
+            return (
+                om.positions["BOND"] + 3 <= 100 and
+                om.positions["GS"]   + 2 <= 100 and
+                om.positions["MS"]   + 3 <= 100 and
+                om.positions["WFC"]  + 2 <= 100
+            )
 
-        if abs(pos) > 10:
+        # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도
+        profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
+        if profit1 > XLF_MIN_PROFIT and om.check_pos_limit("XLF") and basket_has_room():
+            print(f"  XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
+            cancel_bond_sell_orders()
+            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()
+                exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
+                xlf_pending[oid] = qty
             return
 
-        profit1 = xlf_bid * 10 - basket_ask
+        # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
-        if profit1 > ARB_THRESHOLD:
+        profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
-            exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
+        if profit2 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
+            print(f"  XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
+            cancel_all_bond_orders()
+            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
 
-        profit2 = basket_bid - xlf_ask * 10
+    def handle_xlf_fill(order_id, symbol, dir_, qty):
-        if profit2 > ARB_THRESHOLD:
+        """XLF state machine 체결 처리 (부분 체결 추적)"""
-            exchange.send_add_message_ioc(next_id(), "XLF", Dir.BUY, xlf_ask, 10)
+        nonlocal xlf_state, xlf_pending, xlf_convert_oid
 
-    # ==================== 리스크 관리 ====================
+        if order_id not in xlf_pending:
-    def risk():
+            return
-        for sym in ["GS", "MS", "WFC", "XLF"]:
-            pos = positions.get(sym, 0)
 
-            if abs(pos) > MAX_POS:
+        xlf_pending[order_id] -= qty
-                if pos > 0:
+        if xlf_pending[order_id] <= 0:
-                    exchange.send_add_message_ioc(
+            del xlf_pending[order_id]
-                        next_id(), sym, Dir.SELL,
-                        state.bid_prices.get(sym, 1), abs(pos)
-                    )
-                else:
-                    exchange.send_add_message_ioc(
-                        next_id(), sym, Dir.BUY,
-                        state.ask_prices.get(sym, 99999), abs(pos)
-                    )
 
-    # ==================== LOOP ====================
+        if xlf_state == "BUYING_BASKET" and not xlf_pending:
+            print("  바스켓 매수 완료 → XLF 변환 시작")
+            xlf_state = "CONVERTING"
+            xlf_convert_oid = next_id()
+            exchange.send_convert_message(xlf_convert_oid, "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"
+            xlf_convert_oid = next_id()
+            exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.SELL, xlf_arb_size)
+
+    def try_vale_arb():
+        """VALE/VALBZ 차익거래 시도 - XLF와 독립적으로 동시 실행"""
+        nonlocal vale_state, vale_direction, vale_pending, vale_arb_size, vale_convert_oid
+
+        if not market_open or vale_state != "IDLE":
+            return
+
+        vale_bid  = state.bid_prices["VALE"]
+        vale_ask  = state.ask_prices["VALE"]
+        valbz_bid = state.bid_prices["VALBZ"]
+        valbz_ask = state.ask_prices["VALBZ"]
+
+        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
+        arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
+        if profit1 > VALE_MIN_PROFIT 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, 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
+        arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
+        if profit2 > VALE_MIN_PROFIT 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, arb_size2)
+            vale_pending[oid] = arb_size2
+
+    def handle_vale_fill(order_id, symbol, dir_, qty):
+        """VALE state machine 체결 처리 (부분 체결 추적)"""
+        nonlocal vale_state, vale_pending, vale_convert_oid
+
+        if order_id not in vale_pending:
+            return
+
+        vale_pending[order_id] -= qty
+        if vale_pending[order_id] <= 0:
+            del vale_pending[order_id]
+
+        if vale_state == "BUYING_VALBZ" and not vale_pending:
+            print("  VALBZ 매수 완료 → VALE 변환 시작")
+            vale_state = "CONVERTING"
+            vale_convert_oid = next_id()
+            exchange.send_convert_message(vale_convert_oid, "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"
+            vale_convert_oid = next_id()
+            exchange.send_convert_message(vale_convert_oid, "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
+    # of the VALE market.
+    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:
-        msg = exchange.read_message()
+        message = exchange.read_message()
 
-        if msg["type"] == "close":
+        # 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
 
-        elif msg["type"] == "book":
+        elif message["type"] == "open":
-            sym = msg["symbol"]
+            # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨)
+            print("Market opened:", message)
+            market_open = True
+            place_bond_orders()
 
-            bid = msg["buy"][0][0] if msg["buy"] else None
+        elif message["type"] == "error":
-            ask = msg["sell"][0][0] if msg["sell"] else None
+            print(message)
 
-            state.update_bid_ask_price(sym, bid, ask)
+        elif message["type"] == "reject":
+            print(message)
+            oid = message.get("order_id")
+            active_orders.pop(oid, None)
+            if oid in xlf_pending:
+                print("  XLF 주문 reject → IDLE 복귀")
+                xlf_state     = "IDLE"
+                xlf_pending.clear()
+                xlf_direction = None
+                xlf_last_fail = time.time()  # 쿨다운 시작
+                place_bond_orders()           # try_xlf_arb() 호출 제거
+            if oid in vale_pending:
+                print("  VALE 주문 reject → IDLE 복귀")
+                vale_state     = "IDLE"
+                vale_pending.clear()
+                vale_direction = None
 
-            for oid in list(active_orders.keys()):
+        elif message["type"] == "ack":
-                exchange.send_cancel_message(oid)
+            ack_oid = message.get("order_id")
-                del active_orders[oid]
 
-            # 전략 실행
+            # XLF 변환 ack 처리 (order_id로 구분)
-            bond_arb()
+            if xlf_state == "CONVERTING" and ack_oid == xlf_convert_oid:
-            xlf_arb()
+                print("  XLF 변환 완료 → 매도 시작")
+                if xlf_direction == "BASKET_TO_XLF":
+                    # 변환: BOND -3, GS -2, MS -3, WFC -2, XLF +10
+                    om.positions["BOND"] -= 3
+                    om.positions["GS"]   -= 2
+                    om.positions["MS"]   -= 3
+                    om.positions["WFC"]  -= 2
+                    om.positions["XLF"]  += xlf_arb_size
+                    om.future_positions["BOND"] -= 3
+                    om.future_positions["GS"]   -= 2
+                    om.future_positions["MS"]   -= 3
+                    om.future_positions["WFC"]  -= 2
+                    om.future_positions["XLF"]  += xlf_arb_size
+                    xlf_state = "SELLING_XLF"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size
+                    )
+                    xlf_pending[oid] = xlf_arb_size
+                elif xlf_direction == "XLF_TO_BASKET":
+                    # 변환: XLF -10, BOND +3, GS +2, MS +3, WFC +2
+                    om.positions["XLF"]  -= xlf_arb_size
+                    om.positions["BOND"] += 3
+                    om.positions["GS"]   += 2
+                    om.positions["MS"]   += 3
+                    om.positions["WFC"]  += 2
+                    om.future_positions["XLF"]  -= xlf_arb_size
+                    om.future_positions["BOND"] += 3
+                    om.future_positions["GS"]   += 2
+                    om.future_positions["MS"]   += 3
+                    om.future_positions["WFC"]  += 2
+                    xlf_state = "SELLING_BASKET"
+                    for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
+                        oid = next_id()
+                        exchange.send_add_message(
+                            oid, sym, Dir.SELL, state.bid_prices[sym], qty
+                        )
+                        xlf_pending[oid] = qty
 
-            if sym in ["GS", "MS", "WFC"]:
+            # VALE 변환 ack 처리 (order_id로 구분)
-                market_make(sym)
+            elif vale_state == "CONVERTING" and ack_oid == vale_convert_oid:
+                print("  VALE 변환 완료 → 매도 시작")
+                if vale_direction == "VALBZ_TO_VALE":
+                    # 변환: VALBZ -size, VALE +size
+                    om.positions["VALBZ"]       -= vale_arb_size
+                    om.positions["VALE"]         += vale_arb_size
+                    om.future_positions["VALBZ"] -= vale_arb_size
+                    om.future_positions["VALE"]  += vale_arb_size
+                    vale_state = "SELLING_VALE"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size
+                    )
+                    vale_pending[oid] = vale_arb_size
+                elif vale_direction == "VALE_TO_VALBZ":
+                    # 변환: VALE -size, VALBZ +size
+                    om.positions["VALE"]         -= vale_arb_size
+                    om.positions["VALBZ"]        += vale_arb_size
+                    om.future_positions["VALE"]  -= vale_arb_size
+                    om.future_positions["VALBZ"] += vale_arb_size
+                    vale_state = "SELLING_VALBZ"
+                    oid = next_id()
+                    exchange.send_add_message(
+                        oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size
+                    )
+                    vale_pending[oid] = vale_arb_size
 
-            risk()
+        elif message["type"] == "fill":
+            print(message)
+            qty  = message["size"]
+            sym  = message["symbol"]
+            dir_ = message["dir"]
+            oid  = message["order_id"]
 
-        elif msg["type"] == "fill":
+            # 포지션 업데이트
-            qty = msg["size"]
+            if dir_ == Dir.BUY:
-            sym = msg["symbol"]
+                om.update_position(sym, oid, qty)
-
-            if msg["dir"] == Dir.BUY:
-                positions[sym] = positions.get(sym, 0) + qty
             else:
-                positions[sym] = positions.get(sym, 0) - qty
+                om.update_position(sym, oid, -qty)
+
+            print(f"  포지션 → {om.positions}")
+
+            # BOND 체결 시 무조건 재주문
+            if sym == "BOND" and oid in active_orders:
+                active_orders.pop(oid, None)
+                place_bond_orders()
+
+            # XLF state machine 체결 처리
+            handle_xlf_fill(oid, sym, dir_, qty)
+            if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
+                print("  XLF 차익거래 완료 → IDLE 복귀")
+                xlf_state = "IDLE"
+                xlf_direction = None
+                place_bond_orders()
+                # try_xlf_arb() 제거 → book 메시지에서 자동 시도
+
+            # VALE state machine 체결 처리
+            handle_vale_fill(oid, sym, dir_, qty)
+            if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
+                print("  VALE 차익거래 완료 → IDLE 복귀")
+                vale_state = "IDLE"
+                vale_direction = None
+                # try_vale_arb() 제거 → book 메시지에서 자동 시도
+
+        elif message["type"] == "book":
+            sym = message["symbol"]
+            state.update_bid_ask_price(
+                sym,
+                message["buy"][0][0]  if message["buy"]  else None,
+                message["sell"][0][0] if message["sell"] else None
+            )
+
+            if sym == "VALE":
+                now = time.time()
+                if now > vale_last_print_time + 1:
+                    vale_last_print_time = now
+                    print({
+                        "vale_bid_price": state.bid_prices["VALE"],
+                        "vale_ask_price": state.ask_prices["VALE"],
+                    })
+
+            # XLF 관련 심볼 호가 업데이트마다 차익거래 시도
+            if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
+                try_xlf_arb()
+
+            # VALE/VALBZ 호가 업데이트마다 차익거래 시도
+            if sym in ["VALE", "VALBZ"]:
+                try_vale_arb()
+
+            # 주기적으로 BOND 주문 갱신 (주문 만료 방지)
+            now = time.time()
+            if now - last_refresh > REFRESH_INTERVAL:
+                last_refresh = now
+                place_bond_orders()
+
+
+# ~~~~~============== 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):
-        s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+        self.message_timestamps = deque(maxlen=500)
-        s.connect((args.exchange_hostname, args.port))
+        self.exchange_hostname = args.exchange_hostname
-        self.reader = s.makefile("r", 1)
+        self.port = args.port
-        self.writer = s
+        exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
-        self._write({"type": "hello", "team": team_name.upper()})
+        self.reader = exchange_socket.makefile("r", 1)
+        self.writer = exchange_socket
+
+        self._write_message({"type": "hello", "team": team_name.upper()})
 
     def read_message(self):
-        msg = json.loads(self.reader.readline())
+        """Read a single message from the exchange"""
-        if "dir" in msg:
+        message = json.loads(self.reader.readline())
-            msg["dir"] = Dir(msg["dir"])
+        if "dir" in message:
-        return msg
+            message["dir"] = Dir(message["dir"])
+        return message
 
-    def send_add_message(self, oid, sym, dir, price, size):
+    def send_add_message(
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
+        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_add_message_ioc(self, oid, sym, dir, price, size):
+    def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
-        self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
+        """Convert between related symbols"""
+        self._write_message(
+            {
+                "type": "convert",
+                "order_id": order_id,
+                "symbol": symbol,
+                "dir": dir,
+                "size": size,
+            }
+        )
 
-    def send_cancel_message(self, oid):
+    def send_cancel_message(self, order_id: int):
-        self._write({"type": "cancel", "order_id": oid})
+        """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 _write(self, msg):
-        self.writer.send((json.dumps(msg)+"\n").encode())
 
-# ====================
 def parse_arguments():
-    parser = argparse.ArgumentParser()
+    test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
 
-    group = parser.add_mutually_exclusive_group(required=True)
+    parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
-    group.add_argument("--production", action="store_true")
+    exchange_address_group = parser.add_mutually_exclusive_group(required=True)
-    group.add_argument("--test", type=str, default="prod-like")
+    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
-    else:
+    elif args.test:
         args.exchange_hostname = "test-exch-" + team_name
-        args.port = 22000
+        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()