GT 총자산 비율 매수·leg 티어 배분과 시뮬/실거래 포지션 사이징을 통합한다.

타점·비중을 gt_model로 일반화하고, amount_krw 시각순 배분·EV/WF·상위 leg 대형 매수를
position_sizing과 시뮬 HTML(고정 ₩/회 비교)에 반영한다.

Co-authored-by: Cursor <cursoragent@cursor.com>

deepcoin/ops/live_trader.py

@@ -19,9 +19,18 @@ from config import (
     LIVE_ORDER_KRW,
     LIVE_TRADING_ENABLED,
     SYMBOL,
+    TRADING_FEE_RATE,
 )
+from deepcoin.ground_truth.ground_truth import load_ground_truth
 from deepcoin.matching.live_eval import evaluate_live_rules
 from deepcoin.matching.load_rules import load_monitor_rules
+from deepcoin.matching.position_sizing import (
+    compute_buy_amount_krw,
+    live_buy_asset_pct_scale,
+    load_ev_wf_approved_rule_ids,
+    top_leg_ids_by_forward_return,
+)
+from deepcoin.paths import resolve_ground_truth_file
 from deepcoin.ops.alert_message import build_rule_alert_message
 from deepcoin.ops.monitor import Monitor
 from deepcoin.paths import LIVE_TRADES_LOG
@@ -40,6 +49,17 @@ class LiveTrader(Monitor):
         self._day_spent_krw: float = 0.0
         self._day_trades: int = 0
         self._day_pnl_krw: float = 0.0
+        self._gt_trades: list[dict] = []
+        self._large_legs: set[int] = set()
+        self._approved_rules: set[str] = set()
+        self._load_sizing_context()
+
+    def _load_sizing_context(self) -> None:
+        """GT leg·EV/WF 통과 규칙 캐시."""
+        gt = load_ground_truth(resolve_ground_truth_file()) or {}
+        self._gt_trades = gt.get("trades") or []
+        self._large_legs = top_leg_ids_by_forward_return(self._gt_trades)
+        self._approved_rules = load_ev_wf_approved_rule_ids()
 
     def _reset_day_if_needed(self) -> None:
         """날짜 변경 시 일별 한도 카운터 초기화."""
@@ -61,7 +81,7 @@ class LiveTrader(Monitor):
         with LIVE_TRADES_LOG.open("a", encoding="utf-8") as f:
             f.write(json.dumps(record, ensure_ascii=False) + "\n")
 
-    def _can_trade(self, rule_id: str) -> tuple[bool, str]:
+    def _can_trade(self, rule_id: str, planned_krw: float | None = None) -> tuple[bool, str]:
         """
         일·쿨다운·손실 한도 검사.
 
@@ -74,7 +94,8 @@ class LiveTrader(Monitor):
         self._reset_day_if_needed()
         if self._day_trades >= LIVE_MAX_TRADES_PER_DAY:
             return False, "일 최대 거래 수 초과"
-        if self._day_spent_krw + LIVE_ORDER_KRW > LIVE_DAILY_KRW_MAX:
+        need = float(planned_krw if planned_krw is not None else LIVE_ORDER_KRW)
+        if self._day_spent_krw + need > LIVE_DAILY_KRW_MAX:
             return False, "일 주문 한도 초과"
         if self._day_pnl_krw <= -abs(LIVE_DAILY_LOSS_LIMIT_KRW):
             return False, "일 손실 한도 초과"
@@ -83,6 +104,46 @@ class LiveTrader(Monitor):
             return False, f"규칙 쿨다운({LIVE_COOLDOWN_MIN}분)"
         return True, ""
 
+    def _resolve_buy_amount_krw(self, hit: dict[str, Any]) -> float:
+        """
+        총자산·현금·EV/WF·leg 티어로 매수 원화 산출.
+
+        Args:
+            hit: evaluate_live_rules 항목.
+
+        Returns:
+            매수 원화.
+        """
+        rid = hit["rule_id"]
+        if rid not in self._approved_rules:
+            return 0.0
+        price = float(hit["close"])
+        cash = 0.0
+        qty = 0.0
+        try:
+            bal = self.load_balances_dict()
+            sym = bal.get(SYMBOL, {})
+            cash = float(sym.get("available_krw") or sym.get("krw") or 0)
+            qty = float(sym.get("balance") or 0)
+        except Exception:
+            return 0.0
+        scale = live_buy_asset_pct_scale(
+            rid,
+            hit["dt"],
+            self._gt_trades,
+            approved_rules=self._approved_rules,
+            large_legs=self._large_legs,
+        )
+        return compute_buy_amount_krw(
+            cash,
+            qty,
+            price,
+            1.0,
+            1.0,
+            asset_pct_scale=scale,
+            fee_rate=TRADING_FEE_RATE,
+        )
+
     def _execute_order(self, hit: dict[str, Any]) -> dict[str, Any]:
         """
         매수·매도 주문 실행 또는 드라이런.
@@ -95,7 +156,22 @@ class LiveTrader(Monitor):
         """
         side = hit["side"]
         price = float(hit["close"])
-        amount_krw = float(LIVE_ORDER_KRW)
+        if side == "buy":
+            amount_krw = self._resolve_buy_amount_krw(hit)
+            if amount_krw <= 0:
+                return {
+                    "ts": datetime.now().isoformat(timespec="seconds"),
+                    "rule_id": hit["rule_id"],
+                    "side": side,
+                    "signal_dt": hit["dt"],
+                    "price": price,
+                    "amount_krw": 0,
+                    "live_enabled": LIVE_TRADING_ENABLED,
+                    "ok": False,
+                    "message": "매수 스킵(EV/WF·leg·현금)",
+                }
+        else:
+            amount_krw = float(LIVE_ORDER_KRW)
         record: dict[str, Any] = {
             "ts": datetime.now().isoformat(timespec="seconds"),
             "rule_id": hit["rule_id"],
@@ -163,11 +239,23 @@ class LiveTrader(Monitor):
 
         for hit in fired:
             rid = hit["rule_id"]
-            ok, reason = self._can_trade(rid)
+            if hit["side"] == "buy" and hit["rule_id"] not in self._approved_rules:
+                print(f"  [{hit['side']}] {rid} @ {hit['dt']}")
+                print("    skip: EV/WF 미통과 규칙")
+                continue
+            planned = (
+                self._resolve_buy_amount_krw(hit)
+                if hit["side"] == "buy"
+                else float(LIVE_ORDER_KRW)
+            )
+            ok, reason = self._can_trade(rid, planned)
             print(f"  [{hit['side']}] {rid} @ {hit['dt']}")
             if not ok:
                 print(f"    skip: {reason}")
                 continue
+            if hit["side"] == "buy" and planned <= 0:
+                print("    skip: 매수금액 0")
+                continue
             log = self._execute_order(hit)
             self._append_log(log)
             print(f"    order: {log['message']} ok={log['ok']}")