feat: Add DART strategy and related configurations
ㅇ Changes: - Introduced the DART strategy to the trading system, including its configuration and integration into the existing framework. - Updated the database schema to include DART-specific tables for disclosures and watchlists. - Enhanced the backtesting and parameter search functionalities to support the DART strategy. - Implemented new rules for browser verification and API interactions to ensure compliance with the updated DART strategy. Impact: - These additions expand the trading capabilities of the system, allowing for more comprehensive analysis and execution of DART-related strategies, while maintaining system integrity and performance.
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142
kis_trader/backtest/dart_backtest_common.py
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142
kis_trader/backtest/dart_backtest_common.py
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#!/usr/bin/env python3
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"""
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kis_trader/backtest/dart_backtest_common.py — DART 웹백테 정렬
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"""
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from __future__ import annotations
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from typing import Any, Dict, List, Optional
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from database import TradeDB
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from kis_trader.backtest import scalping_backtest_common as sbc
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from kis_trader.engine import dart_engine as de
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def load_dart_events(db: TradeDB, start: str, end: str) -> List[Dict[str, Any]]:
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try:
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from kis_trader.scan.dart_order_tracker import ensure_dart_disclosure_columns
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ensure_dart_disclosure_columns(db)
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except Exception:
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pass
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rows = db.conn.execute(
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"""
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SELECT rcept_no, stock_code, corp_name, report_nm, rcept_dt, first_seen_at
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FROM dart_disclosures
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WHERE stock_code <> ''
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AND (filter_ok IS NULL OR filter_ok = 1)
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AND (
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(first_seen_at >= %s AND first_seen_at <= %s)
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OR (rcept_dt >= %s AND rcept_dt <= %s)
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)
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ORDER BY first_seen_at ASC
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""",
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(
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start + " 00:00:00",
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end + " 23:59:59",
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start.replace("-", ""),
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end.replace("-", ""),
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),
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).fetchall()
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return [dict(r) for r in rows]
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def event_to_candle_time(ev: Dict[str, Any]) -> str:
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fs = str(ev.get("first_seen_at") or "")
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if fs:
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s = fs.replace("-", "").replace(":", "").replace(" ", "")
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if len(s) >= 12:
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return s[:12]
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rd = str(ev.get("rcept_dt") or "")
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if len(rd) == 8:
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return rd + "0900"
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return ""
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def _load_code_candles(db: TradeDB, code: str, start: str, end: str) -> List[Dict]:
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sk = start.replace("-", "") + "0900"
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ek = end.replace("-", "") + "1530"
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rows = db.conn.execute(
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"""
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SELECT candle_time, open, high, low, close, volume
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FROM ws_candles
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WHERE timeframe=1 AND code=%s
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AND candle_time >= %s AND candle_time <= %s
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ORDER BY candle_time ASC
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""",
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(code, sk, ek),
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).fetchall()
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out = []
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for r in rows:
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out.append({
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"candle_time": str(r["candle_time"]),
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"open": float(r["open"] or 0),
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"high": float(r["high"] or 0),
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"low": float(r["low"] or 0),
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"close": float(r["close"] or 0),
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"volume": float(r["volume"] or 0),
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"is_confirmed": 1,
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})
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return out
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def run_dart_backtest_web_aligned(
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*,
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start: str,
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end: str,
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params: Optional[Dict[str, Any]] = None,
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env_row: Optional[Dict[str, Any]] = None,
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) -> Dict[str, Any]:
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p = dict(params or de.get_dart_defaults_from_db(env_row=env_row))
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db = TradeDB()
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events: List[Dict[str, Any]] = []
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all_trades: List[Dict[str, Any]] = []
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try:
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fee_rate, sell_tax, slot = sbc.fee_and_slot_from_env(env_row, strategy="DART")
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if params and params.get("slot_money"):
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slot = float(params["slot_money"])
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events = load_dart_events(db, start, end)
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codes_done = set()
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for ev in events:
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code = str(ev.get("stock_code") or "").strip()
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if not code:
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continue
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ect = event_to_candle_time(ev)
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if not ect:
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continue
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key = (code, ect[:8])
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if key in codes_done:
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continue
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codes_done.add(key)
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candles = _load_code_candles(db, code, start, end)
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if not candles:
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continue
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trades = de.run_dart_backtest_code(
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candles,
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p,
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event_candle_time=ect,
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slot_money=slot,
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fee_rate=fee_rate,
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sell_tax=sell_tax,
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)
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for t in trades:
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t["code"] = code
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t["name"] = ev.get("corp_name") or code
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t["rcept_no"] = ev.get("rcept_no")
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all_trades.append(t)
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finally:
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db.close()
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wins = sum(1 for t in all_trades if float(t.get("pnl") or 0) > 0)
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n = len(all_trades)
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pnl = sum(float(t.get("pnl") or 0) for t in all_trades)
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return {
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"ok": True,
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"strategy": "DART",
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"start": start,
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"end": end,
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"trades": all_trades,
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"trade_count": n,
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"win_rate": (wins / n * 100.0) if n else 0.0,
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"total_pnl": pnl,
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"events": len(events),
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"params": p,
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}
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