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shuim
2026-03-06 15:22:40 +09:00
parent da5cef1925
commit ab75dc66f8
5 changed files with 553 additions and 140 deletions
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backend/app/services/trade_executor.py
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@@ -1,5 +1,6 @@
import asyncio
import logging
import time
from decimal import Decimal
from datetime import timedelta
from sqlalchemy.ext.asyncio import AsyncSession
@@ -19,14 +20,124 @@ from app.services.technical_indicators import (
logger = logging.getLogger(__name__)
# 동시 주문 1개로 제한 — 중복 주문 및 레이스 컨디션 방지
_order_semaphore = asyncio.Semaphore(1)
# ── 종목별 세마포어 — 동일 종목 동시 주문 방지 ────────────────────────────────
_order_semaphores: dict = {}
async def _mcp_validate_buy(stock: dict) -> tuple:
# 전략 엔진(RSI/BB/MA/ATR 등)이 이미 신호를 검증하므로 AI 호출 불필요.
# RISK_ASSESSMENT는 매매 직전 mcp.py에서 별도 수행.
return True, "strategy_validated"
def _get_order_semaphore(stock_code: str) -> asyncio.Semaphore:
"""종목별 세마포어 반환. 없으면 생성."""
if stock_code not in _order_semaphores:
_order_semaphores[stock_code] = asyncio.Semaphore(1)
return _order_semaphores[stock_code]
# ── Redis 분산락 — 중복 주문 완전 방지 (TTL 60초) ────────────────────────────
_ORDER_LOCK_TTL = 60 # seconds
async def _acquire_order_lock(stock_code: str, order_type: str) -> bool:
"""Redis SETNX 기반 분산락 획득. 성공 시 True."""
try:
from app.core.redis import get_redis
client = get_redis()
if not client:
return True # Redis 미연결 → 락 없이 진행
key = f"order_lock:{stock_code}:{order_type}"
result = await client.set(key, "1", nx=True, ex=_ORDER_LOCK_TTL)
return result is True
except Exception as e:
logger.debug(f"[order_lock] 획득 오류 (패스): {e}")
return True
async def _release_order_lock(stock_code: str, order_type: str) -> None:
"""Redis 분산락 해제."""
try:
from app.core.redis import delete_key
await delete_key(f"order_lock:{stock_code}:{order_type}")
except Exception:
pass
# ── 주문 재시도 — Exponential backoff (1→2→4초, 최대 3회) ───────────────────
async def _place_order_with_retry(
is_domestic: bool,
stock_code: str,
order_type: str,
quantity: int,
price: float,
exchange_code: str = "NASD",
max_retries: int = 3,
) -> dict:
"""주문 실행 with exponential backoff. 시스템 오류에만 재시도."""
last_result: dict = {}
for attempt in range(max_retries):
try:
if is_domestic:
result = await korea_investment_api.place_order(stock_code, order_type, quantity, price)
else:
result = await korea_investment_api.place_overseas_order(
stock_code, order_type, quantity, float(price), exchange_code
)
# rt_cd "0"=성공, "1"=PENDING → 재시도 불필요
if result.get("rt_cd") in ("0", "1"):
return result
last_result = result
if attempt < max_retries - 1:
wait = 1 * (2 ** attempt) # 1s → 2s → 4s
logger.warning(
f"⚠️ 주문 실패 (rt_cd={result.get('rt_cd')}) "
f"→ {wait}초 후 재시도 ({attempt + 1}/{max_retries}): {stock_code}"
)
await asyncio.sleep(wait)
except Exception as e:
last_result = {"rt_cd": "-1", "msg1": str(e), "odno": None}
if attempt < max_retries - 1:
wait = 1 * (2 ** attempt)
logger.warning(f"⚠️ 주문 예외 ({attempt + 1}/{max_retries}), {wait}초 후 재시도: {e}")
await asyncio.sleep(wait)
else:
logger.error(f"❌ 주문 최대 재시도 초과: {stock_code} {order_type} — {e}")
return last_result or {"rt_cd": "-1", "msg1": "max_retries_exceeded", "odno": None}
# ── 미체결 주문 1분 후 자동 취소 ─────────────────────────────────────────────
async def _auto_cancel_if_pending(order_id: str, stock_code: str, quantity: int, delay: int = 60) -> None:
"""delay초 후에도 PENDING 상태면 자동 취소."""
await asyncio.sleep(delay)
try:
result = await korea_investment_api.cancel_order(order_id, quantity)
if result.get("rt_cd") == "0":
logger.info(f"미체결 자동 취소 완료: {stock_code} order_id={order_id}")
else:
logger.debug(f"[auto_cancel] {stock_code} — {result.get('msg1')} (이미 체결됐을 수 있음)")
except Exception as e:
logger.debug(f"[auto_cancel] {stock_code} — {e}")
# ── 계좌 정보 30초 인메모리 캐시 ──────────────────────────────────────────────
_account_cache: dict = {"data": None, "ts": 0.0}
_ACCOUNT_CACHE_TTL = 30 # seconds
def _get_cached_account() -> tuple | None:
"""(available_cash, total_assets) 30초 캐시. 만료 시 None 반환."""
if _account_cache["data"] and time.monotonic() - _account_cache["ts"] < _ACCOUNT_CACHE_TTL:
return _account_cache["data"]
return None
def _set_account_cache(available_cash: float, total_assets: float) -> None:
_account_cache["data"] = (available_cash, total_assets)
_account_cache["ts"] = time.monotonic()
# ── 지정가 ±0.5% 조정 — 체결률 향상 ──────────────────────────────────────────
def _adjust_order_price(price: float, order_type: str) -> int:
"""BUY +0.5% / SELL -0.5% 지정가 조정."""
if order_type == "BUY":
return int(price * 1.005)
return int(price * 0.995)
async def _execute_buy(
@@ -43,7 +154,7 @@ async def _execute_buy(
) -> dict:
"""BUY 주문 실행 로직 — 선체크 → semaphore → 주문 → TradeHistory 기록 → sync."""
# ── 1. 3일 급등 체크 ─────────────────────────────────────────────────────
# ── 1. 3일 급등 체크 (ATR 기반 동적 임계값) ───────────────────────────────
try:
if is_domestic:
chart_resp = await korea_investment_api.get_daily_chart(stock_code, "D", limit=10)
@@ -64,7 +175,30 @@ async def _execute_buy(
((current_price - price_3days_ago) / price_3days_ago) * 100
if price_3days_ago > 0 else 0
)
if recent_gain > 10:
# ATR 기반 동적 임계값: 최근 3일 평균 일간 변동폭 * 2, 최소 10%
try:
highs = (
[float(item.get("stck_hgpr", 0)) for item in chart_data[-4:]]
if is_domestic
else [float(item.get("high", 0)) for item in chart_data[-4:]]
)
lows = (
[float(item.get("stck_lwpr", 0)) for item in chart_data[-4:]]
if is_domestic
else [float(item.get("low", 0)) for item in chart_data[-4:]]
)
daily_ranges = [
abs(highs[i] - lows[i]) for i in range(len(closes))
if closes[i] > 0 and highs[i] > 0 and lows[i] > 0
]
atr_pct = (
(sum(daily_ranges) / len(daily_ranges) / price_3days_ago * 100)
if daily_ranges and price_3days_ago > 0 else 0
)
surge_threshold = max(10.0, atr_pct * 2)
except Exception:
surge_threshold = 10.0
if recent_gain > surge_threshold:
return {"action": "HOLD", "stock": stock_name, "reason": "chase_buy_prevention"}
except Exception as e:
logger.debug(f"[chase_buy] 차트 조회 실패, 우회: {stock_code} — {e}")
@@ -95,13 +229,18 @@ async def _execute_buy(
except Exception:
return {"action": "HOLD", "stock": stock_name, "reason": "trend_filter_error"}
# ── 3. 현금·자산 조회 ────────────────────────────────────────────────────
try:
from app.api.endpoints.portfolio import portfolio_cache
available_cash = float(portfolio_cache.summary.get("available_cash", 0)) if portfolio_cache.summary else 0.0
total_assets = float(portfolio_cache.summary.get("total_assets", 0)) if portfolio_cache.summary else 0.0
except Exception:
available_cash, total_assets = 0.0, 0.0
# ── 3. 현금·자산 조회 (30초 캐시 활용) ──────────────────────────────────
cached = _get_cached_account()
if cached:
available_cash, total_assets = cached
else:
try:
from app.api.endpoints.portfolio import portfolio_cache
available_cash = float(portfolio_cache.summary.get("available_cash", 0)) if portfolio_cache.summary else 0.0
total_assets = float(portfolio_cache.summary.get("total_assets", 0)) if portfolio_cache.summary else 0.0
_set_account_cache(available_cash, total_assets)
except Exception:
available_cash, total_assets = 0.0, 0.0
daily_cutoff = _get_kst_now().replace(hour=0, minute=0, second=0, microsecond=0)
@@ -145,12 +284,7 @@ async def _execute_buy(
if recent_buys and (_get_kst_now() - recent_buys[0].created_at).total_seconds() < cooldown_min * 60:
return {"action": "HOLD", "stock": stock_name, "reason": "cooldown"}
# ── 7. MCP 검증 ───────────────────────────────────────────────────────────
mcp_ok, mcp_reason = await _mcp_validate_buy(stock)
if not mcp_ok:
return {"action": "HOLD", "stock": stock_name, "reason": mcp_reason}
# ── 8. 포지션 사이징 ──────────────────────────────────────────────────────
# ── 7. 포지션 사이징 ──────────────────────────────────────────────────────
current_value = float(holding.quantity * current_price) if holding else 0.0
regime_str = stock.get("_regime_str", "bear")
regime = MarketRegime.BULL if regime_str == "bull" else MarketRegime.BEAR
@@ -165,26 +299,32 @@ async def _execute_buy(
if invest_amount <= 0 and total_assets <= 0:
invest_amount = available_cash * 0.04
quantity = int(invest_amount / current_price)
quantity = int(Decimal(str(invest_amount)) / Decimal(str(current_price)))
if quantity <= 0:
return {"action": "SKIP", "reason": "quantity_zero", "stock": stock_name}
# ── 9. 주문 실행 (semaphore로 동시성 제어) ───────────────────────────────
# ── 8. Redis 분산락 획득 ──────────────────────────────────────────────────
if not await _acquire_order_lock(stock_code, "BUY"):
return {"action": "SKIP", "stock": stock_name, "reason": "order_lock_busy"}
# ── 9. 주문 실행 (종목별 세마포어 + 재시도) ───────────────────────────────
try:
async with _order_semaphore:
if is_domestic:
order_result = await korea_investment_api.place_order(
stock_code, "BUY", quantity, int(current_price)
)
else:
order_result = await korea_investment_api.place_overseas_order(
stock_code, "BUY", quantity, float(current_price), exchange_code
)
order_price = _adjust_order_price(current_price, "BUY")
async with _get_order_semaphore(stock_code):
order_result = await _place_order_with_retry(
is_domestic=is_domestic,
stock_code=stock_code,
order_type="BUY",
quantity=quantity,
price=order_price,
exchange_code=exchange_code,
)
total_amount = Decimal(str(current_price)) * quantity
entry_reason = f"매수 신호: {', '.join(signals[:3])}. 점수: {score_val}점"
success = order_result.get("rt_cd") == "0"
status = "COMPLETED" if success else ("PENDING" if order_result.get("rt_cd") == "1" else "FAILED")
is_pending = order_result.get("rt_cd") == "1"
status = "COMPLETED" if success else ("PENDING" if is_pending else "FAILED")
trade = TradeHistory(
rule_id=stock.get("rule_id"),
@@ -214,8 +354,12 @@ async def _execute_buy(
portfolio_cache.apply_buy(stock_code, stock_name, quantity, current_price)
except Exception:
pass
# KIS 체결 확인 후 포트폴리오 DB 동기화 (3초 딜레이)
asyncio.create_task(_delayed_sync_portfolio(delay_seconds=3))
elif is_pending:
# PENDING 주문 → 1분 후 자동 취소
order_id = order_result.get("odno")
if order_id:
asyncio.create_task(_auto_cancel_if_pending(order_id, stock_code, quantity))
return {
"action": "BUY",
@@ -227,6 +371,8 @@ async def _execute_buy(
except Exception as e:
return {"action": "BUY_FAILED", "stock": stock_name, "error": str(e)}
finally:
await _release_order_lock(stock_code, "BUY")
async def _execute_sell(
@@ -251,11 +397,28 @@ async def _execute_sell(
take_profit = stock.get("take_profit", 3.0)
stop_loss = stock.get("stop_loss", -1.5)
if not (profit_loss_rate >= take_profit or profit_loss_rate <= stop_loss or True):
return {"action": "HOLD", "stock": stock_name}
# ATR 기반 동적 손절/트레일링 스탑 조정
atr = float(stock.get("atr", 0) or 0)
_avg_price = float(holding.average_price or 0)
exit_reason_detail = f"손익률 {profit_loss_rate:.2f}%"
if atr > 0 and _avg_price > 0:
# ATR 손절: 진입가 - 2.5*ATR (CLAUDE.md 규칙)
atr_stop_price = _avg_price - 2.5 * atr
atr_stop_pct = ((atr_stop_price / _avg_price) - 1) * 100
stop_loss = max(stop_loss, atr_stop_pct) # 더 보수적인 값 사용
# 트레일링 스탑: 고점 - 1.5*ATR (CLAUDE.md 규칙)
high_price = float(stock.get("high_price") or current_price)
trailing_stop_price = high_price - 1.5 * atr
if current_price <= trailing_stop_price and profit_loss_rate > 0:
exit_reason_detail = f"ATR 트레일링 스탑: {current_price:.0f} ≤ {trailing_stop_price:.0f} | {exit_reason_detail}"
# Redis 분산락 획득
if not await _acquire_order_lock(stock_code, "SELL"):
return {"action": "SKIP", "stock": stock_name, "reason": "order_lock_busy"}
try:
# ── 1. 중복 주문 체크 — 주문 전에 먼저 확인 ────────────────────────
# ── 1. 중복 주문 체크 (DB + Redis 락 이중 방어) ──────────────────────
recent_cutoff = _get_kst_now() - timedelta(seconds=10)
duplicate_check = await db.execute(
select(TradeHistory).where(
@@ -267,21 +430,23 @@ async def _execute_sell(
if duplicate_check.scalar_one_or_none():
return {"action": "SKIP", "reason": "duplicate_order", "stock": stock_name}
# ── 2. 주문 실행 (semaphore로 동시성 제어) ──────────────────────────
async with _order_semaphore:
if is_domestic:
order_result = await korea_investment_api.place_order(
stock_code, "SELL", quantity, int(current_price)
)
else:
order_result = await korea_investment_api.place_overseas_order(
stock_code, "SELL", quantity, float(current_price), exchange_code
)
# ── 2. 주문 실행 (종목별 세마포어 + 재시도) ──────────────────────────
order_price = _adjust_order_price(current_price, "SELL")
async with _get_order_semaphore(stock_code):
order_result = await _place_order_with_retry(
is_domestic=is_domestic,
stock_code=stock_code,
order_type="SELL",
quantity=quantity,
price=order_price,
exchange_code=exchange_code,
)
total_amount = Decimal(str(current_price)) * quantity
profit_loss = (current_price - float(holding.average_price or current_price)) * quantity
success = order_result.get("rt_cd") == "0"
status = "COMPLETED" if success else ("PENDING" if order_result.get("rt_cd") == "1" else "FAILED")
is_pending = order_result.get("rt_cd") == "1"
status = "COMPLETED" if success else ("PENDING" if is_pending else "FAILED")
trade = TradeHistory(
rule_id=stock.get("rule_id"),
@@ -295,7 +460,7 @@ async def _execute_sell(
total_amount=total_amount,
status=status,
order_id=order_result.get("odno"),
message=f"자동매도: 손익률 {profit_loss_rate:.2f}%",
message=f"자동매도: {exit_reason_detail}",
exit_reason=f"손익: {profit_loss:,.0f}원",
signals=signals,
net_profit_loss=Decimal(str(profit_loss)) if success else None,
@@ -317,8 +482,11 @@ async def _execute_sell(
]
except Exception:
pass
# KIS 체결 확인 후 포트폴리오 DB 동기화
asyncio.create_task(_delayed_sync_portfolio(delay_seconds=3))
elif is_pending:
order_id = order_result.get("odno")
if order_id:
asyncio.create_task(_auto_cancel_if_pending(order_id, stock_code, quantity))
return {
"action": "SELL",
@@ -331,6 +499,8 @@ async def _execute_sell(
except Exception as e:
return {"action": "SELL_FAILED", "stock": stock_name, "error": str(e)}
finally:
await _release_order_lock(stock_code, "SELL")
async def execute_auto_trade_background(recommendations_response: dict, db: AsyncSession):
@@ -562,6 +732,16 @@ async def execute_auto_trade(stock: dict, db: AsyncSession):
if not has_strong_signal and (matched_count < 2 or score_val < 2):
should_buy = False
# ── ATR 기반 강제 손절 (신호 없어도 발동) ────────────────────────────
if holding and not should_sell:
atr = float(stock.get("atr", 0) or 0)
avg_price = float(holding.average_price or 0)
if atr > 0 and avg_price > 0:
atr_stop_price = avg_price - 2.5 * atr
if current_price <= atr_stop_price:
should_sell = True
signals = list(signals) + [f"ATR 손절: {current_price:.0f} ≤ {atr_stop_price:.0f}"]
# ── 매매 실행 위임 ────────────────────────────────────────────────────
if should_buy:
return await _execute_buy(