""" kis_trader/strategies/scalping.py — 스캘핑 전략 (1분봉 RSI 과매도 되돌림) ========================================================================== - 신호 생성: ``scalping_engine.check_buy_signal_live`` / ``check_sell_signal_live`` → 백테스트와 동일 로직 보장 - 주문 실행: ``OrderManager.place(OrderRequest(strategy_id="SCALP", ...))`` → ODNO 저장, 종목 Lock, 실 잔고 검증까지 한 번에 처리 """ from __future__ import annotations import time from datetime import datetime as dt from typing import Dict, List, Optional try: import scalping_engine as se except ImportError: se = None from ..utils.env import get_env_bool, get_env_float, get_env_from_db, get_env_int from .base import BaseStrategy class ScalpingStrategy(BaseStrategy): strategy_id = "SCALP" loop_min_sleep = 1.0 loop_max_sleep = 2.0 def __init__(self, **kwargs): super().__init__(**kwargs) self.candle_tf = 1 # 1분봉 self._scan_engine_params: Optional[Dict] = None self.reload_config() # ------------------------------------------------------------------ def reload_config(self) -> None: """env_config 기반 파라미터 리로드 (루프 1회 당 1번).""" self.min_price = get_env_float("MIN_STOCK_PRICE", 1000.0) self.high_chase_thr = get_env_float("HIGH_CHASE_THR", 0.96) self.max_daily_chg = get_env_float("MAX_DAILY_CHG", 20.0) self.vol_multiplier = get_env_float("VOL_MULTIPLIER", 0.0) # 부호 무관하게 항상 손절은 음수, 익절은 양수로 정규화 # (DB에 0.012/-0.012 어느 쪽이 들어와도 stop_price 가 매수가 아래로 잡히도록.) self.scalp_stop_loss_pct = -abs(get_env_float("SCALP_STOP_LOSS_PCT", 0.015)) self.scalp_take_profit_pct = abs(get_env_float("SCALP_TAKE_PROFIT_PCT", 0.015)) self.scalp_min_drop_rate = get_env_float("SCALP_MIN_DROP_RATE", 0.015) self.atr_down_mult = get_env_float("ATR_DOWN_MULT", 1.5) self.rsi_oversold = get_env_float("SCALP_RSI_OVERSOLD", 25.0) self.rsi_overbought = get_env_float("SCALP_RSI_OVERBOUGHT", 75.0) self.slot_money = get_env_int("SLOT_MONEY_DEFAULT", 3000000) # ── 진입 모드 토글 ─────────────────────────────────────────── # reversal: 기존 RSI 과매도 V자 반전 (오리지널) # momentum: 키움 'scalp' 조건검색(갭상승+신고가) 종목군 따라붙기 self.scalp_mode = (get_env_from_db("SCALP_MODE", "reversal") or "reversal").strip().lower() if self.scalp_mode not in ("reversal", "momentum"): self.logger.warning("SCALP_MODE='%s' 알 수 없음 → reversal 로 fallback", self.scalp_mode) self.scalp_mode = "reversal" if se is not None: try: _d = se.get_scalping_defaults_from_db() self._scan_engine_params = { **_d, "rsi_oversold": self.rsi_oversold, "rsi_overbought": self.rsi_overbought, "sl_pct": abs(self.scalp_stop_loss_pct), "tp_pct": self.scalp_take_profit_pct, "drop_rate": self.scalp_min_drop_rate, "vol_mult": self.vol_multiplier if self.vol_multiplier > 0 else 0, "require_reversal_candle": get_env_bool("SCALP_REQUIRE_REVERSAL_CANDLE", True), # 모멘텀 모드 전용 파라미터 "mom_rsi_min": get_env_float("SCALP_MOM_RSI_MIN", 50.0), "mom_rsi_max": get_env_float("SCALP_MOM_RSI_MAX", 80.0), "mom_vol_mult": get_env_float("SCALP_MOM_VOL_MULT", 1.5), "mom_vol_win": get_env_int("SCALP_MOM_VOL_WIN", 5), "mom_time_end_hm": get_env_int("SCALP_MOM_TIME_END_HM", 1430), # 모멘텀 진입은 횟수 더 많이 (조건검색이 종목 거르므로 회전 빠름) "max_daily": get_env_int("SCALP_MAX_DAILY", _d.get("max_daily", 3) if self.scalp_mode != "momentum" else 5), } except Exception as e: self.logger.debug("scalping_engine defaults 조회 실패: %s", e) def _candidate_filter(self, candidate: Dict) -> bool: """scalp_on 이 True 인 후보만 대상.""" return bool(candidate.get("scalp_on", True)) # ------------------------------------------------------------------ # 매수 # ------------------------------------------------------------------ def check_buy(self, code: str, name: str) -> Optional[Dict]: if se is None: self.logger.warning("scalping_engine 미탑재 → 매수 체크 스킵") return None try: if get_env_bool("FORCE_BUY_TEST", False): return self._force_buy_test(code, name) candles_raw = self.ws.get_candles(code, self.candle_tf, n=50) if len(candles_raw) < 5: return None candles = [self._norm_candle(c) for c in candles_raw] # 엔진 state today = dt.now().strftime("%Y%m%d") last_exit_dt = None if code in self.recently_sold: try: last_exit_dt = dt.fromtimestamp(self.recently_sold[code]) if last_exit_dt.strftime("%Y%m%d") != today: last_exit_dt = None except Exception: pass try: today_trades = self.db.get_trades_by_date(today) daily_cnt = len([ t for t in today_trades if t.get("code") == code and str(t.get("strategy", "")).startswith("SCALP") ]) except Exception: daily_cnt = 0 state = {"last_exit_dt": last_exit_dt, "daily_cnt": daily_cnt} params = self._scan_engine_params or {} if self.scalp_mode == "momentum": reject, msg, sig = se.check_buy_signal_momentum_live(candles, params, state) else: reject, msg, sig = se.check_buy_signal_live(candles, params, state) if reject: self.logger.info("🔍 [%s] %s %s: %s", reject, name, code, msg or "") return None if not sig: return None latest = candles[-1] curr_price = float(latest["close"]) if curr_price < self.min_price: return None # 현재가 보정 (WS → 없으면 REST) wsd = self.ws.get_price(code) if wsd: try: curr_price = abs(float(str(wsd.get("stck_prpr", curr_price)).replace(",", ""))) or curr_price except Exception: pass if curr_price <= 0: return None # 포지션 크기 = 손실허용액 / 손절비율 max_loss_krw = get_env_int("SCALP_MAX_LOSS_PER_TRADE_KRW", 0) \ or get_env_int("MAX_LOSS_PER_TRADE_KRW", 200000) sl_pct = abs(self.scalp_stop_loss_pct) if max_loss_krw > 0 and sl_pct > 0: invest_limit = max_loss_krw / sl_pct invest_amount = min(invest_limit, self.slot_money) else: invest_amount = self.slot_money # ── [하드캡] 종목당 최대 매수금액 상한 ──────────────────────── # 우선순위: SCALP 전용 > 공용 > 미설정(=무시) # 현장에서 "손절%가 작으면 포지션이 비정상적으로 커지는" 문제 방지용. hard_cap = get_env_int("SCALP_MAX_BUY_AMOUNT", 0) \ or get_env_int("MAX_BUY_AMOUNT_PER_STOCK", 0) if hard_cap > 0 and invest_amount > hard_cap: self.logger.info( "💰 [투자금 상한 적용] %s: %s원 → %s원 (cap=%s)", code, f"{int(invest_amount):,}", f"{hard_cap:,}", f"{hard_cap:,}", ) invest_amount = hard_cap qty = max(1, int(invest_amount / curr_price)) stop_price = curr_price * (1 + self.scalp_stop_loss_pct) target_price = curr_price * (1 + self.scalp_take_profit_pct) self.logger.info( "🎯 [SCALP-%s 시그널] %s(%s) price=%.0f qty=%d RSI=%.1f", self.scalp_mode.upper(), name, code, curr_price, qty, sig.get("rsi", 0), ) return { "code": code, "name": name, "price": curr_price, "qty": qty, "stop_price": stop_price, "target_price": target_price, "atr_entry": 0.0, "size_class": "", "entry_features": {"rsi": sig.get("rsi", 0)}, } except Exception as e: self.logger.info("🔍 [탈락-예외] %s %s: %s", name, code, e) return None def _force_buy_test(self, code: str, name: str) -> Optional[Dict]: wsd = self.ws.get_price(code) px = 0.0 if wsd: try: px = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", ""))) except Exception: px = 0.0 if px <= 0: pd_ = self.client.inquire_price(code) if pd_: try: px = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", ""))) except Exception: px = 0.0 if px <= 0: return None qty = max(1, int(self.slot_money / px)) return { "code": code, "name": name, "price": px, "qty": qty, "stop_price": px * (1 + self.scalp_stop_loss_pct), "target_price": px * (1 + self.scalp_take_profit_pct), "atr_entry": 0.0, "size_class": "", "entry_features": {}, } # ------------------------------------------------------------------ # 매도 # ------------------------------------------------------------------ def check_sell_signals(self) -> List[Dict]: """엔진 check_sell_signal_live 사용 (백테스트 동일).""" if not self.holdings: return [] if se is None: return [] signals: List[Dict] = [] now = dt.now() is_eod = (now.hour == 15 and now.minute >= 25) or now.hour > 15 try: params = se.get_scalping_defaults_from_db() except Exception: params = {} params.update({ "max_loss_krw": float( get_env_int("SCALP_MAX_LOSS_PER_TRADE_KRW", 0) or get_env_int("MAX_LOSS_PER_TRADE_KRW", 200000) ), "min_drop_pct_for_loss_cut": get_env_float( "SCALP_MIN_DROP_PCT_FOR_LOSS_CUT", 0.015 ), "fee_rate": get_env_float("FEE_RATE_PCT", 0.015) / 100, "sell_tax": get_env_float("SELL_TAX_RATE_PCT", 0.18) / 100, "min_margin": get_env_float("SCALP_MIN_PROFIT_PCT", 0.2) / 100, }) for code, holding in list(self.holdings.items()): try: name = holding.get("name", code) buy_price = float(holding.get("buy_price", 0)) qty = int(holding.get("qty", 0)) stop = float(holding.get("stop_price", 0)) target = float(holding.get("target_price", 0)) max_price = float(holding.get("max_price", buy_price)) if qty <= 0 or buy_price <= 0: continue # 현재가 (WS → REST) current_price = 0.0 wsd = self.ws.get_price(code) if wsd: try: current_price = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", ""))) except Exception: current_price = 0.0 if current_price <= 0: pd_ = self.client.inquire_price(code) if pd_: try: current_price = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", ""))) except Exception: current_price = 0.0 if current_price <= 0: continue # max_price 업데이트 if current_price > max_price: max_price = current_price holding["max_price"] = max_price profit_pct = (current_price - buy_price) / buy_price if buy_price > 0 else 0 position = { "entry_price": buy_price, "entry_time": holding.get("buy_time", ""), "qty": qty, "stop": stop, "target": target, "max_price": max_price, } candle = { "high": max_price, "low": current_price, "close": current_price, "candle_time": now.strftime("%Y%m%d%H%M"), } res = se.check_sell_signal_live(position, candle, params, is_eod=is_eod) if not res: continue reason, exit_price = res signals.append({ "code": code, "name": name, "current_price": current_price, "price": exit_price, "qty": qty, "buy_price": buy_price, "profit_pct": profit_pct, "reason": reason, }) except Exception as e: self.logger.error("매도 시그널 체크 오류(%s): %s", code, e) return signals # ------------------------------------------------------------------ def _norm_candle(self, c: dict) -> dict: ct = c.get("candle_time") or c.get("candle_time_str", "") if isinstance(ct, str) and len(ct) == 19 and " " in ct: ct = ct.replace("-", "").replace(" ", "").replace(":", "")[:12] return { "candle_time": ct, "open": float(c.get("open", 0)), "high": float(c.get("high", 0)), "low": float(c.get("low", 0)), "close": float(c.get("close", 0)), "volume": float(c.get("volume", 0)), }