JSETC/order.py

import time
from collections import deque
from enum import Enum


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


class OrderManager:
    def __init__(self, exchange: "ExchangeConnection"):
        symbols = ["BOND", "VALBZ", "VALE", "GS", "MS", "WFC", "XLF"]

        self.POSITIONS_LIMIT = {
            "BOND": 100,
            "VALBZ": 10,
            "VALE": 10,
            "GS": 100,
            "MS": 100,
            "WFC": 100,
            "XLF": 100,
        }

        self.exchange = exchange
        self._order_size = 0

        # 최근 500개의 전송 시간만 기록하는 데크
        self._send_timestamps = deque(maxlen=500)

        self.orders = {}

        self.positions = {s: 0 for s in symbols}
        self.future_positions = {s: 0 for s in symbols}

    def add_order(self, order_id: int, symbol: str, quantity: int):
        self.orders[order_id] = {"symbol": symbol, "quantity": quantity}

    def get_order(self, order_id: int):
        return self.orders.get(order_id)

    def next_order(self):
        self._order_size += 1
        return self._order_size

    def _attempt_send(self, action_type: str, **kwargs) -> bool:
        """
        주문 전송을 시도합니다.
        제한에 걸려 무시되면 False를, 정상 전송되면 True를 반환합니다.
        """
        now = time.time()

        # 최근 500개를 이미 보냈다면, 가장 오래된 주문(0번 인덱스)의 시간을 확인
        if len(self._send_timestamps) == 500:
            elapsed = now - self._send_timestamps[0]
            if elapsed < 1.01:
                # 1.01초 내에 500개를 이미 보냈으므로 이 요청은 무시합니다.
                # (print문은 필요시 주석 해제하여 로깅 용도로 사용하세요)
                # print("전송 제한 초과! 주문이 무시되었습니다.")
                return False
        # 전송 조건 통과 시 실제 통신 수행
        if action_type == "add":
            size = kwargs["size"]
            dir = kwargs["dir"]
            if dir == Dir.SELL:
                size = -size
            if (
                self.future_positions[kwargs["symbol"]] + size
                > self.POSITIONS_LIMIT[kwargs["symbol"]]
            ):
                return False
            self.future_positions[kwargs["symbol"]] += size
            self.exchange.send_add_message(**kwargs)

        elif action_type == "cancel":
            self.exchange.send_cancel_message(**kwargs)
        elif action_type == "convert":
            
            self.exchange.send_convert_message(**kwargs)

        # 전송한 시간 기록
        self._send_timestamps.append(now)
        return True

    def sell(self, symbol: str, price: int, size: int):
        return self._attempt_send(
            "add",
            order_id=self.next_order(),
            symbol=symbol,
            dir=Dir.SELL,
            price=price,
            size=size,
        )

    def buy(self, symbol: str, price: int, size: int):
        return self._attempt_send(
            "add",
            order_id=self.next_order(),
            symbol=symbol,
            dir=Dir.BUY,
            price=price,
            size=size,
        )

    def buy_convert(self, symbol: str, size: int):
        if symbol == "VALE":
            self.future_positions["VALE"] -= size
            self.future_positions["VALBZ"] += size
            self.positions["VALE"] -= size
            self.positions["VALBZ"] += size
        return self.exchange.send_convert_message(
            order_id=self.next_order(),
            symbol=symbol,
            dir="BUY",
            size=size,
        )

    def sell_convert(self, symbol: str, size: int):
        if symbol == "VALE":
            self.future_positions["VALE"] += size
            self.future_positions["VALBZ"] -= size
            self.positions["VALE"] += size
            self.positions["VALBZ"] -= size
        return self.exchange.send_convert_message(
            order_id=self.next_order(),
            symbol=symbol,
            dir="SELL",
            size=size,
        )

    def convert(self, symbol: str, dir: str, size: int):
        result = self._attempt_send(
            "convert",
            order_id=self.next_order(),
            symbol=symbol,
            dir=dir,
            size=size,
        )
        if result and symbol == "VALE":
            if dir == Dir.BUY:
                self.positions["VALE"] -= size
                self.positions["VALBZ"] += size
                self.future_positions["VALE"] -= size
                self.future_positions["VALBZ"] += size
            else:
                self.positions["VALE"] += size
                self.positions["VALBZ"] -= size
                self.future_positions["VALE"] += size
                self.future_positions["VALBZ"] -= size
        return result

    def cancel(self, order_id: int):
        return self._attempt_send("cancel", order_id=order_id)

    def update_position(self, symbol: str, order_id: int, quantity: int):
        self.positions[symbol] = self.positions.get(symbol, 0) + quantity
        if order_id in self.orders:
            new_size = self.orders[order_id]["quantity"] + quantity
            if new_size <= 0:
                del self.orders[order_id]
            else:
                self.orders[order_id]["quantity"] = new_size

    def check_pos_limit(self, symbol: str) -> bool:
        return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol]