#!/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 team_name = "HanyangFloorFunction" # ==================== 설정 ==================== BOND_FAIR_VALUE = 1000 BOND_SPREAD = 2 BOND_ORDER_SIZE = 20 BOND_MAX_POSITION = 100 STOCK_SPREAD = 6 STOCK_ORDER_SIZE = 5 STOCK_MAX_POSITION = 100 STOCK_REORDER_DELAY = 0.2 XLF_CONVERSION_FEE = 100 VALE_CONVERSION_FEE = 10 REFRESH_INTERVAL = 1.0 MIN_PROFIT_BUFFER = 10 MAX_POSITION_SOFT = 50 # ==================== 방향 ==================== class Dir(str, Enum): BUY = "BUY" SELL = "SELL" # ==================== 메인 ==================== def main(): args = parse_arguments() exchange = ExchangeConnection(args=args) hello = exchange.read_message() state = StateManager() om = OrderManager() for sym_info in hello.get("symbols", []): state.update_position(sym_info["symbol"], sym_info["position"]) implied_fairs = {"GS": None, "MS": None, "WFC": None} active_orders = {} def next_id(): return om.next_order() # ==================== FAIR VALUE ==================== def update_fair(): try: xlf_mid = (state.bid_prices["XLF"] + state.ask_prices["XLF"]) / 2 gs_mid = (state.bid_prices["GS"] + state.ask_prices["GS"]) / 2 ms_mid = (state.bid_prices["MS"] + state.ask_prices["MS"]) / 2 wfc_mid = (state.bid_prices["WFC"] + state.ask_prices["WFC"]) / 2 except: return residual = xlf_mid * 10 - 3000 total = gs_mid*2 + ms_mid*3 + wfc_mid*2 if total <= 0: return raw_gs = residual * (gs_mid*2 / total) / 2 raw_ms = residual * (ms_mid*3 / total) / 3 raw_wfc = residual * (wfc_mid*2 / total) / 2 implied_fairs["GS"] = int(0.7 * gs_mid + 0.3 * raw_gs) implied_fairs["MS"] = int(0.7 * ms_mid + 0.3 * raw_ms) implied_fairs["WFC"] = int(0.7 * wfc_mid + 0.3 * raw_wfc) # ==================== BOND ARB ==================== def bond_arb(): bid = state.bid_prices.get("BOND") ask = state.ask_prices.get("BOND") if ask and ask < 1000: exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 10) if bid and bid > 1000: exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 10) # ==================== STOCK MM ==================== def market_make(sym): bid = state.bid_prices.get(sym) ask = state.ask_prices.get(sym) fair = implied_fairs.get(sym) if None in [bid, ask] or fair is None: return pos = state.get_position(sym) buy_price = min(fair - STOCK_SPREAD, bid + 1) sell_price = max(fair + STOCK_SPREAD, ask - 1) if pos > 0: buy_size, sell_size = 1, STOCK_ORDER_SIZE + 3 elif pos < 0: buy_size, sell_size = STOCK_ORDER_SIZE + 3, 1 else: buy_size = sell_size = STOCK_ORDER_SIZE if buy_size > 0: exchange.send_add_message(next_id(), sym, Dir.BUY, int(buy_price), buy_size) if sell_size > 0: exchange.send_add_message(next_id(), sym, Dir.SELL, int(sell_price), sell_size) # ==================== XLF ARB ==================== def xlf_arb(): try: basket_ask = ( state.ask_prices["BOND"]*3 + state.ask_prices["GS"]*2 + state.ask_prices["MS"]*3 + state.ask_prices["WFC"]*2 ) xlf_bid = state.bid_prices["XLF"] except: return profit = xlf_bid*10 - basket_ask - XLF_CONVERSION_FEE if profit > MIN_PROFIT_BUFFER: exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10) # ==================== VALE ARB ==================== def vale_arb(): vale_bid = state.bid_prices.get("VALE") valbz_ask = state.ask_prices.get("VALBZ") if None in [vale_bid, valbz_ask]: return if vale_bid - valbz_ask - VALE_CONVERSION_FEE > 5: exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1) # ==================== 리스크 관리 ==================== def risk(): for sym in ["GS", "MS", "WFC"]: pos = state.get_position(sym) if abs(pos) > MAX_POSITION_SOFT: 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) ) last_refresh = time.time() # ==================== LOOP ==================== while True: msg = exchange.read_message() if msg["type"] == "close": break elif msg["type"] == "book": sym = msg["symbol"] state.update_bid_ask_price( sym, msg["buy"][0][0] if msg["buy"] else None, msg["sell"][0][0] if msg["sell"] else None ) update_fair() bond_arb() xlf_arb() vale_arb() risk() if sym in ["GS", "MS", "WFC"]: market_make(sym) if time.time() - last_refresh > REFRESH_INTERVAL: last_refresh = time.time() for s in ["GS", "MS", "WFC"]: market_make(s) elif msg["type"] == "fill": qty = msg["size"] sym = msg["symbol"] if msg["dir"] == Dir.BUY: state.update_position(sym, qty) else: state.update_position(sym, -qty) # ==================== 연결 코드 ==================== class ExchangeConnection: def __init__(self, args): self.exchange_hostname = args.exchange_hostname self.port = args.port s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) s.connect((self.exchange_hostname, self.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 _write(self, msg): data = json.dumps(msg) + "\n" self.writer.send(data.encode()) # ==================== args ==================== def parse_arguments(): parser = argparse.ArgumentParser() parser.add_argument("--test", type=str, default="prod-like") args = parser.parse_args() args.exchange_hostname = "test-exch-" + team_name args.port = 22000 return args if __name__ == "__main__": main()