from collections import deque from enum import Enum import socket import json import order team_name = "HanyangFloorFunction" class Dir(str, Enum): BUY = "BUY" SELL = "SELL" class ExchangeConnection: def __init__(self, args): self.message_timestamps = deque(maxlen=500) self.exchange_hostname = args.exchange_hostname self.port = args.port exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout) self.reader = exchange_socket.makefile("r", 1) self.writer = exchange_socket self._write_message({"type": "hello", "team": team_name.upper()}) def read_message(self): """Read a single message from the exchange""" message = json.loads(self.reader.readline()) if "dir" in message: message["dir"] = Dir(message["dir"]) return message def send_add_message( self, order_id: int, symbol: str, dir: Dir, price: int, size: int ): """Add a new order""" self._write_message( { "type": "add", "order_id": order_id, "symbol": symbol, "dir": dir, "price": price, "size": size, } ) def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int): """Convert between related symbols""" self._write_message( { "type": "convert", "order_id": order_id, "symbol": symbol, "dir": dir, "size": size, } ) def send_cancel_message(self, order_id: int): """Cancel an existing order""" self._write_message({"type": "cancel", "order_id": order_id}) def _connect(self, add_socket_timeout): s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) if add_socket_timeout: # Automatically raise an exception if no data has been recieved for # multiple seconds. This should not be enabled on an "empty" test # exchange. s.settimeout(5) s.connect((self.exchange_hostname, self.port)) return s def _write_message(self, message): what_to_write = json.dumps(message) if not what_to_write.endswith("\n"): what_to_write = what_to_write + "\n" length_to_send = len(what_to_write) total_sent = 0 while total_sent < length_to_send: sent_this_time = self.writer.send( what_to_write[total_sent:].encode("utf-8") ) if sent_this_time == 0: raise Exception("Unable to send data to exchange") total_sent += sent_this_time now = time.time() self.message_timestamps.append(now) if len( self.message_timestamps ) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1): print( "WARNING: You are sending messages too frequently. The exchange will start ignoring your messages. Make sure you are not sending a message in response to every exchange message." )