#!/usr/bin/env python3 """ 1분봉 → N분봉 재합성 (실매 갭보정 RAM · 백테/파람서치 공통). 키움/집계기 관례: candle_time(YYYYMMDDHHMM) = 봉 **시작** 시각. 예) 3분봉 1315 = 13:15·16·17 1분봉 합산. """ from __future__ import annotations from datetime import datetime from typing import Any, Dict, List, Optional, Tuple def floor_candle_time_to_tf(candle_time: str, tf_min: int) -> str: """분봉 시각을 tf_min 격자 시작 시각으로 내림.""" raw = str(candle_time or "").strip()[:12] if len(raw) < 12: return "" try: dt0 = datetime.strptime(raw, "%Y%m%d%H%M") except ValueError: return "" tf = max(1, int(tf_min)) total = dt0.hour * 60 + dt0.minute floored = (total // tf) * tf nh, nm = divmod(floored, 60) return f"{dt0.strftime('%Y%m%d')}{nh:02d}{nm:02d}" def add_candle_minutes(candle_time: str, minutes: int) -> str: """YYYYMMDDHHMM + minutes.""" raw = str(candle_time or "").strip()[:12] if len(raw) < 12: return "" try: dt0 = datetime.strptime(raw, "%Y%m%d%H%M") except ValueError: return "" from datetime import timedelta return (dt0 + timedelta(minutes=int(minutes))).strftime("%Y%m%d%H%M") def minute_diff(a: str, b: str) -> Optional[int]: """b - a (분). 파싱 실패 시 None.""" try: da = datetime.strptime(str(a)[:12], "%Y%m%d%H%M") db = datetime.strptime(str(b)[:12], "%Y%m%d%H%M") except ValueError: return None return int((db - da).total_seconds() // 60) def rollup_1m_bars_to_tf( bars_1m: List[Dict[str, Any]], tf_min: int = 3, ) -> List[Dict[str, Any]]: """ 1분봉 리스트(오래된→최신) → tf_min 분봉 OHLC 재합성. O=구간 첫 시가, H=max, L=min, C=마지막 종가, V=합. 반환 candle_time = 구간 시작. source='rollup_1m'. **완전 버킷만 반환**: 구간 안 1분봉이 ``tf_min`` 개 모두 있을 때만 포함. (갭보정 직후 진행 중 버킷을 불완전 volume 으로 넣으면 실매 vol 필터가 DB·백테와 어긋남 — 2026-07-16 샘표 사례) """ tf = max(1, int(tf_min)) if tf == 1: out: List[Dict[str, Any]] = [] for b in bars_1m or []: ct = str(b.get("candle_time") or b.get("time") or "")[:12] if len(ct) < 12: continue out.append({ "candle_time": ct, "open": float(b.get("open") or 0), "high": float(b.get("high") or 0), "low": float(b.get("low") or 0), "close": float(b.get("close") or 0), "volume": int(float(b.get("volume") or 0)), "is_confirmed": 1, "source": str(b.get("source") or "rollup_1m"), }) return out buckets: Dict[str, Dict[str, Any]] = {} child_mins: Dict[str, set] = {} order: List[str] = [] for b in bars_1m or []: ct = str(b.get("candle_time") or b.get("time") or "")[:12] if len(ct) < 12: continue key = floor_candle_time_to_tf(ct, tf) if not key: continue o = float(b.get("open") or 0) h = float(b.get("high") or 0) lo = float(b.get("low") or 0) c = float(b.get("close") or 0) v = int(float(b.get("volume") or 0)) if c <= 0 and o <= 0: continue child_mins.setdefault(key, set()).add(ct) if key not in buckets: buckets[key] = { "candle_time": key, "open": o if o > 0 else c, "high": max(h, o, c, lo), "low": min(x for x in (lo, o, c, h) if x > 0) if any( x > 0 for x in (lo, o, c, h) ) else 0.0, "close": c if c > 0 else o, "volume": max(0, v), "is_confirmed": 1, "source": "rollup_1m", } order.append(key) else: agg = buckets[key] if h > 0: agg["high"] = max(float(agg["high"]), h, o, c) pos = [x for x in (lo, o, c) if x > 0] if pos: agg["low"] = min(float(agg["low"]) if float(agg["low"]) > 0 else pos[0], *pos) if c > 0: agg["close"] = c elif o > 0: agg["close"] = o agg["volume"] = int(agg["volume"]) + max(0, v) # 자식 1M 이 tf 개 미만이면 미완성 — 실매/백테 공통으로 제외 return [buckets[k] for k in order if len(child_mins.get(k, ())) >= tf] def merge_fill_holes( primary: List[Dict[str, Any]], filler: List[Dict[str, Any]], ) -> Tuple[List[Dict[str, Any]], int]: """ primary(DB 등)에 없는 candle_time 만 filler(합성)로 보강. 기존 봉은 덮어쓰지 않음. 반환 (병합 리스트, 보강 개수). """ by_t: Dict[str, Dict[str, Any]] = {} for b in primary or []: ct = str(b.get("candle_time") or "")[:12] if len(ct) >= 12: by_t[ct] = dict(b) filled = 0 for b in filler or []: ct = str(b.get("candle_time") or "")[:12] if len(ct) < 12: continue if ct in by_t: continue by_t[ct] = dict(b) filled += 1 merged = [by_t[k] for k in sorted(by_t.keys())] return merged, filled