c6888c9228
초기 자금 GT_INITIAL_CASH_KRW=400000과 원화 한도 비율(알림·LIVE_ORDER·일한도·손실한도)을 맞추고, dry-run/live 체결을 sim_causal_hybrid(replay)와 동일 경로로 통합한다. 시뮬 리포트 갱신, Phase C 슈퍼바이저·매수매도 리허설 스크립트를 추가한다. Co-authored-by: Cursor <cursoragent@cursor.com>
464 lines
17 KiB
Python
464 lines
17 KiB
Python
"""
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3단계: monitor_rules 발화 시 빗썸 실주문 (가드·로그).
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dry-run·live 체결 배분: 시뮬 sim_causal_hybrid 와 동일 (hybrid_sim_execution).
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"""
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from __future__ import annotations
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import json
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import time
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from datetime import date, datetime
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from pathlib import Path
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from typing import Any
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from config import (
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CHART_LOOKBACK_DAYS,
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COIN_NAME,
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GT_INITIAL_CASH_KRW,
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LIVE_COOLDOWN_MIN,
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LIVE_DAILY_KRW_MAX,
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LIVE_DAILY_LOSS_LIMIT_KRW,
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LIVE_MAX_TRADES_PER_DAY,
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LIVE_ORDER_KRW,
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LIVE_TRADING_ENABLED,
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MATCH_PRIMARY_INTERVAL,
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SYMBOL,
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TRADING_FEE_RATE,
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)
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from deepcoin.data.mtf_bb import load_frames_from_db
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from deepcoin.ground_truth.ground_truth import load_ground_truth
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from deepcoin.matching.live_eval import evaluate_live_rules
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from deepcoin.matching.live_sizing import LivePositionState, live_sizing_enabled
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from deepcoin.matching.load_rules import load_monitor_rules
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from deepcoin.matching.position_sizing import (
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load_ev_wf_approved_rule_ids,
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top_leg_ids_by_forward_return,
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)
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from deepcoin.ops.alert_message import build_rule_alert_message
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from deepcoin.ops.hybrid_sim_execution import (
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hit_key,
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plan_live_hit,
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replay_paper_portfolio,
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sort_hits_sim_order,
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)
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from deepcoin.ops.monitor import Monitor
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from deepcoin.ops.paper_portfolio import PaperPortfolio
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from deepcoin.paths import (
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LIVE_SIGNAL_HISTORY_JSON,
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LIVE_TRADES_LOG,
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PAPER_FIRES_LOG,
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resolve_ground_truth_file,
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)
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class LiveTrader(Monitor):
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"""
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규칙 발화 시 실거래 실행. LIVE_TRADING_ENABLED=0 이면 모의(sim hybrid)만.
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"""
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def __init__(self) -> None:
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"""Monitor 초기화, 일별 카운터 비움."""
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super().__init__(cooldown_file=None)
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self._rule_last_unix: dict[str, float] = {}
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self._day: str = ""
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self._day_spent_krw: float = 0.0
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self._day_trades: int = 0
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self._day_pnl_krw: float = 0.0
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self._gt_trades: list[dict] = []
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self._large_legs: set[int] = set()
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self._approved_rules: set[str] = set()
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self._position_state = LivePositionState.load()
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self._paper = PaperPortfolio.load() if not LIVE_TRADING_ENABLED else None
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self._live_signal_history: list[dict[str, Any]] = []
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self._ohlc_df = None
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self._load_sizing_context()
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if self._paper_mode and self._paper.signal_history:
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self._resync_paper_from_sim()
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if LIVE_TRADING_ENABLED:
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self._live_signal_history = self._load_live_signal_history()
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@property
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def _paper_mode(self) -> bool:
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"""dry-run: 모의 계좌·시뮬 hybrid 체결."""
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return not LIVE_TRADING_ENABLED and self._paper is not None
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def _load_live_signal_history(self) -> list[dict[str, Any]]:
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"""live 시뮬 정합용 발화 이력."""
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if not LIVE_SIGNAL_HISTORY_JSON.is_file():
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return []
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try:
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data = json.loads(LIVE_SIGNAL_HISTORY_JSON.read_text(encoding="utf-8"))
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return list(data.get("signals") or [])
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except (json.JSONDecodeError, OSError):
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return []
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def _save_live_signal_history(self) -> None:
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"""live 발화 이력 저장."""
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LIVE_SIGNAL_HISTORY_JSON.parent.mkdir(parents=True, exist_ok=True)
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LIVE_SIGNAL_HISTORY_JSON.write_text(
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json.dumps(
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{"signals": self._live_signal_history[-2000:]},
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ensure_ascii=False,
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indent=2,
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),
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encoding="utf-8",
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)
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def _live_signal_seen(self, hit: dict[str, Any]) -> bool:
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"""live 이력에 동일 봉 발화가 있는지."""
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dt, rid, side = hit_key(hit)
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return any(
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str(s["dt"]) == dt and str(s["rule_id"]) == rid and str(s["side"]) == side
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for s in self._live_signal_history
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)
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def _append_live_signal(self, hit: dict[str, Any]) -> None:
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"""live 발화 이력 추가."""
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if self._live_signal_seen(hit):
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return
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self._live_signal_history.append(
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{
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"dt": str(hit["dt"]),
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"rule_id": str(hit["rule_id"]),
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"side": str(hit["side"]),
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"close": float(hit["close"]),
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}
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)
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def _balances_for_trading(self) -> dict[str, dict[str, float]] | None:
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"""
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dry-run: paper_portfolio만. live: 빗썸 API.
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"""
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if self._paper_mode:
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return self._paper.balances_dict()
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try:
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return self.load_balances_dict()
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except Exception:
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return None
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def _load_sizing_context(self) -> None:
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"""GT leg·EV/WF 통과 규칙 캐시."""
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gt = load_ground_truth(resolve_ground_truth_file()) or {}
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self._gt_trades = gt.get("trades") or []
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self._large_legs = top_leg_ids_by_forward_return(self._gt_trades)
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self._approved_rules = load_ev_wf_approved_rule_ids()
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def _reset_day_if_needed(self) -> None:
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"""날짜 변경 시 일별 한도 카운터 초기화."""
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today = date.today().isoformat()
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if today != self._day:
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self._day = today
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self._day_spent_krw = 0.0
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self._day_trades = 0
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self._day_pnl_krw = 0.0
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def _append_log(self, record: dict[str, Any]) -> None:
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"""live_trades.jsonl append."""
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LIVE_TRADES_LOG.parent.mkdir(parents=True, exist_ok=True)
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with LIVE_TRADES_LOG.open("a", encoding="utf-8") as f:
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f.write(json.dumps(record, ensure_ascii=False) + "\n")
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def _append_paper_fire(
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self,
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hit: dict[str, Any],
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planned_krw: float,
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would_trade: bool,
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skip_reason: str = "",
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order_log: dict[str, Any] | None = None,
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) -> None:
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"""Phase C paper_fires.jsonl."""
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PAPER_FIRES_LOG.parent.mkdir(parents=True, exist_ok=True)
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row = {
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"ts": datetime.now().isoformat(timespec="seconds"),
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"signal_dt": hit.get("dt"),
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"rule_id": hit.get("rule_id"),
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"side": hit.get("side"),
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"close": float(hit.get("close") or 0),
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"planned_krw": round(float(planned_krw), 0),
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"would_trade": bool(would_trade),
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"skip_reason": skip_reason or "",
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"live_enabled": bool(LIVE_TRADING_ENABLED),
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"order_message": (order_log or {}).get("message", ""),
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"sizing": "sim_causal_hybrid",
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}
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with PAPER_FIRES_LOG.open("a", encoding="utf-8") as f:
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f.write(json.dumps(row, ensure_ascii=False) + "\n")
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def _can_trade(self, rule_id: str, planned_krw: float | None = None) -> tuple[bool, str]:
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"""
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쿨다운(1봉=3분) + live 일한도. dry-run은 일한도만 생략.
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"""
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self._reset_day_if_needed()
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last = self._rule_last_unix.get(rule_id, 0.0)
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if time.time() - last < LIVE_COOLDOWN_MIN * 60:
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return False, f"규칙 쿨다운({LIVE_COOLDOWN_MIN}분)"
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if self._paper_mode:
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return True, ""
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if self._day_trades >= LIVE_MAX_TRADES_PER_DAY:
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return False, "일 최대 거래 수 초과"
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need = float(planned_krw if planned_krw is not None else LIVE_ORDER_KRW)
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if self._day_spent_krw + need > LIVE_DAILY_KRW_MAX:
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return False, "일 주문 한도 초과"
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if self._day_pnl_krw <= -abs(LIVE_DAILY_LOSS_LIMIT_KRW):
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return False, "일 손실 한도 초과"
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return True, ""
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def _load_ohlc_df(self) -> None:
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"""drawdown tier용 3m OHLC."""
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try:
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frames = load_frames_from_db(self, SYMBOL, lookback_days=CHART_LOOKBACK_DAYS)
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self._ohlc_df = frames.get(MATCH_PRIMARY_INTERVAL)
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except Exception:
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self._ohlc_df = None
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def _resync_paper_from_sim(self) -> None:
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"""기존 paper 잔고를 sim_causal_hybrid replay 로 맞춤."""
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if self._ohlc_df is None:
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self._load_ohlc_df()
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if self._ohlc_df is None or getattr(self._ohlc_df, "empty", True):
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return
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replayed, _ = replay_paper_portfolio(
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self._paper.signal_history,
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self._ohlc_df,
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approved_buy_rules=self._approved_rules,
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)
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self._paper.cash_krw = replayed.cash_krw
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self._paper.qty = replayed.qty
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self._paper.qty_by_leg = dict(replayed.qty_by_leg)
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self._paper.current_leg_id = replayed.current_leg_id
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self._paper.save()
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def _sim_plan(self, hit: dict[str, Any]) -> Any:
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"""시뮬 hybrid 배분 1건."""
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if self._ohlc_df is None:
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self._load_ohlc_df()
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if self._paper_mode:
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hist = list(self._paper.signal_history)
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else:
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hist = list(self._live_signal_history)
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return plan_live_hit(
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hist,
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hit,
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self._ohlc_df,
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approved_buy_rules=self._approved_rules,
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)
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def _execute_live_order(self, hit: dict[str, Any], plan: Any) -> dict[str, Any]:
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"""실거래: 시뮬 planned 금액·수량으로 API 주문."""
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side = hit["side"]
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price = float(hit["close"])
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record: dict[str, Any] = {
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"ts": datetime.now().isoformat(timespec="seconds"),
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"rule_id": hit["rule_id"],
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"side": side,
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"signal_dt": hit["dt"],
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"price": price,
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"amount_krw": plan.amount_krw,
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"live_enabled": True,
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"ok": False,
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"message": plan.message,
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"sizing": "sim_causal_hybrid",
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}
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if not plan.ok:
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return record
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try:
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if side == "buy":
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ok = self.buyCoinMarket(SYMBOL, int(plan.amount_krw), count=None)
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record["ok"] = bool(ok)
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record["message"] = "buyCoinMarket" if ok else "buy failed"
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elif side == "sell":
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bal = self.load_balances_dict().get(SYMBOL, {})
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held = float(bal.get("balance") or 0)
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if held <= 0:
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record["message"] = "보유 없음"
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else:
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sell_qty = min(float(plan.sell_qty), held)
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if sell_qty <= 0:
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record["message"] = "매도 수량 0"
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else:
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gross = sell_qty * price
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record["amount_krw"] = round(gross, 0)
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ok = self.sellCoinMarket(SYMBOL, int(price), sell_qty)
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record["ok"] = bool(ok)
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record["sell_qty"] = sell_qty
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record["message"] = (
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f"sell qty={sell_qty:.4f}" if ok else "sell failed"
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)
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if record["ok"] and live_sizing_enabled():
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fee = gross * TRADING_FEE_RATE
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self._position_state.record_sell(
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gross, fee, full_close=(sell_qty >= held * 0.999)
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)
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self._position_state.save()
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else:
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record["message"] = f"unknown side {side}"
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except Exception as exc:
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record["message"] = str(exc)
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if record["ok"]:
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spent = float(record.get("amount_krw") or plan.amount_krw)
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self._day_spent_krw += spent
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self._day_trades += 1
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self._rule_last_unix[hit["rule_id"]] = time.time()
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if live_sizing_enabled() and side == "buy":
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fee = spent * TRADING_FEE_RATE
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self._position_state.record_buy(hit["dt"], price, spent, fee)
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self._position_state.save()
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self._append_live_signal(hit)
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self._save_live_signal_history()
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return record
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def _process_paper_batch(self, new_hits: list[dict[str, Any]]) -> None:
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"""
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dry-run: 신규 발화를 이력에 넣고 시뮬 전체 재생 후 알림.
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"""
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if not new_hits:
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return
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if self._ohlc_df is None:
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self._load_ohlc_df()
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for hit in new_hits:
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self._paper.append_signal(hit)
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replayed, results = replay_paper_portfolio(
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self._paper.signal_history,
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self._ohlc_df,
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approved_buy_rules=self._approved_rules,
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)
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self._paper.cash_krw = replayed.cash_krw
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self._paper.qty = replayed.qty
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self._paper.qty_by_leg = dict(replayed.qty_by_leg)
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self._paper.current_leg_id = replayed.current_leg_id
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for hit in new_hits:
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key = hit_key(hit)
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res = results.get(key)
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if res is None:
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self._paper.mark_processed(hit["rule_id"], hit["dt"])
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continue
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log = {
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"ok": res.ok,
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"message": res.message,
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"amount_krw": res.amount_krw,
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"sell_qty": res.sell_qty,
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}
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self._append_paper_fire(
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hit, res.amount_krw, res.ok, "" if res.ok else res.message, log
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)
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self._paper.mark_processed(hit["rule_id"], hit["dt"])
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print(f" [{hit['side']}] {hit['rule_id']} @ {hit['dt']}")
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print(f" order: {res.message} ok={res.ok}")
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if not res.ok:
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continue
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self._rule_last_unix[hit["rule_id"]] = time.time()
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post_balances = self._paper.balances_dict()
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msg = build_rule_alert_message(
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hit,
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post_balances,
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trade_krw=res.amount_krw,
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trade_qty=res.sell_qty if hit["side"] == "sell" else None,
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)
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sym = post_balances.get(SYMBOL, {})
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msg += (
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f"\n[모의잔고·체결후] 현금 {_fmt_paper_krw(sym.get('krw', 0))} · "
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f"보유 {float(sym.get('balance', 0)):.4f} {SYMBOL}"
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)
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msg += f"\n[체결] {res.message}"
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self._send_coin_msg(msg)
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self._paper.save()
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def run_once(self) -> None:
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"""1회: 규칙 평가 → 시뮬 hybrid 체결 → 텔레그램."""
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rules = load_monitor_rules()
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print(
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f"[06] {datetime.now():%Y-%m-%d %H:%M:%S} "
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f"{COIN_NAME} live={'ON' if LIVE_TRADING_ENABLED else 'OFF'} "
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f"rules={len(rules)} · sim=hybrid · bar={MATCH_PRIMARY_INTERVAL}m"
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)
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if not rules:
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print(" monitor_rules 없음")
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return
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fired = evaluate_live_rules(rules, force_refresh=True)
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if not fired:
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print(" 발화 없음")
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return
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if self._paper_mode:
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print(
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f" [paper] 현금 ₩{self._paper.cash_krw:,.0f} · "
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f"보유 {self._paper.qty:.4f} {SYMBOL} "
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f"(초기 ₩{GT_INITIAL_CASH_KRW:,.0f})"
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)
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new_paper_hits: list[dict[str, Any]] = []
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for hit in sort_hits_sim_order(fired):
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rid = hit["rule_id"]
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if self._paper_mode and self._paper.already_processed(rid, hit["dt"]):
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print(f" [{hit['side']}] {rid} @ {hit['dt']} (이미 처리)")
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continue
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if LIVE_TRADING_ENABLED and self._live_signal_seen(hit):
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continue
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if hit["side"] == "buy" and rid not in self._approved_rules:
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print(f" [{hit['side']}] {rid} @ {hit['dt']}")
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print(" skip: EV/WF 미통과 규칙")
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if self._paper_mode:
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self._append_paper_fire(hit, 0.0, False, "EV/WF 미통과 규칙")
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self._paper.mark_processed(rid, hit["dt"])
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continue
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plan_preview = self._sim_plan(hit)
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ok, reason = self._can_trade(rid, plan_preview.amount_krw)
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if not ok:
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print(f" [{hit['side']}] {rid} @ {hit['dt']}")
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print(f" skip: {reason}")
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if self._paper_mode:
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self._append_paper_fire(
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hit, plan_preview.amount_krw, False, reason
|
|
)
|
|
self._paper.mark_processed(rid, hit["dt"])
|
|
continue
|
|
|
|
if self._paper_mode:
|
|
new_paper_hits.append(hit)
|
|
continue
|
|
|
|
print(f" [{hit['side']}] {rid} @ {hit['dt']}")
|
|
log = self._execute_live_order(hit, plan_preview)
|
|
self._append_log(log)
|
|
print(f" order: {log['message']} ok={log['ok']}")
|
|
if not log["ok"]:
|
|
continue
|
|
balances = self._balances_for_trading()
|
|
msg = build_rule_alert_message(
|
|
hit,
|
|
balances,
|
|
trade_krw=float(log.get("amount_krw") or 0),
|
|
trade_qty=float(log.get("sell_qty") or 0) or None,
|
|
)
|
|
if balances:
|
|
sym = balances.get(SYMBOL, {})
|
|
msg += (
|
|
f"\n[잔고] 현금 {_fmt_paper_krw(sym.get('krw', 0))} · "
|
|
f"보유 {float(sym.get('balance', 0)):.4f} {SYMBOL}"
|
|
)
|
|
msg += f"\n[체결] {log['message']}"
|
|
self._send_coin_msg(msg)
|
|
|
|
if self._paper_mode and new_paper_hits:
|
|
self._process_paper_batch(new_paper_hits)
|
|
|
|
def run_loop(self, sleep_sec: int) -> None:
|
|
"""상시 루프."""
|
|
print(f"[06] 실거래 루프 시작 · sleep={sleep_sec}s")
|
|
while True:
|
|
self.run_once()
|
|
time.sleep(sleep_sec)
|
|
|
|
|
|
def _fmt_paper_krw(value: float) -> str:
|
|
"""원화 표시."""
|
|
return f"₩{float(value):,.0f}"
|