feat: implement Smart Volatility Scanner with RSI/volume filters (issue #76)
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Add Python-first scanning pipeline that reduces Gemini API calls by filtering stocks before AI analysis: KIS rankings API -> RSI/volume filter -> AI judgment. ## Implementation - Add RSI calculation (Wilder's smoothing method) to VolatilityAnalyzer - Add KIS API methods: fetch_market_rankings() and get_daily_prices() - Create SmartVolatilityScanner with configurable thresholds - Integrate scanner into main.py realtime mode - Add selection_context logging to trades table for Evolution system ## Configuration - RSI_OVERSOLD_THRESHOLD: 30 (configurable 0-50) - RSI_MOMENTUM_THRESHOLD: 70 (configurable 50-100) - VOL_MULTIPLIER: 2.0 (minimum volume ratio, configurable 1-10) - SCANNER_TOP_N: 3 (max candidates per scan, configurable 1-10) ## Benefits - Reduces Gemini API calls (process 1-3 qualified stocks vs 20-30 ranked) - Python-based technical filtering before expensive AI judgment - Tracks selection criteria (RSI, volume_ratio, signal, score) for strategy optimization - Graceful fallback to static watchlist if ranking API fails ## Tests - 13 new tests for SmartVolatilityScanner and RSI calculation - All existing tests updated and passing - Coverage maintained at 73% Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
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@@ -280,3 +280,153 @@ class KISBroker:
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return data
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except (TimeoutError, aiohttp.ClientError) as exc:
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raise ConnectionError(f"Network error sending order: {exc}") from exc
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async def fetch_market_rankings(
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self,
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ranking_type: str = "volume",
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limit: int = 30,
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) -> list[dict[str, Any]]:
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"""Fetch market rankings from KIS API.
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Args:
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ranking_type: Type of ranking ("volume" or "fluctuation")
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limit: Maximum number of results to return
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Returns:
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List of stock data dicts with keys: stock_code, name, price, volume,
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change_rate, volume_increase_rate
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Raises:
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ConnectionError: If API request fails
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"""
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await self._rate_limiter.acquire()
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session = self._get_session()
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# TR_ID for volume ranking
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tr_id = "FHPST01710000" if ranking_type == "volume" else "FHPST01710100"
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headers = await self._auth_headers(tr_id)
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params = {
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"FID_COND_MRKT_DIV_CODE": "J", # Stock/ETF/ETN
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"FID_COND_SCR_DIV_CODE": "20001", # Volume surge
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"FID_INPUT_ISCD": "0000", # All stocks
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"FID_DIV_CLS_CODE": "0", # All types
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"FID_BLNG_CLS_CODE": "0",
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"FID_TRGT_CLS_CODE": "111111111",
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"FID_TRGT_EXLS_CLS_CODE": "000000",
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"FID_INPUT_PRICE_1": "0",
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"FID_INPUT_PRICE_2": "0",
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"FID_VOL_CNT": "0",
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"FID_INPUT_DATE_1": "",
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}
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url = f"{self._base_url}/uapi/domestic-stock/v1/quotations/volume-rank"
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try:
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async with session.get(url, headers=headers, params=params) as resp:
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if resp.status != 200:
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text = await resp.text()
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raise ConnectionError(
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f"fetch_market_rankings failed ({resp.status}): {text}"
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)
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data = await resp.json()
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# Parse response - output is a list of ranked stocks
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def _safe_float(value: str | float | None, default: float = 0.0) -> float:
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if value is None or value == "":
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return default
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try:
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return float(value)
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except (ValueError, TypeError):
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return default
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rankings = []
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for item in data.get("output", [])[:limit]:
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rankings.append({
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"stock_code": item.get("mksc_shrn_iscd", ""),
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"name": item.get("hts_kor_isnm", ""),
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"price": _safe_float(item.get("stck_prpr", "0")),
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"volume": _safe_float(item.get("acml_vol", "0")),
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"change_rate": _safe_float(item.get("prdy_ctrt", "0")),
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"volume_increase_rate": _safe_float(item.get("vol_inrt", "0")),
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})
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return rankings
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except (TimeoutError, aiohttp.ClientError) as exc:
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raise ConnectionError(f"Network error fetching rankings: {exc}") from exc
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async def get_daily_prices(
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self,
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stock_code: str,
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days: int = 20,
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) -> list[dict[str, Any]]:
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"""Fetch daily OHLCV price history for a stock.
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Args:
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stock_code: 6-digit stock code
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days: Number of trading days to fetch (default 20 for RSI calculation)
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Returns:
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List of daily price dicts with keys: date, open, high, low, close, volume
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Sorted oldest to newest
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Raises:
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ConnectionError: If API request fails
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"""
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await self._rate_limiter.acquire()
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session = self._get_session()
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headers = await self._auth_headers("FHKST03010100")
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# Calculate date range (today and N days ago)
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from datetime import datetime, timedelta
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end_date = datetime.now().strftime("%Y%m%d")
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start_date = (datetime.now() - timedelta(days=days + 10)).strftime("%Y%m%d")
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params = {
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"FID_COND_MRKT_DIV_CODE": "J",
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"FID_INPUT_ISCD": stock_code,
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"FID_INPUT_DATE_1": start_date,
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"FID_INPUT_DATE_2": end_date,
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"FID_PERIOD_DIV_CODE": "D", # Daily
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"FID_ORG_ADJ_PRC": "0", # Adjusted price
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}
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url = f"{self._base_url}/uapi/domestic-stock/v1/quotations/inquire-daily-itemchartprice"
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try:
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async with session.get(url, headers=headers, params=params) as resp:
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if resp.status != 200:
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text = await resp.text()
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raise ConnectionError(
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f"get_daily_prices failed ({resp.status}): {text}"
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)
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data = await resp.json()
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# Parse response
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def _safe_float(value: str | float | None, default: float = 0.0) -> float:
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if value is None or value == "":
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return default
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try:
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return float(value)
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except (ValueError, TypeError):
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return default
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prices = []
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for item in data.get("output2", []):
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prices.append({
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"date": item.get("stck_bsop_date", ""),
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"open": _safe_float(item.get("stck_oprc", "0")),
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"high": _safe_float(item.get("stck_hgpr", "0")),
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"low": _safe_float(item.get("stck_lwpr", "0")),
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"close": _safe_float(item.get("stck_clpr", "0")),
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"volume": _safe_float(item.get("acml_vol", "0")),
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})
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# Sort oldest to newest (KIS returns newest first)
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prices.reverse()
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return prices[:days] # Return only requested number of days
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except (TimeoutError, aiohttp.ClientError) as exc:
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raise ConnectionError(f"Network error fetching daily prices: {exc}") from exc
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