Files
kis_bot/kis_trader/engine/tick_exit_common.py
2026-07-30 18:05:07 +09:00

385 lines
12 KiB
Python

#!/usr/bin/env python3
"""
백테 틱 청산 공통 — 실매 폴링(STRATEGY_LOOP_SLEEP≈0.1초) 근사.
1분·N분봉 OHLC intrabar(open→high→low→close)는 익절/어깨를 손절보다 먼저
체결하는 낙관 편향을 만든다. 전 전략 백테·파람서치·Optuna는 ws_ticks 시간순 재생.
■ 절대규칙 (정합)
틱 청산/틱 진입 ON 이면 OHLC 폴백으로 체결·고점·손익 숫자를 **절대 변조하지 않는다**.
``*_TICK_FALLBACK_OHLC`` 체크가 ON이어도 ``use_tick_exit`` 경로에서는 무시한다.
(봉 high 선반영·EOD OHLC 강제 폴백 = 실매와 다른 엔진 — 금지)
"""
from __future__ import annotations
from datetime import datetime
from typing import Any, Callable, Dict, List, Optional, Tuple
from kis_trader.utils.env import get_env_bool, get_env_float, get_env_int
SellFn = Callable[..., Optional[tuple]]
def _param_bool(
params: Optional[Dict[str, Any]],
param_key: str,
env_key: str,
default: bool,
) -> bool:
if params is not None and params.get(param_key) is not None:
s = str(params.get(param_key)).strip().lower()
if s in ("1", "true", "t", "y", "yes", "on"):
return True
if s in ("0", "false", "f", "n", "no", "off", ""):
return False
return get_env_bool(env_key, default)
def parse_backtest_time(t: str) -> datetime:
from kis_trader.utils.trade_time import parse_trade_datetime
return parse_trade_datetime(t)
def _tick_time_to_ms(tick_time: str) -> int:
dt = parse_backtest_time(tick_time)
return int(dt.timestamp() * 1000)
def backtest_tick_poll_ms(
params: Optional[Dict[str, Any]] = None,
*,
strategy_env: str = "",
default: int = 100,
) -> int:
"""틱 청산 폴링 간격(ms). 실매 STRATEGY_LOOP_SLEEP≈0.1초 정합 · 하한 50."""
if params is not None and params.get("backtest_tick_poll_ms") is not None:
try:
return max(50, int(float(params["backtest_tick_poll_ms"])))
except (TypeError, ValueError):
pass
if strategy_env:
v = get_env_int(strategy_env, 0)
if v > 0:
return max(50, int(v))
return max(50, int(get_env_int("BACKTEST_TICK_POLL_MS", default)))
def backtest_sell_slip_pct(
params: Optional[Dict[str, Any]] = None,
*,
strategy_env: str = "",
) -> float:
if params is not None and params.get("backtest_sell_slip_pct") is not None:
try:
return abs(float(params["backtest_sell_slip_pct"]))
except (TypeError, ValueError):
pass
if strategy_env:
return abs(float(get_env_float(strategy_env, 0.0)))
return abs(float(get_env_float("BACKTEST_SELL_SLIP_PCT", 0.0)))
def strategy_use_tick_exit(
params: Optional[Dict[str, Any]],
env_key: str,
*,
default: bool = True,
) -> bool:
return _param_bool(params, "backtest_use_tick_exit", env_key, default)
def strategy_tick_fallback_ohlc(
params: Optional[Dict[str, Any]],
env_key: str,
*,
default: bool = False,
) -> bool:
"""OHLC 폴백 플래그 조회.
기본 False. 틱 청산 ON 경로에서는 ``resolve_backtest_sell`` 이 이 값을 **무시**한다.
Optuna/파람서치는 호출측에서 False 고정.
"""
return _param_bool(params, "backtest_tick_fallback_ohlc", env_key, default)
def collect_minute_ticks(
ticks_by_code: Optional[Dict[str, Dict[str, List[Dict[str, Any]]]]],
code: str,
minute_key: str,
) -> List[Dict[str, Any]]:
if not ticks_by_code:
return []
bucket = ticks_by_code.get(code) or {}
try:
from kis_trader.backtest.shared_ticks import SharedBucketMapping
if isinstance(bucket, SharedBucketMapping):
return bucket.column_view_minute(minute_key)
except Exception:
pass
ticks = list(bucket.get(str(minute_key)[:12]) or [])
ticks.sort(key=lambda x: str(x.get("tick_time") or ""))
return ticks
def try_sell_on_ticks(
position: Dict[str, Any],
ticks: List[Dict[str, Any]],
params: Dict[str, Any],
sell_fn: SellFn,
*,
is_eod: bool = False,
entry_time: str = "",
poll_ms: int = 100,
slip_pct: float = 0.0,
low_mode: str = "current",
) -> Optional[Tuple[str, float, str, float]]:
"""
틱 시간순 청산 검사.
Returns:
(reason, fill_price, sell_time, hold_min) 또는 None
"""
try:
from kis_trader.backtest.shared_ticks import TickColumnView
except ImportError:
TickColumnView = None # type: ignore[misc, assignment]
if TickColumnView is not None and isinstance(ticks, TickColumnView):
return _try_sell_on_ticks_columnar(
position, ticks, params, sell_fn,
is_eod=is_eod, entry_time=entry_time,
poll_ms=poll_ms, slip_pct=slip_pct, low_mode=low_mode,
)
if not ticks:
return None
entry_key = str(entry_time or "")[:12]
try:
entry_dt = parse_backtest_time(entry_time or ticks[0].get("tick_time", entry_key))
except ValueError:
entry_dt = parse_backtest_time(entry_key)
session_low: Optional[float] = None
if str(low_mode).strip().lower() == "session_low":
ep = float(position.get("entry_price", 0) or 0)
session_low = float(position.get("session_low", ep) or ep)
last_check_ms = -10**15
n = len(ticks)
poll = max(50, int(poll_ms))
slip = abs(float(slip_pct))
for idx, tick in enumerate(ticks):
tt = str(tick.get("tick_time") or "")
if len(tt) < 12:
continue
if entry_key and tt[:12] < entry_key:
continue
try:
tick_ms = _tick_time_to_ms(tt)
except ValueError:
continue
px = float(tick.get("price") or 0)
if px <= 0:
continue
mp = max(float(position.get("max_price", position["entry_price"])), px)
position["max_price"] = mp
if session_low is not None:
session_low = min(session_low, px)
position["session_low"] = session_low
lo_sim = session_low
else:
lo_sim = px
if tick_ms - last_check_ms < poll:
continue
last_check_ms = tick_ms
candle = {
"high": mp,
"low": lo_sim,
"close": px,
"candle_time": tt[:12],
}
eod_here = bool(is_eod and idx == n - 1)
res = sell_fn(position, candle, params, is_eod=eod_here)
if not res:
continue
reason, _theoretical = res
fill_px = px
if slip > 0:
fill_px = px * (1.0 - slip / 100.0)
try:
sell_dt = parse_backtest_time(tt)
except ValueError:
sell_dt = parse_backtest_time(tt[:12])
hold_min = round((sell_dt - entry_dt).total_seconds() / 60.0, 1)
sell_time = tt[:14] if len(tt) >= 14 else tt[:12]
return reason, fill_px, sell_time, hold_min
return None
def _try_sell_on_ticks_columnar(
position: Dict[str, Any],
view: Any,
params: Dict[str, Any],
sell_fn: SellFn,
*,
is_eod: bool = False,
entry_time: str = "",
poll_ms: int = 100,
slip_pct: float = 0.0,
low_mode: str = "current",
) -> Optional[Tuple[str, float, str, float]]:
if len(view) == 0:
return None
from kis_trader.engine.whipsaw_filter import _tick_epoch_sec
owner = view.owner
_epoch = owner._epoch
_price = owner._price
_tick_time = owner._tick_time
poll = max(50, int(poll_ms))
slip = abs(float(slip_pct))
entry_key = str(entry_time or "")[:12]
entry_key_epoch = _tick_epoch_sec(entry_key) if entry_key else 0
if entry_time:
_entry_src = entry_time
else:
_fi = view.first_idx()
_entry_src = _tick_time[_fi].decode("utf-8") if _fi >= 0 else entry_key
try:
entry_dt = parse_backtest_time(_entry_src)
except ValueError:
entry_dt = parse_backtest_time(entry_key)
session_low: Optional[float] = None
if str(low_mode).strip().lower() == "session_low":
ep = float(position.get("entry_price", 0) or 0)
session_low = float(position.get("session_low", ep) or ep)
last_check_ms = -10**15
n = len(view)
idx = -1
for i in view.iter_idx():
idx += 1
ts = int(_epoch[i])
if ts <= 0:
continue
if entry_key and ts < entry_key_epoch:
continue
px = float(_price[i])
if px <= 0:
continue
mp = max(float(position.get("max_price", position["entry_price"])), px)
position["max_price"] = mp
if session_low is not None:
session_low = min(session_low, px)
position["session_low"] = session_low
lo_sim = session_low
else:
lo_sim = px
tick_ms = ts * 1000
if tick_ms - last_check_ms < poll:
continue
last_check_ms = tick_ms
tt = _tick_time[i].decode("utf-8")
candle = {
"high": mp,
"low": lo_sim,
"close": px,
"candle_time": tt[:12],
}
eod_here = bool(is_eod and idx == n - 1)
res = sell_fn(position, candle, params, is_eod=eod_here)
if not res:
continue
reason, _theoretical = res
fill_px = px
if slip > 0:
fill_px = px * (1.0 - slip / 100.0)
try:
sell_dt = parse_backtest_time(tt)
except ValueError:
sell_dt = parse_backtest_time(tt[:12])
hold_min = round((sell_dt - entry_dt).total_seconds() / 60.0, 1)
sell_time = tt[:14] if len(tt) >= 14 else tt[:12]
return reason, fill_px, sell_time, hold_min
return None
def resolve_backtest_sell(
position: Dict[str, Any],
bar: Dict[str, Any],
params: Dict[str, Any],
*,
is_eod: bool = False,
sell_fn: Optional[SellFn] = None,
low_mode: str = "current",
ticks: Optional[List[Dict[str, Any]]] = None,
use_tick_exit: bool = True,
tick_fallback_ohlc: bool = False,
poll_ms: int = 100,
slip_pct: float = 0.0,
) -> Optional[Tuple[str, float, str, float, str]]:
"""
한 봉 청산 — 틱 청산 ON 이면 틱만. OHLC 폴백으로 숫자 변조 금지.
Returns:
(reason, fill_price, sell_time, hold_min, exit_source)
exit_source: ws_ticks | ohlc_bar
"""
from kis_trader.engine.scalping_engine import check_sell_signal_backtest_bar
if sell_fn is None:
from kis_trader.engine.scalping_engine import check_sell_signal_live as sell_fn
ct = str(bar.get("candle_time") or "")
entry_time = str(position.get("entry_time") or "")
if use_tick_exit:
if ticks:
tick_res = try_sell_on_ticks(
position, ticks, params, sell_fn,
is_eod=is_eod, entry_time=entry_time,
poll_ms=poll_ms, slip_pct=slip_pct, low_mode=low_mode,
)
if tick_res:
reason, fill_px, sell_time, hold_min = tick_res
return reason, fill_px, sell_time, hold_min, "ws_ticks"
# 절대규칙: 틱 청산 ON → OHLC intrabar 폴백 무시 (tick_fallback_ohlc 체크 무관)
# EOD 플랫은 호출측에서 직전가/장마감만 처리.
return None
# 틱 청산 OFF = 레거시 순수 OHLC 경로 (폴백이 아님 — 봉 OHLC 가 본체)
res = check_sell_signal_backtest_bar(
position, bar, params, is_eod=is_eod, sell_fn=sell_fn, low_mode=low_mode,
)
if not res:
return None
reason, exit_price = res
try:
entry_dt = parse_backtest_time(entry_time)
sell_dt = parse_backtest_time(ct)
hold_min = round((sell_dt - entry_dt).total_seconds() / 60.0, 1)
except ValueError:
hold_min = 0.0
return reason, float(exit_price), ct, hold_min, "ohlc_bar"