ls증권 히스토리 구독 넣음

kis_trader/engine/tail_tick_replay.py

@@ -167,6 +167,67 @@ def align_entry_price_from_ticks(
     return fo, "ohlc_open"
 
 
+def _live_entry_tick_buffer_enabled() -> bool:
+    """실매 진입 계산가: RAM 틱 첫가 우선 (기본 ON). 없으면 분봉 시가 폴백."""
+    from kis_trader.utils.env import get_env_bool
+    return get_env_bool("LIVE_ALIGN_ENTRY_FROM_TICK_BUFFER", True)
+
+
+def _live_entry_tick_buffer_limit() -> int:
+    from kis_trader.utils.env import get_env_int
+    return max(10, int(get_env_int("LIVE_ENTRY_TICK_BUFFER_LIMIT", 300) or 300))
+
+
+def filter_recent_ticks_for_entry_bar(
+    ticks: List[Dict[str, Any]],
+    entry_bar_key: str,
+    tf_min: int = 1,
+) -> List[Dict[str, Any]]:
+    """RAM 틱 중 진입봉(T)에 속하는 것만 (시간 오름차순 유지)."""
+    keys = set(tail_bar_minute_keys(entry_bar_key, tf_min))
+    if not keys:
+        return []
+    out: List[Dict[str, Any]] = []
+    for tick in ticks or []:
+        tt = str(tick.get("tick_time") or "").replace(":", "").replace("-", "").replace(" ", "")
+        if len(tt) >= 12 and tt[:12] in keys:
+            out.append(tick)
+    return out
+
+
+def live_align_entry_price(
+    ws: Any,
+    code: str,
+    fallback_open: float,
+    *,
+    entry_bar_key: Optional[str] = None,
+    tf_min: int = 1,
+    enabled: Optional[bool] = None,
+) -> Tuple[float, str]:
+    """실매 진입 **계산가** — 백테 ``align_entry_price_from_ticks`` 와 동일 의미.
+
+    1) ``LIVE_ALIGN_ENTRY_FROM_TICK_BUFFER`` ON 이고 WS RAM에 진입봉 틱이 있으면 첫 체결가
+    2) 아니면 분봉 시가(``fallback_open``)
+
+    주문 유형(시장가/지정가)은 바꾸지 않는다. 수량·손절·백테 정합용 기준가만 정밀화.
+    """
+    fo = float(fallback_open or 0)
+    use = _live_entry_tick_buffer_enabled() if enabled is None else bool(enabled)
+    if not use or fo <= 0:
+        return fo, "ohlc_open"
+    bar_key = str(entry_bar_key or "")[:12]
+    if len(bar_key) < 12:
+        return fo, "ohlc_open"
+    if ws is None or not code or not getattr(ws, "get_recent_ticks", None):
+        return fo, "ohlc_open"
+    try:
+        raw = list(ws.get_recent_ticks(str(code).strip(), limit=_live_entry_tick_buffer_limit()) or [])
+    except Exception:
+        return fo, "ohlc_open"
+    bar_ticks = filter_recent_ticks_for_entry_bar(raw, bar_key, tf_min=max(1, int(tf_min or 1)))
+    return align_entry_price_from_ticks(bar_ticks, fo)
+
+
 def resolve_align_entry_bar(
     candles: List[Dict[str, Any]],
     signal_idx: int,
@@ -227,10 +288,14 @@ def try_limit_fill_on_bar_with_ticks(
     from kis_trader.engine.limit_entry_common import try_limit_fill_on_bar
 
     p = params or {}
-    if ticks and tail_backtest_use_tick_db(p):
+    use_ticks = tail_backtest_use_tick_db(p)
+    if use_ticks and ticks:
         fp = try_limit_fill_from_ticks(ticks, limit_price, fill_slip_pct)
         if fp and fp > 0:
             return fp, "ws_ticks"
+    # 절대규칙: 틱 진입 ON 이면 OHLC low 폴백으로 체결가 변조 금지
+    if use_ticks:
+        return None, "none"
     if tail_backtest_tick_fallback_ohlc(p):
         fp = try_limit_fill_on_bar(bar, limit_price, fill_slip_pct)
         if fp and fp > 0: