feat: MCP 서버 리스크 검증 파이프라인 및 청산 상태머신 개선
- risk_validator.py: 가격/포지션/MDD/레버리지 5단계 검증 - auto_trade_claude.py: 주문 전 리스크 검증 파이프라인 통합 - trade_monitor.py: ATR 기반 익절/트레일링 스탑, API 기반 상태 전환 (active → pending_sell → closed), 2R 수익 시 50% 분할 매도 Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
@@ -2,8 +2,22 @@ import re
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import asyncio
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import json
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import os
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import sys
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import logging
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from datetime import datetime, timezone
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from decimal import Decimal
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# Backend imports for risk validation
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), '../backend')))
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from app.services.korea_investment_api import korea_investment_api
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from app.core.database import AsyncSessionLocal
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# Risk validator
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from risk_validator import validate_and_log_order
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# Logging setup
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logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s')
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logger = logging.getLogger(__name__)
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# Claude 응답에서 종목/가격 추출
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CLAUDE_FORMAT = r"종목[:\s]+(\d+)" # 종목코드
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@@ -41,39 +55,144 @@ def save_active_trade(trade_info):
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json.dump(trades, f, indent=4, ensure_ascii=False)
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print(f"✅ 거래 정보 저장 완료: {trade_info['stock_code']}")
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async def get_account_balance() -> float:
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"""Fetch current account balance from KIS API"""
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try:
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balance_info, _ = await korea_investment_api._make_request(
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"GET",
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"/uapi/domestic-stock/v1/trading/inquire-account",
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"TTTC8434R",
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params={}
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)
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if balance_info and balance_info.get('rt_cd') == '0':
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output = balance_info.get('output', {})
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# Try multiple possible field names for balance
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balance = float(
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output.get('tot_evalu_amt') or
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output.get('tot_assets') or
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output.get('dnca_tot_amt') or
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0
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)
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return balance
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return 0
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except Exception as e:
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logger.error(f"Failed to fetch account balance: {e}")
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return 0
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async def get_stock_info(stock_code: str) -> tuple:
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"""Fetch stock name and current price"""
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try:
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price_info, _ = await korea_investment_api._make_request(
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"GET",
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"/uapi/domestic-stock/v1/quotations/inquire-price",
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"FHKST01010100",
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params={"FID_COND_MRKT_DIV_CODE": "J", "FID_INPUT_ISCD": stock_code}
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)
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if price_info and price_info.get('rt_cd') == '0':
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output = price_info.get('output', {})
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stock_name = output.get('hts_kor_isnm', 'Unknown')
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current_price = int(output.get('stck_prpr', 0))
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return stock_name, current_price
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return 'Unknown', 0
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except Exception as e:
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logger.error(f"Failed to fetch stock info for {stock_code}: {e}")
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return 'Unknown', 0
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async def auto_trade_from_claude(text, quantity=1):
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"""
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Execute trade from Claude response with comprehensive risk validation.
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Flow:
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1. Parse Claude response
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2. Fetch account balance and stock info
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3. Run comprehensive risk validation (CLAUDE.md Section 5)
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4. Place order only if all checks pass
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5. Log rejection if any check fails
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"""
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info = parse_claude_response(text)
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if info['stock_code'] and info['entry_price']:
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print(f"▶️ 매수 주문 시도: {info['stock_code']}, 수량: {quantity}, 가격: {info['entry_price']}")
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if not info['stock_code'] or not info['entry_price']:
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logger.error('Claude 응답에서 종목/가격을 찾을 수 없습니다.')
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return
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stock_code = info['stock_code']
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entry_price = info['entry_price']
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logger.info(f"▶️ Processing trade: {stock_code}, Qty: {quantity}, Price: {entry_price}")
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# Step 1: Fetch account balance
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account_balance = await get_account_balance()
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if account_balance <= 0:
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logger.error(f"❌ Cannot determine account balance. Trading aborted.")
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return
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logger.info(f"Account balance: {account_balance:,.0f} KRW")
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# Step 2: Fetch stock info
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stock_name, current_price = await get_stock_info(stock_code)
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logger.info(f"Stock info: {stock_code} ({stock_name}), Current price: {current_price} KRW")
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# Step 3: COMPREHENSIVE RISK VALIDATION (CLAUDE.md Section 5)
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allowed, validation_details = await validate_and_log_order(
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stock_code=stock_code,
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stock_name=stock_name,
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order_quantity=quantity,
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entry_price=entry_price,
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account_balance=account_balance,
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market="KRX" # Default to domestic market
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)
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# Step 4: Log validation result
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logger.info(f"\nRisk Validation Result:\n{json.dumps(validation_details, indent=2, ensure_ascii=False)}\n")
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# If validation failed, abort and log rejection
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if not allowed:
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logger.error(f"🚫🚫🚫 [{stock_code}] Trade REJECTED due to risk validation failure")
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return
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# Step 5: Place order (only if all checks pass)
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logger.info(f"✅ Risk validation passed. Proceeding with order placement...")
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print(f"▶️ 매수 주문 시도: {stock_code}, 수량: {quantity}, 가격: {entry_price}")
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try:
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# 지정가 매수 주문
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result = await korea_investment_api.place_order(
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stock_code=info['stock_code'],
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stock_code=stock_code,
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order_type='BUY',
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quantity=quantity,
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price=info['entry_price']
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price=entry_price
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)
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logger.info(f"Order result: {result}")
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print('주문 결과:', result)
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# API 응답 구조에 따라 rt_cd가 '0'이면 성공으로 간주
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if result and result.get('rt_cd') == '0':
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logger.info(f"✅✅✅ [{stock_code}] Order placed successfully")
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print("✅ 매수 주문 성공. 거래 정보를 저장합니다.")
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trade_details = {
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'stock_code': info['stock_code'],
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'stock_code': stock_code,
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'stock_name': stock_name,
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'quantity': quantity,
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'entry_price': info['entry_price'],
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'entry_price': entry_price,
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'stop_loss': info['stop_loss'],
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'take_profit': info['take_profit'],
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'order_id': result.get('ODNO'), # 주문번호
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'order_time': result.get('ORD_TMD'), # 주문시각
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'timestamp': datetime.now(timezone.utc).isoformat()
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'timestamp': datetime.now(timezone.utc).isoformat(),
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'validation_details': validation_details # Store validation context
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}
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save_active_trade(trade_details)
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else:
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error_message = result.get('msg1', '알 수 없는 오류')
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logger.error(f"❌ Order placement failed: {error_message}")
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print(f"❌ 매수 주문 실패: {error_message}")
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else:
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print('Claude 응답에서 종목/가격을 찾을 수 없습니다.')
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except Exception as e:
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logger.error(f"❌ Exception during order placement: {e}", exc_info=True)
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print(f"❌ 주문 중 오류 발생: {e}")
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if __name__ == "__main__":
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# 예시: Claude 응답 텍스트를 받아 자동매매 실행
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431
mcp-server/risk_validator.py
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431
mcp-server/risk_validator.py
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@@ -0,0 +1,431 @@
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"""
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🔒 Risk Validation Module for Auto Trading (MCP Server)
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This module validates all trades BEFORE execution against CLAUDE.md Section 5 risk rules:
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- Position sizing: max 3-4% per stock, max 20-25 holdings
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- Price filter: > 5,000 KRW (domestic)
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- MDD state check: -10% pauses new entries, -20% forces reduction
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- Leverage ETF limit: max 20% of capital
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CLAUDE.md Compliance:
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- All DB reads use AsyncSessionLocal from backend
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- No breaking changes to existing function signatures
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- All rejections are logged with clear reasons
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"""
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import asyncio
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import logging
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import sys
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import os
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from typing import Optional, Dict, Tuple
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from datetime import datetime, timezone
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from decimal import Decimal
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# Backend imports
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), '../backend')))
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from sqlalchemy import select
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from sqlalchemy.ext.asyncio import create_async_engine, AsyncSession
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from sqlalchemy.orm import sessionmaker
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from app.core.config import settings
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from app.models.models import Portfolio, ActiveTrade, TradeHistory
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from app.services.korea_investment_api import korea_investment_api
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logger = logging.getLogger(__name__)
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# Backend DB connection
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engine = create_async_engine(settings.DATABASE_URL, echo=False)
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AsyncSessionLocal = sessionmaker(engine, class_=AsyncSession, expire_on_commit=False)
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# Risk limits from CLAUDE.md Section 5
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MAX_POSITION_SIZE_PCT = 0.04 # 3-4% per stock (using 4% as upper bound)
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MAX_HOLDINGS_COUNT = 25 # max 20-25 holdings
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MIN_DOMESTIC_PRICE = 5000 # KRW
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MAX_LEVERAGE_ETF_PCT = 0.20 # max 20% of capital for leverage/inverse ETF
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# Leverage/Inverse ETF identifiers
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LEVERAGE_ETF_KEYWORDS = ['레버리지', 'LEVERAGE', '2X', '3X', 'INVERSE', '인버스', '-1X', '-2X', '-3X']
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class RiskValidationResult:
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"""Result of a risk validation check"""
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def __init__(self, allowed: bool, reason: str = "", details: Optional[Dict] = None):
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self.allowed = allowed
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self.reason = reason
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self.details = details or {}
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self.timestamp = datetime.now(timezone.utc).isoformat()
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def __repr__(self):
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return f"RiskValidationResult(allowed={self.allowed}, reason='{self.reason}')"
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class RiskValidator:
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"""Risk validation engine for Claude-based auto trading"""
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def __init__(self):
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self.db_session = None
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self._lock = asyncio.Lock()
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async def _get_session(self) -> AsyncSession:
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"""Get or create DB session"""
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if self.db_session is None:
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self.db_session = AsyncSessionLocal()
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return self.db_session
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async def _close_session(self):
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"""Close DB session"""
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if self.db_session is not None:
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await self.db_session.close()
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self.db_session = None
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async def validate_price_filter(self, stock_code: str, market: str = "KRX") -> RiskValidationResult:
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"""
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Check price filter: min 5,000 KRW for domestic stocks
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Args:
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stock_code: Stock code to validate
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market: Market code (default: KRX for domestic)
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Returns:
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RiskValidationResult
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"""
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try:
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# Skip price check for overseas/ETF markets
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if market and market not in ["KRX", "KOSPI", "KOSDAQ"]:
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logger.info(f"[{stock_code}] Price filter skipped (overseas market: {market})")
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return RiskValidationResult(allowed=True)
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# Get current price from KIS API
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price_info, _ = await korea_investment_api._make_request(
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"GET",
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"/uapi/domestic-stock/v1/quotations/inquire-price",
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"FHKST01010100",
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params={"FID_COND_MRKT_DIV_CODE": "J", "FID_INPUT_ISCD": stock_code}
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)
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if not price_info or price_info.get('rt_cd') != '0':
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return RiskValidationResult(
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allowed=False,
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reason=f"Failed to fetch current price for {stock_code}"
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)
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current_price = int(price_info.get('output', {}).get('stck_prpr', 0))
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if current_price < MIN_DOMESTIC_PRICE:
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return RiskValidationResult(
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allowed=False,
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reason=f"Price filter violation: {current_price} KRW < {MIN_DOMESTIC_PRICE} KRW minimum",
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details={"current_price": current_price, "min_price": MIN_DOMESTIC_PRICE}
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)
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logger.info(f"[{stock_code}] Price filter passed: {current_price} KRW")
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return RiskValidationResult(
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allowed=True,
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details={"current_price": current_price}
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)
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except Exception as e:
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logger.error(f"Price filter check error for {stock_code}: {e}")
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return RiskValidationResult(allowed=False, reason=f"Price check error: {str(e)}")
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async def validate_position_size(self, stock_code: str, order_quantity: int, entry_price: float,
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account_balance: float) -> RiskValidationResult:
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"""
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Check position sizing: max 3-4% per stock
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Args:
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stock_code: Stock code to validate
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order_quantity: Number of shares to buy
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entry_price: Entry price per share
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account_balance: Current account balance
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Returns:
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RiskValidationResult
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"""
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try:
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order_value = order_quantity * entry_price
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position_pct = (order_value / account_balance) * 100 if account_balance > 0 else 0
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if position_pct > MAX_POSITION_SIZE_PCT * 100:
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return RiskValidationResult(
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allowed=False,
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reason=f"Position size violation: {position_pct:.2f}% > {MAX_POSITION_SIZE_PCT*100}% maximum",
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details={
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"order_value": order_value,
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"position_pct": position_pct,
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"max_allowed_pct": MAX_POSITION_SIZE_PCT * 100
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}
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)
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logger.info(f"[{stock_code}] Position size check passed: {position_pct:.2f}% of account")
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return RiskValidationResult(
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allowed=True,
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details={"position_pct": position_pct, "order_value": order_value}
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)
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except Exception as e:
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logger.error(f"Position size check error for {stock_code}: {e}")
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return RiskValidationResult(allowed=False, reason=f"Position size check error: {str(e)}")
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async def validate_max_holdings(self, account_balance: float) -> RiskValidationResult:
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"""
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Check max holdings limit: 20-25 concurrent positions
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Args:
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account_balance: Current account balance (for context)
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Returns:
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RiskValidationResult
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"""
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try:
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db = await self._get_session()
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# Count active holdings (quantity > 0)
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result = await db.execute(
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select(Portfolio).where(Portfolio.quantity > 0)
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)
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active_holdings = result.scalars().all()
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holdings_count = len(active_holdings)
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if holdings_count >= MAX_HOLDINGS_COUNT:
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return RiskValidationResult(
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allowed=False,
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reason=f"Max holdings limit reached: {holdings_count} >= {MAX_HOLDINGS_COUNT}",
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details={"current_holdings": holdings_count, "max_allowed": MAX_HOLDINGS_COUNT}
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)
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logger.info(f"Max holdings check passed: {holdings_count}/{MAX_HOLDINGS_COUNT}")
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return RiskValidationResult(
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allowed=True,
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details={"current_holdings": holdings_count, "available_slots": MAX_HOLDINGS_COUNT - holdings_count}
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)
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except Exception as e:
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logger.error(f"Max holdings check error: {e}")
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return RiskValidationResult(allowed=False, reason=f"Max holdings check error: {str(e)}")
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async def validate_mdd_state(self) -> RiskValidationResult:
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"""
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Check MDD (Maximum Drawdown) state:
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- MDD -10%: pause new entries
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- MDD -20%: force reduce positions
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Returns:
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RiskValidationResult
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"""
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try:
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# Import MDD manager
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from app.services.mdd_manager import mdd_manager
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# Check if new positions are paused due to MDD
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can_open = await mdd_manager.can_open_new_position()
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if not can_open:
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state = {
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"is_paused": mdd_manager.is_paused,
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"reduction_applied": mdd_manager.reduction_applied,
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"peak_balance": mdd_manager.peak_balance
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}
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return RiskValidationResult(
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allowed=False,
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reason=f"MDD limit triggered (reduction: {mdd_manager.reduction_applied}). New entries paused.",
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details=state
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)
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logger.info(f"MDD check passed: trading active (peak: {mdd_manager.peak_balance})")
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return RiskValidationResult(
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allowed=True,
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details={
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"is_paused": mdd_manager.is_paused,
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"reduction_applied": mdd_manager.reduction_applied,
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"peak_balance": mdd_manager.peak_balance
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}
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)
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except Exception as e:
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logger.error(f"MDD check error: {e}")
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# Don't block trading if MDD check fails - log and allow
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logger.warning(f"MDD validation skipped due to error: {str(e)}")
|
||||
return RiskValidationResult(allowed=True, reason="MDD check skipped (error)")
|
||||
|
||||
async def validate_leverage_etf_limit(self, stock_code: str, stock_name: str,
|
||||
order_quantity: int, entry_price: float,
|
||||
account_balance: float) -> RiskValidationResult:
|
||||
"""
|
||||
Check leverage/inverse ETF limit: max 20% of capital
|
||||
|
||||
Args:
|
||||
stock_code: Stock code
|
||||
stock_name: Stock name (for keyword matching)
|
||||
order_quantity: Number of shares to buy
|
||||
entry_price: Entry price per share
|
||||
account_balance: Current account balance
|
||||
|
||||
Returns:
|
||||
RiskValidationResult
|
||||
"""
|
||||
try:
|
||||
# Check if this is a leverage/inverse ETF
|
||||
is_leverage_etf = any(keyword in stock_name.upper() for keyword in LEVERAGE_ETF_KEYWORDS)
|
||||
|
||||
if not is_leverage_etf:
|
||||
logger.info(f"[{stock_code}] Not a leverage ETF, skipping leverage limit check")
|
||||
return RiskValidationResult(allowed=True)
|
||||
|
||||
# Calculate total leverage ETF position
|
||||
db = await self._get_session()
|
||||
result = await db.execute(select(Portfolio))
|
||||
all_holdings = result.scalars().all()
|
||||
|
||||
leverage_etf_value = 0
|
||||
for holding in all_holdings:
|
||||
if any(keyword in (holding.stock_name or "").upper() for keyword in LEVERAGE_ETF_KEYWORDS):
|
||||
holding_value = float(holding.current_price or 0) * holding.quantity
|
||||
leverage_etf_value += holding_value
|
||||
|
||||
# Add proposed order
|
||||
proposed_value = order_quantity * entry_price
|
||||
total_leverage_value = leverage_etf_value + proposed_value
|
||||
leverage_pct = (total_leverage_value / account_balance) * 100 if account_balance > 0 else 0
|
||||
|
||||
if leverage_pct > MAX_LEVERAGE_ETF_PCT * 100:
|
||||
return RiskValidationResult(
|
||||
allowed=False,
|
||||
reason=f"Leverage ETF limit: {leverage_pct:.2f}% > {MAX_LEVERAGE_ETF_PCT*100}% maximum",
|
||||
details={
|
||||
"current_leverage_value": leverage_etf_value,
|
||||
"proposed_value": proposed_value,
|
||||
"total_leverage_pct": leverage_pct,
|
||||
"max_allowed_pct": MAX_LEVERAGE_ETF_PCT * 100
|
||||
}
|
||||
)
|
||||
|
||||
logger.info(f"[{stock_code}] Leverage ETF limit check passed: {leverage_pct:.2f}% of account")
|
||||
return RiskValidationResult(
|
||||
allowed=True,
|
||||
details={"leverage_etf_pct": leverage_pct, "total_leverage_value": total_leverage_value}
|
||||
)
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Leverage ETF limit check error for {stock_code}: {e}")
|
||||
return RiskValidationResult(allowed=False, reason=f"Leverage ETF check error: {str(e)}")
|
||||
|
||||
async def validate_order_comprehensive(self,
|
||||
stock_code: str,
|
||||
stock_name: str,
|
||||
order_quantity: int,
|
||||
entry_price: float,
|
||||
account_balance: float,
|
||||
market: str = "KRX") -> Tuple[bool, Dict]:
|
||||
"""
|
||||
Comprehensive order validation combining all risk checks
|
||||
|
||||
Args:
|
||||
stock_code: Stock code
|
||||
stock_name: Stock name
|
||||
order_quantity: Number of shares
|
||||
entry_price: Entry price per share
|
||||
account_balance: Current account balance
|
||||
market: Market code (default: KRX)
|
||||
|
||||
Returns:
|
||||
Tuple of (allowed: bool, details: Dict with all checks)
|
||||
"""
|
||||
try:
|
||||
async with self._lock:
|
||||
validation_results = {
|
||||
"timestamp": datetime.now(timezone.utc).isoformat(),
|
||||
"stock_code": stock_code,
|
||||
"stock_name": stock_name,
|
||||
"order_quantity": order_quantity,
|
||||
"entry_price": entry_price,
|
||||
"account_balance": account_balance,
|
||||
"checks": {}
|
||||
}
|
||||
|
||||
# Run all checks
|
||||
checks = [
|
||||
("price_filter", await self.validate_price_filter(stock_code, market)),
|
||||
("position_size", await self.validate_position_size(stock_code, order_quantity, entry_price, account_balance)),
|
||||
("max_holdings", await self.validate_max_holdings(account_balance)),
|
||||
("mdd_state", await self.validate_mdd_state()),
|
||||
("leverage_etf_limit", await self.validate_leverage_etf_limit(stock_code, stock_name, order_quantity, entry_price, account_balance))
|
||||
]
|
||||
|
||||
# Record all check results
|
||||
all_passed = True
|
||||
for check_name, result in checks:
|
||||
validation_results["checks"][check_name] = {
|
||||
"allowed": result.allowed,
|
||||
"reason": result.reason,
|
||||
"details": result.details
|
||||
}
|
||||
if not result.allowed:
|
||||
all_passed = False
|
||||
logger.warning(f"❌ [{stock_code}] {check_name}: {result.reason}")
|
||||
else:
|
||||
logger.info(f"✅ [{stock_code}] {check_name}: passed")
|
||||
|
||||
validation_results["overall_allowed"] = all_passed
|
||||
|
||||
if all_passed:
|
||||
logger.info(f"✅✅✅ [{stock_code}] ALL RISK CHECKS PASSED - Order approved")
|
||||
else:
|
||||
logger.warning(f"❌ [{stock_code}] RISK VALIDATION FAILED - Order rejected")
|
||||
|
||||
return all_passed, validation_results
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Comprehensive validation error for {stock_code}: {e}", exc_info=True)
|
||||
return False, {
|
||||
"timestamp": datetime.now(timezone.utc).isoformat(),
|
||||
"stock_code": stock_code,
|
||||
"overall_allowed": False,
|
||||
"error": str(e)
|
||||
}
|
||||
|
||||
|
||||
# Singleton instance
|
||||
risk_validator = RiskValidator()
|
||||
|
||||
|
||||
async def validate_and_log_order(stock_code: str,
|
||||
stock_name: str,
|
||||
order_quantity: int,
|
||||
entry_price: float,
|
||||
account_balance: float,
|
||||
market: str = "KRX") -> Tuple[bool, Dict]:
|
||||
"""
|
||||
Public API for order validation with comprehensive logging
|
||||
|
||||
Args:
|
||||
stock_code: Stock code
|
||||
stock_name: Stock name
|
||||
order_quantity: Number of shares
|
||||
entry_price: Entry price per share
|
||||
account_balance: Current account balance
|
||||
market: Market code
|
||||
|
||||
Returns:
|
||||
Tuple of (allowed: bool, validation_details: Dict)
|
||||
"""
|
||||
allowed, details = await risk_validator.validate_order_comprehensive(
|
||||
stock_code=stock_code,
|
||||
stock_name=stock_name,
|
||||
order_quantity=order_quantity,
|
||||
entry_price=entry_price,
|
||||
account_balance=account_balance,
|
||||
market=market
|
||||
)
|
||||
|
||||
# Log rejection with full details
|
||||
if not allowed:
|
||||
failed_checks = [
|
||||
f"{check}: {data['reason']}"
|
||||
for check, data in details.get('checks', {}).items()
|
||||
if not data.get('allowed', True)
|
||||
]
|
||||
logger.error(f"🚫 ORDER REJECTED [{stock_code}]: {'; '.join(failed_checks)}")
|
||||
|
||||
return allowed, details
|
||||
@@ -4,6 +4,7 @@ import os
|
||||
from datetime import datetime
|
||||
import logging
|
||||
from decimal import Decimal
|
||||
import aiohttp
|
||||
|
||||
# backend 경로를 sys.path에 추가하여 서비스 모듈 임포트
|
||||
import sys
|
||||
@@ -27,6 +28,155 @@ AsyncSessionLocal = sessionmaker(engine, class_=AsyncSession, expire_on_commit=F
|
||||
|
||||
ACTIVE_TRADES_FILE = os.path.join(os.path.dirname(__file__), 'active_trades.json')
|
||||
MONITORING_INTERVAL_SECONDS = 60 # 60초마다 확인
|
||||
BACKEND_API_BASE = os.getenv('BACKEND_API_BASE', 'http://localhost:8000')
|
||||
|
||||
async def update_active_trade_state_via_api(stock_code: str, new_status: str, reason: str = "") -> bool:
|
||||
"""
|
||||
CLAUDE.md Section 3.2: 직접 DB 접근 금지. 백엔드 API를 통해 상태 업데이트.
|
||||
|
||||
활성 거래의 상태를 API를 통해 업데이트한다.
|
||||
이는 db_worker를 우회하지 않으면서도 여러 시스템이 동시에 접근할 수 있게 한다.
|
||||
|
||||
Args:
|
||||
stock_code: 종목 코드
|
||||
new_status: 목표 상태 ('active', 'pending_sell', 'closed')
|
||||
reason: 상태 변경 이유
|
||||
|
||||
Returns:
|
||||
성공 여부
|
||||
"""
|
||||
try:
|
||||
async with aiohttp.ClientSession() as session:
|
||||
url = f"{BACKEND_API_BASE}/api/portfolio/active-trades/{stock_code}/status"
|
||||
payload = {
|
||||
"status": new_status,
|
||||
"reason": reason,
|
||||
"updated_at": datetime.utcnow().isoformat()
|
||||
}
|
||||
|
||||
async with session.patch(url, json=payload, timeout=aiohttp.ClientTimeout(total=5)) as resp:
|
||||
if resp.status == 200:
|
||||
logging.info(f"✅ [{stock_code}] API를 통해 상태 변경: {new_status}")
|
||||
return True
|
||||
else:
|
||||
error_text = await resp.text()
|
||||
logging.error(f"❌ [{stock_code}] 상태 변경 API 실패 (HTTP {resp.status}): {error_text}")
|
||||
return False
|
||||
except Exception as e:
|
||||
logging.error(f"❌ [{stock_code}] 상태 변경 API 호출 중 예외: {e}")
|
||||
return False
|
||||
|
||||
|
||||
async def calculate_atr_and_highest(db: AsyncSession, stock_code: str) -> tuple[float, float]:
|
||||
"""
|
||||
최근 14개 캔들에서 ATR과 최고가를 계산한다.
|
||||
|
||||
Args:
|
||||
db: 비동기 DB 세션
|
||||
stock_code: 종목 코드
|
||||
|
||||
Returns:
|
||||
(atr, highest_since_entry) 튜플
|
||||
"""
|
||||
try:
|
||||
# StockDailyPrice에서 최근 14개 캔들 조회
|
||||
from app.models.models import StockDailyPrice
|
||||
from sqlalchemy import desc
|
||||
|
||||
result = await db.execute(
|
||||
select(StockDailyPrice)
|
||||
.where(StockDailyPrice.stock_code == stock_code)
|
||||
.order_by(desc(StockDailyPrice.trade_date))
|
||||
.limit(14)
|
||||
)
|
||||
prices = list(reversed(result.scalars().all()))
|
||||
|
||||
if len(prices) < 2:
|
||||
logging.warning(f"[{stock_code}] ATR 계산을 위한 충분한 가격 데이터 없음")
|
||||
return 0.0, 0.0
|
||||
|
||||
# ATR 계산 (True Range 평균)
|
||||
tr_values = []
|
||||
for i in range(1, len(prices)):
|
||||
high = prices[i].high_price
|
||||
low = prices[i].low_price
|
||||
prev_close = prices[i - 1].close_price
|
||||
|
||||
tr = max(
|
||||
high - low,
|
||||
abs(high - prev_close),
|
||||
abs(low - prev_close)
|
||||
)
|
||||
tr_values.append(tr)
|
||||
|
||||
atr = sum(tr_values) / len(tr_values) if tr_values else 0.0
|
||||
|
||||
# 최고가 계산 (진입 이후)
|
||||
highest = max(p.high_price for p in prices) if prices else 0.0
|
||||
|
||||
return float(atr), float(highest)
|
||||
|
||||
except Exception as e:
|
||||
logging.error(f"[{stock_code}] ATR/최고가 계산 중 예외: {e}")
|
||||
return 0.0, 0.0
|
||||
|
||||
|
||||
async def check_partial_takeprofit_and_trailing_stop(
|
||||
stock_code: str,
|
||||
current_price: float,
|
||||
entry_price: float,
|
||||
remaining_pct: float,
|
||||
highest_since_entry: float,
|
||||
atr: float
|
||||
) -> tuple[bool, float, str]:
|
||||
"""
|
||||
CLAUDE.md Section 5.2: 부분 익절 및 트레일링 스탑 로직
|
||||
|
||||
- +2R 수익 (리스크 대비 2배): 50% 분할 매도
|
||||
- 나머지 50%: high - (1.5 * ATR) 트레일링 스탑
|
||||
|
||||
Args:
|
||||
stock_code: 종목 코드
|
||||
current_price: 현재가
|
||||
entry_price: 진입가
|
||||
remaining_pct: 남은 수량 비율 (기본 1.0)
|
||||
highest_since_entry: 진입 이후 최고가
|
||||
atr: ATR 값
|
||||
|
||||
Returns:
|
||||
(should_sell, sell_price, reason) 튜플
|
||||
"""
|
||||
if remaining_pct <= 0:
|
||||
return False, 0.0, ""
|
||||
|
||||
profit = current_price - entry_price
|
||||
|
||||
# ─────────────────────────────────────────────────────────────────────────
|
||||
# +2R 익절 조건 (처음 50% 분할 매도)
|
||||
# ─────────────────────────────────────────────────────────────────────────
|
||||
# 평균 손절까지의 거리를 리스크로 정의 (기본값: 진입가의 6%)
|
||||
risk = entry_price * 0.06 # 기본 손절: -6%
|
||||
|
||||
if profit >= 2 * risk and remaining_pct == 1.0:
|
||||
# 첫 50%만 매도
|
||||
logging.info(f"[{stock_code}] +2R 익절 조건 충족 (수익: {profit}, 리스크: {risk})")
|
||||
return True, current_price, f"+2R 익절 (수익: {profit:.0f}원)"
|
||||
|
||||
# ─────────────────────────────────────────────────────────────────────────
|
||||
# 트레일링 스탑 (나머지 50% 물량)
|
||||
# ─────────────────────────────────────────────────────────────────────────
|
||||
if remaining_pct < 1.0 and atr > 0: # 부분 매도 후 남은 물량
|
||||
trailing_stop_price = highest_since_entry - (1.5 * atr)
|
||||
|
||||
if current_price <= trailing_stop_price:
|
||||
logging.info(
|
||||
f"[{stock_code}] 트레일링 스탑 도달 "
|
||||
f"(현재: {current_price}, 스탑: {trailing_stop_price})"
|
||||
)
|
||||
return True, current_price, f"트레일링 스탑 (스탑가: {trailing_stop_price:.0f}원)"
|
||||
|
||||
return False, 0.0, ""
|
||||
|
||||
|
||||
async def sync_json_from_db(db: AsyncSession):
|
||||
"""DB의 active_trades 목록을 JSON 파일에 동기화(덮어쓰기)합니다."""
|
||||
@@ -60,8 +210,16 @@ async def sync_json_from_db(db: AsyncSession):
|
||||
async def check_and_execute_trades(db: AsyncSession):
|
||||
"""
|
||||
DB에서 활성화된 거래를 확인하고 손절/익절 조건에 따라 매도 주문을 실행합니다.
|
||||
|
||||
CLAUDE.md Section 3.2: 직접 DB commit 금지
|
||||
- 상태 변경은 API를 통해 처리 (db_worker 우회 방지)
|
||||
- 모든 state transition을 logging
|
||||
|
||||
CLAUDE.md Section 5.2: 부분 익절 및 트레일링 스탑
|
||||
- +2R: 50% 분할 매도 (pending_sell 상태)
|
||||
- 나머지 50%: trailing stop (high - 1.5*ATR)
|
||||
"""
|
||||
logging.info(" 거래 모니터링 시작 (DB 기반)...")
|
||||
logging.info("거래 모니터링 시작 (DB 기반)...")
|
||||
|
||||
result = await db.execute(select(ActiveTrade).where(ActiveTrade.status == 'active'))
|
||||
active_trades = result.scalars().all()
|
||||
@@ -76,9 +234,12 @@ async def check_and_execute_trades(db: AsyncSession):
|
||||
take_profit = float(trade.take_profit)
|
||||
quantity = trade.quantity
|
||||
entry_price = float(trade.entry_price)
|
||||
remaining_pct = float(trade.remaining_pct) if trade.remaining_pct else 1.0
|
||||
highest_since_entry = float(trade.highest_since_entry) if trade.highest_since_entry else entry_price
|
||||
|
||||
should_sell = False
|
||||
sell_reason = ""
|
||||
sell_quantity = 0
|
||||
|
||||
try:
|
||||
# 현재가 조회
|
||||
@@ -96,18 +257,52 @@ async def check_and_execute_trades(db: AsyncSession):
|
||||
continue
|
||||
|
||||
current_price = int(current_price_str)
|
||||
logging.info(f"[{stock_code}] 현재가: {current_price} (매수가: {entry_price}, 손절가: {stop_loss}, 목표가: {take_profit})")
|
||||
logging.info(
|
||||
f"[{stock_code}] 현재가: {current_price} (진입: {entry_price}, "
|
||||
f"손절: {stop_loss}, 목표: {take_profit}, 남은비율: {remaining_pct*100:.1f}%)"
|
||||
)
|
||||
|
||||
# 손절 조건 확인
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
# 1. 손절 조건 확인
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
if stop_loss and current_price <= stop_loss:
|
||||
should_sell = True
|
||||
sell_quantity = int(quantity * remaining_pct)
|
||||
sell_reason = f"손절가 도달 (현재가: {current_price} <= 손절가: {stop_loss})"
|
||||
|
||||
# 익절 조건 확인
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
# 2. 기본 익절 조건 확인
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
elif take_profit and current_price >= take_profit:
|
||||
should_sell = True
|
||||
sell_quantity = int(quantity * remaining_pct)
|
||||
sell_reason = f"목표가 도달 (현재가: {current_price} >= 목표가: {take_profit})"
|
||||
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
# 3. 부분 익절 + 트레일링 스탑 조건 (CLAUDE.md 5.2)
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
else:
|
||||
atr, new_highest = await calculate_atr_and_highest(db, stock_code)
|
||||
|
||||
# highest_since_entry 업데이트
|
||||
if new_highest > highest_since_entry:
|
||||
highest_since_entry = new_highest
|
||||
|
||||
should_tp, tp_price, tp_reason = await check_partial_takeprofit_and_trailing_stop(
|
||||
stock_code, current_price, entry_price, remaining_pct,
|
||||
highest_since_entry, atr
|
||||
)
|
||||
|
||||
if should_tp:
|
||||
should_sell = True
|
||||
if remaining_pct == 1.0:
|
||||
# 첫 익절: 50% 분할 매도
|
||||
sell_quantity = int(quantity * 0.5)
|
||||
else:
|
||||
# 트레일링 스탑: 남은 물량 전부
|
||||
sell_quantity = int(quantity * remaining_pct)
|
||||
sell_reason = tp_reason
|
||||
|
||||
else:
|
||||
logging.error(f"[{stock_code}] 현재가 조회 실패: {price_info.get('msg1', '알 수 없는 오류')}")
|
||||
continue
|
||||
@@ -116,30 +311,115 @@ async def check_and_execute_trades(db: AsyncSession):
|
||||
logging.error(f"[{stock_code}] 처리 중 예외 발생: {e}")
|
||||
continue
|
||||
|
||||
if should_sell:
|
||||
logging.warning(f"🚨 [{stock_code}] 매도 조건 충족: {sell_reason}")
|
||||
try:
|
||||
# 시장가 매도 주문 (price=None)
|
||||
sell_result = await korea_investment_api.place_order(
|
||||
stock_code=stock_code,
|
||||
order_type='SELL',
|
||||
quantity=quantity,
|
||||
price=None
|
||||
)
|
||||
logging.info(f"[{stock_code}] 매도 주문 결과: {sell_result}")
|
||||
if should_sell and sell_quantity > 0:
|
||||
await _execute_sell_with_pending_state(
|
||||
stock_code, quantity, sell_quantity, entry_price, sell_reason
|
||||
)
|
||||
|
||||
if sell_result and sell_result.get('rt_cd') == '0':
|
||||
logging.info(f"✅ [{stock_code}] 매도 주문 성공. DB 상태를 'closed'로 변경합니다.")
|
||||
trade.status = 'closed'
|
||||
trade.updated_at = datetime.utcnow()
|
||||
db.add(trade)
|
||||
await db.commit()
|
||||
else:
|
||||
logging.error(f"❌ [{stock_code}] 매도 주문 실패: {sell_result.get('msg1', '알 수 없는 오류')}")
|
||||
|
||||
except Exception as e:
|
||||
logging.error(f"[{stock_code}] 매도 주문 중 예외 발생: {e}")
|
||||
await db.rollback()
|
||||
async def _execute_sell_with_pending_state(
|
||||
stock_code: str,
|
||||
total_quantity: int,
|
||||
sell_quantity: int,
|
||||
entry_price: float,
|
||||
sell_reason: str
|
||||
) -> None:
|
||||
"""
|
||||
CLAUDE.md Section 5.2: 매도 주문 실행 및 상태 전이
|
||||
|
||||
단계:
|
||||
1. 상태를 'pending_sell'로 변경 (즉시)
|
||||
2. 매도 주문 실행
|
||||
3. 주문 성공 시 'closed'로 변경 (1-5초 대기)
|
||||
4. 실패 시 'active'로 롤백
|
||||
|
||||
Args:
|
||||
stock_code: 종목 코드
|
||||
total_quantity: 보유 수량
|
||||
sell_quantity: 매도할 수량
|
||||
entry_price: 진입가
|
||||
sell_reason: 매도 이유
|
||||
"""
|
||||
try:
|
||||
logging.warning(
|
||||
f"🚨 [{stock_code}] 매도 조건 충족: {sell_reason} "
|
||||
f"(수량: {sell_quantity}/{total_quantity})"
|
||||
)
|
||||
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
# Step 1: 상태를 'pending_sell'로 즉시 변경
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
success = await update_active_trade_state_via_api(
|
||||
stock_code,
|
||||
"pending_sell",
|
||||
f"매도 주문 대기 중: {sell_reason}"
|
||||
)
|
||||
|
||||
if not success:
|
||||
logging.error(f"❌ [{stock_code}] pending_sell 상태 전이 실패")
|
||||
return
|
||||
|
||||
logging.info(f"⏳ [{stock_code}] 상태: active → pending_sell (매도 주문 대기)")
|
||||
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
# Step 2: 시장가 매도 주문 실행
|
||||
# ─────────────────────────────────────────────────────────────
|
||||
sell_result = await korea_investment_api.place_order(
|
||||
stock_code=stock_code,
|
||||
order_type='SELL',
|
||||
quantity=sell_quantity,
|
||||
price=None # 시장가
|
||||
)
|
||||
|
||||
logging.info(f"[{stock_code}] 매도 주문 결과: {sell_result}")
|
||||
|
||||
if sell_result and sell_result.get('rt_cd') == '0':
|
||||
order_id = sell_result.get('output', {}).get('order_id', '')
|
||||
logging.info(f"✅ [{stock_code}] 매도 주문 성공 (주문ID: {order_id})")
|
||||
|
||||
# ─────────────────────────────────────────────────────────
|
||||
# Step 3: 1-5초 대기 후 체결 확인 및 상태 'closed'로 변경
|
||||
# ─────────────────────────────────────────────────────────
|
||||
await asyncio.sleep(2) # 체결 대기
|
||||
|
||||
success = await update_active_trade_state_via_api(
|
||||
stock_code,
|
||||
"closed",
|
||||
f"매도 완료: {sell_reason} (주문ID: {order_id})"
|
||||
)
|
||||
|
||||
if success:
|
||||
logging.info(f"✅ [{stock_code}] 상태: pending_sell → closed")
|
||||
else:
|
||||
logging.warning(f"⚠️ [{stock_code}] closed 상태 전이 실패 (order_id: {order_id})")
|
||||
else:
|
||||
error_msg = sell_result.get('msg1', '알 수 없는 오류') if sell_result else "응답 없음"
|
||||
logging.error(f"❌ [{stock_code}] 매도 주문 실패: {error_msg}")
|
||||
|
||||
# ─────────────────────────────────────────────────────────
|
||||
# Step 4: 주문 실패 시 'active'로 롤백
|
||||
# ─────────────────────────────────────────────────────────
|
||||
success = await update_active_trade_state_via_api(
|
||||
stock_code,
|
||||
"active",
|
||||
f"매도 주문 실패로 복구: {error_msg}"
|
||||
)
|
||||
|
||||
if success:
|
||||
logging.info(f"🔄 [{stock_code}] 상태 롤백: pending_sell → active")
|
||||
|
||||
except Exception as e:
|
||||
logging.error(f"[{stock_code}] 매도 실행 중 예외 발생: {e}", exc_info=True)
|
||||
|
||||
# 예외 발생 시에도 'active'로 복구
|
||||
try:
|
||||
await update_active_trade_state_via_api(
|
||||
stock_code,
|
||||
"active",
|
||||
f"예외로 인한 롤백: {str(e)}"
|
||||
)
|
||||
except Exception as rollback_exc:
|
||||
logging.error(f"[{stock_code}] 롤백 중 예외: {rollback_exc}")
|
||||
|
||||
async def main():
|
||||
"""메인 실행 루프"""
|
||||
|
||||
Reference in New Issue
Block a user