276 lines
11 KiB
Python
276 lines
11 KiB
Python
"""
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kis_trader/strategies/tail_catch.py — 꼬리잡기 전략 (3분봉 망치형 되돌림)
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==========================================================================
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- 신호 생성: ``tail_engine.check_buy_signal_live`` / ``check_sell_signal_live``
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- 주문 실행: ``OrderManager.place(OrderRequest(strategy_id="SHORT", ...))``
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"""
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from __future__ import annotations
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import time
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from datetime import datetime as dt
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from typing import Dict, List, Optional
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try:
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import tail_engine as te
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except ImportError:
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te = None
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from ..utils.env import get_env_bool, get_env_float, get_env_int
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from .base import BaseStrategy
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class TailCatchStrategy(BaseStrategy):
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strategy_id = "SHORT"
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loop_min_sleep = 1.5
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loop_max_sleep = 2.5
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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self.candle_tf = 3 # 3분봉
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self._engine_params: Optional[Dict] = None
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self.reload_config()
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# ------------------------------------------------------------------
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def reload_config(self) -> None:
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self.min_price = get_env_float("MIN_STOCK_PRICE", 1000.0)
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self.stop_loss_pct = get_env_float("STOP_LOSS_PCT", -0.04)
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self.take_profit_pct = get_env_float("TAKE_PROFIT_PCT", 0.05)
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self.slot_money = get_env_int("SLOT_MONEY_DEFAULT", 3000000)
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if te is not None:
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try:
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self._engine_params = te.get_tail_defaults_from_db(self.db)
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except Exception as e:
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self.logger.debug("tail_engine defaults 조회 실패: %s", e)
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def _candidate_filter(self, candidate: Dict) -> bool:
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"""tail_on 이 True 인 후보만 대상 (SCALP 과 분리)."""
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return bool(candidate.get("tail_on", True))
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# ------------------------------------------------------------------
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# 매수
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# ------------------------------------------------------------------
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def check_buy(self, code: str, name: str) -> Optional[Dict]:
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if te is None:
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self.logger.warning("tail_engine 미탑재 → 매수 체크 스킵")
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return None
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try:
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if get_env_bool("FORCE_BUY_TEST", False):
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return self._force_buy_test(code, name)
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min_len = get_env_int("MIN_CANDLE_LEN_TAIL", 14)
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candles_raw = self.ws.get_candles(code, self.candle_tf, n=50)
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if len(candles_raw) < min_len:
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return None
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candles = [self._norm_candle(c) for c in candles_raw]
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if len(candles) < 10:
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return None
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today = dt.now().strftime("%Y%m%d")
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last_exit_dt = None
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if code in self.recently_sold:
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try:
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last_exit_dt = dt.fromtimestamp(self.recently_sold[code])
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if last_exit_dt.strftime("%Y%m%d") != today:
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last_exit_dt = None
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except Exception:
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pass
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try:
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today_trades = self.db.get_trades_by_date(today)
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daily_cnt = len([
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t for t in today_trades
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if t.get("code") == code and str(t.get("strategy", "")).startswith("SHORT")
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])
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except Exception:
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daily_cnt = 0
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state = {"last_exit_dt": last_exit_dt, "daily_cnt": daily_cnt}
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params = self._engine_params or {}
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reject, msg, sig = te.check_buy_signal_live(candles, params, state)
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if reject:
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self.logger.info("🔍 [%s] %s %s: %s", reject, name, code, msg or "")
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return None
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if not sig:
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return None
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curr_price = float(candles[-1]["close"])
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wsd = self.ws.get_price(code)
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if wsd:
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try:
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curr_price = abs(float(str(wsd.get("stck_prpr", curr_price)).replace(",", ""))) or curr_price
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except Exception:
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pass
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if curr_price <= 0 or curr_price < self.min_price:
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return None
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# 포지션 크기: 손실허용액 / 손절비율 (꼬리잡기는 손절폭이 스캘핑보다 큼)
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max_loss_krw = get_env_int("TAIL_MAX_LOSS_PER_TRADE_KRW", 0) \
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or get_env_int("MAX_LOSS_PER_TRADE_KRW", 200000)
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sl_pct = abs(self.stop_loss_pct)
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if max_loss_krw > 0 and sl_pct > 0:
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invest_limit = max_loss_krw / sl_pct
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invest_amount = min(invest_limit, self.slot_money)
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else:
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invest_amount = self.slot_money
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# ── [하드캡] 종목당 최대 매수금액 상한 ────────────────────────
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# 우선순위: SHORT 전용(=TAIL) > 공용 > 미설정(=무시)
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hard_cap = get_env_int("SHORT_MAX_BUY_AMOUNT", 0) \
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or get_env_int("TAIL_MAX_BUY_AMOUNT", 0) \
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or get_env_int("MAX_BUY_AMOUNT_PER_STOCK", 0)
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if hard_cap > 0 and invest_amount > hard_cap:
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self.logger.info(
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"💰 [투자금 상한 적용] %s: %s원 → %s원 (cap=%s)",
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code, f"{int(invest_amount):,}", f"{hard_cap:,}", f"{hard_cap:,}",
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)
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invest_amount = hard_cap
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qty = max(1, int(invest_amount / curr_price))
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stop_price = curr_price * (1 + self.stop_loss_pct)
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target_price = curr_price * (1 + self.take_profit_pct)
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self.logger.info(
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"🎯 [SHORT 시그널] %s(%s) price=%.0f qty=%d tail=%.2f rec=%.0f%% RSI=%.1f",
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name, code, curr_price, qty,
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sig.get("tail_ratio", 0), sig.get("recovery_pos", 0) * 100, sig.get("rsi_val", 0),
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)
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return {
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"code": code,
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"name": name,
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"price": curr_price,
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"qty": qty,
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"stop_price": stop_price,
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"target_price": target_price,
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"atr_entry": float(sig.get("atr_calc_val") or 0.0),
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"size_class": "",
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"entry_features": {
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"rsi": sig.get("rsi_val", 50),
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"tail_length_pct": sig.get("tail_pct", 0) * 100,
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},
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}
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except Exception as e:
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self.logger.info("🔍 [탈락-예외] %s %s: %s", name, code, e)
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return None
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def _force_buy_test(self, code: str, name: str) -> Optional[Dict]:
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wsd = self.ws.get_price(code)
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px = 0.0
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if wsd:
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try:
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px = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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px = 0.0
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if px <= 0:
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pd_ = self.client.inquire_price(code)
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if pd_:
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try:
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px = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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px = 0.0
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if px <= 0:
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return None
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qty = max(1, int(self.slot_money / px))
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return {
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"code": code,
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"name": name,
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"price": px,
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"qty": qty,
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"stop_price": px * (1 + self.stop_loss_pct),
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"target_price": px * (1 + self.take_profit_pct),
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"atr_entry": 0.0,
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"size_class": "",
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"entry_features": {},
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}
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# ------------------------------------------------------------------
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# 매도
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# ------------------------------------------------------------------
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def check_sell_signals(self) -> List[Dict]:
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if not self.holdings or te is None:
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return []
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now = dt.now()
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is_eod = (now.hour == 15 and now.minute >= 25) or now.hour > 15
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try:
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params = te.get_tail_defaults_from_db(self.db)
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except Exception:
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params = {}
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signals: List[Dict] = []
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for code, holding in list(self.holdings.items()):
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try:
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name = holding.get("name", code)
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buy_price = float(holding.get("buy_price", 0))
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qty = int(holding.get("qty", 0))
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if qty <= 0 or buy_price <= 0:
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continue
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current_price = 0.0
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wsd = self.ws.get_price(code)
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if wsd:
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try:
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current_price = abs(float(str(wsd.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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current_price = 0.0
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if current_price <= 0:
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pd_ = self.client.inquire_price(code)
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if pd_:
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try:
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current_price = abs(float(str(pd_.get("stck_prpr", 0)).replace(",", "")))
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except Exception:
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current_price = 0.0
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if current_price <= 0:
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continue
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max_price = float(holding.get("max_price", buy_price))
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if current_price > max_price:
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max_price = current_price
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holding["max_price"] = max_price
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position = {
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"entry_price": buy_price,
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"entry_time": holding.get("buy_time", ""),
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"qty": qty,
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"stop": float(holding.get("stop_price", buy_price * (1 + self.stop_loss_pct))),
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"target": float(holding.get("target_price", buy_price * (1 + self.take_profit_pct))),
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"max_price": max_price,
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}
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candle = {
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"high": max_price,
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"low": current_price,
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"close": current_price,
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"candle_time": now.strftime("%Y%m%d%H%M"),
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}
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res = te.check_sell_signal_live(position, candle, params, is_eod=is_eod)
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if not res:
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continue
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reason, exit_price = res
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profit_pct = (current_price - buy_price) / buy_price if buy_price > 0 else 0
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signals.append({
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"code": code,
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"name": name,
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"current_price": current_price,
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"price": exit_price,
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"qty": qty,
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"buy_price": buy_price,
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"profit_pct": profit_pct,
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"reason": reason,
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})
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except Exception as e:
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self.logger.error("매도 시그널 체크 오류(%s): %s", code, e)
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return signals
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# ------------------------------------------------------------------
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def _norm_candle(self, c: dict) -> dict:
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ct = c.get("candle_time") or c.get("candle_time_str", "")
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if isinstance(ct, str) and len(ct) == 19 and " " in ct:
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ct = ct.replace("-", "").replace(" ", "").replace(":", "")[:12]
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return {
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"candle_time": ct,
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"open": float(c.get("open", 0)),
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"high": float(c.get("high", 0)),
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"low": float(c.get("low", 0)),
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"close": float(c.get("close", 0)),
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"volume": float(c.get("volume", 0)),
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}
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