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>
363 lines
12 KiB
Python
363 lines
12 KiB
Python
#!/usr/bin/env python3
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"""Phase A: live_trader dry-run·sim_causal_hybrid(06) 정합·한도 점검."""
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from __future__ import annotations
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import runpy
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from datetime import datetime
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from pathlib import Path
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runpy.run_path(str(Path(__file__).resolve().parent / "_bootstrap.py"))
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from config import ( # noqa: E402
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CHART_LOOKBACK_DAYS,
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GT_INITIAL_CASH_KRW,
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GT_SIGNAL_CAUSAL,
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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_LIVE_CACHE_SEC,
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MATCH_PRIMARY_INTERVAL,
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MONITOR_ALERT_KRW_AMOUNT,
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MONITOR_LOOP_SLEEP_SEC,
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SIM_PRIMARY_SIZING,
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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.hybrid_dd_calibrate import load_hybrid_dd_params
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from deepcoin.matching.live_eval import evaluate_live_rules
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from deepcoin.ground_truth.causal_gt_hybrid import _close_series_from_df, hybrid_tier_scale
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from deepcoin.ground_truth.gt_model import leg_entry_weights
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from deepcoin.matching.position_sizing import compute_buy_amount_krw
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from deepcoin.matching.load_rules import load_monitor_rules
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from deepcoin.matching.live_sizing import LivePositionState, live_sizing_enabled
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from deepcoin.ops.hybrid_sim_execution import replay_paper_portfolio
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from deepcoin.ops.live_trader import LiveTrader
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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.matching.position_sizing import load_ev_wf_approved_rule_ids
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def _plan_with_dd(
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cash: float,
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qty: float,
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price: float,
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dd_pct: float,
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*,
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enhanced: bool,
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completed_leg_ret: dict[int, float] | None = None,
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leg_id: int = 1,
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) -> float:
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"""drawdown %를 고정한 tier 매수 원화 (검증용)."""
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weights = leg_entry_weights([price])
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trade: dict = {"leg_id": leg_id, "drawdown_pct": dd_pct}
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dd_params = load_hybrid_dd_params()
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scale = hybrid_tier_scale(
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trade,
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completed_leg_ret=completed_leg_ret or {},
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enhanced=enhanced,
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dd_large_pct=dd_params.get("dd_large_pct"),
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dd_medium_pct=dd_params.get("dd_medium_pct"),
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)
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return compute_buy_amount_krw(
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cash,
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qty,
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price,
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weights[0],
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weights[0],
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asset_pct_scale=scale,
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fee_rate=TRADING_FEE_RATE,
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ignore_weight_split=bool(trade.get("conviction_buy")),
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)
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def _print_header(title: str) -> None:
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print(f"\n=== {title} ===")
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def check_config() -> list[str]:
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"""필수 설정 확인. 문제 목록 반환."""
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issues: list[str] = []
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_print_header("1. 설정")
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print(f" SYMBOL={SYMBOL}")
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print(f" GT_SIGNAL_CAUSAL={GT_SIGNAL_CAUSAL} (live_sizing={live_sizing_enabled()})")
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print(f" LIVE_TRADING_ENABLED={LIVE_TRADING_ENABLED}")
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print(f" SIM_PRIMARY_SIZING={SIM_PRIMARY_SIZING}")
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dd = load_hybrid_dd_params()
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print(f" hybrid DD: large={dd.get('dd_large_pct')}% medium={dd.get('dd_medium_pct')}%")
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print(
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f" LIVE 한도: daily_max={LIVE_DAILY_KRW_MAX:,} "
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f"max_trades={LIVE_MAX_TRADES_PER_DAY} "
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f"loss_limit={LIVE_DAILY_LOSS_LIMIT_KRW:,} "
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f"cooldown={LIVE_COOLDOWN_MIN}min"
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)
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print(
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f" 06 루프: sleep={MONITOR_LOOP_SLEEP_SEC}s · "
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f"live_eval_cache={MATCH_LIVE_CACHE_SEC}s · bar={MATCH_PRIMARY_INTERVAL}m"
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)
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print(" 체결 엔진: sim_causal_hybrid (hybrid_sim_execution)")
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print(f" GT_INITIAL_CASH_KRW=₩{GT_INITIAL_CASH_KRW:,}")
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rules = load_monitor_rules()
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print(f" monitor_rules={[r['rule_id'] for r in rules]}")
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if not GT_SIGNAL_CAUSAL:
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issues.append("GT_SIGNAL_CAUSAL=0 — hybrid live sizing 비활성")
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if LIVE_TRADING_ENABLED:
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issues.append("LIVE_TRADING_ENABLED=1 — dry-run 점검 시 0 권장")
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if len(rules) != 2:
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issues.append(f"monitor_rules {len(rules)}개 (기대 2)")
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expected = {"buy_compound_tight", "sell_mtf_cross_all_tf"}
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got = {r["rule_id"] for r in rules}
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if got != expected:
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issues.append(f"monitor_rules 불일치: {got}")
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return issues
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def check_capital_alignment() -> list[str]:
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"""
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초기 자금 40만 원 기준 원화 한도·알림 비율 점검 (100만 시대 ×0.4).
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Returns:
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불일치 시 이슈 문자열 목록.
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"""
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issues: list[str] = []
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_print_header("1b. 초기 자금·비율 (40만 원)")
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ic = int(GT_INITIAL_CASH_KRW)
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expected = {
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"GT_INITIAL_CASH_KRW": 400_000,
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"MONITOR_ALERT_KRW_AMOUNT": int(ic * 0.10),
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"LIVE_ORDER_KRW": int(ic * 0.10),
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"LIVE_DAILY_LOSS_LIMIT_KRW": int(ic * 0.05),
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"LIVE_DAILY_KRW_MAX": int(ic * 10),
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}
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actual = {
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"GT_INITIAL_CASH_KRW": ic,
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"MONITOR_ALERT_KRW_AMOUNT": int(MONITOR_ALERT_KRW_AMOUNT),
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"LIVE_ORDER_KRW": int(LIVE_ORDER_KRW),
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"LIVE_DAILY_LOSS_LIMIT_KRW": int(LIVE_DAILY_LOSS_LIMIT_KRW),
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"LIVE_DAILY_KRW_MAX": int(LIVE_DAILY_KRW_MAX),
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}
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for key, exp in expected.items():
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got = actual[key]
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ok = got == exp
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mark = "OK" if ok else "WARN"
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print(f" [{mark}] {key}={got:,} (기대 {exp:,})")
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if not ok:
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issues.append(f"{key}={got:,} ≠ 기대 {exp:,}")
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paper = PaperPortfolio.load()
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if int(paper.cash_krw) != ic and paper.qty < 1e-12:
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issues.append(
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f"paper 현금 ₩{paper.cash_krw:,.0f} ≠ 초기 ₩{ic:,} (보유 없을 때)"
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)
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elif int(getattr(paper, "initial_cash_krw", 0) or paper.cash_krw) != ic:
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print(f" [INFO] paper 운용 중 (cash=₩{paper.cash_krw:,.0f})")
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return issues
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def check_tier_sizing(df) -> list[str]:
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"""hybrid vs conviction tier 금액 비교 (enhanced=False가 primary)."""
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issues: list[str] = []
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_print_header("2. hybrid tier 사이징 (시나리오)")
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price = 487.0
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ic = int(GT_INITIAL_CASH_KRW)
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scenarios = [
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("신규·소형DD(1%)", ic, 0.0, 1.0, {}),
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("신규·대형DD(6%)", ic, 0.0, 6.0, {}),
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("복리·과거large leg", ic * 5, 2000.0, 3.0, {"completed_leg_ret": {1: 25.0}}),
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]
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for label, cash, qty, dd, extra in scenarios:
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hybrid_amt = _plan_with_dd(
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cash,
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qty,
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price,
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dd,
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enhanced=False,
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completed_leg_ret=extra.get("completed_leg_ret"),
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)
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conv_amt = _plan_with_dd(
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cash,
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qty,
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price,
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dd,
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enhanced=True,
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completed_leg_ret=extra.get("completed_leg_ret"),
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)
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print(
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f" [{label}] cash={cash:,} hybrid={hybrid_amt:,} "
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f"conviction={conv_amt:,} (conviction 배포 금지)"
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)
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if hybrid_amt <= 0:
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issues.append(f"hybrid 금액 0: {label}")
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return issues
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def check_paper_replay(df) -> list[str]:
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"""paper signal_history → 시뮬 replay 잔고 일치."""
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issues: list[str] = []
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_print_header("3. paper 시뮬 replay")
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paper = PaperPortfolio.load()
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hist = paper.signal_history
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print(f" signal_history={len(hist)} · saved cash=₩{paper.cash_krw:,.0f} qty={paper.qty:.4f}")
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if not hist:
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print(" (이력 없음 — 신규 dry-run)")
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return issues
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approved = load_ev_wf_approved_rule_ids()
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replayed, _ = replay_paper_portfolio(hist, df, approved_buy_rules=approved)
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cash_diff = abs(replayed.cash_krw - paper.cash_krw)
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qty_diff = abs(replayed.qty - paper.qty)
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print(
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f" replay cash=₩{replayed.cash_krw:,.0f} qty={replayed.qty:.4f} "
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f"(Δcash={cash_diff:,.0f} Δqty={qty_diff:.6f})"
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)
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if cash_diff > 1.0 or qty_diff > 1e-6:
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issues.append(
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"paper_portfolio.json 과 sim replay 불일치 — "
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"signal_history 갱신 후 06 --once 1회 권장"
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)
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return issues
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def check_live_limits() -> None:
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"""시뮬 대비 실거래 일한도 영향 안내."""
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_print_header("4. 실거래 한도 vs hybrid tier")
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st = LivePositionState()
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mon = Monitor(cooldown_file=None)
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frames = load_frames_from_db(mon, SYMBOL, lookback_days=CHART_LOOKBACK_DAYS)
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df = frames.get(MATCH_PRIMARY_INTERVAL)
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price = 487.0
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if df is not None and not df.empty:
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close_s = _close_series_from_df(df)
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if not close_s.empty:
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price = float(close_s.iloc[-1])
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planned = st.plan_buy_amount_krw(
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str(df.index[-1]) if df is not None and not df.empty else "2026-06-01 12:00:00",
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price,
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float(GT_INITIAL_CASH_KRW),
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0.0,
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df,
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enhanced=False,
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fee_rate=TRADING_FEE_RATE,
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)
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trader = LiveTrader()
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ok, reason = trader._can_trade("buy_compound_tight", planned)
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print(f" 현재가={price:,.0f} · hybrid planned={planned:,}")
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print(f" LIVE_DAILY_KRW_MAX={LIVE_DAILY_KRW_MAX:,} → _can_trade={ok} ({reason or 'OK'})")
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if planned > LIVE_DAILY_KRW_MAX:
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print(
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" WARN: hybrid 1회 매수액이 일한도 초과 가능 — "
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"파일럿은 의도적 제한, 시뮬(+1121%)과 괴리 발생"
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)
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def check_live_eval() -> None:
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"""현재 시점 규칙 발화."""
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_print_header("5. 현재 발화 (live_eval)")
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fired = evaluate_live_rules(force_refresh=True)
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if not fired:
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print(" 발화 없음 (정상 — 신호 대기)")
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return
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for hit in fired:
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print(f" {hit['side']} {hit['rule_id']} @ {hit['dt']} close={hit['close']}")
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def run_dryrun_once() -> None:
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"""06 1회 dry-run."""
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_print_header("6. 06_execute_live --once (dry-run)")
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LiveTrader().run_once()
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def write_verification_report(issues: list[str], out_path: Path) -> None:
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"""Phase A 결과를 docs/05_ops에 기록."""
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out_path.parent.mkdir(parents=True, exist_ok=True)
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status = "PASS" if not issues else "WARN"
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lines = [
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"# Live Phase A — dry-run 검증",
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"",
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f"- 일시: {datetime.now():%Y-%m-%d %H:%M:%S}",
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f"- 결과: **{status}**",
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"",
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"## Plan (목적)",
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"",
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"- 06 dry-run/live 체결이 `hybrid_sim_execution`(sim_causal_hybrid)과 정합인지 확인",
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"- conviction tier(`enhanced=True`) 미사용 확인",
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"- 실거래 한도가 hybrid tier와 어떻게 상호작용하는지 기록",
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"",
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"## Do (실행)",
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"",
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"```bash",
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"python scripts/06_verify_live_dryrun.py",
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"python scripts/06_execute_live.py --once",
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"```",
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"",
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"## Check (점검 결과)",
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"",
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f"- GT_SIGNAL_CAUSAL={GT_SIGNAL_CAUSAL}",
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f"- LIVE_TRADING_ENABLED={LIVE_TRADING_ENABLED}",
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f"- monitor_rules: buy_compound_tight, sell_mtf_cross_all_tf",
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f"- hybrid DD: {load_hybrid_dd_params()}",
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"",
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]
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if issues:
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lines.append("### 이슈")
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lines.append("")
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for i in issues:
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lines.append(f"- {i}")
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lines.append("")
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lines.extend(
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[
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"## Act (다음 단계)",
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"",
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"1. `05_run_monitor.py` 1~2일 병행 (알림만)",
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"2. `.env` 파일럿 한도 확정 후 `LIVE_TRADING_ENABLED=1`",
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"3. 1~2주 실계좌 PnL·슬리피지 기록 (본 문서 갱신)",
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"",
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"## Kill switch",
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"",
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"- `LIVE_TRADING_ENABLED=0` + 06 프로세스 중지",
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"- 빗썸 앱 수동 청산",
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"",
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]
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)
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out_path.write_text("\n".join(lines), encoding="utf-8")
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print(f"\n[저장] {out_path}")
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def main() -> int:
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"""Phase A 검증 실행."""
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print("[06_verify] Phase A dry-run 검증 시작")
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issues = check_config()
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issues.extend(check_capital_alignment())
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mon = Monitor(cooldown_file=None)
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frames = load_frames_from_db(mon, SYMBOL, lookback_days=CHART_LOOKBACK_DAYS)
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df = frames.get(MATCH_PRIMARY_INTERVAL)
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if df is None or df.empty:
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issues.append("3m OHLC 없음 — 01_download 필요")
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else:
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issues.extend(check_tier_sizing(df))
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issues.extend(check_paper_replay(df))
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check_live_limits()
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check_live_eval()
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run_dryrun_once()
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out = (
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Path(__file__).resolve().parents[1]
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/ "docs"
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/ "05_ops"
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/ f"live_verification_{datetime.now():%Y%m%d}.md"
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)
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write_verification_report(issues, out)
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_print_header("요약")
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if issues:
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for i in issues:
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print(f" WARN: {i}")
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print(" → 이슈 확인 후 Phase B(소액 파일럿) 진행")
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return 1
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print(" Phase A PASS — Phase B(소액 LIVE_TRADING_ENABLED=1) 준비 완료")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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