#!/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 # ~~~~~============== 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. # --- BOND 마켓 메이킹 설정 --- FAIR_VALUE = 1000 # BOND fair value (고정) SPREAD = 1 # fair value 기준 ±1 (999 매수 / 1001 매도) ORDER_SIZE = 10 # 주문당 수량 MAX_POSITION = 100 # 최대 포지션 한도 REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초) position = 0 # 현재 BOND 포지션 order_id = 0 # 단조 증가하는 주문 ID active_orders = {} # {order_id: {"dir": ..., "price": ...}} def next_id(): nonlocal order_id order_id += 1 return order_id def cancel_all_bond_orders(): """활성 BOND 주문 전부 취소""" for oid in list(active_orders.keys()): exchange.send_cancel_message(oid) active_orders.pop(oid, None) def place_bond_orders(): """포지션 한도 안에서 bid/ask 양방향 주문""" cancel_all_bond_orders() buy_price = FAIR_VALUE - SPREAD # 999 sell_price = FAIR_VALUE + SPREAD # 1001 # 포지션이 한도에 걸리면 한쪽 방향 주문 스킵 if position < MAX_POSITION: bid = next_id() exchange.send_add_message( order_id=bid, symbol="BOND", dir=Dir.BUY, price=buy_price, size=ORDER_SIZE ) active_orders[bid] = {"dir": Dir.BUY, "price": buy_price} if position > -MAX_POSITION: ask = next_id() exchange.send_add_message( order_id=ask, symbol="BOND", dir=Dir.SELL, price=sell_price, size=ORDER_SIZE ) active_orders[ask] = {"dir": Dir.SELL, "price": sell_price} # 시작 시 첫 BOND 주문 배치 place_bond_orders() # 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_bid_price, vale_ask_price = None, None vale_last_print_time = time.time() last_refresh = 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"] == "error": print(message) elif message["type"] == "reject": print(message) # 거부된 주문은 active_orders에서 제거 oid = message.get("order_id") active_orders.pop(oid, None) elif message["type"] == "fill": print(message) # 체결 시 포지션 업데이트 후 주문 재보충 qty = message["size"] if message["dir"] == Dir.BUY: position += qty else: position -= qty print(f" → BOND position: {position}") place_bond_orders() elif message["type"] == "book": if message["symbol"] == "VALE": def best_price(side): if message[side]: return message[side][0][0] vale_bid_price = best_price("buy") vale_ask_price = best_price("sell") now = time.time() if now > vale_last_print_time + 1: vale_last_print_time = now print( { "vale_bid_price": vale_bid_price, "vale_ask_price": vale_ask_price, } ) # 주기적으로 BOND 주문 갱신 (주문 만료 방지) 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" : "GFD", # Good-For-Day (주문이 체결되거나 취소될 때까지 유효) } ) 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()