555 lines
21 KiB
Python
555 lines
21 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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# 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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# --- 설정 ---
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BOND_FAIR_VALUE = 1000 # BOND fair value (고정)
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BOND_ORDER_SIZE = 30 # BOND 주문당 수량
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BOND_MAX_POSITION = 100 # BOND 최대 포지션 한도
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XLF_CONVERSION_FEE = 100 # XLF 변환 비용
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XLF_MAX_POSITION = 100 # XLF 포지션 한도
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VALE_CONVERSION_FEE = 10 # VALE 변환 비용
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VALE_MAX_POSITION = 10 # VALE/VALBZ 포지션 한도
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REFRESH_INTERVAL = 5.0 # 주문 갱신 주기 (초)
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# XLF state machine
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xlf_state = "IDLE"
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xlf_pending = {}
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xlf_direction = None
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# VALE state machine
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vale_state = "IDLE"
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vale_pending = {}
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vale_direction = None
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state = StateManager()
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om = OrderManager()
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market_open = False
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active_orders = {} # BOND 전용
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last_refresh = time.time()
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vale_last_print = time.time()
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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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"""활성 BOND 주문 전부 취소"""
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for oid in list(active_orders.keys()):
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exchange.send_cancel_message(oid)
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active_orders.pop(oid, None)
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def place_bond_orders():
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"""포지션 한도 안에서 bid/ask 양방향 주문"""
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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 = state.get_position("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, BOND_MAX_POSITION - 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, BOND_MAX_POSITION + 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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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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"""XLF 차익거래 시도 - IDLE 상태일 때만"""
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nonlocal xlf_state, xlf_direction, xlf_pending
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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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# 케이스 1: 바스켓 매수 → XLF 변환 → XLF 매도
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profit1 = xlf_bid * 10 - basket_ask - XLF_CONVERSION_FEE
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if profit1 > 0 and state.get_position("XLF") < XLF_MAX_POSITION:
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print(f" XLF 차익(바스켓→XLF) 시작, 예상수익:{profit1}")
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xlf_state = "BUYING_BASKET"
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xlf_direction = "BASKET_TO_XLF"
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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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# 케이스 2: XLF 매수 → 바스켓 변환 → 각 종목 매도
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profit2 = basket_bid - xlf_ask * 10 - XLF_CONVERSION_FEE
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if profit2 > 0 and state.get_position("XLF") > -XLF_MAX_POSITION:
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print(f" XLF 차익(XLF→바스켓) 시작, 예상수익:{profit2}")
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xlf_state = "BUYING_XLF"
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xlf_direction = "XLF_TO_BASKET"
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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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"""XLF state machine 체결 처리"""
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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, 10)
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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, 10)
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def try_vale_arb():
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"""VALE/VALBZ 차익거래 시도 - IDLE 상태일 때만"""
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nonlocal vale_state, vale_direction, vale_pending
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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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# 케이스 1: VALE가 비쌀 때 → VALBZ 매수 → VALE 변환 → VALE 매도
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profit1 = vale_bid - valbz_ask - VALE_CONVERSION_FEE
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if profit1 > 0 and state.get_position("VALBZ") < VALE_MAX_POSITION:
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print(f" VALE 차익(VALBZ→VALE) 시작, 예상수익:{profit1}")
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vale_state = "BUYING_VALBZ"
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vale_direction = "VALBZ_TO_VALE"
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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, 1)
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vale_pending[oid] = 1
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return
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# 케이스 2: VALBZ가 비쌀 때 → VALE 매수 → VALBZ 변환 → VALBZ 매도
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profit2 = valbz_bid - vale_ask - VALE_CONVERSION_FEE
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if profit2 > 0 and state.get_position("VALE") < VALE_MAX_POSITION:
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print(f" VALE 차익(VALE→VALBZ) 시작, 예상수익:{profit2}")
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vale_state = "BUYING_VALE"
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vale_direction = "VALE_TO_VALBZ"
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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, 1)
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vale_pending[oid] = 1
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def handle_vale_fill(order_id, symbol, dir_, qty):
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"""VALE state machine 체결 처리"""
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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, 1)
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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, 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_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"] == "open":
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# 시장이 열렸을 때 주문 시작 (open 전에 주문하면 reject됨)
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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"
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xlf_pending.clear()
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xlf_direction = None
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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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# XLF 변환 ack 처리
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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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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"], 10
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)
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xlf_pending[oid] = 10
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elif xlf_direction == "XLF_TO_BASKET":
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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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# VALE 변환 ack 처리
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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":
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vale_state = "SELLING_VALE"
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oid = next_id()
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exchange.send_add_message(
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oid, "VALE", Dir.SELL, state.bid_prices["VALE"], 1
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)
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vale_pending[oid] = 1
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elif vale_direction == "VALE_TO_VALBZ":
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vale_state = "SELLING_VALBZ"
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oid = next_id()
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exchange.send_add_message(
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oid, "VALBZ", Dir.SELL, state.bid_prices["VALBZ"], 1
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)
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vale_pending[oid] = 1
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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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# 포지션 업데이트
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if dir_ == Dir.BUY:
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state.update_position(sym, qty)
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else:
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state.update_position(sym, -qty)
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print(f" 포지션 → {state.positions}")
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# BOND 체결 시 무조건 재주문
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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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# XLF state machine 체결 처리
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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"
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xlf_direction = None
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# VALE state machine 체결 처리
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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"
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vale_direction = None
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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({
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"vale_bid_price": state.bid_prices["VALE"],
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"vale_ask_price": state.ask_prices["VALE"],
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})
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# XLF 관련 심볼 호가 업데이트마다 차익거래 시도
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if sym in ["BOND", "GS", "MS", "WFC", "XLF"]:
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try_xlf_arb()
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# VALE/VALBZ 호가 업데이트마다 차익거래 시도
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if sym in ["VALE", "VALBZ"]:
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try_vale_arb()
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# 주기적으로 BOND 주문 갱신 (주문 만료 방지)
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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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# 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
|
|
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):
|
|
"""Read a single message from the exchange"""
|
|
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
|
|
):
|
|
"""Add a new order"""
|
|
self._write_message(
|
|
{
|
|
"type": "add",
|
|
"order_id": order_id,
|
|
"symbol": symbol,
|
|
"dir": dir,
|
|
"price": price,
|
|
"size": size,
|
|
"tif": "DAY", # 설명서 필수 필드: DAY or IOC
|
|
}
|
|
)
|
|
|
|
def send_convert_message(self, order_id: int, symbol: str, dir: Dir, size: int):
|
|
"""Convert between related symbols"""
|
|
self._write_message(
|
|
{
|
|
"type": "convert",
|
|
"order_id": order_id,
|
|
"symbol": symbol,
|
|
"dir": dir,
|
|
"size": size,
|
|
}
|
|
)
|
|
|
|
def send_cancel_message(self, order_id: int):
|
|
"""Cancel an existing order"""
|
|
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:
|
|
# Automatically raise an exception if no data has been recieved for
|
|
# multiple seconds. This should not be enabled on an "empty" test
|
|
# exchange.
|
|
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.",
|
|
)
|
|
|
|
# Connect to a specific host. This is only intended to be used for debugging.
|
|
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__":
|
|
# Check that [team_name] has been updated.
|
|
assert team_name != "REPLAC" + "EME", (
|
|
"Please put your team name in the variable [team_name]."
|
|
)
|
|
|
|
main() |