242 lines
7.3 KiB
Python
242 lines
7.3 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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team_name = "HanyangFloorFunction"
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# ==================== 설정 ====================
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BOND_FAIR_VALUE = 1000
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BOND_SPREAD = 2
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BOND_ORDER_SIZE = 20
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BOND_MAX_POSITION = 100
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STOCK_SPREAD = 6
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STOCK_ORDER_SIZE = 5
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STOCK_MAX_POSITION = 100
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STOCK_REORDER_DELAY = 0.2
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XLF_CONVERSION_FEE = 100
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VALE_CONVERSION_FEE = 10
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REFRESH_INTERVAL = 1.0
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MIN_PROFIT_BUFFER = 10
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MAX_POSITION_SOFT = 50
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# ==================== 방향 ====================
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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# ==================== 메인 ====================
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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 = exchange.read_message()
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state = StateManager()
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om = OrderManager()
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for sym_info in hello.get("symbols", []):
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state.update_position(sym_info["symbol"], sym_info["position"])
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implied_fairs = {"GS": None, "MS": None, "WFC": None}
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active_orders = {}
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def next_id():
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return om.next_order()
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# ==================== FAIR VALUE ====================
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def update_fair():
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try:
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xlf_mid = (state.bid_prices["XLF"] + state.ask_prices["XLF"]) / 2
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gs_mid = (state.bid_prices["GS"] + state.ask_prices["GS"]) / 2
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ms_mid = (state.bid_prices["MS"] + state.ask_prices["MS"]) / 2
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wfc_mid = (state.bid_prices["WFC"] + state.ask_prices["WFC"]) / 2
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except:
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return
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residual = xlf_mid * 10 - 3000
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total = gs_mid*2 + ms_mid*3 + wfc_mid*2
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if total <= 0:
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return
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raw_gs = residual * (gs_mid*2 / total) / 2
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raw_ms = residual * (ms_mid*3 / total) / 3
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raw_wfc = residual * (wfc_mid*2 / total) / 2
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implied_fairs["GS"] = int(0.7 * gs_mid + 0.3 * raw_gs)
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implied_fairs["MS"] = int(0.7 * ms_mid + 0.3 * raw_ms)
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implied_fairs["WFC"] = int(0.7 * wfc_mid + 0.3 * raw_wfc)
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# ==================== BOND ARB ====================
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def bond_arb():
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bid = state.bid_prices.get("BOND")
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ask = state.ask_prices.get("BOND")
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if ask and ask < 1000:
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.BUY, ask, 10)
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if bid and bid > 1000:
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exchange.send_add_message_ioc(next_id(), "BOND", Dir.SELL, bid, 10)
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# ==================== STOCK MM ====================
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def market_make(sym):
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bid = state.bid_prices.get(sym)
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ask = state.ask_prices.get(sym)
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fair = implied_fairs.get(sym)
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if None in [bid, ask] or fair is None:
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return
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pos = state.get_position(sym)
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buy_price = min(fair - STOCK_SPREAD, bid + 1)
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sell_price = max(fair + STOCK_SPREAD, ask - 1)
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if pos > 0:
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buy_size, sell_size = 1, STOCK_ORDER_SIZE + 3
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elif pos < 0:
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buy_size, sell_size = STOCK_ORDER_SIZE + 3, 1
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else:
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buy_size = sell_size = STOCK_ORDER_SIZE
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if buy_size > 0:
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exchange.send_add_message(next_id(), sym, Dir.BUY, int(buy_price), buy_size)
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if sell_size > 0:
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exchange.send_add_message(next_id(), sym, Dir.SELL, int(sell_price), sell_size)
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# ==================== XLF ARB ====================
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def xlf_arb():
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try:
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basket_ask = (
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state.ask_prices["BOND"]*3 +
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state.ask_prices["GS"]*2 +
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state.ask_prices["MS"]*3 +
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state.ask_prices["WFC"]*2
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)
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xlf_bid = state.bid_prices["XLF"]
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except:
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return
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profit = xlf_bid*10 - basket_ask - XLF_CONVERSION_FEE
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if profit > MIN_PROFIT_BUFFER:
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exchange.send_add_message_ioc(next_id(), "XLF", Dir.SELL, xlf_bid, 10)
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# ==================== VALE ARB ====================
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def vale_arb():
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vale_bid = state.bid_prices.get("VALE")
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valbz_ask = state.ask_prices.get("VALBZ")
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if None in [vale_bid, valbz_ask]:
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return
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if vale_bid - valbz_ask - VALE_CONVERSION_FEE > 5:
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exchange.send_add_message_ioc(next_id(), "VALBZ", Dir.BUY, valbz_ask, 1)
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# ==================== 리스크 관리 ====================
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def risk():
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for sym in ["GS", "MS", "WFC"]:
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pos = state.get_position(sym)
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if abs(pos) > MAX_POSITION_SOFT:
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if pos > 0:
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exchange.send_add_message_ioc(
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next_id(), sym, Dir.SELL,
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state.bid_prices.get(sym, 1), abs(pos)
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)
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else:
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exchange.send_add_message_ioc(
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next_id(), sym, Dir.BUY,
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state.ask_prices.get(sym, 99999), abs(pos)
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)
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last_refresh = time.time()
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# ==================== LOOP ====================
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while True:
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msg = exchange.read_message()
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if msg["type"] == "close":
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break
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elif msg["type"] == "book":
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sym = msg["symbol"]
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state.update_bid_ask_price(
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sym,
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msg["buy"][0][0] if msg["buy"] else None,
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msg["sell"][0][0] if msg["sell"] else None
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)
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update_fair()
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bond_arb()
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xlf_arb()
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vale_arb()
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risk()
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if sym in ["GS", "MS", "WFC"]:
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market_make(sym)
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if time.time() - last_refresh > REFRESH_INTERVAL:
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last_refresh = time.time()
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for s in ["GS", "MS", "WFC"]:
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market_make(s)
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elif msg["type"] == "fill":
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qty = msg["size"]
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sym = msg["symbol"]
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if msg["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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# ==================== 연결 코드 ====================
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class ExchangeConnection:
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def __init__(self, args):
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self.exchange_hostname = args.exchange_hostname
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self.port = args.port
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s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
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s.connect((self.exchange_hostname, self.port))
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self.reader = s.makefile("r", 1)
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self.writer = s
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self._write({"type": "hello", "team": team_name.upper()})
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def read_message(self):
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msg = json.loads(self.reader.readline())
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if "dir" in msg:
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msg["dir"] = Dir(msg["dir"])
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return msg
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def send_add_message(self, oid, sym, dir, price, size):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"DAY"})
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def send_add_message_ioc(self, oid, sym, dir, price, size):
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self._write({"type":"add","order_id":oid,"symbol":sym,"dir":dir,"price":price,"size":size,"tif":"IOC"})
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def _write(self, msg):
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data = json.dumps(msg) + "\n"
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self.writer.send(data.encode())
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# ==================== args ====================
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def parse_arguments():
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parser = argparse.ArgumentParser()
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parser.add_argument("--test", type=str, default="prod-like")
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args = parser.parse_args()
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args.exchange_hostname = "test-exch-" + team_name
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args.port = 22000
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return args
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if __name__ == "__main__":
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main() |