5e44b86f8b
- _feed_fallback 미러 OFF, LS cap/grace/hold RAM을 KIS·키움 spill과 정합 - LS 접근토큰 .ls_token_cache_*.json (재시작 재사용, revoke 루프 없음) - 호가 RAM을 틱과 동일 LIVE_FEED_FALLBACK(snap_time)로 컷, 필터 max_age=0은 유지 - 익절 지정가 로그에 실제 호가 벤더(kis/kiwoom/ls 1·2·3차) 표기 Co-authored-by: Cursor <cursoragent@cursor.com>
191 lines
8.1 KiB
Python
191 lines
8.1 KiB
Python
"""
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kis_trader/engine/orderbook_env.py — 호가필터 env 키 (전략 전용)
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================================================================
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글로벌 ``ORDERBOOK_*`` 임계값은 폐기. 실매·그리드·apply-best 는
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``{SCALP|TAIL|MOMENTUM|BREAKOUT}_ORDERBOOK_*`` 만 사용.
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코드 기본값 = DB 시드·웹 스키마 default 와 동일해야 함.
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"""
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from __future__ import annotations
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from typing import Any, Dict, List, Optional, Tuple
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from kis_trader.utils.env import get_env_bool, get_env_float, get_env_from_db, get_env_int
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# 임계값 기본 (하드코딩 금지 규칙: get_env_* 기본 인자로만 사용 · DB 시드와 동기)
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OB_DEFAULT_FILTER_ENABLED = False # 현행 실매 OFF 유지
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OB_DEFAULT_MAX_SPREAD_PCT = 0.45
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OB_DEFAULT_ENTRY_BID_LEVELS = 3
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OB_DEFAULT_ENTRY_BID_DEPTH_MULT = 1.2
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OB_DEFAULT_ENTRY_ASK_MAX_MULT = 3.0
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OB_DEFAULT_MIN_BID_ASK_RATIO = 0.85
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OB_DEFAULT_ASK_WALL_MAX_QTY = 5000
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# 시드·UI 대상 전략 prefix (SHORT 오케스트레이터 → TAIL_* canonical)
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OB_STRATEGY_PREFIXES: Tuple[str, ...] = ("SCALP", "TAIL", "MOMENTUM", "BREAKOUT")
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def orderbook_strategy_prefix(strategy: str) -> str:
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s = (strategy or "").strip().upper()
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if s in ("BREAKOUT", "BO"):
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return "BREAKOUT"
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if s in ("MOMENTUM", "MOM"):
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return "MOMENTUM"
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if s in ("TAIL", "SHORT", "TAIL_CATCH"):
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return "TAIL"
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if s in ("SCALP", "SCALPING", "REVERSAL"):
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return "SCALP"
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return s
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def _key(pfx: str, suffix: str) -> str:
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return f"{pfx}_ORDERBOOK_{suffix}"
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def orderbook_filter_enabled(strategy: str) -> bool:
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"""전략별 ON/OFF. 글로벌 ORDERBOOK_FILTER_ENABLED 폐기 → 기본 OFF."""
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pfx = orderbook_strategy_prefix(strategy)
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if not pfx or pfx == "ORDERBOOK":
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return False
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return get_env_bool(_key(pfx, "FILTER_ENABLED"), OB_DEFAULT_FILTER_ENABLED)
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def get_ob_float(strategy: str, suffix: str, default: float) -> float:
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pfx = orderbook_strategy_prefix(strategy)
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if not pfx:
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return float(default)
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return float(get_env_float(_key(pfx, suffix), default))
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def get_ob_int(strategy: str, suffix: str, default: int) -> int:
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pfx = orderbook_strategy_prefix(strategy)
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if not pfx:
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return int(default)
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return int(get_env_int(_key(pfx, suffix), default))
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def load_orderbook_threshold_cfg(
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strategy: str,
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params: Optional[Dict[str, Any]] = None,
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) -> Dict[str, Any]:
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"""실매/백테 공통 임계값. params 의 ``_ob_*`` 가 있으면 덮어씀(파람서치)."""
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pfx = orderbook_strategy_prefix(strategy)
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cfg = {
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"max_spread_pct": get_ob_float(pfx, "MAX_SPREAD_PCT", OB_DEFAULT_MAX_SPREAD_PCT),
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"entry_bid_levels": get_ob_int(pfx, "ENTRY_BID_LEVELS", OB_DEFAULT_ENTRY_BID_LEVELS),
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"entry_bid_depth_mult": get_ob_float(
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pfx, "ENTRY_BID_DEPTH_MULT", OB_DEFAULT_ENTRY_BID_DEPTH_MULT,
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),
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"entry_ask_max_mult": get_ob_float(
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pfx, "ENTRY_ASK_MAX_MULT", OB_DEFAULT_ENTRY_ASK_MAX_MULT,
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),
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"min_bid_ask_ratio": get_ob_float(
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pfx, "MIN_BID_ASK_RATIO", OB_DEFAULT_MIN_BID_ASK_RATIO,
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),
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"breakout_ask_wall_max_qty": get_ob_int(
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pfx, "ASK_WALL_MAX_QTY", OB_DEFAULT_ASK_WALL_MAX_QTY,
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),
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}
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if params:
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_overrides = (
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("_ob_max_spread_pct", "max_spread_pct"),
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("_ob_min_bid_ask_ratio", "min_bid_ask_ratio"),
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("_ob_ask_max_mult", "entry_ask_max_mult"),
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("_ob_ask_wall_max_qty", "breakout_ask_wall_max_qty"),
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("_ob_bid_depth_mult", "entry_bid_depth_mult"),
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("_ob_bid_levels", "entry_bid_levels"),
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)
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for src_key, cfg_key in _overrides:
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ov = params.get(src_key)
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if ov is not None and str(ov).strip() != "":
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try:
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cfg[cfg_key] = float(ov)
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except (TypeError, ValueError):
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pass
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return cfg
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def orderbook_params_to_env_patch(strategy: str, params: Dict[str, Any]) -> Dict[str, str]:
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"""그리드/Optuna merged → 전략별 ORDERBOOK_* 패치 (값 있을 때만)."""
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pfx = orderbook_strategy_prefix(strategy)
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if not pfx:
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return {}
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out: Dict[str, str] = {}
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if "max_spread_pct" in params and params.get("max_spread_pct") not in (None, ""):
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out[_key(pfx, "MAX_SPREAD_PCT")] = str(float(params["max_spread_pct"]))
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if "min_bid_ask_ratio" in params and params.get("min_bid_ask_ratio") not in (None, ""):
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out[_key(pfx, "MIN_BID_ASK_RATIO")] = str(float(params["min_bid_ask_ratio"]))
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if "ask_max_mult" in params and params.get("ask_max_mult") not in (None, ""):
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out[_key(pfx, "ENTRY_ASK_MAX_MULT")] = str(float(params["ask_max_mult"]))
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if "ask_wall_max_qty" in params and params.get("ask_wall_max_qty") not in (None, ""):
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out[_key(pfx, "ASK_WALL_MAX_QTY")] = str(int(float(params["ask_wall_max_qty"])))
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if "bid_depth_mult" in params and params.get("bid_depth_mult") not in (None, ""):
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out[_key(pfx, "ENTRY_BID_DEPTH_MULT")] = str(float(params["bid_depth_mult"]))
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if "bid_levels" in params and params.get("bid_levels") not in (None, ""):
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out[_key(pfx, "ENTRY_BID_LEVELS")] = str(int(float(params["bid_levels"])))
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# 호가축 apply → FILTER_ENABLED (_orderbook_filter_enabled / ob_filter_enabled)
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fe = params.get("ob_filter_enabled")
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if fe is None:
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fe = params.get("_orderbook_filter_enabled")
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if fe is not None and str(fe).strip() != "":
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out[_key(pfx, "FILTER_ENABLED")] = (
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"true" if str(fe).lower() in ("1", "true", "yes", "on")
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else "false"
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)
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return out
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def build_orderbook_seed_patch(
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*,
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filter_enabled: Optional[bool] = None,
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copy_global_if_empty: bool = True,
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) -> Dict[str, str]:
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"""전략별 기본값 시드. 빈 칸만 채움(이미 값 있으면 유지).
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copy_global_if_empty: 구 글로벌 ORDERBOOK_* 가 있으면 1회 이관.
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"""
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fe = OB_DEFAULT_FILTER_ENABLED if filter_enabled is None else bool(filter_enabled)
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# 글로벌 → 전략 이관용 (폐기 전 잔존값)
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g_spread = str(get_env_from_db("ORDERBOOK_MAX_SPREAD_PCT", "") or "").strip()
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g_levels = str(get_env_from_db("ORDERBOOK_ENTRY_BID_LEVELS", "") or "").strip()
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g_depth = str(get_env_from_db("ORDERBOOK_ENTRY_BID_DEPTH_MULT", "") or "").strip()
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g_ask = str(get_env_from_db("ORDERBOOK_ENTRY_ASK_MAX_MULT", "") or "").strip()
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g_ratio = str(get_env_from_db("ORDERBOOK_MIN_BID_ASK_RATIO", "") or "").strip()
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g_wall = str(get_env_from_db("ORDERBOOK_BREAKOUT_ASK_WALL_MAX_QTY", "") or "").strip()
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g_filt = str(get_env_from_db("ORDERBOOK_FILTER_ENABLED", "") or "").strip()
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patch: Dict[str, str] = {}
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for pfx in OB_STRATEGY_PREFIXES:
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pairs: List[Tuple[str, str, str]] = [
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("FILTER_ENABLED", "false" if not fe else "true", g_filt),
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("MAX_SPREAD_PCT", str(OB_DEFAULT_MAX_SPREAD_PCT), g_spread),
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("ENTRY_BID_LEVELS", str(OB_DEFAULT_ENTRY_BID_LEVELS), g_levels),
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("ENTRY_BID_DEPTH_MULT", str(OB_DEFAULT_ENTRY_BID_DEPTH_MULT), g_depth),
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("ENTRY_ASK_MAX_MULT", str(OB_DEFAULT_ENTRY_ASK_MAX_MULT), g_ask),
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("MIN_BID_ASK_RATIO", str(OB_DEFAULT_MIN_BID_ASK_RATIO), g_ratio),
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]
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if pfx == "BREAKOUT":
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pairs.append(("ASK_WALL_MAX_QTY", str(OB_DEFAULT_ASK_WALL_MAX_QTY), g_wall))
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for suf, default_s, glob_s in pairs:
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k = _key(pfx, suf)
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cur = str(get_env_from_db(k, "") or "").strip()
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if cur:
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continue
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if suf == "FILTER_ENABLED":
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# 시드 우선순위: 호출자 fe → (이관 시) 글로벌 → 코드 기본
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if filter_enabled is not None:
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patch[k] = "true" if fe else "false"
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elif copy_global_if_empty and glob_s:
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patch[k] = (
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"true"
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if glob_s.lower() in ("1", "true", "yes", "on")
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else "false"
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)
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else:
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patch[k] = default_s
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elif copy_global_if_empty and glob_s:
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patch[k] = glob_s
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else:
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patch[k] = default_s
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return patch
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