auto: 일일 백업 2026-06-09 02:00

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
2026-06-09 02:00:01 +09:00
parent 7f3994d98d
commit 69ef9c09e8
20 changed files with 3170 additions and 0 deletions
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+"""스캔 엔진 — 15분마다 universe 를 훑어 가상 매수/매도하고 판단 스냅샷을 남긴다.
+
+흐름: universe → 배치 시세 → (보유=청산판단 / 미보유=추세스크린→수급·애널→매수판단)
+     → 가상 체결 → portfolio 저장 → last_scan.json (대시보드용) 기록.
+"""
+from __future__ import annotations
+
+import json
+import sys
+from datetime import datetime, timedelta
+
+from . import config, data, signals, universe
+from .portfolio import Portfolio
+
+
+def _load_jsonl_last_per_market(path) -> dict[str, dict]:
+    out: dict[str, dict] = {}
+    if not path.exists():
+        return out
+    try:
+        for line in path.read_text().splitlines():
+            if not line.strip():
+                continue
+            rec = json.loads(line)
+            out[rec.get('market', '')] = rec
+    except Exception:
+        pass
+    return out
+
+
+def market_ok_map() -> dict[str, bool]:
+    """시장별 신규매수 허용 여부 — 당일 상승비율 기반 소프트 필터 (EOD 데이터라 보수적)."""
+    latest = _load_jsonl_last_per_market(config.MARKET_HISTORY)
+    out: dict[str, bool] = {}
+    for label, rec in latest.items():
+        rise = rec.get('rise', 0)
+        fall = rec.get('fall', 0)
+        steady = rec.get('steady', 0)
+        total = rise + fall + steady
+        breadth = rise / total if total else 1.0
+        key = 'KOSPI' if '코스피' in (rec.get('market_label') or '') or label == 'KOSPI' else \
+              'KOSDAQ' if '코스닥' in (rec.get('market_label') or '') or label == 'KOSDAQ' else label
+        out[key] = breadth >= config.MARKET_BREADTH_MIN
+    return out
+
+
+def _is_holiday(d: datetime) -> bool:
+    try:
+        hol = json.loads(config.HOLIDAYS_PATH.read_text())
+        days = hol if isinstance(hol, list) else hol.get('holidays', [])
+        return d.strftime('%Y-%m-%d') in set(days) or d.strftime('%Y%m%d') in set(days)
+    except Exception:
+        return False
+
+
+def is_market_session(now: datetime | None = None) -> bool:
+    now = now or datetime.now(config.KST)
+    if now.weekday() >= 5 or _is_holiday(now):
+        return False
+    o = now.replace(hour=config.MARKET_OPEN[0], minute=config.MARKET_OPEN[1], second=0, microsecond=0)
+    c = now.replace(hour=config.MARKET_CLOSE[0], minute=config.MARKET_CLOSE[1], second=0, microsecond=0)
+    return o <= now <= c
+
+
+def _fill_buy_price(code: str, suggested: int) -> int:
+    book = data.quote_book(code)
+    if book and book.get('asks'):
+        ask1 = book['asks'][0].get('price')
+        if ask1:
+            return int(ask1)
+    return int(suggested)
+
+
+def _fill_sell_price(code: str, fallback: int) -> int:
+    book = data.quote_book(code)
+    if book and book.get('bids'):
+        bid1 = book['bids'][0].get('price')
+        if bid1:
+            return int(bid1)
+    return int(fallback)
+
+
+def _gather(extra_codes=None):
+    """파라미터 무관한 라이브 데이터 1회 수집 (메인·변이 공유). 종목·시세·시장매핑.
+
+    extra_codes: universe에 없지만 청산 판단을 위해 포함해야 할 보유 코드(수동 삭제된 보유분).
+    """
+    uni = universe.build_universe()
+    codes = [e['code'] for e in uni]
+    seen = set(codes)
+    for c in (extra_codes or set()):
+        if c and c not in seen:
+            uni = uni + [{'code': c, 'name': '', 'sources': ['held']}]
+            codes.append(c)
+            seen.add(c)
+    quotes = data.batch_quotes(codes)
+    cmkt = universe.code_market_map()
+    return uni, quotes, cmkt
+
+
+def _run_scan(pf, uni, quotes, cmkt, now) -> dict:
+    """주어진 포트폴리오에 대해 현재 config(파라미터) 기준 스캔·체결. 스냅샷 반환(파일 기록 X)."""
+    mkt_ok = market_ok_map()   # MARKET_BREADTH_MIN 등 파라미터 의존 → 변이마다 재계산
+    decisions: list[dict] = []
+    buys: list[dict] = []
+    sells: list[dict] = []
+
+    for e in uni:
+        code, name, sources = e['code'], e['name'], e['sources']
+        if not name and code in pf.positions:  # 보유 보강분(universe에서 빠진)은 이름 보완
+            name = pf.positions[code].get('name', code)
+        quote = quotes.get(code)
+        hist = data.candles(code, 80)
+        series = data.build_series(hist, quote)
+        ind = signals.compute_indicators(series)
+        if ind is None:
+            decisions.append({'code': code, 'name': name, 'sources': sources,
+                              'state': 'NODATA', 'reason': '데이터 부족', 'checks': [],
+                              'price': (quote or {}).get('price')})
+            continue
+        cur_price = ind['price']
+
+        # ---- 보유: 청산 판단 ----
+        if code in pf.positions:
+            pf.mark(code, cur_price)
+            flow = data.flow_net(data.investor_flow(code))
+            anl = data.analyst(code, cur_price)
+            dec = signals.evaluate_holding(pf.positions[code], ind, flow, anl)
+            pf.apply_position_update(code, dec['position_update'])
+            dec.update({k: pf.positions[code].get(k) for k in
+                        ('entry_price', 'qty', 'stop', 'target', 'trailing_on', 'entry_at')})
+            act = dec['action']
+            if act in ('sell', 'scale_out'):
+                fill = _fill_sell_price(code, cur_price)
+                rec = pf.sell(code, fill, dec['reason'], signals=dec.get('checks'),
+                              frac=dec.get('sell_frac', 1.0))
+                if rec:
+                    sells.append(rec)
+                    dec['fill_price'] = fill
+            elif act == 'add':
+                fill = _fill_buy_price(code, cur_price)
+                rec = pf.add_tranche(code, fill, dec['reason'], signals=dec.get('checks'))
+                if rec:
+                    # 새 평단 기준 손절·목표 재산정 (손절은 위로만 래칫)
+                    new_entry = pf.positions[code]['entry_price']
+                    nstop, ntarget = signals.compute_stop_target(new_entry, ind['atr'], ind['recent_low'])
+                    pf.positions[code]['stop'] = max(pf.positions[code]['stop'], nstop)
+                    pf.positions[code]['target'] = ntarget
+                    buys.append(rec)
+                    dec.update({'fill_price': fill, 'entry_price': new_entry,
+                                'qty': pf.positions[code]['qty'], 'stop': pf.positions[code]['stop'],
+                                'target': ntarget})
+            decisions.append(dec)
+            continue
+
+        # ---- 미보유: 추세 스크린 → 수급·애널 → 매수 판단 ----
+        if not signals.trend_ok(ind):
+            decisions.append({
+                'code': code, 'name': name, 'sources': sources, 'price': cur_price,
+                'state': 'SKIP', 'reason': '추세 미충족', 'action': None,
+                'checks': [
+                    {'label': '추세(20일선 위)', 'ok': cur_price > ind['sma_long'],
+                     'detail': f"{cur_price:,} vs {ind['sma_long']:,.0f}"},
+                    {'label': '정배열(5>20)', 'ok': ind['sma_short'] > ind['sma_long'],
+                     'detail': f"{ind['sma_short']:,.0f} / {ind['sma_long']:,.0f}"},
+                ],
+            })
+            continue
+
+        flow = data.flow_net(data.investor_flow(code))
+        anl = data.analyst(code, cur_price)
+        market = cmkt.get(code, '')
+        m_ok = mkt_ok.get(market, True)
+        dec = signals.evaluate_candidate(code, name, sources, ind, flow, anl, m_ok)
+
+        if dec['action'] == 'buy' and pf.can_open():
+            fill = _fill_buy_price(code, dec['buy_price'])
+            stop, target = signals.compute_stop_target(fill, ind['atr'], ind['recent_low'])
+            rec = pf.buy(code, name, fill, sources, stop, target, dec['buy_path'], dec['reason'],
+                         signals=dec.get('checks'))
+            if rec:
+                buys.append(rec)
+                dec.update({'fill_price': fill, 'plan_stop': stop, 'plan_target': target})
+            else:
+                dec['state'] = 'WAIT'
+                dec['reason'] = '매수 신호 — 현금/한도 부족'
+        decisions.append(dec)
+
+    pf.update_equity_metrics()
+    pf.save()
+
+    order = {'SELL': 0, 'ADD': 1, 'BUY': 2, 'HOLD': 3, 'WAIT': 4, 'SKIP': 5, 'NODATA': 6}
+    decisions.sort(key=lambda d: (order.get(d.get('state'), 9), d.get('name', '')))
+
+    return {
+        'scanned_at': now.isoformat(),
+        'next_scan_hint': (now + timedelta(minutes=15)).isoformat(),
+        'session': is_market_session(now),
+        'market_ok': mkt_ok,
+        'summary': pf.summary(),
+        'counts': {'buys': len(buys), 'sells': len(sells), 'universe': len(uni)},
+        'decisions': decisions,
+    }
+
+
+def _attach_benchmark(snap: dict, pf, now, refresh: bool = True):
+    """가상계좌 시작일 대비 기준지수(KOSPI/KOSDAQ) 수익·알파를 스냅샷에 부착."""
+    from . import benchmark
+    if refresh:
+        benchmark.update_today()
+    start = benchmark.norm_date(pf.created_at)
+    today = now.strftime('%Y%m%d')
+    snap['benchmark'] = {
+        'since': start, 'to': today,
+        'indices': benchmark.compare(snap['summary'].get('total_return_pct'), start, today),
+    }
+
+
+def scan(force: bool = False) -> dict:
+    """메인 sim 1회 스캔 — last_scan.json 기록."""
+    now = datetime.now(config.KST)
+    if not force and not is_market_session(now):
+        return {'skipped': True, 'reason': '장외/휴장', 'at': now.isoformat()}
+    pf = Portfolio.load()
+    uni, quotes, cmkt = _gather(set(pf.positions))  # 보유분은 universe에서 빠져도 청산 위해 포함
+    snap = _run_scan(pf, uni, quotes, cmkt, now)
+    _attach_benchmark(snap, pf, now)
+    config.STATE_DIR.mkdir(parents=True, exist_ok=True)
+    config.LAST_SCAN_PATH.write_text(json.dumps(snap, ensure_ascii=False, indent=2))
+    return snap
+
+
+def scan_all(force: bool = False) -> dict:
+    """메인 + 병렬 페이퍼 변이 전부 스캔 (라이브 데이터 1회 공유). 비교 스냅샷 기록."""
+    from . import backtest, variants as variants_mod
+    now = datetime.now(config.KST)
+    if not force and not is_market_session(now):
+        return {'skipped': True, 'reason': '장외/휴장', 'at': now.isoformat()}
+
+    # 포트폴리오 먼저 로드해 보유 코드 합집합 수집 (universe에서 빠진 보유분도 청산 위해 포함)
+    main_params = config.load_params()
+    pf = Portfolio.load()
+    vdefs = variants_mod.load_variants()
+    vpfs = {v['id']: Portfolio.load(*variants_mod.variant_paths(v['id'])) for v in vdefs}
+    held_union = set(pf.positions)
+    for vpf in vpfs.values():
+        held_union |= set(vpf.positions)
+    uni, quotes, cmkt = _gather(held_union)
+
+    # 메인 (현재 params.json 튜닝)
+    backtest.apply_params(main_params)
+    snap = _run_scan(pf, uni, quotes, cmkt, now)
+    _attach_benchmark(snap, pf, now)            # 지수 캐시 갱신 1회 (변이는 캐시 재사용)
+    config.STATE_DIR.mkdir(parents=True, exist_ok=True)
+    config.LAST_SCAN_PATH.write_text(json.dumps(snap, ensure_ascii=False, indent=2))
+
+    from . import benchmark
+    today = now.strftime('%Y%m%d')
+
+    def _alpha(p):
+        s = p.summary()
+        return benchmark.compare(s.get('total_return_pct'), benchmark.norm_date(p.created_at), today)
+
+    compare = [{'id': 'main', 'name': '메인 (현재 튜닝)', 'params': main_params,
+                'summary': pf.summary(), 'benchmark': _alpha(pf)}]
+    for v in vdefs:
+        backtest.apply_params(v.get('params') or {})
+        vpf = vpfs[v['id']]
+        _run_scan(vpf, uni, quotes, cmkt, now)
+        compare.append({'id': v['id'], 'name': v.get('name', v['id']),
+                        'params': v.get('params') or {}, 'summary': vpf.summary(),
+                        'benchmark': _alpha(vpf)})
+
+    compare.sort(key=lambda c: c['summary'].get('total_return_pct', 0) or 0, reverse=True)
+    variants_mod.COMPARE_PATH.write_text(json.dumps({
+        'scanned_at': now.isoformat(), 'session': is_market_session(now),
+        'variants': compare,
+    }, ensure_ascii=False, indent=2))
+    return snap
+
+
+if __name__ == '__main__':
+    force = '--force' in sys.argv
+    snap = scan_all(force=force)
+    if snap.get('skipped'):
+        print(f"[skip] {snap['reason']} @ {snap['at']}")
+    else:
+        s = snap['summary']
+        print(f"자산 {s['equity']:,}원 ({s['total_return_pct']:+.2f}%) · "
+              f"현금 {s['cash']:,} · 보유 {s['open_positions']} · "
+              f"매수 {snap['counts']['buys']} 매도 {snap['counts']['sells']}")
+        for d in snap['decisions']:
+            if d['state'] in ('BUY', 'ADD', 'SELL', 'HOLD'):
+                print(f"  [{d['state']}] {d['name']:12s} {d.get('reason','')}")