144 lines
3.5 KiB
Python
144 lines
3.5 KiB
Python
#!/usr/bin/env python3
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import argparse, socket, json, time
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from enum import Enum
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from state import StateManager
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team_name = "HanyangFloorFunction"
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ORDER_SIZE = 1
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MAX_POS = 10
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KILL_POS = 15
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REFRESH = 1.0 # 매우 느리게
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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class ExchangeConnection:
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def __init__(self, args):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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s.connect((args.exchange_hostname, args.port))
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self.reader = s.makefile("r", 1)
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self.writer = s
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self.send({"type":"hello","team":team_name.upper()})
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def read(self):
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m = json.loads(self.reader.readline())
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if "dir" in m:
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m["dir"] = Dir(m["dir"])
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return m
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def send(self, m):
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self.writer.send((json.dumps(m)+"\n").encode())
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def add(self, oid,sym,d,px,sz,tif="DAY"):
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self.send({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})
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def cancel(self, oid):
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self.send({"type":"cancel","order_id":oid})
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def ioc(self, oid,sym,d,px,sz):
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self.add(oid,sym,d,px,sz,"IOC")
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def parse_arguments():
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p=argparse.ArgumentParser()
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g=p.add_mutually_exclusive_group(required=True)
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g.add_argument("--production",action="store_true")
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g.add_argument("--test",type=str,default="prod-like")
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a=p.parse_args()
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if a.production:
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a.exchange_hostname="production"; a.port=25000
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else:
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a.exchange_hostname="test-exch-"+team_name; a.port=22000
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return a
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def main():
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args=parse_arguments()
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ex=ExchangeConnection(args)
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st=StateManager()
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hello=ex.read()
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pos={s["symbol"]:s["position"] for s in hello["symbols"]}
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oid=0
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def nid():
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nonlocal oid; oid+=1; return oid
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active={}
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last_refresh=0
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def safe_trade(sym):
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b=st.bid_prices.get(sym)
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a=st.ask_prices.get(sym)
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if b is None or a is None:
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return
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spread = a - b
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# 🔥 핵심: 확실할 때만
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if spread < 4:
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return
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p = pos.get(sym,0)
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if abs(p) > MAX_POS:
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return
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# 🔥 절대 무리하지 않음
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buy_px = b
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sell_px = a
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o=nid(); ex.add(o,sym,Dir.BUY,buy_px,ORDER_SIZE); active[o]=sym
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o=nid(); ex.add(o,sym,Dir.SELL,sell_px,ORDER_SIZE); active[o]=sym
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def risk():
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for s,p in pos.items():
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if abs(p)>KILL_POS:
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b=st.bid_prices.get(s)
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a=st.ask_prices.get(s)
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if p>0 and b:
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ex.ioc(nid(),s,Dir.SELL,b,abs(p))
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elif p<0 and a:
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ex.ioc(nid(),s,Dir.BUY,a,abs(p))
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while True:
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m=ex.read()
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if m["type"]=="close":
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break
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elif m["type"]=="book":
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s=m["symbol"]
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b=m["buy"][0][0] if m["buy"] else None
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a=m["sell"][0][0] if m["sell"] else None
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st.update_bid_ask_price(s,b,a)
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now=time.time()
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if now-last_refresh>REFRESH:
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last_refresh=now
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# 최소 cancel
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for o in list(active.keys()):
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ex.cancel(o)
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active.pop(o,None)
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for sym in ["GS","MS","WFC"]:
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safe_trade(sym)
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risk()
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elif m["type"]=="fill":
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s=m["symbol"]
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q=m["size"]
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if m["dir"]==Dir.BUY:
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pos[s]+=q
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else:
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pos[s]-=q
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if __name__=="__main__":
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main() |