JSETC/new_prac.py

#!/usr/bin/env python3
import argparse, socket, json, time
from enum import Enum
from state import StateManager

team_name = "HanyangFloorFunction"

# 🔥 핵심 파라미터
ORDER_SIZE = 5
MAX_POS = 50
KILL_POS = 70
ARB_THRESHOLD = 6
REFRESH = 0.5

class Dir(str, Enum):
    BUY = "BUY"
    SELL = "SELL"

# =====================
class ExchangeConnection:
    def __init__(self, args):
        s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
        s.connect((args.exchange_hostname, args.port))
        self.reader = s.makefile("r", 1)
        self.writer = s
        self._write({"type": "hello", "team": team_name.upper()})

    def read(self):
        m = json.loads(self.reader.readline())
        if "dir" in m:
            m["dir"] = Dir(m["dir"])
        return m

    def send(self, m):
        self.writer.send((json.dumps(m)+"\n").encode())

    def add(self, oid, sym, d, px, sz, tif="DAY"):
        self.send({"type":"add","order_id":oid,"symbol":sym,"dir":d,"price":px,"size":sz,"tif":tif})

    def ioc(self, oid, sym, d, px, sz):
        self.add(oid, sym, d, px, sz, "IOC")

    def cancel(self, oid):
        self.send({"type":"cancel","order_id":oid})

    def convert(self, oid, sym, d, sz):
        self.send({"type":"convert","order_id":oid,"symbol":sym,"dir":d,"size":sz})

# =====================
def parse_arguments():
    p = argparse.ArgumentParser()
    g = p.add_mutually_exclusive_group(required=True)
    g.add_argument("--production", action="store_true")
    g.add_argument("--test", type=str, default="prod-like")
    a = p.parse_args()

    if a.production:
        a.exchange_hostname, a.port = "production", 25000
    else:
        a.exchange_hostname, a.port = "test-exch-"+team_name, 22000
    return a

# =====================
def main():
    args = parse_arguments()
    ex = ExchangeConnection(args)
    st = StateManager()

    hello = ex.read()
    pos = {s["symbol"]: s["position"] for s in hello["symbols"]}

    oid = 0
    def nid():
        nonlocal oid; oid += 1; return oid

    active = {}
    last_refresh = 0

    # 🔥 imbalance 계산
    def imbalance(sym):
        bid = st.bid_depths.get(sym, 0)
        ask = st.ask_depths.get(sym, 0)
        return bid - ask

    # 🔥 alpha 방향 결정
    def alpha(sym):
        imb = imbalance(sym)
        if imb > 0:
            return 1   # 상승
        elif imb < 0:
            return -1  # 하락
        return 0

    # 🔥 Adaptive MM
    def market_make(sym):
        b = st.bid_prices.get(sym)
        a = st.ask_prices.get(sym)
        if b is None or a is None:
            return

        p = pos.get(sym, 0)
        if abs(p) > MAX_POS:
            return

        spread = a - b
        direction = alpha(sym)

        # 🔥 방향 반영
        if direction > 0:
            buy_px = b + 2
            sell_px = a - 1
        elif direction < 0:
            buy_px = b + 1
            sell_px = a - 2
        else:
            buy_px = b + 1
            sell_px = a - 1

        if buy_px >= sell_px:
            return

        buy_sz = ORDER_SIZE
        sell_sz = ORDER_SIZE

        if p > 0:
            sell_sz += 2
        elif p < 0:
            buy_sz += 2

        o = nid(); ex.add(o, sym, Dir.BUY, buy_px, buy_sz); active[o]=sym
        o = nid(); ex.add(o, sym, Dir.SELL, sell_px, sell_sz); active[o]=sym

    # 🔥 XLF arb (유지)
    def xlf_arb():
        bond_ask = st.ask_prices.get("BOND")
        gs_ask   = st.ask_prices.get("GS")
        ms_ask   = st.ask_prices.get("MS")
        wfc_ask  = st.ask_prices.get("WFC")
        xlf_bid  = st.bid_prices.get("XLF")

        if None in [bond_ask, gs_ask, ms_ask, wfc_ask, xlf_bid]:
            return

        cost = bond_ask*3 + gs_ask*2 + ms_ask*3 + wfc_ask*2
        profit = xlf_bid*10 - cost

        if profit > ARB_THRESHOLD:
            ex.ioc(nid(),"BOND",Dir.BUY,bond_ask,3)
            ex.ioc(nid(),"GS",Dir.BUY,gs_ask,2)
            ex.ioc(nid(),"MS",Dir.BUY,ms_ask,3)
            ex.ioc(nid(),"WFC",Dir.BUY,wfc_ask,2)
            ex.convert(nid(),"XLF",Dir.BUY,10)
            ex.ioc(nid(),"XLF",Dir.SELL,xlf_bid,10)

    # 🔥 리스크 컷
    def risk():
        for s, p in pos.items():
            if abs(p) > KILL_POS:
                if p > 0:
                    ex.ioc(nid(), s, Dir.SELL, st.bid_prices.get(s,1), abs(p))
                else:
                    ex.ioc(nid(), s, Dir.BUY, st.ask_prices.get(s,99999), abs(p))

    # ================= LOOP =================
    while True:
        m = ex.read()

        if m["type"] == "close":
            break

        elif m["type"] == "book":
            sym = m["symbol"]

            b = m["buy"][0][0] if m["buy"] else None
            a = m["sell"][0][0] if m["sell"] else None

            st.update_bid_ask_price(sym, b, a)
            st.update_depth(sym,
                m["buy"][0][1] if m["buy"] else 0,
                m["sell"][0][1] if m["sell"] else 0
            )

            now = time.time()
            if now - last_refresh > REFRESH:
                last_refresh = now

                # 전체 cancel
                for o in list(active.keys()):
                    ex.cancel(o)
                    active.pop(o, None)

                for s in ["GS","MS","WFC"]:
                    market_make(s)

            xlf_arb()
            risk()

        elif m["type"] == "fill":
            s, q, d = m["symbol"], m["size"], m["dir"]
            pos[s] += q if d == Dir.BUY else -q

            # 🔥 초고속 재주문
            if s in ["GS","MS","WFC"]:
                market_make(s)

if __name__ == "__main__":
    main()