#!/usr/bin/env python3 import argparse from enum import Enum import socket import json from state import StateManager team_name = "HanyangFloorFunction" # ==================== ์„ค์ • ==================== ORDER_SIZE = 2 MAX_POS = 30 # ==================== class Dir(str, Enum): BUY = "BUY" SELL = "SELL" # ==================== def main(): args = parse_arguments() exchange = ExchangeConnection(args) state = StateManager() hello = exchange.read_message() # ๐Ÿ”ฅ ํฌ์ง€์…˜ ์ง์ ‘ ๊ด€๋ฆฌ positions = {} for sym in hello["symbols"]: positions[sym["symbol"]] = sym["position"] # ๐Ÿ”ฅ order id order_id = 0 def next_id(): nonlocal order_id order_id += 1 return order_id # ๐Ÿ”ฅ active order ๊ด€๋ฆฌ (ํ•ต์‹ฌ) 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 pos = positions.get(sym, 0) # ๐Ÿ”ฅ ํฌ์ง€์…˜ ์ œํ•œ if pos > MAX_POS: return if pos < -MAX_POS: return # ๐Ÿ”ฅ ํ•ต์‹ฌ: ์Šคํ”„๋ ˆ๋“œ ๋‚ด๋ถ€์—์„œ๋งŒ ์ฃผ๋ฌธ buy_price = bid + 1 sell_price = ask - 1 # ๐Ÿ”ฅ ํฌ์ง€์…˜ ๋ฐฉํ–ฅ ์ œ์–ด if pos > 0: buy_size = 1 sell_size = ORDER_SIZE + 2 elif pos < 0: buy_size = ORDER_SIZE + 2 sell_size = 1 else: buy_size = sell_size = ORDER_SIZE # BUY oid = next_id() exchange.send_add_message(oid, sym, Dir.BUY, buy_price, buy_size) active_orders[oid] = sym # SELL oid = next_id() exchange.send_add_message(oid, sym, Dir.SELL, sell_price, sell_size) active_orders[oid] = sym # ==================== BOND ์•ˆ์ „ ์ˆ˜์ต ==================== 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, 5) if bid and bid > 1000: exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 5) # ==================== ๋ฆฌ์Šคํฌ ๊ด€๋ฆฌ ==================== def risk(): for sym in ["GS", "MS", "WFC"]: 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) # ๐Ÿ”ฅ ๊ธฐ์กด ์ฃผ๋ฌธ ์ „๋ถ€ ์ทจ์†Œ (ํ•ต์‹ฌ) for oid in list(active_orders.keys()): exchange.send_cancel_message(oid) del active_orders[oid] # ์ „๋žต ์‹คํ–‰ bond_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() parser.add_argument("--test", default="prod-like") args = parser.parse_args() args.exchange_hostname = "test-exch-" + team_name args.port = 22000 return args if __name__ == "__main__": main()