ls증권 히스토리 구독 넣음

kis_trader/backtest/momentum_portfolio_backtest.py

@@ -177,21 +177,34 @@ def _build_scan_time_keys(
     scan_sec: int,
     time_start_hm: int,
     time_end_hm: int,
+    *,
+    wrap_midnight: bool = False,
 ) -> List[str]:
-    """장중 분봉이 있는 구간만 N초 간격 스캔 시각(YYYYMMDDHHMMSS) 생성."""
+    """장중 분봉이 있는 구간만 N초 간격 스캔 시각(YYYYMMDDHHMMSS) 생성.
+
+    wrap_midnight=True: 해외 US 등 자정 넘김 세션 (예: 2230~0500).
+    """
     if not minute_set or scan_sec < 1:
         return []
-    start_min = _hm_to_minutes(time_start_hm)
-    end_min = _hm_to_minutes(time_end_hm)
+    from kis_trader.utils.session_hm import hm_in_trading_window
+
     days = sorted({m[:8] for m in minute_set})
     out: List[str] = []
     for day in days:
         day_minutes = sorted(m for m in minute_set if m.startswith(day))
         for minute_key in day_minutes:
             hm = int(minute_key[8:12])
-            bar_min = _hm_to_minutes(hm)
-            if bar_min < start_min or bar_min >= end_min:
-                continue
+            if wrap_midnight:
+                if not hm_in_trading_window(
+                    hm, time_start_hm, time_end_hm, wrap_midnight=True,
+                ):
+                    continue
+            else:
+                start_min = _hm_to_minutes(time_start_hm)
+                end_min = _hm_to_minutes(time_end_hm)
+                bar_min = _hm_to_minutes(hm)
+                if bar_min < start_min or bar_min >= end_min:
+                    continue
             base = datetime.strptime(minute_key, "%Y%m%d%H%M")
             sec = 0
             while sec < 60:
@@ -540,6 +553,17 @@ def _collect_buy_candidates(
             )
         if reject or not sig:
             continue
+        from kis_trader.engine.mid_enroll_entry_gate import bt_should_defer_mid_enroll
+        if bt_should_defer_mid_enroll(
+            str(entry_bar_time or ""),
+            code,
+            bar_t,
+            tf_min=1,
+            universe_timeline=params.get("_universe_timeline"),
+            universe_by_slot=universe_by_slot,
+            params=params,
+        ):
+            continue
         entry_price, entry_time_key, entry_src = align_momentum_entry_from_ticks(
             ticks_by_code, code, entry_bar_time, entry_open, params,
             min_tick_time=min_tick_time,
@@ -548,6 +572,7 @@ def _collect_buy_candidates(
             "entry_time": entry_time_key,
             "entry_price": entry_price,
             "entry_source": entry_src,
+            "entry_bar_key": str(entry_bar_time or "")[:12],
             "stop": entry_price * (1 - sl_pct),
             "target": entry_price * (1 + tp_pct),
             "rsi": sig.get("rsi"),
@@ -581,6 +606,8 @@ def run_momentum_backtest_portfolio(
     invest_cap = _resolve_invest_cap_krw(params, slot_money)
     fee_rate = float(params.get("fee_rate", 0.00015))
     sell_tax = float(params.get("sell_tax", 0.0018))
+    fx_fee_rate = float(params.get("fx_fee_rate", 0.0) or 0.0)
+    is_us_mkt = str(params.get("market") or "").strip().upper() == "US"
 
     skipped_micro_buys = 0
     tick_exit_count = 0
@@ -638,7 +665,11 @@ def run_momentum_backtest_portfolio(
 
     if live_scan_queue and live_align:
         time_start_hm, time_end_hm = _time_bounds_hm(params)
-        scan_keys = _build_scan_time_keys(all_times_set, scan_sec, time_start_hm, time_end_hm)
+        _wrap = bool(params.get("_session_wrap_midnight"))
+        scan_keys = _build_scan_time_keys(
+            all_times_set, scan_sec, time_start_hm, time_end_hm,
+            wrap_midnight=_wrap,
+        )
         for scan_key in scan_keys:
             scan_events += 1
             bar_t = scan_key[:12]
@@ -892,6 +923,8 @@ def run_momentum_backtest_portfolio(
     attach_scalp_trade_pnl(
         all_trades, fee_rate=fee_rate, sell_tax=sell_tax,
         slip_pct=backtest_slip_pct(params),
+        fx_fee_rate=fx_fee_rate,
+        pnl_decimals=4 if (is_us_mkt or fx_fee_rate > 0) else 0,
     )
     all_trades.sort(key=lambda x: x["sell_time"])
     return all_trades