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.
This commit is contained in:
Your Name
2026-08-21 19:05:23 +09:00
parent 0ecac7cb95
commit 0780b2cdd0
76 changed files with 4648 additions and 516 deletions

View File

@@ -18,6 +18,31 @@ from kis_trader.utils.env import get_env_float
_stale_rest_lock = threading.Lock()
_stale_rest_ts: dict = {}
_stale_log_ts: dict = {}
# WS/REST 성공 직후 가격 — REST 쿨다운(기본 30s) 동안 재사용 (매도 공백 방지)
_last_good_lock = threading.Lock()
_last_good_px: dict = {}
def _remember_last_good(code: str, px: float, src: str) -> None:
code = str(code or "").strip()
if not code or px <= 0:
return
with _last_good_lock:
_last_good_px[code] = (float(px), str(src or "WS"), time.time())
def _last_good_price(code: str, max_age_sec: float) -> Tuple[float, str]:
code = str(code or "").strip()
if not code or max_age_sec <= 0:
return 0.0, ""
with _last_good_lock:
rec = _last_good_px.get(code)
if not rec:
return 0.0, ""
px, src, ts = rec
if (time.time() - float(ts)) > float(max_age_sec):
return 0.0, ""
return float(px), str(src or "")
def _stck_prpr(raw: Any) -> float:
@@ -63,6 +88,43 @@ def _ws_chain_price(ws: Any, code: str) -> Tuple[float, str]:
return 0.0, ""
def _quote_packet_raw(wsd: Any) -> str:
"""체결시각 원문. FID20 동결 RAM 을 매도 last-RAM 으로 쓰지 않기 위함."""
if not isinstance(wsd, dict):
return ""
for k in (
"kis_cntg_hour_raw", "chetime", "tick_time", "kiwoom_fid20",
"stck_cntg_hour",
):
v = str(wsd.get(k) or "").strip()
if v:
return v
return ""
def _last_ram_sell_ok(wsd: Any, max_age_sec: float) -> bool:
"""마지막 RAM: wall 나이·패킷 나이 둘 다 max 이내. 동결 FID20 거부."""
if max_age_sec <= 0 or not isinstance(wsd, dict):
return False
try:
wall = float(wsd.get("_age_ms") or 0) / 1000.0
except (TypeError, ValueError):
wall = 0.0
if wall > float(max_age_sec):
return False
raw = _quote_packet_raw(wsd)
if not raw:
return True
try:
from kis_trader.engine.feed_fallback import packet_lag_seconds
lag = packet_lag_seconds(raw)
except Exception:
return True
if lag is None:
return True
return float(lag) <= float(max_age_sec)
def _ws_last_and_age(ws: Any, code: str) -> Tuple[float, float]:
"""마지막 RAM 체결가 + 나이(초). 캐시 없으면 (0, inf). EOD 전용."""
getter = getattr(ws, "get_price", None)
@@ -153,6 +215,7 @@ def resolve_live_sell_price(
if is_eod:
ws_px, _age = _ws_last_and_age(ws, code)
if ws_px > 0:
_remember_last_good(code, ws_px, "WS")
return ws_px, "WS"
if stale_sec > 0 and _stale_rest_allowed(code, cooldown):
rest_px = _kiwoom_rest_once(ws, code)
@@ -171,11 +234,52 @@ def resolve_live_sell_price(
chain_px, vendor = _ws_chain_price(ws, code)
if chain_px > 0:
_remember_last_good(code, chain_px, vendor or "WS")
return chain_px, vendor or "WS"
last_max = float(get_env_float("SELL_WS_LAST_RAM_MAX_AGE_SEC", 30.0) or 0.0)
if last_max > 0:
last_px, last_age = _ws_last_and_age(ws, code)
getter = getattr(ws, "get_price", None)
wsd_last = None
if callable(getter):
try:
wsd_last = getter(code, max_age_sec=None)
except TypeError:
wsd_last = None
except Exception:
wsd_last = None
if last_px > 0 and _last_ram_sell_ok(wsd_last, last_max):
lab = ""
if isinstance(wsd_last, dict):
lab = str(wsd_last.get("_feed_vendor") or "").strip()
_remember_last_good(code, last_px, lab or "WS_last")
_log_throttled(
logger,
"last_ram:" + code,
"📌 [매도시세] %s 3초체인 실패 → last-RAM %.0f (age=%.1fs)",
code,
last_px,
last_age if last_age != float("inf") else -1.0,
)
return last_px, "WS_last"
cached_px, cached_src = _last_good_price(code, cooldown)
if cached_px > 0:
_log_throttled(
logger,
"last_good:" + code,
"📌 [매도시세] %s WS체인 실패 → 직전가 유지(%s) %.0f",
code,
cached_src,
cached_px,
)
return cached_px, cached_src + "_cached"
if stale_sec > 0 and _stale_rest_allowed(code, cooldown):
rest_px = _kiwoom_rest_once(ws, code)
if rest_px > 0:
_remember_last_good(code, rest_px, "kiwoom_rest")
_log_throttled(
logger,
"stale_rest:" + code,