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>
229 lines
9.0 KiB
Python
229 lines
9.0 KiB
Python
"""
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kis_trader/strategies/dbband_strategy.py — 더블 볼린저 라이브 전략
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================================================================
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- **유니버스**: ``dbband_stock_config`` 등록 종목만 매수 스캔.
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- **파라미터**: 종목별 ``dbband_stock_config`` (없으면 env ``DBBAND_*`` 폴백).
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- **분봉(tf)**: 종목별 ``tf_min`` → WS/백테, 없으면 env ``DBBAND_TIMEFRAME``.
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- 신호·청산: ``dbband_engine`` 단일 소스.
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"""
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from __future__ import annotations
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import random
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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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from ..engine import dbband_engine as bbe
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except ImportError:
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bbe = None
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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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from .dbband_stock_cfg import (
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effective_dbband_tf_for_code,
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ensure_dbband_stock_config_table,
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fetch_latest_dbband_stock_config_by_code,
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load_dbband_engine_cfg,
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)
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class DbBandStrategy(BaseStrategy):
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strategy_id = "DBBAND"
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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 = 15
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self._env_tf_default = 15
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self._dbband_cfg: Dict = {}
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self._holding_row_by_code: Dict[str, Dict] = {}
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self.min_price = 1000.0
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self._fired_entry_key: Dict[str, str] = {}
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self.reload_config()
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def reload_config(self) -> None:
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if bbe is not None:
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try:
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self._dbband_cfg = bbe.get_dbband_defaults_from_db(self.db)
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except Exception as e:
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self.logger.debug("dbband defaults 조회 실패: %s", e)
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self._dbband_cfg = {}
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self.candle_tf = int(self._dbband_cfg.get("timeframe") or get_env_int("DBBAND_TIMEFRAME", 15))
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self._env_tf_default = int(self.candle_tf)
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self.min_price = float(self._dbband_cfg.get("min_price") or 1000.0)
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self.slot_money = int(float(self._dbband_cfg.get("slot_money") or get_env_int("DBBAND_SLOT_MONEY", 3_000_000)))
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try:
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ensure_dbband_stock_config_table(self.db)
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self._holding_row_by_code = fetch_latest_dbband_stock_config_by_code(self.db)
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except Exception as e:
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self.logger.warning("dbband_stock_config 로드 실패: %s", e)
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self._holding_row_by_code = {}
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def _candidate_filter(self, candidate: Dict) -> bool:
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code = str(candidate.get("code") or "").strip()
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if not code:
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return False
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if self._holding_row_by_code:
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return code in self._holding_row_by_code
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return True
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def _merged_cfg(self, code: str) -> Dict:
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base = dict(self._dbband_cfg or {})
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row = self._holding_row_by_code.get(code)
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if row:
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return dict(row)
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return load_dbband_engine_cfg(self.db, code, base)
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def _candle_tf_for_code(self, code: str) -> int:
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return effective_dbband_tf_for_code(self.db, code, self._env_tf_default)
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def check_buy(self, code: str, name: str) -> Optional[Dict]:
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if bbe is None:
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self.logger.warning("dbband_engine 미탑재 → 매수 스킵")
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return None
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if self._holding_row_by_code and code not in self._holding_row_by_code:
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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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merged = self._merged_cfg(code)
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tf_code = self._candle_tf_for_code(code)
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min_len = max(
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int(merged.get("trend_ma_period") or 200) + 10,
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get_env_int("DBBAND_LIVE_MIN_CANDLES", 210),
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)
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candles_raw = self.ws.get_candles(code, tf_code, n=min_len + 10)
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if len(candles_raw) < min_len:
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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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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("DBBAND")
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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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reject, msg, sig = bbe.check_buy_signal_live(candles, merged, state)
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if reject:
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self.logger.info("🔍 [DBBAND탈락] %s %s: %s — %s", name, code, reject, msg)
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return None
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if not sig:
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return None
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ent_key = str(sig.get("entry_bar_key") or "")
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if self._fired_entry_key.get(code) == ent_key:
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return None
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self._fired_entry_key[code] = ent_key
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entry_px = float(sig.get("entry_price") or 0)
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if entry_px <= 0:
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return None
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slot = int(float(merged.get("slot_money") or self.slot_money))
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qty, rej = self._resolve_buy_qty_live(entry_px, invest_cap=float(slot))
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if rej:
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self.logger.info(
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"🔍 [탈락-%s] %s %s: %s",
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rej, name, code, rej,
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)
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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": entry_px,
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"qty": qty,
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"stop_price": float(sig.get("stop_price") or 0),
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"target_price": float(sig.get("target_price") or 0),
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"side": str(sig.get("side") or "long"),
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"dbband_entry_bar_key": ent_key,
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"signal_candle_key": sig.get("signal_candle_key"),
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"entry_mode": sig.get("entry_mode"),
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}
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except Exception as e:
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self.logger.error("DBBAND check_buy 오류 %s: %s", 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 or bbe is None:
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return []
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signals: List[Dict] = []
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base_n = get_env_int("DBBAND_CANDLE_FETCH_N", 80)
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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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merged = self._merged_cfg(code)
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tf_code = self._candle_tf_for_code(code)
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candles_raw = self.ws.get_candles(code, tf_code, n=base_n)
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if not candles_raw:
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continue
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candles = [self._norm_candle(c) for c in candles_raw]
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last = candles[-1]
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position = {
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"entry_price": buy_price,
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"entry_time": str(holding.get("buy_time", "") or ""),
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"stop": float(holding.get("stop_price") or buy_price * 0.98),
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"target": float(holding.get("target_price") or buy_price * 1.03),
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"max_price": float(holding.get("max_price") or buy_price),
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"min_price": float(holding.get("min_price") or buy_price),
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"qty": qty,
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"side": str(holding.get("side") or "long"),
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}
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closes = [float(c["close"]) for c in candles]
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period = int(merged.get("bb_period") or 20)
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inner_std = float(merged.get("bb_inner_std") or 2.0)
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_, i_upper, i_lower = bbe.compute_bb_series(closes, period, inner_std)
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sell = bbe.check_sell_signal_live(
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position, last, merged,
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inner_upper=i_upper[-1] if i_upper else None,
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inner_lower=i_lower[-1] if i_lower else None,
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is_eod=False,
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)
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if sell:
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reason, exit_px = 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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"price": exit_px,
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"reason": reason,
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})
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if position.get("max_price"):
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holding["max_price"] = position["max_price"]
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except Exception as e:
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self.logger.error("DBBAND 매도체크 %s: %s", code, e)
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return signals
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def run_loop_body(self) -> None:
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random.sleep(random.uniform(self.loop_min_sleep, self.loop_max_sleep))
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super().run_loop_body()
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