247 lines
8.9 KiB
Python
247 lines
8.9 KiB
Python
#!/usr/bin/env python3
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# ~~~~~============== HOW TO RUN ==============~~~~~
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# 1) Configure things in CONFIGURATION section
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# 2) Change permissions: chmod +x bot.py
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# 3) Run in loop: while true; do ./bot.py --test prod-like; sleep 1; done
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import argparse
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from collections import deque
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from enum import Enum
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import time
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import socket
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import json
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# ~~~~~============== CONFIGURATION ==============~~~~~
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# Replace "REPLACEME" with your team name!
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team_name = "HanyangFloorFunction"
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# ~~~~~============== MAIN LOOP ==============~~~~~
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# You should put your code here! We provide some starter code as an example,
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# but feel free to change/remove/edit/update any of it as you'd like. If you
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# have any questions about the starter code, or what to do next, please ask us!
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#
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# To help you get started, the sample code below tries to buy BOND for a low
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# price, and it prints the current prices for VALE every second. The sample
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# code is intended to be a working example, but it needs some improvement
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# before it will start making good trades!
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def main():
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args = parse_arguments()
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exchange = ExchangeConnection(args=args)
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# Store and print the "hello" message received from the exchange. This
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# contains useful information about your positions. Normally you start with
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# all positions at zero, but if you reconnect during a round, you might
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# have already bought/sold symbols and have non-zero positions.
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hello_message = exchange.read_message()
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print("First message from exchange:", hello_message)
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# Send an order for BOND at a good price, but it is low enough that it is
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# unlikely it will be traded against. Maybe there is a better price to
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# pick? Also, you will need to send more orders over time.
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exchange.send_add_message(order_id=1, symbol="BOND", dir=Dir.BUY, price=990, size=1)
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# Set up some variables to track the bid and ask price of a symbol. Right
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# now this doesn't track much information, but it's enough to get a sense
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# of the VALE market.
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vale_bid_price, vale_ask_price = None, None
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vale_last_print_time = time.time()
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# Here is the main loop of the program. It will continue to read and
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# process messages in a loop until a "close" message is received. You
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# should write to code handle more types of messages (and not just print
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# the message). Feel free to modify any of the starter code below.
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#
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# Note: a common mistake people make is to call write_message() at least
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# once for every read_message() response.
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#
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# Every message sent to the exchange generates at least one response
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# message. Sending a message in response to every exchange message will
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# cause a feedback loop where your bot's messages will quickly be
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# rate-limited and ignored. Please, don't do that!
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while True:
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message = exchange.read_message()
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# Some of the message types below happen infrequently and contain
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# important information to help you understand what your bot is doing,
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# so they are printed in full. We recommend not always printing every
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# message because it can be a lot of information to read. Instead, let
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# your code handle the messages and just print the information
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# important for you!
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if message["type"] == "close":
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print("The round has ended")
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break
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elif message["type"] == "error":
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print(message)
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elif message["type"] == "reject":
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print(message)
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elif message["type"] == "fill":
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print(message)
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elif message["type"] == "book":
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if message["symbol"] == "VALE":
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def best_price(side):
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if message[side]:
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return message[side][0][0]
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vale_bid_price = best_price("buy")
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vale_ask_price = best_price("sell")
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now = time.time()
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if now > vale_last_print_time + 1:
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vale_last_print_time = now
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print(
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{
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"vale_bid_price": vale_bid_price,
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"vale_ask_price": vale_ask_price,
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}
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)
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# ~~~~~============== PROVIDED CODE ==============~~~~~
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# You probably don't need to edit anything below this line, but feel free to
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# ask if you have any questions about what it is doing or how it works. If you
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# do need to change anything below this line, please feel free to
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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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self.message_timestamps = deque(maxlen=500)
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self.exchange_hostname = args.exchange_hostname
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self.port = args.port
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exchange_socket = self._connect(add_socket_timeout=args.add_socket_timeout)
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self.reader = exchange_socket.makefile("r", 1)
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self.writer = exchange_socket
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self._write_message({"type": "hello", "team": team_name.upper()})
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def read_message(self):
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"""Read a single message from the exchange"""
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message = json.loads(self.reader.readline())
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if "dir" in message:
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message["dir"] = Dir(message["dir"])
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return message
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def send_add_message(
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self, order_id: int, symbol: str, dir: Dir, price: int, size: int
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):
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"""Add a new order"""
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self._write_message(
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{
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"type": "add",
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"order_id": order_id,
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"symbol": symbol,
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"dir": dir,
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"price": price,
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"size": size,
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}
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)
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def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
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"""Convert between related symbols"""
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self._write_message(
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{
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"type": "convert",
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"order_id": order_id,
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"symbol": symbol,
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"dir": dir,
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"size": size,
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}
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)
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def send_cancel_message(self, order_id: int):
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"""Cancel an existing order"""
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self._write_message({"type": "cancel", "order_id": order_id})
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def _connect(self, add_socket_timeout):
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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if add_socket_timeout:
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# Automatically raise an exception if no data has been recieved for
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# multiple seconds. This should not be enabled on an "empty" test
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# exchange.
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s.settimeout(5)
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s.connect((self.exchange_hostname, self.port))
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return s
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def _write_message(self, message):
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what_to_write = json.dumps(message)
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if not what_to_write.endswith("\n"):
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what_to_write = what_to_write + "\n"
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length_to_send = len(what_to_write)
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total_sent = 0
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while total_sent < length_to_send:
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sent_this_time = self.writer.send(
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what_to_write[total_sent:].encode("utf-8")
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)
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if sent_this_time == 0:
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raise Exception("Unable to send data to exchange")
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total_sent += sent_this_time
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now = time.time()
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self.message_timestamps.append(now)
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if len(
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self.message_timestamps
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) == self.message_timestamps.maxlen and self.message_timestamps[0] > (now - 1):
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print(
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"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."
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)
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def parse_arguments():
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test_exchange_port_offsets = {"prod-like": 0, "slower": 1, "empty": 2}
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parser = argparse.ArgumentParser(description="Trade on an ETC exchange!")
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exchange_address_group = parser.add_mutually_exclusive_group(required=True)
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exchange_address_group.add_argument(
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"--production", action="store_true", help="Connect to the production exchange."
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)
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exchange_address_group.add_argument(
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"--test",
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type=str,
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choices=test_exchange_port_offsets.keys(),
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help="Connect to a test exchange.",
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)
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# Connect to a specific host. This is only intended to be used for debugging.
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exchange_address_group.add_argument(
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"--specific-address", type=str, metavar="HOST:PORT", help=argparse.SUPPRESS
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)
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args = parser.parse_args()
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args.add_socket_timeout = True
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if args.production:
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args.exchange_hostname = "production"
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args.port = 25000
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elif args.test:
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args.exchange_hostname = "test-exch-" + team_name
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args.port = 22000 + test_exchange_port_offsets[args.test]
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if args.test == "empty":
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args.add_socket_timeout = False
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elif args.specific_address:
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args.exchange_hostname, port = args.specific_address.split(":")
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args.port = int(port)
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return args
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if __name__ == "__main__":
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# Check that [team_name] has been updated.
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assert team_name != "REPLAC" + "EME", (
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"Please put your team name in the variable [team_name]."
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)
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main()
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