228 lines
7.0 KiB
Python
228 lines
7.0 KiB
Python
#!/usr/bin/env python3
|
|
|
|
import argparse
|
|
from enum import Enum
|
|
import time
|
|
import socket
|
|
import json
|
|
from state import StateManager
|
|
|
|
team_name = "HanyangFloorFunction"
|
|
|
|
# ==================== 설정 ====================
|
|
BOND_FAIR_VALUE = 1000
|
|
STOCK_SPREAD = 6
|
|
STOCK_ORDER_SIZE = 5
|
|
REFRESH_INTERVAL = 1.0
|
|
MIN_PROFIT_BUFFER = 10
|
|
MAX_POSITION_SOFT = 50
|
|
|
|
XLF_CONVERSION_FEE = 100
|
|
VALE_CONVERSION_FEE = 10
|
|
|
|
# ==================== 방향 ====================
|
|
class Dir(str, Enum):
|
|
BUY = "BUY"
|
|
SELL = "SELL"
|
|
|
|
# ==================== 메인 ====================
|
|
def main():
|
|
args = parse_arguments()
|
|
exchange = ExchangeConnection(args=args)
|
|
|
|
hello = exchange.read_message()
|
|
state = StateManager()
|
|
|
|
# 🔥 자체 order id
|
|
order_id = 0
|
|
def next_id():
|
|
nonlocal order_id
|
|
order_id += 1
|
|
return order_id
|
|
|
|
implied_fairs = {"GS": None, "MS": None, "WFC": None}
|
|
|
|
for sym_info in hello.get("symbols", []):
|
|
state.update_position(sym_info["symbol"], sym_info["position"])
|
|
|
|
# ==================== FAIR VALUE ====================
|
|
def update_fair():
|
|
try:
|
|
xlf_mid = (state.bid_prices["XLF"] + state.ask_prices["XLF"]) / 2
|
|
gs_mid = (state.bid_prices["GS"] + state.ask_prices["GS"]) / 2
|
|
ms_mid = (state.bid_prices["MS"] + state.ask_prices["MS"]) / 2
|
|
wfc_mid = (state.bid_prices["WFC"] + state.ask_prices["WFC"]) / 2
|
|
except:
|
|
return
|
|
|
|
residual = xlf_mid * 10 - 3000
|
|
total = gs_mid*2 + ms_mid*3 + wfc_mid*2
|
|
if total <= 0:
|
|
return
|
|
|
|
raw_gs = residual * (gs_mid*2 / total) / 2
|
|
raw_ms = residual * (ms_mid*3 / total) / 3
|
|
raw_wfc = residual * (wfc_mid*2 / total) / 2
|
|
|
|
implied_fairs["GS"] = int(0.7 * gs_mid + 0.3 * raw_gs)
|
|
implied_fairs["MS"] = int(0.7 * ms_mid + 0.3 * raw_ms)
|
|
implied_fairs["WFC"] = int(0.7 * wfc_mid + 0.3 * raw_wfc)
|
|
|
|
# ==================== BOND ====================
|
|
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, 10)
|
|
|
|
if bid and bid > 1000:
|
|
exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 10)
|
|
|
|
# ==================== MARKET MAKING ====================
|
|
def market_make(sym):
|
|
bid = state.bid_prices.get(sym)
|
|
ask = state.ask_prices.get(sym)
|
|
fair = implied_fairs.get(sym)
|
|
|
|
if None in [bid, ask] or fair is None:
|
|
return
|
|
|
|
pos = state.get_position(sym)
|
|
|
|
buy_price = min(fair - STOCK_SPREAD, bid + 1)
|
|
sell_price = max(fair + STOCK_SPREAD, ask - 1)
|
|
|
|
if pos > 0:
|
|
buy_size, sell_size = 1, STOCK_ORDER_SIZE + 3
|
|
elif pos < 0:
|
|
buy_size, sell_size = STOCK_ORDER_SIZE + 3, 1
|
|
else:
|
|
buy_size = sell_size = STOCK_ORDER_SIZE
|
|
|
|
exchange.send_add_message(next_id(), sym, Dir.BUY, int(buy_price), buy_size)
|
|
exchange.send_add_message(next_id(), sym, Dir.SELL, int(sell_price), sell_size)
|
|
|
|
# ==================== XLF ====================
|
|
def xlf_arb():
|
|
try:
|
|
basket_ask = (
|
|
state.ask_prices["BOND"]*3 +
|
|
state.ask_prices["GS"]*2 +
|
|
state.ask_prices["MS"]*3 +
|
|
state.ask_prices["WFC"]*2
|
|
)
|
|
xlf_bid = state.bid_prices["XLF"]
|
|
except:
|
|
return
|
|
|
|
profit = xlf_bid*10 - basket_ask - XLF_CONVERSION_FEE
|
|
|
|
if profit > MIN_PROFIT_BUFFER:
|
|
exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
|
|
|
|
# ==================== VALE ====================
|
|
def vale_arb():
|
|
vale_bid = state.bid_prices.get("VALE")
|
|
valbz_ask = state.ask_prices.get("VALBZ")
|
|
|
|
if None in [vale_bid, valbz_ask]:
|
|
return
|
|
|
|
if vale_bid - valbz_ask - VALE_CONVERSION_FEE > 5:
|
|
exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1)
|
|
|
|
# ==================== 리스크 ====================
|
|
def risk():
|
|
for sym in ["GS", "MS", "WFC"]:
|
|
pos = state.get_position(sym)
|
|
|
|
if abs(pos) > MAX_POSITION_SOFT:
|
|
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)
|
|
)
|
|
|
|
last_refresh = time.time()
|
|
|
|
# ==================== LOOP ====================
|
|
while True:
|
|
msg = exchange.read_message()
|
|
|
|
if msg["type"] == "close":
|
|
break
|
|
|
|
elif msg["type"] == "book":
|
|
sym = msg["symbol"]
|
|
|
|
state.update_bid_ask_price(
|
|
sym,
|
|
msg["buy"][0][0] if msg["buy"] else None,
|
|
msg["sell"][0][0] if msg["sell"] else None
|
|
)
|
|
|
|
update_fair()
|
|
bond_arb()
|
|
xlf_arb()
|
|
vale_arb()
|
|
risk()
|
|
|
|
if sym in ["GS", "MS", "WFC"]:
|
|
market_make(sym)
|
|
|
|
if time.time() - last_refresh > REFRESH_INTERVAL:
|
|
last_refresh = time.time()
|
|
for s in ["GS", "MS", "WFC"]:
|
|
market_make(s)
|
|
|
|
elif msg["type"] == "fill":
|
|
qty = msg["size"]
|
|
sym = msg["symbol"]
|
|
|
|
if msg["dir"] == Dir.BUY:
|
|
state.update_position(sym, qty)
|
|
else:
|
|
state.update_position(sym, -qty)
|
|
|
|
# ==================== 연결 ====================
|
|
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 _write(self, msg):
|
|
self.writer.send((json.dumps(msg)+"\n").encode())
|
|
|
|
# ==================== args ====================
|
|
def parse_arguments():
|
|
parser = argparse.ArgumentParser()
|
|
parser.add_argument("--test", type=str, default="prod-like")
|
|
args = parser.parse_args()
|
|
|
|
args.exchange_hostname = "test-exch-" + team_name
|
|
args.port = 22000
|
|
return args
|
|
|
|
if __name__ == "__main__":
|
|
main() |