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>
This commit is contained in:
agentson
2026-02-06 00:48:23 +09:00
parent 27f581f17d
commit f0ae25c533
9 changed files with 861 additions and 24 deletions

View File

@@ -280,3 +280,153 @@ class KISBroker:
return data
except (TimeoutError, aiohttp.ClientError) as exc:
raise ConnectionError(f"Network error sending order: {exc}") from exc
async def fetch_market_rankings(
self,
ranking_type: str = "volume",
limit: int = 30,
) -> list[dict[str, Any]]:
"""Fetch market rankings from KIS API.
Args:
ranking_type: Type of ranking ("volume" or "fluctuation")
limit: Maximum number of results to return
Returns:
List of stock data dicts with keys: stock_code, name, price, volume,
change_rate, volume_increase_rate
Raises:
ConnectionError: If API request fails
"""
await self._rate_limiter.acquire()
session = self._get_session()
# TR_ID for volume ranking
tr_id = "FHPST01710000" if ranking_type == "volume" else "FHPST01710100"
headers = await self._auth_headers(tr_id)
params = {
"FID_COND_MRKT_DIV_CODE": "J", # Stock/ETF/ETN
"FID_COND_SCR_DIV_CODE": "20001", # Volume surge
"FID_INPUT_ISCD": "0000", # All stocks
"FID_DIV_CLS_CODE": "0", # All types
"FID_BLNG_CLS_CODE": "0",
"FID_TRGT_CLS_CODE": "111111111",
"FID_TRGT_EXLS_CLS_CODE": "000000",
"FID_INPUT_PRICE_1": "0",
"FID_INPUT_PRICE_2": "0",
"FID_VOL_CNT": "0",
"FID_INPUT_DATE_1": "",
}
url = f"{self._base_url}/uapi/domestic-stock/v1/quotations/volume-rank"
try:
async with session.get(url, headers=headers, params=params) as resp:
if resp.status != 200:
text = await resp.text()
raise ConnectionError(
f"fetch_market_rankings failed ({resp.status}): {text}"
)
data = await resp.json()
# Parse response - output is a list of ranked stocks
def _safe_float(value: str | float | None, default: float = 0.0) -> float:
if value is None or value == "":
return default
try:
return float(value)
except (ValueError, TypeError):
return default
rankings = []
for item in data.get("output", [])[:limit]:
rankings.append({
"stock_code": item.get("mksc_shrn_iscd", ""),
"name": item.get("hts_kor_isnm", ""),
"price": _safe_float(item.get("stck_prpr", "0")),
"volume": _safe_float(item.get("acml_vol", "0")),
"change_rate": _safe_float(item.get("prdy_ctrt", "0")),
"volume_increase_rate": _safe_float(item.get("vol_inrt", "0")),
})
return rankings
except (TimeoutError, aiohttp.ClientError) as exc:
raise ConnectionError(f"Network error fetching rankings: {exc}") from exc
async def get_daily_prices(
self,
stock_code: str,
days: int = 20,
) -> list[dict[str, Any]]:
"""Fetch daily OHLCV price history for a stock.
Args:
stock_code: 6-digit stock code
days: Number of trading days to fetch (default 20 for RSI calculation)
Returns:
List of daily price dicts with keys: date, open, high, low, close, volume
Sorted oldest to newest
Raises:
ConnectionError: If API request fails
"""
await self._rate_limiter.acquire()
session = self._get_session()
headers = await self._auth_headers("FHKST03010100")
# Calculate date range (today and N days ago)
from datetime import datetime, timedelta
end_date = datetime.now().strftime("%Y%m%d")
start_date = (datetime.now() - timedelta(days=days + 10)).strftime("%Y%m%d")
params = {
"FID_COND_MRKT_DIV_CODE": "J",
"FID_INPUT_ISCD": stock_code,
"FID_INPUT_DATE_1": start_date,
"FID_INPUT_DATE_2": end_date,
"FID_PERIOD_DIV_CODE": "D", # Daily
"FID_ORG_ADJ_PRC": "0", # Adjusted price
}
url = f"{self._base_url}/uapi/domestic-stock/v1/quotations/inquire-daily-itemchartprice"
try:
async with session.get(url, headers=headers, params=params) as resp:
if resp.status != 200:
text = await resp.text()
raise ConnectionError(
f"get_daily_prices failed ({resp.status}): {text}"
)
data = await resp.json()
# Parse response
def _safe_float(value: str | float | None, default: float = 0.0) -> float:
if value is None or value == "":
return default
try:
return float(value)
except (ValueError, TypeError):
return default
prices = []
for item in data.get("output2", []):
prices.append({
"date": item.get("stck_bsop_date", ""),
"open": _safe_float(item.get("stck_oprc", "0")),
"high": _safe_float(item.get("stck_hgpr", "0")),
"low": _safe_float(item.get("stck_lwpr", "0")),
"close": _safe_float(item.get("stck_clpr", "0")),
"volume": _safe_float(item.get("acml_vol", "0")),
})
# Sort oldest to newest (KIS returns newest first)
prices.reverse()
return prices[:days] # Return only requested number of days
except (TimeoutError, aiohttp.ClientError) as exc:
raise ConnectionError(f"Network error fetching daily prices: {exc}") from exc