582 lines
26 KiB
Python
582 lines
26 KiB
Python
import asyncio
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import logging
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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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# 동시 주문 1개로 제한 — 중복 주문 및 레이스 컨디션 방지
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_order_semaphore = asyncio.Semaphore(1)
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async def _mcp_validate_buy(stock: dict) -> tuple:
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# 전략 엔진(RSI/BB/MA/ATR 등)이 이미 신호를 검증하므로 AI 호출 불필요.
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# RISK_ASSESSMENT는 매매 직전 mcp.py에서 별도 수행.
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return True, "strategy_validated"
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async def _execute_buy(
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stock: dict,
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db: AsyncSession,
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holding,
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current_price: float,
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signals: list,
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score_val: float,
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is_domestic: bool,
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exchange_code: str,
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stock_code: str,
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stock_name: str,
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) -> dict:
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"""BUY 주문 실행 로직 — 선체크 → semaphore → 주문 → TradeHistory 기록 → sync."""
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# ── 1. 3일 급등 체크 ─────────────────────────────────────────────────────
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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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closes = (
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[float(item.get("stck_clpr", 0)) for item in chart_data[-4:]]
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if is_domestic
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else [float(item.get("clos", 0)) for item in chart_data[-4:]]
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)
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if len(closes) >= 4:
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price_3days_ago = closes[0]
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recent_gain = (
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((current_price - price_3days_ago) / price_3days_ago) * 100
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if price_3days_ago > 0 else 0
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)
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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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logger.debug(f"[chase_buy] 차트 조회 실패, 우회: {stock_code} — {e}")
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# ── 2. 트렌드 필터 ────────────────────────────────────────────────────────
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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 (
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ma20 and ma60
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and float(ma20) >= float(ma60) * (1 - TREND_TOLERANCE_PCT)
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and current_price >= float(ma20) * (1 - TREND_TOLERANCE_PCT)
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):
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return {"action": "HOLD", "stock": stock_name, "reason": "trend_filter"}
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except Exception:
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return {"action": "HOLD", "stock": stock_name, "reason": "trend_filter_error"}
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# ── 3. 현금·자산 조회 ────────────────────────────────────────────────────
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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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# ── 4. PENDING 포함 오늘 중복 주문 차단 ──────────────────────────────────
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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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if pending_check.scalars().first():
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return {"action": "SKIP", "stock": stock_name, "reason": "already_ordered_today"}
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# ── 5. 일 매수 횟수 제한 ─────────────────────────────────────────────────
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daily_buy_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"]),
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TradeHistory.created_at >= daily_cutoff,
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)
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)
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if len(daily_buy_check.scalars().all()) >= 2:
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return {"action": "HOLD", "stock": stock_name, "reason": "daily_trade_limit"}
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# ── 6. 쿨다운 체크 ────────────────────────────────────────────────────────
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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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# ── 7. MCP 검증 ───────────────────────────────────────────────────────────
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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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# ── 8. 포지션 사이징 ──────────────────────────────────────────────────────
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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
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invest_amount = calculate_position_size_v2(
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total_assets=total_assets,
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available_cash=available_cash,
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current_strategy_allocation=current_value,
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regime=regime,
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rsi=stock.get("rsi"),
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adx=stock.get("adx_14"),
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)
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if invest_amount <= 0 and total_assets <= 0:
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invest_amount = available_cash * 0.04
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quantity = int(invest_amount / current_price)
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if quantity <= 0:
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return {"action": "SKIP", "reason": "quantity_zero", "stock": stock_name}
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# ── 9. 주문 실행 (semaphore로 동시성 제어) ───────────────────────────────
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try:
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async with _order_semaphore:
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if is_domestic:
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order_result = await korea_investment_api.place_order(
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stock_code, "BUY", quantity, int(current_price)
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)
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else:
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order_result = await korea_investment_api.place_overseas_order(
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stock_code, "BUY", quantity, float(current_price), exchange_code
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)
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total_amount = Decimal(str(current_price)) * quantity
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entry_reason = f"매수 신호: {', '.join(signals[:3])}. 점수: {score_val}점"
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success = order_result.get("rt_cd") == "0"
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status = "COMPLETED" if success else ("PENDING" if order_result.get("rt_cd") == "1" else "FAILED")
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trade = TradeHistory(
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rule_id=stock.get("rule_id"),
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stock_code=stock_code,
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stock_name=stock_name,
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order_type="BUY",
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order_price=Decimal(str(current_price)),
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order_quantity=quantity,
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executed_price=Decimal(str(current_price)) if success else None,
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executed_quantity=quantity if success else 0,
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total_amount=total_amount,
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status=status,
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order_id=order_result.get("odno"),
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message=f"자동매수: {'추가매수' if holding else '신규'} | {' | '.join(signals[:2])}",
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entry_reason=entry_reason,
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signals=signals,
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created_at=_get_kst_now(),
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executed_at=_get_kst_now() if success else None,
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)
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db.add(trade)
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await db.commit()
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if success:
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# 즉시 캐시 반영 (UI 실시간성)
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try:
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from app.api.endpoints.portfolio import portfolio_cache
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portfolio_cache.apply_buy(stock_code, stock_name, quantity, current_price)
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except Exception:
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pass
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# KIS 체결 확인 후 포트폴리오 DB 동기화 (3초 딜레이)
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asyncio.create_task(_delayed_sync_portfolio(delay_seconds=3))
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return {
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"action": "BUY",
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"stock": stock_name,
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"quantity": quantity,
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"price": current_price,
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"success": success,
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}
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except Exception as e:
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return {"action": "BUY_FAILED", "stock": stock_name, "error": str(e)}
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async def _execute_sell(
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stock: dict,
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db: AsyncSession,
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holding,
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current_price: float,
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signals: list,
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is_domestic: bool,
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exchange_code: str,
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stock_code: str,
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stock_name: str,
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) -> dict:
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"""SELL 주문 실행 로직 — 중복체크 선행 → semaphore → 주문 → TradeHistory 기록 → sync."""
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quantity = holding.quantity
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_avg = float(holding.average_price or 0)
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profit_loss_rate = (
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((current_price - _avg) / _avg) * 100 if _avg > 0
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else float(holding.profit_loss_rate or 0)
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)
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take_profit = stock.get("take_profit", 3.0)
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stop_loss = stock.get("stop_loss", -1.5)
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if not (profit_loss_rate >= take_profit or profit_loss_rate <= stop_loss or True):
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return {"action": "HOLD", "stock": stock_name}
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try:
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# ── 1. 중복 주문 체크 — 주문 전에 먼저 확인 ────────────────────────
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recent_cutoff = _get_kst_now() - timedelta(seconds=10)
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duplicate_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 == "SELL",
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TradeHistory.created_at >= recent_cutoff,
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)
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)
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if duplicate_check.scalar_one_or_none():
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return {"action": "SKIP", "reason": "duplicate_order", "stock": stock_name}
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# ── 2. 주문 실행 (semaphore로 동시성 제어) ──────────────────────────
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async with _order_semaphore:
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if is_domestic:
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order_result = await korea_investment_api.place_order(
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stock_code, "SELL", quantity, int(current_price)
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)
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else:
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order_result = await korea_investment_api.place_overseas_order(
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stock_code, "SELL", quantity, float(current_price), exchange_code
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)
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total_amount = Decimal(str(current_price)) * quantity
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profit_loss = (current_price - float(holding.average_price or current_price)) * quantity
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success = order_result.get("rt_cd") == "0"
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status = "COMPLETED" if success else ("PENDING" if order_result.get("rt_cd") == "1" else "FAILED")
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trade = TradeHistory(
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rule_id=stock.get("rule_id"),
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stock_code=stock_code,
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stock_name=stock_name,
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order_type="SELL",
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order_price=Decimal(str(current_price)),
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order_quantity=quantity,
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executed_price=Decimal(str(current_price)) if success else None,
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executed_quantity=quantity if success else 0,
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total_amount=total_amount,
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status=status,
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order_id=order_result.get("odno"),
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message=f"자동매도: 손익률 {profit_loss_rate:.2f}%",
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exit_reason=f"손익: {profit_loss:,.0f}원",
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signals=signals,
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net_profit_loss=Decimal(str(profit_loss)) if success else None,
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profit_loss_rate=Decimal(str(profit_loss_rate)) if success else None,
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created_at=_get_kst_now(),
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executed_at=_get_kst_now() if success else None,
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)
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db.add(trade)
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await db.commit()
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if success:
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# 즉시 캐시 반영
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try:
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from app.api.endpoints.portfolio import portfolio_cache
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avg = float(holding.average_price or current_price)
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portfolio_cache.apply_sell(stock_code, quantity, current_price, avg)
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portfolio_cache.holdings = [
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h for h in portfolio_cache.holdings if h.stock_code != stock_code
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]
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except Exception:
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pass
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# KIS 체결 확인 후 포트폴리오 DB 동기화
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asyncio.create_task(_delayed_sync_portfolio(delay_seconds=3))
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return {
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"action": "SELL",
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"stock": stock_name,
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"quantity": quantity,
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"price": current_price,
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"profit_loss": profit_loss_rate,
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"success": success,
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}
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except Exception as e:
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return {"action": "SELL_FAILED", "stock": stock_name, "error": str(e)}
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|
|
|
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async def execute_auto_trade_background(recommendations_response: dict, db: AsyncSession):
|
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"""recommendations_response dict 에서 추천 종목을 꺼내 자동매매 실행."""
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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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total_processed = 0
|
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trade_results = []
|
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|
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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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rec_groups = recommendations_response.get("recommendations_by_rule", [])
|
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if isinstance(rec_groups, dict):
|
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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: dict = {}
|
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for rule_group in rec_groups:
|
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if not isinstance(rule_group, dict):
|
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logger.warning("Invalid rule_group: %r", rule_group)
|
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continue
|
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stocks_list = rule_group.get("stocks")
|
|
if not isinstance(stocks_list, list):
|
|
logger.warning("Invalid stocks list: %r", stocks_list)
|
|
continue
|
|
for stock in stocks_list:
|
|
if not isinstance(stock, dict):
|
|
logger.warning("Skipping non-dict stock entry: %r", stock)
|
|
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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if not isinstance(stock, dict):
|
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logger.warning("Skipping invalid stock entry: %r", stock)
|
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continue
|
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try:
|
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stock["_position_multiplier"] = position_multiplier
|
|
stock["_regime_str"] = (
|
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market_regime.get("regime_200d", "bear") if market_regime else "bear"
|
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)
|
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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)
|
|
|
|
except Exception as e:
|
|
logger.error(f"Error executing auto-trade for {stock.get('stock_code')}: {e}")
|
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continue
|
|
|
|
except Exception as e:
|
|
logger.error(
|
|
f"❌ Background auto-trade error: {e} — "
|
|
f"recommendations_response={recommendations_response!r}"
|
|
)
|
|
|
|
|
|
async def _background_sync_portfolio():
|
|
try:
|
|
from app.api.endpoints.portfolio import sync_portfolio
|
|
async with AsyncSessionLocal() as session:
|
|
await sync_portfolio(session, force=True)
|
|
except Exception as e:
|
|
logger.error(f"Background portfolio sync failed: {e}")
|
|
|
|
|
|
async def _delayed_sync_portfolio(delay_seconds: int = 3):
|
|
try:
|
|
await asyncio.sleep(delay_seconds)
|
|
from app.api.endpoints.portfolio import sync_portfolio
|
|
|
|
async with AsyncSessionLocal() as session:
|
|
try:
|
|
await sync_portfolio(session, force=True)
|
|
except Exception as inner_e:
|
|
logger.error(f"Sync execution failed: {inner_e}")
|
|
except Exception as e:
|
|
logger.error(f"Delayed portfolio sync failed: {e}")
|
|
|
|
|
|
async def execute_auto_trade(stock: dict, db: AsyncSession):
|
|
"""종목 단건 매매 판단 및 실행.
|
|
|
|
공통 필터(가격·MDD·손실추적·보유수·당일매도쿨다운·신호분석)를 통과한 후
|
|
_execute_buy / _execute_sell 에 위임한다.
|
|
"""
|
|
try:
|
|
stock_code = stock.get("stock_code")
|
|
stock_name = stock.get("stock_name")
|
|
current_price = float(stock.get("current_price", 0))
|
|
signals = stock.get("signals", [])
|
|
|
|
if not stock_code or current_price <= 0:
|
|
return {"action": "SKIP", "reason": "invalid_data"}
|
|
|
|
is_domestic = stock_code.isdigit() and len(stock_code) == 6
|
|
exchange_code = stock.get("exchange_code", "NASD")
|
|
|
|
# ── 가격 필터 ─────────────────────────────────────────────────────────
|
|
if is_domestic:
|
|
if current_price < settings.MIN_PRICE_KRW:
|
|
return {"action": "SKIP", "reason": "penny_stock", "stock": stock_name}
|
|
else:
|
|
if current_price < settings.MIN_PRICE_USD:
|
|
return {"action": "SKIP", "reason": "penny_stock", "stock": stock_name}
|
|
|
|
# ── MDD / 손실추적 / 보유수 ──────────────────────────────────────────
|
|
if not await mdd_manager.can_open_new_position():
|
|
return {"action": "SKIP", "reason": "mdd_pause", "stock": stock_name}
|
|
|
|
if loss_tracker.is_banned(stock_code):
|
|
return {"action": "SKIP", "reason": "consecutive_loss_ban", "stock": stock_name}
|
|
|
|
held_result = await db.execute(select(Portfolio).where(Portfolio.quantity > 0))
|
|
if len(held_result.scalars().all()) >= settings.MAX_HOLDINGS_COUNT:
|
|
return {"action": "SKIP", "reason": "max_holdings_reached", "stock": stock_name}
|
|
|
|
# ── 당일 매도 후 재매수 쿨다운 ───────────────────────────────────────
|
|
cutoff_time = _get_kst_now().replace(hour=0, minute=0, second=0, microsecond=0)
|
|
recent_sell = await db.execute(
|
|
select(TradeHistory).where(
|
|
TradeHistory.stock_code == stock_code,
|
|
TradeHistory.order_type == "SELL",
|
|
TradeHistory.status == "EXECUTED",
|
|
TradeHistory.executed_at >= cutoff_time,
|
|
)
|
|
)
|
|
if recent_sell.first():
|
|
return {"action": "SKIP", "reason": "cooldown_sell_today", "stock": stock_name}
|
|
|
|
# ── 현재 보유 조회 ────────────────────────────────────────────────────
|
|
result = await db.execute(
|
|
select(Portfolio).where(
|
|
Portfolio.stock_code == stock_code,
|
|
Portfolio.quantity > 0,
|
|
)
|
|
)
|
|
holding = result.scalar_one_or_none()
|
|
|
|
# ── 신호 분석 ─────────────────────────────────────────────────────────
|
|
text_signals = " ".join(signals)
|
|
try:
|
|
score_val = float(stock.get("score", 0) or 0)
|
|
except Exception:
|
|
score_val = 0.0
|
|
|
|
buy_keywords = [
|
|
"정배열 눌림목 매수", "눌림목 진입 매수타점", "RSI 바닥 탈출 반등",
|
|
"RSI 안정 상승", "스토캐스틱 과매도", "5일선 > 20일선", "20일선 > 60일선",
|
|
"골든크로스", "볼린저 하한선 터치", "횡보장 — 평균회귀 유리", "거래량 증가와 상승",
|
|
]
|
|
signals_without_volume_weak = [s for s in signals if "거래량부족" not in s]
|
|
text_signals_filtered = " ".join(signals_without_volume_weak)
|
|
should_buy = any(k in text_signals_filtered for k in buy_keywords)
|
|
if not signals_without_volume_weak and signals:
|
|
should_buy = False
|
|
|
|
sell_keywords = [
|
|
"역배열 하락 매도타점", "RSI 과매수", "스토캐스틱 과매수", "데드크로스",
|
|
"이동평균 역배열", "볼린저 상한선 돌파", "손절라인 이탈",
|
|
]
|
|
should_sell = any(k in text_signals for k in sell_keywords)
|
|
|
|
ml_score_trade = stock.get("ml_score")
|
|
ml_confidence_trade = stock.get("ml_confidence")
|
|
ml_signal_trade = stock.get("ml_signal")
|
|
|
|
if settings.ML_ENSEMBLE_ENABLED and ml_score_trade is not None:
|
|
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
|
|
):
|
|
should_buy = True
|
|
elif ml_signal_trade == "SELL" and (ml_confidence_trade or 0) >= 0.5:
|
|
should_sell = True
|
|
elif ml_signal_trade == "HOLD" and (ml_confidence_trade or 0) < settings.ML_ENSEMBLE_CONFIDENCE_MIN:
|
|
should_buy = False
|
|
|
|
has_rule = stock.get("rule_id") is not None
|
|
if has_rule:
|
|
if "이격도 과열" in text_signals or "매수금지" in text_signals:
|
|
return {"action": "HOLD", "stock": stock_name, "reason": "disparity_overheated"}
|
|
if "급등 종목 추격 금지" in text_signals or "급등과열" in text_signals:
|
|
return {"action": "HOLD", "stock": stock_name, "reason": "chase_buy_prevention"}
|
|
|
|
ml_hold_active = settings.ML_ENSEMBLE_ENABLED and ml_signal_trade == "HOLD" and not should_buy
|
|
if not ml_hold_active:
|
|
should_buy = True
|
|
else:
|
|
if "급등과열" in text_signals or "이격도 과열" in text_signals or "매수금지" in text_signals:
|
|
return {"action": "HOLD", "stock": stock_name, "reason": "overheat_no_rule"}
|
|
|
|
if should_buy and not has_rule:
|
|
strong_buy_kw = [
|
|
"RSI 바닥 탈출 반등", "볼린저 하한선 터치",
|
|
"눌림목 진입 매수타점", "정배열 눌림목 매수",
|
|
]
|
|
has_strong_signal = any(k in text_signals_filtered for k in strong_buy_kw)
|
|
matched_count = sum(1 for k in buy_keywords if k in text_signals_filtered)
|
|
if not has_strong_signal and (matched_count < 2 or score_val < 2):
|
|
should_buy = False
|
|
|
|
# ── 매매 실행 위임 ────────────────────────────────────────────────────
|
|
if should_buy:
|
|
return await _execute_buy(
|
|
stock, db, holding, current_price, signals, score_val,
|
|
is_domestic, exchange_code, stock_code, stock_name,
|
|
)
|
|
|
|
if should_sell and holding:
|
|
return await _execute_sell(
|
|
stock, db, holding, current_price, signals,
|
|
is_domestic, exchange_code, stock_code, stock_name,
|
|
)
|
|
|
|
return {"action": "HOLD", "stock": stock_name}
|
|
|
|
except Exception as e:
|
|
return {"action": "ERROR", "error": str(e)}
|