feat(spot): 3단계 운영 파이프라인 — composite_v3 + MTF paper/live
MTF 필터 백테스트, paper/live 체결, 빗썸 Private API 연동 및 운영 스크립트·설계 문서를 추가해 2단계 전략을 실거래 단계에 연결한다. Co-authored-by: Cursor <cursoragent@cursor.com>
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xavis
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src/deepcoin/operations/runner.py
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src/deepcoin/operations/runner.py
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"""3단계 운영 러너 — 캔들 동기화·신호·체결."""
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from __future__ import annotations
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import json
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import logging
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import subprocess
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import sys
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from datetime import datetime
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from pathlib import Path
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from typing import Any
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from deepcoin.config import Settings
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from deepcoin.ground_truth.pnl import _cluster_signals
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from deepcoin.operations.executor import create_executor
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from deepcoin.operations.signal_pipeline import (
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filter_signals_for_ops,
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generate_raw_signals,
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load_ops_candles,
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)
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from deepcoin.operations.state_store import load_state, reset_daily_trade_count, save_state
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logger = logging.getLogger(__name__)
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def _project_root() -> Path:
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return Path(__file__).resolve().parents[3]
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def sync_candles_if_enabled(settings: Settings) -> bool:
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"""증분 캔들 수집 스크립트를 실행한다."""
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if not settings.ops_sync_candles:
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return False
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script = _project_root() / "scripts" / "00_download.py"
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if not script.exists():
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logger.warning("캔들 동기화 스크립트 없음: %s", script)
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return False
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logger.info("캔들 증분 동기화 실행...")
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subprocess.run(
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[sys.executable, str(script)],
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cwd=str(_project_root()),
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check=False,
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)
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return True
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def _signals_on_bar(signals: list[dict[str, Any]], bar_index: int) -> list[dict[str, Any]]:
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"""특정 bar_index 신호만 반환."""
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return [s for s in signals if int(s.get("bar_index", -1)) == bar_index]
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def _pending_bar_indices(
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kept: list[dict[str, Any]],
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last_bar_index: int,
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latest_bar_index: int,
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) -> list[int]:
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"""체결 대상 bar_index 목록 (최초 실행은 최신 봉만)."""
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if last_bar_index < 0:
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return [latest_bar_index] if any(
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int(s.get("bar_index", -1)) == latest_bar_index for s in kept
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) else []
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return sorted(
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{
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int(s.get("bar_index", -1))
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for s in kept
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if int(s.get("bar_index", -1)) > last_bar_index
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}
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)
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def _cluster_pending(pending: list[dict[str, Any]]) -> list[tuple[str, list[dict[str, Any]]]]:
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"""연속 동일 side 신호를 클러스터로 묶는다."""
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normalized = [
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{
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"side": s["side"],
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"datetime": s["datetime"],
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"price": s["price"],
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"bar_index": s.get("bar_index", 0),
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"signal_type": s.get("signal_type", ""),
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"marker_id": s.get("marker_id"),
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}
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for s in pending
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]
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return _cluster_signals(normalized)
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class OperationsRunner:
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"""3단계 운영 1회 tick 실행."""
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def __init__(self, settings: Settings) -> None:
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self.settings = settings
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self.executor = create_executor(settings)
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self.state = load_state(
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settings.ops_state_json,
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initial_cash_krw=settings.gt_initial_cash_krw,
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)
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self.state["portfolio"]["mode"] = settings.ops_mode
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def tick(self, *, sync_candles: bool | None = None) -> dict[str, Any]:
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"""신호 확인 및 체결 1회."""
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if sync_candles if sync_candles is not None else self.settings.ops_sync_candles:
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sync_candles_if_enabled(self.settings)
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df = load_ops_candles(self.settings)
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latest_bar = int(len(df) - 1)
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gen = generate_raw_signals(self.settings, df=df, use_cache=True)
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# tick: 최신 봉 후보만 MTF 평가 (전기간 MTF는 백테스트 전용)
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bar_candidates = _signals_on_bar(gen["raw_signals"], latest_bar)
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filtered = filter_signals_for_ops(self.settings, bar_candidates)
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kept = filtered["kept"]
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reset_daily_trade_count(self.state)
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last_bar = int(self.state.get("last_processed_bar_index", -1))
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target_bars = _pending_bar_indices(kept, last_bar, latest_bar)
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executions: list[dict[str, Any]] = []
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max_daily = self.settings.ops_daily_max_trades
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for bar_idx in target_bars:
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bar_signals = _signals_on_bar(kept, bar_idx)
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clusters = _cluster_pending(bar_signals)
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for side, cluster in clusters:
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if self.state["trades_today_count"] >= max_daily:
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logger.warning("일일 체결 상한(%d) 도달 — 중단", max_daily)
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break
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cluster_size = len(cluster)
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for sig in cluster:
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full_sig = next(
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(k for k in kept if k["datetime"] == sig["datetime"]),
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sig,
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)
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trade = self.executor.execute_signal(
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full_sig,
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self.state["portfolio"],
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cluster_size=cluster_size,
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)
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record = {
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"datetime": full_sig["datetime"],
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"side": full_sig["side"],
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"signal_type": full_sig.get("signal_type"),
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"price": full_sig["price"],
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"bar_index": bar_idx,
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"trade": trade.to_dict(),
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"mtf_filter": full_sig.get("mtf_filter"),
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}
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executions.append(record)
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if trade.executed:
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self.state["trades_today_count"] += 1
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if bar_idx > last_bar:
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last_bar = bar_idx
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self.state["last_processed_bar_index"] = bar_idx
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if bar_signals:
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self.state["last_processed_datetime"] = bar_signals[-1]["datetime"]
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pipeline = {
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"technique_id": gen["technique_id"],
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"raw_count": len(bar_candidates),
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"kept_count": len(kept),
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"rejected_count": len(filtered["rejected"]),
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"latest_bar_index": latest_bar,
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}
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now = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
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self.state["last_run_at"] = now
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if executions:
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self.state.setdefault("trade_history", []).extend(executions)
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report = {
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"generated_at": now,
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"mode": self.settings.ops_mode,
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"technique_id": pipeline["technique_id"],
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"raw_signals": pipeline["raw_count"],
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"filtered_signals": pipeline["kept_count"],
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"pending_bars": target_bars,
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"latest_bar_candidates": pipeline["raw_count"],
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"executions": executions,
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"portfolio": self.state["portfolio"],
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"trades_today_count": self.state["trades_today_count"],
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"last_processed_bar_index": self.state["last_processed_bar_index"],
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}
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save_state(self.settings.ops_state_json, self.state)
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self._save_report(report)
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return report
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def _save_report(self, report: dict[str, Any]) -> None:
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"""최신 운영 리포트 저장."""
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path = self.settings.ops_report_json
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path.parent.mkdir(parents=True, exist_ok=True)
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with path.open("w", encoding="utf-8") as fp:
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json.dump(report, fp, ensure_ascii=False, indent=2)
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