#!/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() state = StateManager() exchange = ExchangeConnection(args=args) orderman = OrderManager(exchange) hello_message = exchange.read_message() print("First message from exchange:", hello_message) orderman.sell("BOND", 1001, 99) orderman.buy("BOND", 999, 99) while True: message = exchange.read_message() if message["type"] == "close": print("The round has ended") break elif message["type"] == "error": print(message) elif message["type"] == "reject": print(message) elif message["type"] == "book": on_book(message, state) elif message["type"] == "trade": on_trade(message, state) elif message["type"] == "fill": on_fill(message, orderman, state) def on_book(message: dict, state: StateManager): symbol = message["symbol"] def best_price(side) -> int: if message[side]: return message[side][0][0] bid_price = int(best_price("buy")) ask_price = int(best_price("sell")) state.update_bid_ask_price(symbol, bid_price, ask_price) def on_fill(message: dict, orderman: OrderManager, state: StateManager): symbol = message["symbol"] dir = message["dir"] size = message["size"] quantity = size if dir == Dir.BUY else -size orderman.update_position(symbol, message["order_id"], quantity) def on_trade(message: dict, orderman: OrderManager, state: StateManager): symbol = message["symbol"] price = message["price"] state.set_last_price(symbol, price) # 거래도 p_valbz = state.get_fair_value("VALBZ") p_vale = state.get_fair_value("VALE") if state.get_last_price("VALBZ") is None or state.get_last_price("VALE") is None: return FEE = 10 SZ = 10 if p_vale < p_valbz: if p_vale * SZ + FEE < p_valbz * SZ: orderman.buy("VALE", p_vale, SZ) orderman.sell("VALBZ", p_valbz, SZ) # ~~~~~============== 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, } ) 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()