685 lines
23 KiB
Python
685 lines
23 KiB
Python
#!/usr/bin/env python3
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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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from state import StateManager
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from order import OrderManager
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class PriceHistory:
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def __init__(self, maxlen=100):
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self.prices = deque(maxlen=maxlen)
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def add(self, price):
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if price is not None:
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self.prices.append(price)
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def get_all(self):
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return list(self.prices)
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def __len__(self):
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return len(self.prices)
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class TechnicalAnalyzer:
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@staticmethod
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def calculate_ema(prices, period):
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if len(prices) < period:
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return None
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alpha = 2 / (period + 1)
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ema = prices[0]
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for price in prices[1:]:
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ema = alpha * price + (1 - alpha) * ema
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return ema
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@staticmethod
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def calculate_rsi(prices, period=14):
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if len(prices) < period + 1:
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return None
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gains = []
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losses = []
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for i in range(1, len(prices)):
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diff = prices[i] - prices[i - 1]
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if diff > 0:
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gains.append(diff)
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losses.append(0)
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else:
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gains.append(0)
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losses.append(abs(diff))
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avg_gain = sum(gains[-period:]) / period
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avg_loss = sum(losses[-period:]) / period
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if avg_loss == 0:
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return 100
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rs = avg_gain / avg_loss
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return 100 - (100 / (1 + rs))
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class CrossEMAStrategy:
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def __init__(self, fast_period=10, slow_period=30, rsi_period=14,
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oversold=30, overbought=70, size=5):
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self.fast_period = fast_period
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self.slow_period = slow_period
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self.rsi_period = rsi_period
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self.oversold = oversold
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self.overbought = overbought
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self.size = size
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self.price_histories = {}
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self.last_signal = {}
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def register_symbol(self, symbol):
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if symbol not in self.price_histories:
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maxlen = max(self.slow_period, self.rsi_period) + 10
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self.price_histories[symbol] = PriceHistory(maxlen=maxlen)
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self.last_signal[symbol] = None
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def update(self, symbol, price):
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self.register_symbol(symbol)
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self.price_histories[symbol].add(price)
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def get_signal(self, symbol):
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history = self.price_histories[symbol]
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prices = history.get_all()
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if len(prices) < self.slow_period:
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return None, None, None
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fast_ema = TechnicalAnalyzer.calculate_ema(prices, self.fast_period)
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slow_ema = TechnicalAnalyzer.calculate_ema(prices, self.slow_period)
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rsi = TechnicalAnalyzer.calculate_rsi(prices, self.rsi_period)
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if fast_ema is None or slow_ema is None:
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return None, None, None
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prev_fast = TechnicalAnalyzer.calculate_ema(prices[:-1], self.fast_period)
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prev_slow = TechnicalAnalyzer.calculate_ema(prices[:-1], self.slow_period)
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if prev_fast is None or prev_slow is None:
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return None, None, None
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signal = None
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if prev_fast <= prev_slow and fast_ema > slow_ema:
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signal = "LONG"
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elif prev_fast >= prev_slow and fast_ema < slow_ema:
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signal = "SHORT"
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return signal, rsi, (fast_ema, slow_ema)
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def should_trade(self, symbol, rsi):
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if rsi is None:
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return True
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if self.last_signal.get(symbol) == "LONG" and rsi > self.overbought:
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return True
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if self.last_signal.get(symbol) == "SHORT" and rsi < self.oversold:
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return True
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return False
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team_name = "HanyangFloorFunction"
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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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hello_message = exchange.read_message()
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print("First message from exchange:", hello_message)
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BOND_FAIR_VALUE = 1000
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BOND_ORDER_SIZE = 50
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XLF_CONVERSION_FEE = 100
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VALE_CONVERSION_FEE = 10
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VALE_ARB_SIZE = 10
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REFRESH_INTERVAL = 5.0
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FAST_EMA_PERIOD = 10
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SLOW_EMA_PERIOD = 30
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EMA_SIZE = 5
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xlf_state = "IDLE"
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xlf_pending = {}
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xlf_direction = None
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xlf_arb_size = 0
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vale_state = "IDLE"
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vale_pending = {}
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vale_direction = None
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vale_arb_size = 0
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state = StateManager()
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om = OrderManager(exchange)
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market_open = False
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active_orders = {}
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last_refresh = time.time()
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cross_ema = CrossEMAStrategy(
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fast_period=FAST_EMA_PERIOD,
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slow_period=SLOW_EMA_PERIOD,
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size=EMA_SIZE
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)
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symbols_for_ema = ["VALE", "VALBZ", "GS", "MS", "WFC", "XLF"]
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for sym in symbols_for_ema:
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cross_ema.register_symbol(sym)
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active_ema_orders = {}
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def next_id():
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return om.next_order()
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def cancel_all_bond_orders():
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for oid in list(active_orders.keys()):
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om.cancel(oid)
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active_orders.pop(oid, None)
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def cancel_ema_orders_for_symbol(symbol):
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to_cancel = [oid for oid, info in active_ema_orders.items() if info["symbol"] == symbol]
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for oid in to_cancel:
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om.cancel(oid)
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active_ema_orders.pop(oid, None)
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def place_bond_orders():
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if not market_open:
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return
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cancel_all_bond_orders()
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buy_price = BOND_FAIR_VALUE - 1
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sell_price = BOND_FAIR_VALUE + 1
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position = om.positions["BOND"]
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base_size = BOND_ORDER_SIZE
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adjustment = abs(position) // 5
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if position < 0:
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buy_size = min(base_size + adjustment, 100 - position)
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sell_size = max(base_size - adjustment, 1)
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elif position > 0:
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buy_size = max(base_size - adjustment, 1)
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sell_size = min(base_size + adjustment, 100 + position)
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else:
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buy_size = base_size
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sell_size = base_size
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buy_size = max(0, min(buy_size, 100 - position))
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sell_size = max(0, min(sell_size, 100 + position))
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if buy_size > 0:
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bid = next_id()
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exchange.send_add_message(
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order_id=bid, symbol="BOND",
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dir=Dir.BUY, price=buy_price, size=buy_size
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)
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active_orders[bid] = {"dir": Dir.BUY, "price": buy_price}
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if sell_size > 0:
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ask = next_id()
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exchange.send_add_message(
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order_id=ask, symbol="BOND",
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dir=Dir.SELL, price=sell_price, size=sell_size
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)
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active_orders[ask] = {"dir": Dir.SELL, "price": sell_price}
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print(f" BOND 주문 → 매수:{buy_price} x{buy_size}, 매도:{sell_price} x{sell_size}, 포지션:{position}")
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def try_xlf_arb():
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nonlocal xlf_state, xlf_direction, xlf_pending, xlf_arb_size
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if not market_open or xlf_state != "IDLE":
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return
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bond_ask = state.ask_prices["BOND"]
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gs_ask = state.ask_prices["GS"]
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ms_ask = state.ask_prices["MS"]
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wfc_ask = state.ask_prices["WFC"]
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xlf_bid = state.bid_prices["XLF"]
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bond_bid = state.bid_prices["BOND"]
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gs_bid = state.bid_prices["GS"]
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ms_bid = state.bid_prices["MS"]
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wfc_bid = state.bid_prices["WFC"]
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xlf_ask = state.ask_prices["XLF"]
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if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid,
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bond_bid, gs_bid, ms_bid, wfc_bid, xlf_ask]:
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return
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basket_ask = bond_ask * 3 + gs_ask * 2 + ms_ask * 3 + wfc_ask * 2
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basket_bid = bond_bid * 3 + gs_bid * 2 + ms_bid * 3 + wfc_bid * 2
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profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
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if profit1 > 0 and om.check_pos_limit("XLF"):
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print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
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cancel_all_bond_orders()
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xlf_state = "BUYING_BASKET"
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xlf_direction = "BASKET_TO_XLF"
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xlf_arb_size = 10
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xlf_pending.clear()
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for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
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oid = next_id()
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exchange.send_add_message(oid, sym, Dir.BUY, state.ask_prices[sym], qty)
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xlf_pending[oid] = qty
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return
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profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
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if profit2 > 0 and om.check_pos_limit("XLF"):
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print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
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cancel_all_bond_orders()
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xlf_state = "BUYING_XLF"
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xlf_direction = "XLF_TO_BASKET"
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xlf_arb_size = 10
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xlf_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "XLF", Dir.BUY, xlf_ask, 10)
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xlf_pending[oid] = 10
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def handle_xlf_fill(order_id, symbol, dir_, qty):
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nonlocal xlf_state, xlf_pending
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if order_id not in xlf_pending:
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return
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xlf_pending[order_id] -= qty
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if xlf_pending[order_id] <= 0:
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del xlf_pending[order_id]
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if xlf_state == "BUYING_BASKET" and not xlf_pending:
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print(" 바스켓 매수 완료 → XLF 변환 시작")
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xlf_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "XLF", Dir.BUY, xlf_arb_size)
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elif xlf_state == "BUYING_XLF" and not xlf_pending:
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print(" XLF 매수 완료 → 바스켓 변환 시작")
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xlf_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "XLF", Dir.SELL, xlf_arb_size)
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def try_vale_arb():
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nonlocal vale_state, vale_direction, vale_pending, vale_arb_size
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if not market_open or vale_state != "IDLE":
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return
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vale_bid = state.bid_prices["VALE"]
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vale_ask = state.ask_prices["VALE"]
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valbz_bid = state.bid_prices["VALBZ"]
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valbz_ask = state.ask_prices["VALBZ"]
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if None in [vale_bid, vale_ask, valbz_bid, valbz_ask]:
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return
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valbz_pos = om.positions["VALBZ"]
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vale_pos = om.positions["VALE"]
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profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
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arb_size1 = min(VALE_ARB_SIZE, 10 - valbz_pos)
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if profit1 > 0 and arb_size1 > 0:
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print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1 * arb_size1}, size:{arb_size1}")
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vale_state = "BUYING_VALBZ"
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vale_direction = "VALBZ_TO_VALE"
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vale_arb_size = arb_size1
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vale_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "VALBZ", Dir.BUY, valbz_ask, arb_size1)
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vale_pending[oid] = arb_size1
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return
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profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
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arb_size2 = min(VALE_ARB_SIZE, 10 - vale_pos)
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if profit2 > 0 and arb_size2 > 0:
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print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2 * arb_size2}, size:{arb_size2}")
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vale_state = "BUYING_VALE"
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vale_direction = "VALE_TO_VALBZ"
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vale_arb_size = arb_size2
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vale_pending.clear()
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oid = next_id()
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exchange.send_add_message(oid, "VALE", Dir.BUY, vale_ask, arb_size2)
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vale_pending[oid] = arb_size2
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def handle_vale_fill(order_id, symbol, dir_, qty):
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nonlocal vale_state, vale_pending
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if order_id not in vale_pending:
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return
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vale_pending[order_id] -= qty
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if vale_pending[order_id] <= 0:
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del vale_pending[order_id]
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if vale_state == "BUYING_VALBZ" and not vale_pending:
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print(" VALBZ 매수 완료 → VALE 변환 시작")
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vale_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "VALE", Dir.BUY, vale_arb_size)
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elif vale_state == "BUYING_VALE" and not vale_pending:
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print(" VALE 매수 완료 → VALBZ 변환 시작")
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vale_state = "CONVERTING"
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exchange.send_convert_message(next_id(), "VALE", Dir.SELL, vale_arb_size)
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def try_ema_trade():
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if not market_open:
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return
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if xlf_state != "IDLE" or vale_state != "IDLE":
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return
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for symbol in symbols_for_ema:
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mid_price = state.get_mid_price(symbol)
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if mid_price is None:
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continue
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cross_ema.update(symbol, mid_price)
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signal, rsi, ema_values = cross_ema.get_signal(symbol)
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if signal is None:
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continue
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current_pos = om.positions[symbol]
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limit = om.POSITIONS_LIMIT.get(symbol, 100)
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remaining_capacity = limit - current_pos if signal == "LONG" else limit + current_pos
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if remaining_capacity <= 0:
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continue
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size = min(cross_ema.size, remaining_capacity)
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cancel_ema_orders_for_symbol(symbol)
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if signal == "LONG":
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bid_price = state.bid_prices[symbol]
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if bid_price is not None and om.check_pos_limit(symbol):
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oid = next_id()
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exchange.send_add_message(oid, symbol, Dir.BUY, bid_price + 1, size)
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active_ema_orders[oid] = {"symbol": symbol, "dir": "LONG"}
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cross_ema.last_signal[symbol] = "LONG"
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print(f" CrossEMA: {symbol} LONG (bid:{bid_price}, rsi:{rsi:.1f}, ema:{ema_values})")
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elif signal == "SHORT":
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ask_price = state.ask_prices[symbol]
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if ask_price is not None and om.check_pos_limit(symbol):
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oid = next_id()
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exchange.send_add_message(oid, symbol, Dir.SELL, ask_price - 1, size)
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active_ema_orders[oid] = {"symbol": symbol, "dir": "SHORT"}
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cross_ema.last_signal[symbol] = "SHORT"
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print(f" CrossEMA: {symbol} SHORT (ask:{ask_price}, rsi:{rsi:.1f}, ema:{ema_values})")
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vale_last_print_time = time.time()
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while True:
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message = exchange.read_message()
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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"] == "open":
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print("Market opened:", message)
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market_open = True
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place_bond_orders()
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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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oid = message.get("order_id")
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active_orders.pop(oid, None)
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active_ema_orders.pop(oid, None)
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if oid in xlf_pending:
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print(" XLF 주문 reject → IDLE 복귀")
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xlf_state = "IDLE"
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xlf_pending.clear()
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xlf_direction = None
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place_bond_orders()
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if oid in vale_pending:
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print(" VALE 주문 reject → IDLE 복귀")
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vale_state = "IDLE"
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vale_pending.clear()
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vale_direction = None
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elif message["type"] == "ack":
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if xlf_state == "CONVERTING":
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print(" XLF 변환 완료 → 매도 시작")
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if xlf_direction == "BASKET_TO_XLF":
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om.positions["BOND"] -= 3
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om.positions["GS"] -= 2
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om.positions["MS"] -= 3
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om.positions["WFC"] -= 2
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om.positions["XLF"] += xlf_arb_size
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xlf_state = "SELLING_XLF"
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oid = next_id()
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exchange.send_add_message(
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oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size
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)
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xlf_pending[oid] = xlf_arb_size
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elif xlf_direction == "XLF_TO_BASKET":
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om.positions["XLF"] -= xlf_arb_size
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om.positions["BOND"] += 3
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om.positions["GS"] += 2
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om.positions["MS"] += 3
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om.positions["WFC"] += 2
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xlf_state = "SELLING_BASKET"
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for sym, qty in [("BOND", 3), ("GS", 2), ("MS", 3), ("WFC", 2)]:
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oid = next_id()
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exchange.send_add_message(
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oid, sym, Dir.SELL, state.bid_prices[sym], qty
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)
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xlf_pending[oid] = qty
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elif vale_state == "CONVERTING":
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print(" VALE 변환 완료 → 매도 시작")
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if vale_direction == "VALBZ_TO_VALE":
|
|
om.positions["VALBZ"] -= vale_arb_size
|
|
om.positions["VALE"] += vale_arb_size
|
|
vale_state = "SELLING_VALE"
|
|
oid = next_id()
|
|
exchange.send_add_message(
|
|
oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size
|
|
)
|
|
vale_pending[oid] = vale_arb_size
|
|
elif vale_direction == "VALE_TO_VALBZ":
|
|
om.positions["VALE"] -= vale_arb_size
|
|
om.positions["VALBZ"] += vale_arb_size
|
|
vale_state = "SELLING_VALBZ"
|
|
oid = next_id()
|
|
exchange.send_add_message(
|
|
oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size
|
|
)
|
|
vale_pending[oid] = vale_arb_size
|
|
|
|
elif message["type"] == "fill":
|
|
print(message)
|
|
qty = message["size"]
|
|
sym = message["symbol"]
|
|
dir_ = message["dir"]
|
|
oid = message["order_id"]
|
|
|
|
if dir_ == Dir.BUY:
|
|
om.update_position(sym, oid, qty)
|
|
else:
|
|
om.update_position(sym, oid, -qty)
|
|
|
|
print(f" 포지션 → {om.positions}")
|
|
|
|
if sym == "BOND" and oid in active_orders:
|
|
active_orders.pop(oid, None)
|
|
place_bond_orders()
|
|
|
|
if oid in active_ema_orders:
|
|
active_ema_orders.pop(oid, None)
|
|
|
|
handle_xlf_fill(oid, sym, dir_, qty)
|
|
if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
|
|
print(" XLF 차익거래 완료 → IDLE 복귀")
|
|
xlf_state = "IDLE"
|
|
xlf_direction = None
|
|
place_bond_orders()
|
|
|
|
handle_vale_fill(oid, sym, dir_, qty)
|
|
if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
|
|
print(" VALE 차익거래 완료 → IDLE 복귀")
|
|
vale_state = "IDLE"
|
|
vale_direction = None
|
|
|
|
elif message["type"] == "book":
|
|
sym = message["symbol"]
|
|
state.update_bid_ask_price(
|
|
sym,
|
|
message["buy"][0][0] if message["buy"] else None,
|
|
message["sell"][0][0] if message["sell"] else None
|
|
)
|
|
|
|
if sym == "VALE":
|
|
now = time.time()
|
|
if now > vale_last_print_time + 1:
|
|
vale_last_print_time = now
|
|
print({
|
|
"vale_bid_price": state.bid_prices["VALE"],
|
|
"vale_ask_price": state.ask_prices["VALE"],
|
|
})
|
|
|
|
if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
|
|
try_xlf_arb()
|
|
|
|
if sym in ["VALE", "VALBZ"]:
|
|
try_vale_arb()
|
|
|
|
if sym in symbols_for_ema:
|
|
try_ema_trade()
|
|
|
|
now = time.time()
|
|
if now - last_refresh > REFRESH_INTERVAL:
|
|
last_refresh = now
|
|
place_bond_orders()
|
|
|
|
|
|
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):
|
|
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
|
|
):
|
|
self._write_message(
|
|
{
|
|
"type": "add",
|
|
"order_id": order_id,
|
|
"symbol": symbol,
|
|
"dir": dir,
|
|
"price": price,
|
|
"size": size,
|
|
"tif": "DAY",
|
|
}
|
|
)
|
|
|
|
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
|
|
self._write_message(
|
|
{
|
|
"type": "convert",
|
|
"order_id": order_id,
|
|
"symbol": symbol,
|
|
"dir": dir,
|
|
"size": size,
|
|
}
|
|
)
|
|
|
|
def send_cancel_message(self, order_id: int):
|
|
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:
|
|
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.",
|
|
)
|
|
|
|
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__":
|
|
assert team_name != "REPLAC" + "EME", (
|
|
"Please put your team name in the variable [team_name]."
|
|
)
|
|
|
|
main()
|