#!/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 ==============~~~~~ team_name = "HanyangFloorFunction" # ~~~~~============== MAIN LOOP ==============~~~~~ def main(): args = parse_arguments() exchange = ExchangeConnection(args=args) hello_message = exchange.read_message() print("First message from exchange:", hello_message) # ★ 재연결 시 기존 포지션 복원 state_init = StateManager() for sym_info in hello_message.get("symbols", []): sym = sym_info["symbol"] posn = sym_info["position"] if posn != 0: state_init.update_position(sym, posn) print(f" [재연결] 기존 포지션 복원: {sym} = {posn}") # ==================== 설정 ==================== BOND_FAIR_VALUE = 1000 BOND_SPREAD = 2 # BOND 마켓메이킹 스프레드 ±2 BOND_ORDER_SIZE = 30 BOND_MAX_POSITION = 100 # GS/MS/WFC 마켓메이킹 설정 STOCK_SPREAD = 3 # 개별주 스프레드 ±3 (변동성이 BOND보다 크므로) STOCK_ORDER_SIZE = 10 # 개별주 주문 수량 (보수적으로 시작) STOCK_MAX_POSITION = 100 STOCK_REORDER_DELAY = 0.3 # 개별주 재주문 throttle (초) XLF_CONVERSION_FEE = 100 XLF_MAX_POSITION = 100 VALE_CONVERSION_FEE = 10 VALE_MAX_POSITION = 10 REFRESH_INTERVAL = 5.0 # 전체 주문 갱신 주기 # ==================== 상태 변수 ==================== # XLF state machine xlf_state = "IDLE" xlf_pending = {} # order_id -> remaining qty xlf_direction = None xlf_convert_oid = None # VALE state machine vale_state = "IDLE" vale_pending = {} vale_direction = None vale_convert_oid = None state = state_init om = OrderManager() market_open = False # 마켓메이킹 주문 추적: order_id -> {"sym": ..., "dir": ..., "price": ...} active_mm_orders = {} last_refresh = time.time() last_mm_fill_time = {} # sym -> 마지막 체결 시각 (throttle용) BOND_REORDER_DELAY = 0.2 # 개별주 implied fair value (book 업데이트마다 갱신) implied_fairs = {"GS": None, "MS": None, "WFC": None} def next_id(): return om.next_order() # ==================== fair value 추정 ==================== def update_implied_fairs(): """ XLF 바스켓 구성으로 GS/MS/WFC implied fair value 추정. XLF_mid * 10 = BOND*3 + GS*2 + MS*3 + WFC*2 BOND = 1000(고정) 이므로 잔여분을 현재 mid 비율로 배분. """ xlf_bid = state.bid_prices.get("XLF") xlf_ask = state.ask_prices.get("XLF") gs_bid = state.bid_prices.get("GS") gs_ask = state.ask_prices.get("GS") ms_bid = state.bid_prices.get("MS") ms_ask = state.ask_prices.get("MS") wfc_bid = state.bid_prices.get("WFC") wfc_ask = state.ask_prices.get("WFC") if None in [xlf_bid, xlf_ask, gs_bid, gs_ask, ms_bid, ms_ask, wfc_bid, wfc_ask]: return xlf_mid = (xlf_bid + xlf_ask) / 2 gs_mid = (gs_bid + gs_ask) / 2 ms_mid = (ms_bid + ms_ask) / 2 wfc_mid = (wfc_bid + wfc_ask) / 2 residual = xlf_mid * 10 - 3000 # BOND 기여분(3x1000) 제외 total = gs_mid*2 + ms_mid*3 + wfc_mid*2 if total <= 0: return implied_fairs["GS"] = round(residual * (gs_mid * 2 / total) / 2) implied_fairs["MS"] = round(residual * (ms_mid * 3 / total) / 3) implied_fairs["WFC"] = round(residual * (wfc_mid * 2 / total) / 2) # ==================== 잔여 포지션 청산 ==================== def cleanup_residual_positions(): """재연결 시 잔여 포지션 청산""" if not market_open: return xlf_pos = state.get_position("XLF") if xlf_pos != 0: lots = abs(xlf_pos) // 10 remainder = abs(xlf_pos) % 10 direction = Dir.SELL if xlf_pos > 0 else Dir.BUY print(f" [청산] XLF 포지션={xlf_pos}, 변환 lots={lots}, 잔여={remainder}") if lots > 0: exchange.send_convert_message(next_id(), "XLF", direction, lots * 10) if remainder > 0: oid = next_id() if xlf_pos > 0: price = max((state.bid_prices.get("XLF") or 1) - 5, 1) exchange.send_add_message_ioc(oid, "XLF", Dir.SELL, price, remainder) else: price = (state.ask_prices.get("XLF") or 99999) + 5 exchange.send_add_message_ioc(oid, "XLF", Dir.BUY, price, remainder) for sym in ["GS", "MS", "WFC", "VALE", "VALBZ"]: pos = state.get_position(sym) if pos == 0: continue print(f" [청산] {sym} 포지션={pos}") oid = next_id() if pos > 0: price = max((state.bid_prices.get(sym) or 1) - 5, 1) exchange.send_add_message_ioc(oid, sym, Dir.SELL, price, abs(pos)) else: price = (state.ask_prices.get(sym) or 99999) + 5 exchange.send_add_message_ioc(oid, sym, Dir.BUY, price, abs(pos)) # ==================== 마켓메이킹 주문 ==================== def cancel_mm_orders_for(sym): to_cancel = [oid for oid, info in active_mm_orders.items() if info["sym"] == sym] for oid in to_cancel: exchange.send_cancel_message(oid) active_mm_orders.pop(oid, None) def place_bond_orders(): if not market_open: return cancel_mm_orders_for("BOND") position = state.get_position("BOND") base_size = BOND_ORDER_SIZE adj = abs(position) // 5 if position < 0: buy_size = min(base_size + adj, BOND_MAX_POSITION - position) sell_size = max(base_size - adj, 1) elif position > 0: buy_size = max(base_size - adj, 1) sell_size = min(base_size + adj, BOND_MAX_POSITION + position) else: buy_size = base_size sell_size = base_size buy_size = min(buy_size, BOND_MAX_POSITION - max(position, 0)) sell_size = min(sell_size, BOND_MAX_POSITION + min(position, 0)) buy_price = BOND_FAIR_VALUE - BOND_SPREAD sell_price = BOND_FAIR_VALUE + BOND_SPREAD if buy_size > 0: oid = next_id() exchange.send_add_message(oid, "BOND", Dir.BUY, buy_price, buy_size) active_mm_orders[oid] = {"sym": "BOND", "dir": Dir.BUY, "price": buy_price} if sell_size > 0: oid = next_id() exchange.send_add_message(oid, "BOND", Dir.SELL, sell_price, sell_size) active_mm_orders[oid] = {"sym": "BOND", "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 place_stock_orders(sym): """ GS/MS/WFC 마켓메이킹. implied fair value 주변 ±STOCK_SPREAD에서 양방향 DAY 주문. """ if not market_open: return fair = implied_fairs.get(sym) if fair is None or fair <= 0: return cancel_mm_orders_for(sym) position = state.get_position(sym) base_size = STOCK_ORDER_SIZE adj = abs(position) // 10 if position < 0: buy_size = min(base_size + adj, STOCK_MAX_POSITION - position) sell_size = max(base_size - adj, 1) elif position > 0: buy_size = max(base_size - adj, 1) sell_size = min(base_size + adj, STOCK_MAX_POSITION + position) else: buy_size = base_size sell_size = base_size buy_size = min(buy_size, STOCK_MAX_POSITION - max(position, 0)) sell_size = min(sell_size, STOCK_MAX_POSITION + min(position, 0)) buy_price = int(fair) - STOCK_SPREAD sell_price = int(fair) + STOCK_SPREAD if buy_price <= 0: return if buy_size > 0: oid = next_id() exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size) active_mm_orders[oid] = {"sym": sym, "dir": Dir.BUY, "price": buy_price} if sell_size > 0: oid = next_id() exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size) active_mm_orders[oid] = {"sym": sym, "dir": Dir.SELL, "price": sell_price} print(f" {sym} 주문 → fair:{fair}, 매수:{buy_price}x{buy_size}, 매도:{sell_price}x{sell_size}, 포지션:{position}") def refresh_all_mm(): """모든 마켓메이킹 주문 갱신""" place_bond_orders() update_implied_fairs() for sym in ["GS", "MS", "WFC"]: place_stock_orders(sym) # ==================== XLF 차익거래 ==================== def try_xlf_arb(): nonlocal xlf_state, xlf_direction, xlf_pending, xlf_convert_oid if not market_open or xlf_state != "IDLE": return 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_xlf = state.get_position("XLF") # 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도 profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE if profit1 > 0 and pos_xlf < XLF_MAX_POSITION: print(f" XLF 차익(바스켓->XLF) 시작, 예상수익:{profit1}") xlf_state = "BUYING_BASKET" xlf_direction = "BASKET_TO_XLF" xlf_pending.clear() for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: oid = next_id() exchange.send_add_message_ioc(oid, sym, Dir.BUY, state.ask_prices[sym], qty) xlf_pending[oid] = qty return # 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도 profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE if profit2 > 0 and pos_xlf > -XLF_MAX_POSITION: print(f" XLF 차익(XLF->바스켓) 시작, 예상수익:{profit2}") xlf_state = "BUYING_XLF" xlf_direction = "XLF_TO_BASKET" xlf_pending.clear() oid = next_id() exchange.send_add_message_ioc(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, xlf_convert_oid if order_id not in xlf_pending: return xlf_pending[order_id] = max(0, 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" xlf_convert_oid = next_id() exchange.send_convert_message(xlf_convert_oid, "XLF", Dir.BUY, 10) 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, 10) def handle_xlf_out(order_id): nonlocal xlf_state, xlf_pending, xlf_direction if order_id not in xlf_pending: return remaining = xlf_pending.pop(order_id, 0) if not xlf_pending and xlf_state in ("BUYING_BASKET", "BUYING_XLF"): print(f" XLF 주문 out (미체결/부분체결) -> IDLE 복귀. 남은:{remaining}") xlf_state = "IDLE" xlf_direction = None # ==================== VALE 차익거래 ==================== def try_vale_arb(): nonlocal vale_state, vale_direction, vale_pending, vale_convert_oid if not market_open or vale_state != "IDLE": return vale_bid = state.bid_prices.get("VALE") vale_ask = state.ask_prices.get("VALE") valbz_bid = state.bid_prices.get("VALBZ") valbz_ask = state.ask_prices.get("VALBZ") if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]: return profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION: print(f" VALE 차익(VALBZ->VALE) 시작, 예상수익:{profit1}") vale_state = "BUYING_VALBZ" vale_direction = "VALBZ_TO_VALE" vale_pending.clear() oid = next_id() exchange.send_add_message_ioc(oid, "VALBZ", Dir.BUY, valbz_ask, 1) vale_pending[oid] = 1 return profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION: print(f" VALE 차익(VALE->VALBZ) 시작, 예상수익:{profit2}") vale_state = "BUYING_VALE" vale_direction = "VALE_TO_VALBZ" vale_pending.clear() oid = next_id() exchange.send_add_message_ioc(oid, "VALE", Dir.BUY, vale_ask, 1) vale_pending[oid] = 1 def handle_vale_fill(order_id, symbol, dir_, qty): nonlocal vale_state, vale_pending, vale_convert_oid if order_id not in vale_pending: return vale_pending[order_id] = max(0, 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, 1) 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, 1) def handle_vale_out(order_id): nonlocal vale_state, vale_pending, vale_direction if order_id not in vale_pending: return remaining = vale_pending.pop(order_id, 0) if not vale_pending and vale_state in ("BUYING_VALBZ", "BUYING_VALE"): print(f" VALE 주문 out (미체결) -> IDLE 복귀. 남은:{remaining}") vale_state = "IDLE" vale_direction = None # ==================== 메인 루프 ==================== 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 cleanup_residual_positions() refresh_all_mm() elif message["type"] == "error": print("ERROR:", message) elif message["type"] == "reject": print("REJECT:", message) oid = message.get("order_id") active_mm_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_convert_oid = None if oid in vale_pending: print(" VALE 주문 reject -> IDLE 복귀") vale_state = "IDLE" vale_pending.clear() vale_direction = None vale_convert_oid = None elif message["type"] == "ack": oid = message.get("order_id") if xlf_state == "CONVERTING" and oid == xlf_convert_oid: print(" XLF 변환 완료 -> 매도 시작") if xlf_direction == "BASKET_TO_XLF": xlf_state = "SELLING_XLF" bid_now = state.bid_prices.get("XLF") if bid_now: sell_oid = next_id() exchange.send_add_message_ioc(sell_oid, "XLF", Dir.SELL, bid_now, 10) xlf_pending[sell_oid] = 10 else: xlf_state = "IDLE" xlf_direction = None elif xlf_direction == "XLF_TO_BASKET": xlf_state = "SELLING_BASKET" for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]: bid_now = state.bid_prices.get(sym) if bid_now: sell_oid = next_id() exchange.send_add_message_ioc(sell_oid, sym, Dir.SELL, bid_now, qty) xlf_pending[sell_oid] = qty if not xlf_pending: xlf_state = "IDLE" xlf_direction = None elif vale_state == "CONVERTING" and oid == vale_convert_oid: print(" VALE 변환 완료 -> 매도 시작") if vale_direction == "VALBZ_TO_VALE": vale_state = "SELLING_VALE" bid_now = state.bid_prices.get("VALE") if bid_now: sell_oid = next_id() exchange.send_add_message_ioc(sell_oid, "VALE", Dir.SELL, bid_now, 1) vale_pending[sell_oid] = 1 else: vale_state = "IDLE" vale_direction = None elif vale_direction == "VALE_TO_VALBZ": vale_state = "SELLING_VALBZ" bid_now = state.bid_prices.get("VALBZ") if bid_now: sell_oid = next_id() exchange.send_add_message_ioc(sell_oid, "VALBZ", Dir.SELL, bid_now, 1) vale_pending[sell_oid] = 1 else: vale_state = "IDLE" vale_direction = None elif message["type"] == "out": oid = message.get("order_id") active_mm_orders.pop(oid, None) handle_xlf_out(oid) handle_vale_out(oid) if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending: print(" XLF 차익거래 완료 -> IDLE 복귀") xlf_state = "IDLE" xlf_direction = None xlf_convert_oid = None if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending: print(" VALE 차익거래 완료 -> IDLE 복귀") vale_state = "IDLE" vale_direction = None vale_convert_oid = None elif message["type"] == "fill": qty = message["size"] sym = message["symbol"] dir_ = message["dir"] oid = message["order_id"] if dir_ == Dir.BUY: state.update_position(sym, qty) else: state.update_position(sym, -qty) print(f" FILL {sym} {dir_} x{qty} @ {message['price']} | 포지션:{state.positions}") # 마켓메이킹 주문 체결 -> 해당 심볼 재주문 (throttle 적용) if oid in active_mm_orders: filled_sym = active_mm_orders.pop(oid)["sym"] now = time.time() last_t = last_mm_fill_time.get(filled_sym, 0.0) delay = BOND_REORDER_DELAY if filled_sym == "BOND" else STOCK_REORDER_DELAY if now - last_t > delay: last_mm_fill_time[filled_sym] = now if filled_sym == "BOND": place_bond_orders() elif filled_sym in ("GS", "MS", "WFC"): update_implied_fairs() place_stock_orders(filled_sym) 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 xlf_convert_oid = None 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 vale_convert_oid = 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": state.bid_prices.get("VALE"), "vale_ask": state.ask_prices.get("VALE"), "valbz_bid": state.bid_prices.get("VALBZ"), "valbz_ask": state.ask_prices.get("VALBZ"), }) if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: update_implied_fairs() try_xlf_arb() # fair value가 크게 움직이면 해당 종목 주문 즉시 갱신 if sym in ["GS", "MS", "WFC"] and implied_fairs.get(sym) is not None: existing = [(oid, info) for oid, info in active_mm_orders.items() if info["sym"] == sym] if existing: fair = implied_fairs[sym] prices = [info["price"] for _, info in existing] if any(abs(p - fair) > STOCK_SPREAD * 2 for p in prices): place_stock_orders(sym) if sym in ["VALE", "VALBZ"]: try_vale_arb() now = time.time() if now - last_refresh > REFRESH_INTERVAL: last_refresh = now refresh_all_mm() # ~~~~~============== PROVIDED CODE ==============~~~~~ 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): """DAY 주문 - 마켓메이킹용""" self._write_message({ "type": "add", "order_id": order_id, "symbol": symbol, "dir": dir, "price": price, "size": size, "tif": "DAY", }) def send_add_message_ioc(self, order_id: int, symbol: str, dir: Dir, price: int, size: int): """IOC 주문 - 차익거래/청산용""" self._write_message({ "type": "add", "order_id": order_id, "symbol": symbol, "dir": dir, "price": price, "size": size, "tif": "IOC", }) 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 += "\n" length_to_send = len(what_to_write) total_sent = 0 while total_sent < length_to_send: sent = self.writer.send(what_to_write[total_sent:].encode("utf-8")) if sent == 0: raise Exception("Unable to send data to exchange") total_sent += sent 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: 메시지 전송 너무 빈번! Rate limit 위험.") def parse_arguments(): test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2} parser = argparse.ArgumentParser(description="Trade on an ETC exchange!") grp = parser.add_mutually_exclusive_group(required=True) grp.add_argument("--production", action="store_true") grp.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys()) grp.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()