453 lines
19 KiB
Python
453 lines
19 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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from state import StateManager
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from order import OrderManager
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# ~~~~~============== CONFIGURATION ==============~~~~~
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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 = 60
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XLF_CONVERSION_FEE = 100
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XLF_MIN_PROFIT = 5
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VALE_CONVERSION_FEE = 10
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VALE_MIN_PROFIT = 1
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VALE_ARB_SIZE = 10
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REFRESH_INTERVAL = 5.0
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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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xlf_convert_oid = None
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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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vale_convert_oid = None
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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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for sym_info in hello_message["symbols"]:
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sym = sym_info["symbol"]
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pos = sym_info["position"]
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if sym in om.positions:
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om.positions[sym] = pos
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om.future_positions[sym] = pos
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print(f" 초기 포지션 로드: {om.positions}")
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def next_id():
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return om.next_order()
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def cancel_bond_sell_orders():
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for oid in list(active_orders.keys()):
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order_info = active_orders[oid]
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if order_info["dir"] == Dir.SELL:
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size = order_info.get("size", 0)
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om.future_positions["BOND"] += size
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om.cancel(oid)
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active_orders.pop(oid, None)
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def cancel_all_bond_orders():
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for oid in list(active_orders.keys()):
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order_info = active_orders[oid]
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size = order_info.get("size", 0)
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if order_info["dir"] == Dir.BUY:
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om.future_positions["BOND"] -= size
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else:
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om.future_positions["BOND"] += size
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om.cancel(oid)
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active_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(order_id=bid, symbol="BOND", dir=Dir.BUY, price=buy_price, size=buy_size)
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om.future_positions["BOND"] += buy_size
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active_orders[bid] = {"dir": Dir.BUY, "price": buy_price, "size": buy_size}
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if sell_size > 0:
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ask = next_id()
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exchange.send_add_message(order_id=ask, symbol="BOND", dir=Dir.SELL, price=sell_price, size=sell_size)
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om.future_positions["BOND"] -= sell_size
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active_orders[ask] = {"dir": Dir.SELL, "price": sell_price, "size": sell_size}
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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, xlf_convert_oid
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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, 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 > XLF_MIN_PROFIT and om.check_pos_limit("XLF"):
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print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
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cancel_bond_sell_orders()
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xlf_state = "BUYING_BASKET"; xlf_direction = "BASKET_TO_XLF"; 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 > XLF_MIN_PROFIT 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"; xlf_direction = "XLF_TO_BASKET"; 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, xlf_convert_oid
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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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xlf_convert_oid = next_id()
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exchange.send_convert_message(xlf_convert_oid, "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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xlf_convert_oid = next_id()
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exchange.send_convert_message(xlf_convert_oid, "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, vale_convert_oid
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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 > VALE_MIN_PROFIT 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"; vale_direction = "VALBZ_TO_VALE"; 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 > VALE_MIN_PROFIT 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"; vale_direction = "VALE_TO_VALBZ"; 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, vale_convert_oid
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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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vale_convert_oid = next_id()
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exchange.send_convert_message(vale_convert_oid, "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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vale_convert_oid = next_id()
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exchange.send_convert_message(vale_convert_oid, "VALE", Dir.SELL, vale_arb_size)
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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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if oid in xlf_pending:
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print(" XLF 주문 reject → IDLE 복귀")
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xlf_state = "IDLE"; xlf_pending.clear(); 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"; vale_pending.clear(); vale_direction = None
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elif message["type"] == "ack":
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ack_oid = message.get("order_id")
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if xlf_state == "CONVERTING" and ack_oid == xlf_convert_oid:
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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; om.positions["GS"] -= 2
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om.positions["MS"] -= 3; om.positions["WFC"] -= 2
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om.positions["XLF"] += xlf_arb_size
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om.future_positions["BOND"] -= 3; om.future_positions["GS"] -= 2
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om.future_positions["MS"] -= 3; om.future_positions["WFC"] -= 2
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om.future_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(oid, "XLF", Dir.SELL, state.bid_prices["XLF"], xlf_arb_size)
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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; om.positions["GS"] += 2
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om.positions["MS"] += 3; om.positions["WFC"] += 2
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om.future_positions["XLF"] -= xlf_arb_size
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om.future_positions["BOND"] += 3; om.future_positions["GS"] += 2
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om.future_positions["MS"] += 3; om.future_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(oid, sym, Dir.SELL, state.bid_prices[sym], qty)
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xlf_pending[oid] = qty
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elif vale_state == "CONVERTING" and ack_oid == vale_convert_oid:
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print(" VALE 변환 완료 → 매도 시작")
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if vale_direction == "VALBZ_TO_VALE":
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om.positions["VALBZ"] -= vale_arb_size; om.positions["VALE"] += vale_arb_size
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om.future_positions["VALBZ"] -= vale_arb_size; om.future_positions["VALE"] += vale_arb_size
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vale_state = "SELLING_VALE"
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oid = next_id()
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exchange.send_add_message(oid, "VALE", Dir.SELL, state.bid_prices["VALE"], vale_arb_size)
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vale_pending[oid] = vale_arb_size
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elif vale_direction == "VALE_TO_VALBZ":
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om.positions["VALE"] -= vale_arb_size; om.positions["VALBZ"] += vale_arb_size
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om.future_positions["VALE"] -= vale_arb_size; om.future_positions["VALBZ"] += vale_arb_size
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vale_state = "SELLING_VALBZ"
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oid = next_id()
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exchange.send_add_message(oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], vale_arb_size)
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vale_pending[oid] = vale_arb_size
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elif message["type"] == "fill":
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print(message)
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qty = message["size"]
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sym = message["symbol"]
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dir_ = message["dir"]
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oid = message["order_id"]
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if dir_ == Dir.BUY:
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om.update_position(sym, oid, qty)
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else:
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om.update_position(sym, oid, -qty)
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print(f" 포지션 → {om.positions}")
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if sym == "BOND" and oid in active_orders:
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active_orders.pop(oid, None)
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place_bond_orders()
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handle_xlf_fill(oid, sym, dir_, qty)
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if xlf_state in ("SELLING_XLF", "SELLING_BASKET") and not xlf_pending:
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print(" XLF 차익거래 완료 → IDLE 복귀")
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xlf_state = "IDLE"; xlf_direction = None
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place_bond_orders()
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try_xlf_arb()
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handle_vale_fill(oid, sym, dir_, qty)
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if vale_state in ("SELLING_VALE", "SELLING_VALBZ") and not vale_pending:
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print(" VALE 차익거래 완료 → IDLE 복귀")
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vale_state = "IDLE"; vale_direction = None
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try_vale_arb()
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elif message["type"] == "book":
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sym = message["symbol"]
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state.update_bid_ask_price(
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sym,
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message["buy"][0][0] if message["buy"] else None,
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message["sell"][0][0] if message["sell"] else None
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)
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if sym == "VALE":
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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({"vale_bid_price": state.bid_prices["VALE"], "vale_ask_price": state.ask_prices["VALE"]})
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if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
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try_xlf_arb()
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if sym in ["VALE", "VALBZ"]:
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try_vale_arb()
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now = time.time()
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if now - last_refresh > REFRESH_INTERVAL:
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last_refresh = now
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place_bond_orders()
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# ~~~~~============== PROVIDED CODE ==============~~~~~
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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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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(self, order_id: int, symbol: str, dir: Dir, price: int, size: int):
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self._write_message({"type": "add", "order_id": order_id, "symbol": symbol,
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"dir": dir, "price": price, "size": size, "tif": "DAY"})
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def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
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self._write_message({"type": "convert", "order_id": order_id, "symbol": symbol, "dir": dir, "size": size})
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def send_cancel_message(self, order_id: int):
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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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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"):
|
|
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")
|
|
exchange_address_group.add_argument("--test", type=str, choices=test_exchange_port_offsets.keys())
|
|
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"
|
|
main() |