#!/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" # ~~~~~============== MAIN LOOP ==============~~~~~ # You should put your code here! We provide some starter code as an example, # 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! def main(): args = parse_arguments() 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_ORDER_SIZE = 50 STOCK_ORDER_SIZE = 10 # GS/MS/WFC 마켓 메이킹 주문량 STOCK_SPREAD = 1 # GS/MS/WFC 마켓 메이킹 스프레드 (mid ± 1) STOCK_MAX_POSITION = 50 # GS/MS/WFC 포지션 한도 XLF_CONVERSION_FEE = 100 XLF_MIN_PROFIT = 50 # 수익 클 때만 XLF 차익거래 XLF_COOLDOWN = 3.0 VALE_CONVERSION_FEE = 10 VALE_MIN_PROFIT = 1 VALE_ARB_SIZE = 10 REFRESH_INTERVAL = 5.0 # XLF state machine xlf_state = "IDLE" xlf_pending = {} xlf_direction = None xlf_arb_size = 0 xlf_convert_oid = None xlf_last_fail = 0.0 # VALE state machine vale_state = "IDLE" vale_pending = {} vale_direction = None vale_arb_size = 0 vale_convert_oid = None state = StateManager() om = OrderManager(exchange) market_open = False # BOND 전용 active orders bond_orders = {} # {order_id: {"dir": ..., "price": ..., "size": ...}} # GS/MS/WFC 마켓 메이킹 active orders stock_orders = {} # {order_id: {"symbol": ..., "dir": ..., "price": ..., "size": ...}} last_refresh = time.time() last_stock_refresh = time.time() # hello 메시지에서 기존 포지션 로드 (재접속 시 필수) ← 들여쓰기 수정 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}") def next_id(): return om.next_order() # ── BOND 마켓 메이킹 ────────────────────────────────────────── def cancel_bond_sell_orders(): for oid in list(bond_orders.keys()): info = bond_orders[oid] if info["dir"] == Dir.SELL: om.future_positions["BOND"] += info.get("size", 0) om.cancel(oid) bond_orders.pop(oid, None) def cancel_all_bond_orders(): for oid in list(bond_orders.keys()): info = bond_orders[oid] size = info.get("size", 0) if info["dir"] == Dir.BUY: om.future_positions["BOND"] -= size else: om.future_positions["BOND"] += size om.cancel(oid) bond_orders.pop(oid, None) def place_bond_orders(): if not market_open: return cancel_all_bond_orders() pos = om.positions["BOND"] base = BOND_ORDER_SIZE adj = abs(pos) // 5 if pos < 0: buy_sz = min(base + adj, 100 - pos) sell_sz = max(base - adj, 1) elif pos > 0: buy_sz = max(base - adj, 1) sell_sz = min(base + adj, 100 + pos) else: buy_sz = sell_sz = base buy_sz = max(0, min(buy_sz, 100 - pos)) sell_sz = max(0, min(sell_sz, 100 + pos)) if buy_sz > 0: bid = next_id() exchange.send_add_message(bid, "BOND", Dir.BUY, 999, buy_sz) om.future_positions["BOND"] += buy_sz bond_orders[bid] = {"dir": Dir.BUY, "price": 999, "size": buy_sz} if sell_sz > 0: ask = next_id() exchange.send_add_message(ask, "BOND", Dir.SELL, 1001, sell_sz) om.future_positions["BOND"] -= sell_sz bond_orders[ask] = {"dir": Dir.SELL, "price": 1001, "size": sell_sz} print(f" BOND 주문 → 매수:999 x{buy_sz}, 매도:1001 x{sell_sz}, 포지션:{pos}") # ── GS/MS/WFC 마켓 메이킹 ──────────────────────────────────── def cancel_stock_orders(symbol=None): """symbol=None이면 전부 취소, 아니면 해당 심볼만""" for oid in list(stock_orders.keys()): info = stock_orders[oid] if symbol is None or info["symbol"] == symbol: size = info.get("size", 0) s = info["symbol"] if info["dir"] == Dir.BUY: om.future_positions[s] -= size else: om.future_positions[s] += size om.cancel(oid) stock_orders.pop(oid, None) def place_stock_orders(sym): """mid price 기준 ±1 스프레드로 마켓 메이킹""" if not market_open: return bid_price = state.bid_prices[sym] ask_price = state.ask_prices[sym] if bid_price is None or ask_price is None: return mid = (bid_price + ask_price) // 2 our_bid = mid - STOCK_SPREAD our_ask = mid + STOCK_SPREAD pos = om.positions[sym] limit = STOCK_MAX_POSITION cancel_stock_orders(sym) buy_sz = max(0, min(STOCK_ORDER_SIZE, limit - pos)) sell_sz = max(0, min(STOCK_ORDER_SIZE, limit + pos)) if buy_sz > 0 and our_bid > 0: bid = next_id() exchange.send_add_message(bid, sym, Dir.BUY, our_bid, buy_sz) om.future_positions[sym] += buy_sz stock_orders[bid] = {"symbol": sym, "dir": Dir.BUY, "price": our_bid, "size": buy_sz} if sell_sz > 0: ask = next_id() exchange.send_add_message(ask, sym, Dir.SELL, our_ask, sell_sz) om.future_positions[sym] -= sell_sz stock_orders[ask] = {"symbol": sym, "dir": Dir.SELL, "price": our_ask, "size": sell_sz} # ── XLF 차익거래 ───────────────────────────────────────────── def try_xlf_arb(): # nonlocal에 xlf_last_fail 추가 ← 수정 nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size, xlf_convert_oid, xlf_last_fail if not market_open or xlf_state != "IDLE": return 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]: 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 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 ) 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_all_bond_orders() cancel_stock_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 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"): print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}") cancel_all_bond_orders() cancel_stock_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, xlf_convert_oid 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" 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) # ── VALE 차익거래 ───────────────────────────────────────────── def try_vale_arb(): 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"] 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 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): 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: message = exchange.read_message() # 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 message["type"] == "open": # 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨) 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") bond_orders.pop(oid, None) stock_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() 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": ack_oid = message.get("order_id") if xlf_state == "CONVERTING" and ack_oid == xlf_convert_oid: 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 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": 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 elif vale_state == "CONVERTING" and ack_oid == vale_convert_oid: print(" VALE 변환 완료 → 매도 시작") if vale_direction == "VALBZ_TO_VALE": 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": 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 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}") # BOND 체결 → 재주문 if sym == "BOND" and oid in bond_orders: bond_orders.pop(oid, None) place_bond_orders() # GS/MS/WFC 체결 → 해당 심볼 재주문 if sym in ("GS", "MS", "WFC") and oid in stock_orders: stock_orders.pop(oid, None) place_stock_orders(sym) # XLF state machine 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() for s in ("GS", "MS", "WFC"): place_stock_orders(s) # VALE state machine 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"], }) # XLF 차익거래 시도 if sym in ["BOND", "GS", "MS", "WFC", "XLF"]: try_xlf_arb() # VALE 차익거래 시도 if sym in ["VALE", "VALBZ"]: try_vale_arb() # GS/MS/WFC 마켓 메이킹 갱신 (2초마다) if sym in ("GS", "MS", "WFC") and xlf_state == "IDLE": now = time.time() if now - last_stock_refresh > 2.0: last_stock_refresh = now place_stock_orders(sym) # 주기적으로 BOND 주문 갱신 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): 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, "tif": "DAY", # 설명서 필수 필드: DAY or IOC } ) 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." ) 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.", ) # 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 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__": # Check that [team_name] has been updated. assert team_name != "REPLAC" + "EME", ( "Please put your team name in the variable [team_name]." ) main()