542 lines
26 KiB
Python
542 lines
26 KiB
Python
import asyncio
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import logging
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import httpx
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from decimal import Decimal
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from datetime import timedelta
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from sqlalchemy.ext.asyncio import AsyncSession
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from sqlalchemy import select, desc
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from app.core.config import settings
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from app.core.database import AsyncSessionLocal
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from app.models.models import TradeHistory, Portfolio
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from app.services.korea_investment_api import korea_investment_api
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from app.services.mdd_manager import mdd_manager
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from app.services.loss_tracker import loss_tracker
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from app.services.market_analyzer import check_market_regime, _get_kst_now
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from app.services.mean_reversion_strategy import MarketRegime, calculate_position_size_v2
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from app.services.technical_indicators import (
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TREND_FILTER_ENABLED, TREND_MA_SHORT, TREND_MA_LONG, TREND_TOLERANCE_PCT, _ma
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)
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logger = logging.getLogger(__name__)
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async def _mcp_validate_buy(stock: dict) -> tuple:
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if not settings.MCP_VALIDATION_ENABLED:
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return True, "mcp_disabled"
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try:
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payload = {
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"analysis_type": "RULE_VALIDATION",
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"data": {
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"rule": {
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"id": stock.get("rule_id"),
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"name": stock.get("rule_name", "auto_trade"),
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},
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"market_data": {
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"stock_code": stock.get("stock_code"),
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"stock_name": stock.get("stock_name"),
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"current_price": stock.get("current_price"),
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"signals": stock.get("signals", []),
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"score": stock.get("score"),
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"ml_signal": stock.get("ml_signal"),
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"ml_confidence": stock.get("ml_confidence"),
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"ma20": stock.get("ma20"),
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"ma60": stock.get("ma60"),
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}
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}
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}
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async with httpx.AsyncClient(timeout=10.0) as client:
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resp = await client.post(
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f"{settings.MCP_SERVER_URL}/analyze",
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json=payload
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)
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resp.raise_for_status()
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data = resp.json()
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result = data.get("result", {})
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decision = result.get("decision", "HOLD")
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confidence = float(result.get("confidence", 0.0))
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if decision == "BUY" and confidence >= settings.MCP_CONFIDENCE_THRESHOLD:
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return True, f"mcp_approved(conf={confidence:.2f})"
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else:
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return False, f"mcp_rejected(decision={decision}, conf={confidence:.2f})"
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except httpx.HTTPStatusError as e:
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if e.response.status_code == 500:
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# 500 에러 → MCP 서버 내부 오류 → 룰 기반으로 우회
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logger.warning(f"⚠️ MCP 서버 500 에러 — 룰 기반으로 우회: {e}")
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return True, "mcp_500_fallback_to_rules"
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logger.warning(f"⚠️ MCP 검증 실패 — 매매 차단: {e}")
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return False, "mcp_unavailable"
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except Exception as e:
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logger.warning(f"⚠️ MCP 검증 실패 — 매매 차단: {e}")
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return False, "mcp_unavailable"
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async def execute_auto_trade_background(recommendations_response: dict, db: AsyncSession):
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# recommendations_response should be a dict containing 'recommendations_by_rule'.
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if not isinstance(recommendations_response, dict):
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logger.error("recommendations_response is not a dict: %r", recommendations_response)
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return
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try:
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trade_results = []
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total_processed = 0
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market_regime = None
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if settings.BEAR_MARKET_FILTER_ENABLED:
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market_regime = await check_market_regime()
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regime_max_trades = market_regime.get("max_trades", 20) if market_regime else 20
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position_multiplier = market_regime.get("position_multiplier", 1.0) if market_regime else 1.0
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max_trades = min(20, regime_max_trades)
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result = await db.execute(select(Portfolio).where(Portfolio.quantity > 0))
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held_stocks = {p.stock_code for p in result.scalars().all()}
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# normalize recommendations_by_rule early so we iterate over a list of groups
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rec_groups = recommendations_response.get("recommendations_by_rule", [])
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if isinstance(rec_groups, dict):
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# older format: {rule_name: [stocks]}
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normalized_list = []
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for name, group in rec_groups.items():
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if isinstance(group, dict):
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normalized_list.append(group)
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else:
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normalized_list.append({"rule_name": name, "stocks": group})
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rec_groups = normalized_list
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unique_stocks = {}
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for rule_group in rec_groups:
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# make sure we have a dict with expected keys
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if not isinstance(rule_group, dict):
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logger.warning("Invalid rule_group in recommendations_response: %r", rule_group)
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continue
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stocks_list = rule_group.get("stocks")
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if not isinstance(stocks_list, list):
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logger.warning("Invalid stocks list in rule_group: %r", stocks_list)
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continue
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for stock in stocks_list:
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if not isinstance(stock, dict):
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logger.warning("Skipping non-dict stock entry: %r", stock)
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continue
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stock_code = stock.get("stock_code")
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if stock_code not in unique_stocks:
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unique_stocks[stock_code] = stock
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elif stock.get("rule_priority", 999) < unique_stocks[stock_code].get("rule_priority", 999):
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unique_stocks[stock_code] = stock
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sorted_stocks = sorted(
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unique_stocks.values(),
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key=lambda s: (s.get("rule_priority", 999), -s.get("score", 0))
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)
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for stock in sorted_stocks[:max_trades]:
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# ensure stock is a dict before proceeding
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if not isinstance(stock, dict):
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logger.warning("Skipping invalid stock entry in sorted_stocks: %r", stock)
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continue
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try:
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stock["_position_multiplier"] = position_multiplier
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stock["_regime_str"] = market_regime.get("regime_200d", "bear") if market_regime else "bear"
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result = await execute_auto_trade(stock, db)
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total_processed += 1
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if result["action"] in ["BUY", "SELL"]:
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trade_results.append(result)
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await asyncio.sleep(0.5)
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except Exception as e:
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# stock is dict so we can safely access get
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logger.error(f"Error executing auto-trade for {stock.get('stock_code')}: {e}")
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continue
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except Exception as e:
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logger.error(f"❌ Background auto-trade error: {e} - recommendations_response={recommendations_response!r}")
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async def _background_sync_portfolio():
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try:
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from app.api.endpoints.portfolio import sync_portfolio
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async with AsyncSessionLocal() as session:
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await sync_portfolio(session, force=True)
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except Exception as e:
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logger.error(f"Background portfolio sync failed: {e}")
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async def _delayed_sync_portfolio(delay_seconds: int = 3):
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try:
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await asyncio.sleep(delay_seconds)
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from app.api.endpoints.portfolio import sync_portfolio
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async with AsyncSessionLocal() as session:
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try:
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await sync_portfolio(session, force=True)
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except Exception as inner_e:
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logger.error(f"Sync execution failed: {inner_e}")
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except Exception as e:
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logger.error(f"Delayed portfolio sync failed: {e}")
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async def execute_auto_trade(stock: dict, db: AsyncSession):
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try:
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stock_code = stock.get("stock_code")
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stock_name = stock.get("stock_name")
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current_price = float(stock.get("current_price", 0))
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signals = stock.get("signals", [])
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if not stock_code or current_price <= 0:
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return {"action": "SKIP", "reason": "invalid_data"}
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is_domestic = stock_code.isdigit() and len(stock_code) == 6
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exchange_code = stock.get("exchange_code", "NASD")
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if is_domestic:
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if current_price < settings.MIN_PRICE_KRW:
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return {"action": "SKIP", "reason": "penny_stock", "stock": stock_name}
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else:
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if current_price < settings.MIN_PRICE_USD:
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return {"action": "SKIP", "reason": "penny_stock", "stock": stock_name}
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if not await mdd_manager.can_open_new_position():
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return {"action": "SKIP", "reason": "mdd_pause", "stock": stock_name}
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if loss_tracker.is_banned(stock_code):
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return {"action": "SKIP", "reason": "consecutive_loss_ban", "stock": stock_name}
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held_result = await db.execute(select(Portfolio).where(Portfolio.quantity > 0))
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held_count = len(held_result.scalars().all())
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if held_count >= settings.MAX_HOLDINGS_COUNT:
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return {"action": "SKIP", "reason": "max_holdings_reached", "stock": stock_name}
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cutoff_time = _get_kst_now().replace(hour=0, minute=0, second=0, microsecond=0)
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recent_sell = await db.execute(
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select(TradeHistory).where(
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TradeHistory.stock_code == stock_code,
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TradeHistory.order_type == "SELL",
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TradeHistory.status == "EXECUTED",
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TradeHistory.executed_at >= cutoff_time
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)
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)
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if recent_sell.first():
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return {"action": "SKIP", "reason": "cooldown_sell_today", "stock": stock_name}
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result = await db.execute(
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select(Portfolio).where(
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Portfolio.stock_code == stock_code,
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Portfolio.quantity > 0
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)
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)
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holding = result.scalar_one_or_none()
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text_signals = " ".join(signals)
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try:
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score_val = float(stock.get("score", 0) or 0)
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except Exception:
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score_val = 0.0
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buy_keywords = [
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"정배열 눌림목 매수", "눌림목 진입 매수타점", "RSI 바닥 탈출 반등",
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"RSI 안정 상승", "스토캐스틱 과매도", "5일선 > 20일선", "20일선 > 60일선",
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"골든크로스", "볼린저 하한선 터치", "횡보장 — 평균회귀 유리", "거래량 증가와 상승"
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]
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# 거래량 부족 신호만 있는 경우 매수 금지 — 유효 신호에서 거래량부족 제거 후 판단
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signals_without_volume_weak = [s for s in signals if "거래량부족" not in s]
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text_signals_filtered = " ".join(signals_without_volume_weak)
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should_buy = any(k in text_signals_filtered for k in buy_keywords)
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# 거래량부족 신호만 있고 다른 유효 신호가 없으면 매수 금지
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if not signals_without_volume_weak and signals:
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should_buy = False
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sell_keywords = [
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"역배열 하락 매도타점", "RSI 과매수", "스토캐스틱 과매수", "데드크로스",
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"이동평균 역배열", "볼린저 상한선 돌파", "손절라인 이탈"
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]
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should_sell = any(k in text_signals for k in sell_keywords)
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ml_score_trade = stock.get("ml_score")
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ml_confidence_trade = stock.get("ml_confidence")
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ml_signal_trade = stock.get("ml_signal")
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if settings.ML_ENSEMBLE_ENABLED and ml_score_trade is not None:
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if ml_signal_trade == "BUY" and ml_score_trade >= settings.ML_ENSEMBLE_BUY_THRESHOLD and (ml_confidence_trade or 0) >= settings.ML_ENSEMBLE_CONFIDENCE_MIN:
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should_buy = True
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elif ml_signal_trade == "SELL" and (ml_confidence_trade or 0) >= 0.5:
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should_sell = True
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elif ml_signal_trade == "HOLD" and (ml_confidence_trade or 0) < settings.ML_ENSEMBLE_CONFIDENCE_MIN:
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should_buy = False
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has_rule = stock.get("rule_id") is not None
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if has_rule:
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if "이격도 과열" in text_signals or "매수금지" in text_signals:
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return {"action": "HOLD", "stock": stock_name, "reason": "disparity_overheated"}
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if "급등 종목 추격 금지" in text_signals or "급등과열" in text_signals:
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return {"action": "HOLD", "stock": stock_name, "reason": "chase_buy_prevention"}
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ml_hold_active = settings.ML_ENSEMBLE_ENABLED and ml_signal_trade == "HOLD" and not should_buy
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if not ml_hold_active:
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should_buy = True
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elif not has_rule:
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# rule 없는 경우 급등과열 신호도 차단
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if "급등과열" in text_signals or "이격도 과열" in text_signals or "매수금지" in text_signals:
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return {"action": "HOLD", "stock": stock_name, "reason": "overheat_no_rule"}
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if should_buy and not has_rule:
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strong_buy_kw = ["RSI 바닥 탈출 반등", "볼린저 하한선 터치", "눌림목 진입 매수타점", "정배열 눌림목 매수"]
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has_strong_signal = any(k in text_signals_filtered for k in strong_buy_kw)
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matched_count = sum(1 for k in buy_keywords if k in text_signals_filtered)
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if not has_strong_signal and (matched_count < 2 or score_val < 2):
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should_buy = False
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if should_buy:
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try:
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if is_domestic:
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chart_resp = await korea_investment_api.get_daily_chart(stock_code, "D", limit=10)
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chart_data = chart_resp.get("output2", [])
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else:
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chart_resp = await korea_investment_api.get_overseas_daily_chart(stock_code, exchange_code, "D")
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chart_data = chart_resp.get("output2", [])
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if len(chart_data) >= 4:
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if is_domestic:
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closes = [float(item.get("stck_clpr", 0)) for item in chart_data[-4:]]
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else:
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closes = [float(item.get("clos", 0)) for item in chart_data[-4:]]
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if len(closes) >= 4:
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price_3days_ago = closes[0]
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recent_gain = ((current_price - price_3days_ago) / price_3days_ago) * 100 if price_3days_ago > 0 else 0
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if recent_gain > 10:
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return {"action": "HOLD", "stock": stock_name, "reason": "chase_buy_prevention"}
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except Exception as e:
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pass
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if TREND_FILTER_ENABLED:
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try:
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ma20 = stock.get("ma20")
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ma60 = stock.get("ma60")
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if ma20 is None or ma60 is None:
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if is_domestic:
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chart_resp = await korea_investment_api.get_daily_chart(stock_code, "D")
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closes_local = [float(it.get("stck_clpr", 0)) for it in (chart_resp.get("output") or [])]
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else:
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chart_resp = await korea_investment_api.get_overseas_daily_chart(stock_code, exchange_code, "D")
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closes_local = [float(it.get("clos", 0)) for it in (chart_resp.get("output2") or [])]
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if len(closes_local) >= max(TREND_MA_SHORT, TREND_MA_LONG):
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ma20 = _ma(closes_local, TREND_MA_SHORT)
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ma60 = _ma(closes_local, TREND_MA_LONG)
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if not (ma20 and ma60 and (float(ma20) >= float(ma60) * (1 - TREND_TOLERANCE_PCT)) and (current_price >= float(ma20) * (1 - TREND_TOLERANCE_PCT))):
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return {"action": "HOLD", "stock": stock_name, "reason": "trend_filter"}
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except Exception as e:
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return {"action": "HOLD", "stock": stock_name, "reason": "trend_filter_error"}
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try:
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from app.api.endpoints.portfolio import portfolio_cache
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available_cash = float(portfolio_cache.summary.get("available_cash", 0)) if portfolio_cache.summary else 0.0
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total_assets = float(portfolio_cache.summary.get("total_assets", 0)) if portfolio_cache.summary else 0.0
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except Exception:
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available_cash, total_assets = 0.0, 0.0
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daily_cutoff = _get_kst_now().replace(hour=0, minute=0, second=0, microsecond=0)
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# PENDING 포함 오늘 전체 중복 주문 차단 (가장 중요한 체크 — 맨 먼저 실행)
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pending_check = await db.execute(
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select(TradeHistory).where(
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TradeHistory.stock_code == stock_code,
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TradeHistory.order_type == "BUY",
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TradeHistory.status.in_(['EXECUTED', 'COMPLETED', 'PENDING']),
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TradeHistory.created_at >= daily_cutoff,
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)
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)
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pending_orders = pending_check.scalars().all()
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if pending_orders:
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return {"action": "SKIP", "stock": stock_name, "reason": "already_ordered_today"}
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daily_buy_check = await db.execute(
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select(TradeHistory)
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.where(
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TradeHistory.stock_code == stock_code,
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TradeHistory.order_type == "BUY",
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TradeHistory.status.in_(['EXECUTED', 'COMPLETED']),
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TradeHistory.created_at >= daily_cutoff,
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)
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)
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daily_buys = daily_buy_check.scalars().all()
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if len(daily_buys) >= 2:
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return {"action": "HOLD", "stock": stock_name, "reason": "daily_trade_limit"}
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cooldown_min = int(stock.get("add_buy_cooldown_min", 30) or 30)
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cooldown_check = await db.execute(
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select(TradeHistory)
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.where(
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TradeHistory.stock_code == stock_code,
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TradeHistory.order_type == "BUY",
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TradeHistory.status.in_(['EXECUTED', 'COMPLETED']),
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TradeHistory.created_at >= daily_cutoff,
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)
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.order_by(desc(TradeHistory.created_at))
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)
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recent_buys = cooldown_check.scalars().all()
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if recent_buys and (_get_kst_now() - recent_buys[0].created_at).total_seconds() < cooldown_min * 60:
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return {"action": "HOLD", "stock": stock_name, "reason": "cooldown"}
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mcp_ok, mcp_reason = await _mcp_validate_buy(stock)
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if not mcp_ok:
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return {"action": "HOLD", "stock": stock_name, "reason": mcp_reason}
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current_value = float(holding.quantity * current_price) if holding else 0.0
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regime_str = stock.get("_regime_str", "bear")
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regime = MarketRegime.BULL if regime_str == "bull" else MarketRegime.BEAR
|
|
invest_amount = calculate_position_size_v2(
|
|
total_assets=total_assets,
|
|
available_cash=available_cash,
|
|
current_strategy_allocation=current_value,
|
|
regime=regime,
|
|
rsi=stock.get("rsi"),
|
|
adx=stock.get("adx_14"),
|
|
)
|
|
if invest_amount <= 0 and total_assets <= 0:
|
|
invest_amount = available_cash * 0.04
|
|
|
|
quantity = int(invest_amount / current_price)
|
|
|
|
if quantity > 0:
|
|
try:
|
|
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)
|
|
|
|
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")
|
|
|
|
trade = TradeHistory(
|
|
rule_id=stock.get("rule_id"),
|
|
stock_code=stock_code,
|
|
stock_name=stock_name,
|
|
order_type="BUY",
|
|
order_price=Decimal(str(current_price)),
|
|
order_quantity=quantity,
|
|
executed_price=Decimal(str(current_price)) if success else None,
|
|
executed_quantity=quantity if success else 0,
|
|
total_amount=total_amount,
|
|
status=status,
|
|
order_id=order_result.get("odno"),
|
|
message=f"자동매수: {'추가매수' if holding else '신규'} | {' | '.join(signals[:2])}",
|
|
entry_reason=entry_reason,
|
|
signals=signals,
|
|
created_at=_get_kst_now(),
|
|
executed_at=_get_kst_now() if success else None
|
|
)
|
|
db.add(trade)
|
|
await db.commit()
|
|
|
|
if success:
|
|
if holding:
|
|
new_total_qty = holding.quantity + quantity
|
|
prev_cost = float(holding.average_price or 0) * holding.quantity
|
|
holding.quantity = new_total_qty
|
|
holding.average_price = Decimal(str((prev_cost + current_price * quantity) / new_total_qty))
|
|
holding.current_price = Decimal(str(current_price))
|
|
else:
|
|
new_holding = Portfolio(
|
|
stock_code=stock_code, stock_name=stock_name, quantity=quantity,
|
|
average_price=Decimal(str(current_price)), current_price=Decimal(str(current_price)),
|
|
profit_loss=Decimal("0"), profit_loss_rate=Decimal("0")
|
|
)
|
|
db.add(new_holding)
|
|
await db.commit()
|
|
|
|
try:
|
|
from app.api.endpoints.portfolio import portfolio_cache
|
|
portfolio_cache.apply_buy(stock_code, stock_name, quantity, current_price)
|
|
except Exception:
|
|
pass
|
|
return {"action": "BUY", "stock": stock_name, "quantity": quantity, "price": current_price, "success": success}
|
|
|
|
except Exception as e:
|
|
return {"action": "BUY_FAILED", "stock": stock_name, "error": str(e)}
|
|
else:
|
|
return {"action": "SKIP", "reason": "quantity_zero", "stock": stock_name}
|
|
|
|
elif should_sell and holding:
|
|
quantity = holding.quantity
|
|
_avg = float(holding.average_price or 0)
|
|
profit_loss_rate = ((current_price - _avg) / _avg) * 100 if _avg > 0 else float(holding.profit_loss_rate or 0)
|
|
|
|
take_profit = stock.get("take_profit", 3.0)
|
|
stop_loss = stock.get("stop_loss", -1.5)
|
|
|
|
should_execute_sell = profit_loss_rate >= take_profit or profit_loss_rate <= stop_loss or should_sell
|
|
|
|
if should_execute_sell:
|
|
try:
|
|
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)
|
|
|
|
recent_cutoff = _get_kst_now() - timedelta(seconds=10)
|
|
duplicate_check = await db.execute(
|
|
select(TradeHistory).where(
|
|
TradeHistory.stock_code == stock_code,
|
|
TradeHistory.order_type == "SELL",
|
|
TradeHistory.created_at >= recent_cutoff
|
|
)
|
|
)
|
|
if duplicate_check.scalar_one_or_none():
|
|
return {"action": "SKIP", "reason": "duplicate_order", "stock": stock_name}
|
|
|
|
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")
|
|
|
|
trade = TradeHistory(
|
|
rule_id=stock.get("rule_id"), stock_code=stock_code, stock_name=stock_name,
|
|
order_type="SELL", order_price=Decimal(str(current_price)), order_quantity=quantity,
|
|
executed_price=Decimal(str(current_price)) if success else None,
|
|
executed_quantity=quantity if success else 0,
|
|
total_amount=total_amount, status=status, order_id=order_result.get("odno"),
|
|
message=f"자동매도: 손익률 {profit_loss_rate:.2f}%",
|
|
exit_reason=f"손익: {profit_loss:,.0f}원",
|
|
signals=signals, net_profit_loss=Decimal(str(profit_loss)) if success else None,
|
|
profit_loss_rate=Decimal(str(profit_loss_rate)) if success else None,
|
|
created_at=_get_kst_now(), executed_at=_get_kst_now() if success else None
|
|
)
|
|
db.add(trade)
|
|
await db.commit()
|
|
|
|
if success:
|
|
await db.delete(holding)
|
|
await db.commit()
|
|
try:
|
|
from app.api.endpoints.portfolio import portfolio_cache
|
|
avg = float(holding.average_price or current_price)
|
|
portfolio_cache.apply_sell(stock_code, quantity, current_price, avg)
|
|
portfolio_cache.holdings = [h for h in portfolio_cache.holdings if h.stock_code != stock_code]
|
|
except Exception:
|
|
pass
|
|
return {"action": "SELL", "stock": stock_name, "quantity": quantity, "price": current_price, "profit_loss": profit_loss_rate, "success": success}
|
|
|
|
except Exception as e:
|
|
return {"action": "SELL_FAILED", "stock": stock_name, "error": str(e)}
|
|
|
|
return {"action": "HOLD", "stock": stock_name}
|
|
|
|
except Exception as e:
|
|
return {"action": "ERROR", "error": str(e)} |