shuim
ab591f7fd6
- 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>
432 lines
17 KiB
Python
432 lines
17 KiB
Python
"""
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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)}")
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return RiskValidationResult(allowed=True, reason="MDD check skipped (error)")
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async def validate_leverage_etf_limit(self, stock_code: str, stock_name: str,
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order_quantity: int, entry_price: float,
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account_balance: float) -> RiskValidationResult:
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"""
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Check leverage/inverse ETF limit: max 20% of capital
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Args:
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stock_code: Stock code
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stock_name: Stock name (for keyword matching)
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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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# Check if this is a leverage/inverse ETF
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is_leverage_etf = any(keyword in stock_name.upper() for keyword in LEVERAGE_ETF_KEYWORDS)
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if not is_leverage_etf:
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logger.info(f"[{stock_code}] Not a leverage ETF, skipping leverage limit check")
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return RiskValidationResult(allowed=True)
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# Calculate total leverage ETF position
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db = await self._get_session()
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result = await db.execute(select(Portfolio))
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all_holdings = result.scalars().all()
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leverage_etf_value = 0
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for holding in all_holdings:
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if any(keyword in (holding.stock_name or "").upper() for keyword in LEVERAGE_ETF_KEYWORDS):
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holding_value = float(holding.current_price or 0) * holding.quantity
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leverage_etf_value += holding_value
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# Add proposed order
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proposed_value = order_quantity * entry_price
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total_leverage_value = leverage_etf_value + proposed_value
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leverage_pct = (total_leverage_value / account_balance) * 100 if account_balance > 0 else 0
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if leverage_pct > MAX_LEVERAGE_ETF_PCT * 100:
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return RiskValidationResult(
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allowed=False,
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reason=f"Leverage ETF limit: {leverage_pct:.2f}% > {MAX_LEVERAGE_ETF_PCT*100}% maximum",
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details={
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"current_leverage_value": leverage_etf_value,
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"proposed_value": proposed_value,
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"total_leverage_pct": leverage_pct,
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"max_allowed_pct": MAX_LEVERAGE_ETF_PCT * 100
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}
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)
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logger.info(f"[{stock_code}] Leverage ETF limit check passed: {leverage_pct:.2f}% of account")
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return RiskValidationResult(
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allowed=True,
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details={"leverage_etf_pct": leverage_pct, "total_leverage_value": total_leverage_value}
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)
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except Exception as e:
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logger.error(f"Leverage ETF limit check error for {stock_code}: {e}")
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return RiskValidationResult(allowed=False, reason=f"Leverage ETF check error: {str(e)}")
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async def validate_order_comprehensive(self,
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stock_code: str,
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stock_name: str,
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order_quantity: int,
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entry_price: float,
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account_balance: float,
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market: str = "KRX") -> Tuple[bool, Dict]:
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"""
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Comprehensive order validation combining all risk checks
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Args:
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stock_code: Stock code
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stock_name: Stock name
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order_quantity: Number of shares
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entry_price: Entry price per share
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account_balance: Current account balance
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market: Market code (default: KRX)
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Returns:
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Tuple of (allowed: bool, details: Dict with all checks)
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"""
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try:
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async with self._lock:
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validation_results = {
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"timestamp": datetime.now(timezone.utc).isoformat(),
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"stock_code": stock_code,
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"stock_name": stock_name,
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"order_quantity": order_quantity,
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"entry_price": entry_price,
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"account_balance": account_balance,
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"checks": {}
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}
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# Run all checks
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checks = [
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("price_filter", await self.validate_price_filter(stock_code, market)),
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("position_size", await self.validate_position_size(stock_code, order_quantity, entry_price, account_balance)),
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("max_holdings", await self.validate_max_holdings(account_balance)),
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("mdd_state", await self.validate_mdd_state()),
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("leverage_etf_limit", await self.validate_leverage_etf_limit(stock_code, stock_name, order_quantity, entry_price, account_balance))
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]
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# Record all check results
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all_passed = True
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for check_name, result in checks:
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validation_results["checks"][check_name] = {
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"allowed": result.allowed,
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"reason": result.reason,
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"details": result.details
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}
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if not result.allowed:
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all_passed = False
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logger.warning(f"❌ [{stock_code}] {check_name}: {result.reason}")
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else:
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logger.info(f"✅ [{stock_code}] {check_name}: passed")
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validation_results["overall_allowed"] = all_passed
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if all_passed:
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logger.info(f"✅✅✅ [{stock_code}] ALL RISK CHECKS PASSED - Order approved")
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else:
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logger.warning(f"❌ [{stock_code}] RISK VALIDATION FAILED - Order rejected")
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return all_passed, validation_results
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except Exception as e:
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logger.error(f"Comprehensive validation error for {stock_code}: {e}", exc_info=True)
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return False, {
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"timestamp": datetime.now(timezone.utc).isoformat(),
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"stock_code": stock_code,
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"overall_allowed": False,
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"error": str(e)
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}
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# Singleton instance
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risk_validator = RiskValidator()
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async def validate_and_log_order(stock_code: str,
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stock_name: str,
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order_quantity: int,
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entry_price: float,
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account_balance: float,
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market: str = "KRX") -> Tuple[bool, Dict]:
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"""
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Public API for order validation with comprehensive logging
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Args:
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stock_code: Stock code
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stock_name: Stock name
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order_quantity: Number of shares
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entry_price: Entry price per share
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account_balance: Current account balance
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market: Market code
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Returns:
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Tuple of (allowed: bool, validation_details: Dict)
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"""
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allowed, details = await risk_validator.validate_order_comprehensive(
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stock_code=stock_code,
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stock_name=stock_name,
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order_quantity=order_quantity,
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entry_price=entry_price,
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account_balance=account_balance,
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market=market
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)
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# Log rejection with full details
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if not allowed:
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failed_checks = [
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f"{check}: {data['reason']}"
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for check, data in details.get('checks', {}).items()
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if not data.get('allowed', True)
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]
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logger.error(f"🚫 ORDER REJECTED [{stock_code}]: {'; '.join(failed_checks)}")
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return allowed, details
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