feat(backtest): 대대적인 Optuna 백테스트 웹 UI 및 백엔드 파이프라인 개편

- Web UI: - Optuna 탭 추가 및 mode_combo (최빈값 조합), 사후합격 Top 10 시각화 기능 - 파라미터 분포(p25~p75, median, mode) 히스토그램 및 과적합(Overfit) 위험도 진단 UI 신설 - 체크박스 렌더링 깨짐 현상을 네이티브(appearance: auto)로 강제 복구 (CSS) - 다단 트레일링 스탑, 꼬리 진입/돌파 손절 등 고급 조건 설정 폼 UI 고도화 - Backend (Optuna Jobs): - CLI 환경에서 구동된 Optuna json 결과물을 웹 대시보드로 읽어오는 import 기능 강화 - JSON 메타데이터에 sort_by, mode, 호가 적용 여부 등 핵심 파라미터 파싱 누락 수정 - optuna_mode_combo.py 등 최빈값 조합 및 후보군 2차 검증을 위한 신규 모듈 추가 - DB & Execution: - WebSocket 호가/틱 피드 수집 통계(api_feed_collect_stats) 메모리 캐시 최적화 - KIS client 접속 키(approval_key) 등 인프라스트럭처 안정성 및 공유 관리 구조 개선 - 테스트 및 디버깅용 briefing 마크다운 자동 생성 기능 추가
2026-09-01 02:47:51 +09:00
parent 3d0255519e
commit 9ba9ab73b6
92 changed files with 8211 additions and 487 deletions
--- a/scripts/adhoc_cancelable_reconcile_smoke.py
+++ b/scripts/adhoc_cancelable_reconcile_smoke.py
@@ -0,0 +1,130 @@
+#!/usr/bin/env python3
+"""
+scripts/adhoc_cancelable_reconcile_smoke.py
+===========================================
+Worker SELL C+D — 주말 구조 스모크 (REST 주문·cancel 호출 없음).
+
+검증:
+  · orders broker debug 컬럼 migrate
+  · update_order_broker_snapshot / get_latest_sell_order_for_code 헬퍼
+  · OrderManager._reconcile_cancelable_open disabled 분기 (noop)
+  · poll 만료 cancel 실패 시 CANCELLED 금지 소스 앵커
+
+실행:
+  python3 -u scripts/adhoc_cancelable_reconcile_smoke.py
+"""
+from __future__ import annotations
+
+import inspect
+import sys
+from pathlib import Path
+from unittest.mock import MagicMock, patch
+
+ROOT = Path(__file__).resolve().parents[1]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+REQUIRED_ORDER_COLS = (
+    "broker_open_qty",
+    "broker_open_odno",
+    "broker_reconcile_at",
+    "broker_reconcile_note",
+)
+
+
+def main() -> int:
+    ok = True
+    print("=== adhoc_cancelable_reconcile_smoke ===")
+
+    from kis_trader.database.db_manager import get_db
+    from kis_trader.execution.order_manager import OrderManager, OrderRequest
+
+    db = get_db()
+    db._ensure_orders_table()
+    cols = [r["Field"] for r in db.conn.execute(
+        "SHOW COLUMNS FROM orders",
+    ).fetchall()]
+    missing = [c for c in REQUIRED_ORDER_COLS if c not in cols]
+    if missing:
+        print(f"FAIL orders 컬럼 누락: {missing}")
+        ok = False
+    else:
+        print(f"OK orders broker debug 컬럼 {len(REQUIRED_ORDER_COLS)}개 확인")
+
+    snap_ok = db.update_order_broker_snapshot(
+        ord_no="__smoke__",
+        strategy_id="SMOKE",
+        code="000000",
+        open_qty=0,
+        open_odno=None,
+        note="adhoc_smoke",
+    )
+    if snap_ok:
+        print("OK update_order_broker_snapshot (no-row UPDATE 허용)")
+    else:
+        print("WARN update_order_broker_snapshot False (no matching row — migrate OK)")
+
+    mock_client = MagicMock()
+    mock_db = MagicMock()
+    mock_db.get_latest_sell_order_for_code.return_value = None
+    om = OrderManager(client=mock_client, db=mock_db)
+
+    req = OrderRequest(
+        strategy_id="SMOKE",
+        code="232680",
+        name="232680",
+        side="SELL",
+        qty=1,
+        price_ref=0.0,
+        reason="smoke",
+    )
+
+    def _env_bool(key, default=True):
+        if key == "CANCELABLE_RECONCILE_ENABLED":
+            return False
+        if key == "CANCELABLE_RECONCILE_CANCEL_RETRY":
+            return False
+        return default
+
+    with patch(
+        "kis_trader.execution.order_manager.get_env_bool",
+        side_effect=_env_bool,
+    ):
+        action = om._reconcile_cancelable_open(
+            req, {"232680": {"psbl_qty": 10, "odno": "X"}},
+        )
+    if action != "disabled":
+        print(f"FAIL reconcile disabled 기대=disabled 실제={action}")
+        ok = False
+    else:
+        print("OK _reconcile_cancelable_open disabled → noop 경로")
+
+    from kis_trader.execution import order_manager as om_mod
+    src = inspect.getsource(om_mod.OrderManager.poll_pending_fills)
+    if "cancel_failed_at_poll" in src and "CANCELLED 금지" in src:
+        print("OK poll_pending_fills cancel 실패 → CANCELLED 금지 앵커")
+    else:
+        print("FAIL poll_pending_fills cancel-fail 가드 소스 누락")
+        ok = False
+
+    from kis_trader.strategies import base as base_mod
+    base_src = inspect.getsource(base_mod.BaseStrategy._enqueue_sell)
+    if "SELL_LOCKED_ENQUEUE_COOLDOWN_SEC" in base_src:
+        print("OK base._enqueue_sell sell_locked cooldown 앵커")
+    else:
+        print("FAIL base enqueue cooldown 소스 누락")
+        ok = False
+
+    ow_src = Path(ROOT / "kis_trader/execution/order_worker.py").read_text(encoding="utf-8")
+    if "prefetch_broker_holdings(force=False)" in ow_src:
+        print("OK order_worker prefetch force=False")
+    else:
+        print("FAIL order_worker prefetch force=False 누락")
+        ok = False
+
+    print("=== 최종:", "통과" if ok else "실패", "===")
+    return 0 if ok else 1
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())
--- a/scripts/run_optuna_4strat_tpe_seq.sh
+++ b/scripts/run_optuna_4strat_tpe_seq.sh
@@ -38,6 +38,9 @@ BREAKOUT_OPTUNA_SL_MODES="${BREAKOUT_OPTUNA_SL_MODES:-fixed}"
 BREAKOUT_OPTUNA_OB_MODES="${BREAKOUT_OPTUNA_OB_MODES:-off}"
 # kiwoom|ls — 웹 Optuna 이력소스 / CLI UNIVERSE_HISTORY_SOURCE
 UNIVERSE_HISTORY_SOURCE="${UNIVERSE_HISTORY_SOURCE:-${BACKTEST_UNIVERSE_HISTORY_SOURCE:-kiwoom}}"
+# 웹 순차 잡 ID (전략/조합별 1·2차 state 파일 prefix)
+OPTUNA_SEQ_JOB_ID="${OPTUNA_SEQ_JOB_ID:-seq}"
+SORT_BY="${SORT_BY:-score}"
 PY="${PY:-.venv/bin/python}"
 TS0="$(date +%Y%m%d_%H%M%S)"
 MASTER="logs/optuna_4strat_tpe_${START}_${END}_${TS0}_master.log"
@@ -51,7 +54,7 @@ MASTER="logs/optuna_4strat_tpe_${START}_${END}_${TS0}_master.log"
  echo "BREAKOUT_OPTUNA_OB_MODES=$BREAKOUT_OPTUNA_OB_MODES"
  echo "UNIVERSE_HISTORY_SOURCE=$UNIVERSE_HISTORY_SOURCE"
  echo "min_wr=$MIN_WIN_RATE min_pf=$MIN_PF min_trades=$MIN_TRADES"
-  echo "apply-best=OFF breakout-orderbook=스위치(스터디별) n_jobs=1 (사후 results_gated + briefing.md)"
+  echo "apply-best=OFF · 전략/조합마다 1·2차 TPE 연쇄 · n_jobs=1 (사후 results_gated + briefing.md)"
  echo "master_log=$MASTER"
  free -h | sed -n '1,2p'
  df -h / | tail -1
@@ -63,97 +66,106 @@ run_one() {
  local entry_mode="${2:-}"
  local sl_mode="${3:-}"
  local ob_mode="${4:-off}"
-  local ts study log sort_by bo_extra
+  local ts step_job_id refine_log state_file sort_by bo_extra extra min_trades_arg
  ts="$(date +%Y%m%d_%H%M%S)"
-  study="${strat}_tpe_${START//-/}_${END//-/}_${ts}"
-  log="logs/optuna_${strat}_tpe_${ts}.log"
-  if [[ "$strat" == "tail" && -n "$entry_mode" ]]; then
-    study="${strat}_${entry_mode}_tpe_${START//-/}_${END//-/}_${ts}"
-    log="logs/optuna_${strat}_${entry_mode}_tpe_${ts}.log"
-  fi
-  if [[ "$strat" == "breakout" && -n "$sl_mode" ]]; then
-    bo_extra="${sl_mode}_ob_${ob_mode}"
-    study="${strat}_${bo_extra}_tpe_${START//-/}_${END//-/}_${ts}"
-    log="logs/optuna_${strat}_${bo_extra}_tpe_${ts}.log"
-  fi
  sort_by="${SORT_BY:-score}"
  case "$sort_by" in
    score|score_legacy|pnl|daily_avg|win_rate) ;;
    *) sort_by="score" ;;
  esac

-  local min_trades_arg
+  if [[ "$strat" == "breakout" && -n "$sl_mode" ]]; then
+    bo_extra="${sl_mode}_ob_${ob_mode}"
+    extra="$bo_extra"
+  elif [[ "$strat" == "tail" && -n "$entry_mode" ]]; then
+    extra="$entry_mode"
+  else
+    extra=""
+  fi
+
+  step_job_id="${OPTUNA_SEQ_JOB_ID}_${strat}${extra:+_${extra}}_${ts}"
+  refine_log="logs/optuna_seq_refine_${step_job_id}.log"
+  state_file="logs/${step_job_id}_refine_state.json"
+
  min_trades_arg=$("$PY" -c "from kis_trader.backtest.optuna_common import resolve_optuna_min_trades; print(resolve_optuna_min_trades('${START}', '${END}', '${strat}')['min_trades'])")

  {
    echo ""
-    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}${bo_extra:+/$bo_extra}] START $(date -Is) study=$study univ=$UNIVERSE_HISTORY_SOURCE min_trades=$min_trades_arg --------"
+    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}${bo_extra:+/$bo_extra}] START $(date -Is) 1·2차 step=$step_job_id --------"
  } | tee -a "$MASTER"
-  echo "$log" > "logs/optuna_${strat}_tpe_latest.logpath"
-  echo "$study" > "logs/optuna_${strat}_tpe_latest.study"
-  # 웹 진행률: 전역 latest.study 가 이전 전략에 남으면 바가 1번에서 멈춤 → 잡별 파일
+
  if [[ -n "${OPTUNA_SEQ_ACTIVE_FILE:-}" ]]; then
-    if [[ "$strat" == "breakout" && -n "$bo_extra" ]]; then
-      extra="$bo_extra"
-    else
-      extra="${entry_mode:-${sl_mode:-}}"
-    fi
    {
      echo "strategy=$strat"
-      echo "study=$study"
      echo "entry_mode=${entry_mode:-}"
      echo "sl_mode=${sl_mode:-}"
      echo "ob_mode=${ob_mode:-}"
      echo "extra=${extra}"
+      echo "refine_state_path=$state_file"
    } > "$OPTUNA_SEQ_ACTIVE_FILE"
  fi

  set +e
-  set +e
-  local cmd_args=(
+  local refine_args=(
+    --job-id "$step_job_id"
    --strategy "$strat"
    --mode "$MODE"
    --start "$START"
    --end "$END"
    --trials "$TRIALS"
-    --min_trades "$min_trades_arg"
-    --min_win_rate "$MIN_WIN_RATE"
-    --min_pf "$MIN_PF"
-    --orderbook-filter "$([[ "$strat" == "breakout" ]] && echo "$ob_mode" || echo off)"
-    --no-progress
-    --study-name "$study"
    --sort-by "$sort_by"
+    --min-trades "$min_trades_arg"
    --universe-history-source "$UNIVERSE_HISTORY_SOURCE"
  )
  if [[ -n "${STUDY_TRIALS:-}" && "${STUDY_TRIALS}" != "0" ]]; then
-    cmd_args+=(--study-trials "$STUDY_TRIALS")
+    refine_args+=(--study-trials "$STUDY_TRIALS")
  fi
  if [[ "$strat" == "tail" && -n "$entry_mode" ]]; then
-    cmd_args+=(--entry-mode "$entry_mode")
+    refine_args+=(--entry-mode "$entry_mode")
  fi
  if [[ "$strat" == "breakout" && -n "$sl_mode" ]]; then
-    cmd_args+=(--sl-mode "$sl_mode")
+    refine_args+=(--sl-mode "$sl_mode" --ob-mode "$ob_mode")
+  fi
+  if [[ -n "${CANDLE_SOURCE:-}" ]]; then
+    refine_args+=(--candle-source "$CANDLE_SOURCE")
  fi
-
  if [[ -n "${TICK_SOURCE:-}" ]]; then
-    cmd_args+=("--tick-source" "$TICK_SOURCE")
+    refine_args+=(--tick-source "$TICK_SOURCE")
  fi
  if [[ -n "${OB_SOURCE:-}" ]]; then
-    cmd_args+=("--ob-source" "$OB_SOURCE")
+    refine_args+=(--ob-source "$OB_SOURCE")
  fi

-  "$PY" -u kis_trader/backtest/param_search_optuna.py "${cmd_args[@]}" >"$log" 2>&1
+  "$PY" -u kis_trader/backtest/optuna_mode_refine_runner.py "${refine_args[@]}" >"$refine_log" 2>&1
  local rc=$?
  set -e

+  local result_json briefing_md
+  result_json=""
+  briefing_md=""
+  if [[ -f "$state_file" ]]; then
+    result_json=$("$PY" -c "import json; print(json.load(open('${state_file}')).get('result_json') or '')" 2>/dev/null || true)
+    if [[ -n "$result_json" && -f "$result_json" ]]; then
+      echo "OPTUNA_RESULT_JSON=$result_json" | tee -a "$MASTER"
+      briefing_md="${result_json%.json}.briefing.md"
+      if [[ -f "$briefing_md" ]]; then
+        echo "OPTUNA_BRIEFING_MD=$briefing_md" | tee -a "$MASTER"
+      fi
+    fi
+  fi
+  if [[ -z "$result_json" ]]; then
+    grep -E 'OPTUNA_RESULT_JSON=' "$refine_log" | tail -n 1 | tee -a "$MASTER" || true
+  fi
+
  {
    echo "-------- [$strat${entry_mode:+/$entry_mode}${sl_mode:+/$sl_mode}${bo_extra:+/$bo_extra}] END rc=$rc $(date -Is) --------"
-    echo "LOG=$log"
-    grep -E 'OPTUNA_RESULT_JSON=|OPTUNA_BRIEFING_MD=|Best trial|optuna_best|❌|KeyError|Traceback' "$log" | tail -n 24 || true
+    echo "REFINE_LOG=$refine_log"
+    echo "STATE=$state_file"
+    grep -E 'OPTUNA_RESULT_JSON=|OPTUNA_BRIEFING_MD=|✅ 1·2차|❌ 1·2차|phase1|phase2|Traceback' "$refine_log" | tail -n 24 || true
  } | tee -a "$MASTER"

  if [[ "$rc" -ne 0 ]]; then
-    echo "⚠️ [$strat] 실패 rc=$rc — 다음 전략 계속" | tee -a "$MASTER"
+    echo "⚠️ [$strat] 1·2차 실패 rc=$rc — 다음 전략 계속" | tee -a "$MASTER"
  fi
  return 0
 }