feat: Enhance Optuna integration and logging for backtesting framework
Changes: - Added new API endpoints for continuing and confirming Optuna jobs, allowing for better management of ongoing studies. - Introduced detailed logging for tick feed tracking and order book processing, improving traceability of vendor performance during backtests. - Updated database schema to include new fields for managing Optuna study results, enhancing the ability to track study progress and outcomes. - Refactored existing functions to utilize the new logging and tracking features, ensuring consistency across the backtesting framework. Impact: - These enhancements improve the robustness and transparency of the Optuna backtesting process, facilitating better analysis and optimization of trading strategies.
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@@ -7,6 +7,9 @@ CANDLE_SOURCE=kis|kiwoom 이면 그 메인(+구멍). 빈값이면 LIVE_TICK_PROV
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"""
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from __future__ import annotations
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import logging
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import time
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from collections import defaultdict
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from typing import Any, Dict, List, Optional, Sequence, Tuple
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from kis_trader.ws.candle_series import (
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@@ -18,6 +21,8 @@ from kis_trader.ws.candle_series import (
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ReadPair = Tuple[str, str]
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logger = logging.getLogger("bt_candle_source")
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# 레거시 호환 이름 (실제 필터는 live_read_pairs)
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BT_WS_CANDLE_SOURCES: Tuple[str, ...] = ("kiwoom", "kis", "rest", "rollup_1m")
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@@ -75,28 +80,116 @@ def _pairs_in_sql(pairs: Sequence[ReadPair]) -> Tuple[str, List[str]]:
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return " AND (" + " OR ".join(parts) + ")", params
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def _ticks_for_bar_garbage(db, code: str, start_key: str, end_key: str) -> Optional[List[Dict[str, Any]]]:
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from kis_trader.engine.feed_fallback import candle_garbage_fallback_enabled
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if not candle_garbage_fallback_enabled():
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return None
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def _tick_time_bounds(start_key: str, end_key: str) -> Tuple[str, str]:
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sk = str(start_key or "").strip()
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ek = str(end_key or "").strip()
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if len(sk) == 12:
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sk = sk + "00"
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if len(ek) == 12:
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ek = ek + "59"
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return sk, ek
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def _ws_ticks_table(market: Optional[str]) -> str:
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mk = (market or "").strip().upper()
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if mk == "US":
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return "ws_ticks_us"
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return "ws_ticks"
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def _ticks_for_bar_garbage(
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db,
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code: str,
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start_key: str,
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end_key: str,
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*,
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market: Optional[str] = None,
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) -> Optional[List[Dict[str, Any]]]:
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from kis_trader.engine.feed_fallback import candle_garbage_fallback_enabled
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if not candle_garbage_fallback_enabled():
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return None
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sk, ek = _tick_time_bounds(start_key, end_key)
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mk = (market or "").strip().upper()
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table = _ws_ticks_table(mk if mk in ("US", "KR") else "KR")
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try:
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rows = db.conn.execute(
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"SELECT tick_time, source, tick_time_raw FROM ws_ticks "
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"WHERE code=%s AND tick_time >= %s AND tick_time <= %s",
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(str(code).strip(), sk, ek),
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).fetchall()
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if mk in ("US", "KR"):
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rows = db.conn.execute(
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f"SELECT tick_time, source, tick_time_raw FROM {table} "
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"WHERE market=%s AND code=%s AND tick_time >= %s AND tick_time <= %s",
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(mk, str(code).strip(), sk, ek),
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).fetchall()
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else:
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rows = db.conn.execute(
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f"SELECT tick_time, source, tick_time_raw FROM {table} "
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"WHERE market=%s AND code=%s AND tick_time >= %s AND tick_time <= %s",
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("KR", str(code).strip(), sk, ek),
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).fetchall()
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return [dict(r) for r in (rows or [])]
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except Exception:
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return None
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def _load_ticks_by_code_bulk(
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db,
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start_key: str,
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end_key: str,
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*,
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market: Optional[str] = None,
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codes_filter: Optional[Sequence[str]] = None,
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) -> Optional[Dict[str, List[Dict[str, Any]]]]:
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"""쓰레기 검사용 틱 — 기간 1~2쿼리. OFF 면 None (봉만 dedupe)."""
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from kis_trader.engine.feed_fallback import candle_garbage_fallback_enabled
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if not candle_garbage_fallback_enabled():
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return None
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sk, ek = _tick_time_bounds(start_key, end_key)
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mk = (market or "").strip().upper()
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out: Dict[str, List[Dict[str, Any]]] = defaultdict(list)
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want: List[str] = []
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if codes_filter:
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want = [str(c).strip() for c in codes_filter if str(c).strip()]
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in_sql = ""
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in_params: List[str] = []
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if want:
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in_sql = " AND code IN (" + ",".join(["%s"] * len(want)) + ")"
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in_params = want
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def _pull(table: str, mkt: str) -> int:
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rows = db.conn.execute(
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f"SELECT code, tick_time, source, tick_time_raw FROM {table} "
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"WHERE market=%s AND tick_time >= %s AND tick_time <= %s"
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+ in_sql,
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(mkt, sk, ek, *in_params),
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).fetchall()
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n = 0
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for r in rows or []:
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code = str(r.get("code") or "").strip()
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if not code:
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continue
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out[code].append(dict(r))
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n += 1
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return n
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try:
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n_kr = n_us = 0
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if mk == "US":
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n_us = _pull("ws_ticks_us", "US")
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elif mk == "KR":
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n_kr = _pull("ws_ticks", "KR")
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else:
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n_kr = _pull("ws_ticks", "KR")
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try:
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n_us = _pull("ws_ticks_us", "US")
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except Exception:
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n_us = 0
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logger.info("📥 틱 bulk 쓰레기검사용: KR=%s US=%s 종목=%s", n_kr, n_us, len(out))
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return dict(out)
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except Exception as exc:
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logger.warning("틱 bulk 스킵(봉만): %s", exc)
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return None
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def list_ws_candle_codes(
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db,
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timeframe: int,
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@@ -169,13 +262,136 @@ def fetch_ws_candles_for_code(
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+ " ORDER BY candle_time ASC",
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[int(timeframe), code, start_key, end_key, *src_params],
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).fetchall()
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ticks = _ticks_for_bar_garbage(db, str(code), start_key, end_key)
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ticks = _ticks_for_bar_garbage(
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db, str(code), start_key, end_key, market=mk or None,
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)
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return dedupe_by_read_pairs(
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[dict(r) for r in rows], pairs, ticks=ticks, tf_min=int(timeframe),
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missing_policy="hole", live_cover=False,
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)
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def fetch_ws_candles_by_code_bulk(
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db,
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timeframe: int,
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start_key: str,
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end_key: str,
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*,
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extra_select: str = "",
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peak_sel: str = "",
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market: Optional[str] = None,
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confirmed_only: bool = True,
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codes_filter: Optional[Sequence[str]] = None,
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) -> Dict[str, List[Dict[str, Any]]]:
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"""기간 전체 봉 1쿼리 + 틱 1~2쿼리 후 종목별 기존 쓰레기 검사.
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웜업용 ``fetch_ws_candles_for_code`` / ``fetch_ws_candles_warmup_before`` 는 그대로.
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"""
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t0 = time.perf_counter()
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pairs = resolve_bt_read_pairs()
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confirmed_sql = " AND is_confirmed=1" if confirmed_only else ""
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mk = (market or "").strip().upper()
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src_sql, src_params = _pairs_in_sql(pairs)
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cols = (
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f"code, candle_time, open, high, low, close, volume, source, channel"
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f"{peak_sel}{extra_select}"
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)
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want: List[str] = []
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if codes_filter:
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want = [
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str(c).strip()
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for c in codes_filter
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if str(c).strip()
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]
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in_sql = ""
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in_params: List[str] = []
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if want:
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in_sql = " AND code IN (" + ",".join(["%s"] * len(want)) + ")"
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in_params = want
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params: List[Any] = [int(timeframe)]
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mk_sql = ""
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if mk:
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mk_sql = " AND market=%s"
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params.append(mk)
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params.extend([start_key, end_key, *src_params, *in_params])
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rows = db.conn.execute(
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f"SELECT {cols} FROM ws_candles "
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"WHERE timeframe=%s"
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+ mk_sql
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+ " AND candle_time >= %s AND candle_time <= %s"
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+ confirmed_sql
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+ src_sql
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+ in_sql
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+ " ORDER BY code ASC, candle_time ASC",
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params,
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).fetchall()
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by_code: Dict[str, List[Dict[str, Any]]] = defaultdict(list)
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for r in rows or []:
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code = str(r.get("code") or "").strip()
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if not code:
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continue
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by_code[code].append(dict(r))
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ticks_map = _load_ticks_by_code_bulk(
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db, start_key, end_key, market=mk or None, codes_filter=want or None,
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)
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out: Dict[str, List[Dict[str, Any]]] = {}
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stats: Dict[str, Any] = {
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"slots": 0, "picked": 0, "hole": 0, "garbage_skip": 0,
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"pick_by": {}, "garbage_by": {}, "raw_by": {},
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}
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for code, raw in by_code.items():
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ticks = None if ticks_map is None else ticks_map.get(code, [])
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out[code] = dedupe_by_read_pairs(
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raw, pairs, ticks=ticks, tf_min=int(timeframe),
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missing_policy="hole", live_cover=False, stats=stats,
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)
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elapsed = time.perf_counter() - t0
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n_tick_rows = 0
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if ticks_map:
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n_tick_rows = sum(len(v) for v in ticks_map.values())
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slots = int(stats.get("slots") or 0) or 1
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pick_by = stats.get("pick_by") or {}
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garb_by = stats.get("garbage_by") or {}
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raw_by = stats.get("raw_by") or {}
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pick_txt = " ".join(
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"%s=%s(%.0f%%)" % (k, v, 100.0 * int(v) / max(1, int(stats.get("picked") or 1)))
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for k, v in sorted(pick_by.items(), key=lambda x: -int(x[1]))
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) or "—"
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garb_txt = " ".join(
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"%s=%s" % (k, v) for k, v in sorted(garb_by.items(), key=lambda x: -int(x[1]))
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) or "0"
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raw_txt = " ".join(
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"%s=%s" % (k, v) for k, v in sorted(raw_by.items(), key=lambda x: -int(x[1]))
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) or "—"
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logger.info(
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"📂 캔들 bulk: 봉 %s행 · 틱 %s행 · 종목 %s · %.2fs (tf=%s market=%s)",
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len(rows or []),
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n_tick_rows,
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len(out),
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elapsed,
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int(timeframe),
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mk or "ALL",
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)
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logger.info(
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"📊 봉 pick 비율(1차→2차→REST): 슬롯 %s · pick %s · hole %s(%.1f%%) · "
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"쓰레기스킵 %s(슬롯대비 %.1f%%) | raw[%s] | pick[%s] | garbage[%s]",
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slots,
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stats.get("picked"),
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stats.get("hole"),
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100.0 * int(stats.get("hole") or 0) / slots,
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stats.get("garbage_skip"),
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100.0 * int(stats.get("garbage_skip") or 0) / slots,
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raw_txt,
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pick_txt,
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garb_txt,
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)
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return out
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def fetch_ws_candles_warmup_before(
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db,
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code: str,
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