bc2b1b642c
전략별 tick/scan 매도 락 대신 계좌 단일 PriorityQueue로 place를 B-full 직렬화한다. 틱매도 only_code 필터와 inflight 중복 enqueue 방지로 REST 폭주를 줄인다. Co-authored-by: Cursor <cursoragent@cursor.com>
243 lines
9.0 KiB
Python
243 lines
9.0 KiB
Python
#!/usr/bin/env python3
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"""
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kis_trader/strategies/dart_strategy.py — DART 수주 공시 실매 전략
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================================================================
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유니버스 = dart_watchlist (구독 스위치) 또는 당일 disclosures.
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매매 = STRATEGY_DART_ENABLED + DART_TRADE_ENABLED.
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"""
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from __future__ import annotations
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from datetime import datetime as dt
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from typing import Dict, List, Optional
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from ..engine import dart_engine as de
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from ..scan.dart_watchlist import event_time_for_code, list_active_watch
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from ..utils.env import get_env_bool, get_env_int
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from .base import BaseStrategy
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class DartStrategy(BaseStrategy):
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strategy_id = "DART"
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loop_min_sleep = 1.0
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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 = 1
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self._engine_params: Optional[Dict] = None
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self.reload_config()
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def reload_config(self) -> None:
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try:
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base = de.get_dart_defaults_from_db()
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self._engine_params = base
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self.min_price = float(base.get("min_price", 1000.0))
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self.stop_loss_pct = -abs(float(base.get("sl_pct", 0.02)))
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self.take_profit_pct = abs(float(base.get("tp_pct", 0.04)))
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self.slot_money = int(base.get("slot_money", 300_000))
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self.time_start_hm = int(base.get("time_start_hm", 930))
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self.time_end_hm = int(base.get("time_end_hm", 1520))
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except Exception as e:
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self.logger.debug("dart defaults 실패: %s", e)
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self._engine_params = {}
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def _trade_on(self) -> bool:
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return get_env_bool("DART_TRADE_ENABLED", False)
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def _in_trade_window(self) -> bool:
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now = dt.now()
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hm = now.hour * 100 + now.minute
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return self.time_start_hm <= hm < self.time_end_hm
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def _db_raw(self):
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return self.db.raw if hasattr(self.db, "raw") else self.db
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def _load_candidates(self) -> List[Dict]:
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out: List[Dict] = []
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lim = get_env_int("DART_CAND_LIMIT", 20) or 20
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try:
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conn_db = self._db_raw()
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watches = list_active_watch(conn_db)
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for w in watches:
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code = (w.get("stock_code") or "").strip()
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if not code:
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continue
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out.append({
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"code": code.zfill(6) if code.isdigit() else code,
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"name": w.get("corp_name") or code,
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"score": 0.0,
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})
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if out:
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return out[:lim]
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today0 = dt.now().strftime("%Y-%m-%d") + " 00:00:00"
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rows = conn_db.conn.execute(
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"""
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SELECT stock_code, corp_name FROM dart_disclosures
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WHERE first_seen_at >= %s AND stock_code <> ''
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ORDER BY first_seen_at DESC LIMIT %s
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""",
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(today0, lim),
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).fetchall()
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for r in rows:
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code = (r.get("stock_code") or "").strip()
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if not code:
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continue
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out.append({
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"code": code.zfill(6) if code.isdigit() else code,
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"name": r.get("corp_name") or code,
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"score": 0.0,
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})
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except Exception as e:
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self.logger.debug("DART 후보 로드 실패: %s", e)
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return out
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def _candidate_filter(self, candidate: Dict) -> bool:
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if not self._trade_on():
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return False
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if not candidate.get("code"):
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return False
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if not self._in_trade_window():
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return False
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return True
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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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"is_confirmed": c.get("is_confirmed", 1),
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}
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def _force_buy_test(self, code: str, name: str) -> Optional[Dict]:
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wsd = self._ws_last_quote(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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return None
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qty, rej = self._resolve_buy_qty_live(px)
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if rej or qty < 1:
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return None
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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": {"force_test": True},
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}
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def check_buy(self, code: str, name: str) -> Optional[Dict]:
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if not self._trade_on() or not self._in_trade_window():
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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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params = self._engine_params or de.get_dart_defaults_from_db()
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ev = event_time_for_code(self._db_raw(), code)
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if not ev:
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return None
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need = de.dart_min_bars_required(params)
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candles_raw = self.ws.get_candles(code, self.candle_tf, n=need + 30)
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if len(candles_raw) < need:
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try:
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self.ws.fill_gap([code], force=True)
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except Exception:
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pass
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return None
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candles = [self._norm_candle(c) for c in candles_raw]
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reject, msg, sig = de.check_buy_signal_dart_live(
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candles, params, event_candle_time=ev,
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)
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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(sig.get("entry_price") or 0)
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if curr_price <= 0 or curr_price < self.min_price:
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return None
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hard_cap = get_env_int("DART_MAX_BUY_AMOUNT", 0) or get_env_int(
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"MAX_BUY_AMOUNT_PER_STOCK", 0,
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)
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qty, rej = self._resolve_buy_qty_live(curr_price, hard_cap=hard_cap)
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if rej or qty < 1:
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return None
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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": curr_price * (1 + self.stop_loss_pct),
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"target_price": curr_price * (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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"rsi": sig.get("rsi"),
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"event_bars": sig.get("event_bars"),
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"strategy": "DART",
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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 check_sell_signals(self, only_code: Optional[str] = None) -> List[Dict]:
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if not self.holdings:
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return []
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signals: List[Dict] = []
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params = self._engine_params or de.get_dart_defaults_from_db()
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now = dt.now()
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hm = now.hour * 100 + now.minute
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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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max_price = float(holding.get("max_price", buy_price))
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if qty <= 0 or buy_price <= 0:
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continue
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current_price = self._resolve_sell_price(
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code, is_eod=False, buy_price=buy_price,
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)
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if current_price <= 0:
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continue
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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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bars = int(holding.get("bars_held") or 0)
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sell, reason = de.check_sell_signal_dart_live(
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buy_price=buy_price,
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highest=max_price,
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last_price=current_price,
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bars_held=bars,
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params=params,
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now_hm=hm,
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)
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if sell:
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signals.append({
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"code": code,
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"name": name,
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"qty": qty,
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"reason": reason,
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"price": current_price,
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})
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except Exception as e:
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self.logger.error("DART 매도 체크 %s: %s", code, e)
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return signals
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