Compare commits
4 Commits
feature/is
...
feature/is
| Author | SHA1 | Date | |
|---|---|---|---|
|
|
8c27473fed | ||
| bde54c7487 | |||
|
|
a14f944fcc | ||
| 56f7405baa |
35
src/db.py
35
src/db.py
@@ -6,6 +6,7 @@ import json
|
||||
import sqlite3
|
||||
from datetime import UTC, datetime
|
||||
from pathlib import Path
|
||||
from typing import Any
|
||||
|
||||
|
||||
def init_db(db_path: str) -> sqlite3.Connection:
|
||||
@@ -26,7 +27,8 @@ def init_db(db_path: str) -> sqlite3.Connection:
|
||||
price REAL,
|
||||
pnl REAL DEFAULT 0.0,
|
||||
market TEXT DEFAULT 'KR',
|
||||
exchange_code TEXT DEFAULT 'KRX'
|
||||
exchange_code TEXT DEFAULT 'KRX',
|
||||
decision_id TEXT
|
||||
)
|
||||
"""
|
||||
)
|
||||
@@ -41,6 +43,8 @@ def init_db(db_path: str) -> sqlite3.Connection:
|
||||
conn.execute("ALTER TABLE trades ADD COLUMN exchange_code TEXT DEFAULT 'KRX'")
|
||||
if "selection_context" not in columns:
|
||||
conn.execute("ALTER TABLE trades ADD COLUMN selection_context TEXT")
|
||||
if "decision_id" not in columns:
|
||||
conn.execute("ALTER TABLE trades ADD COLUMN decision_id TEXT")
|
||||
|
||||
# Context tree tables for multi-layered memory management
|
||||
conn.execute(
|
||||
@@ -143,6 +147,7 @@ def log_trade(
|
||||
market: str = "KR",
|
||||
exchange_code: str = "KRX",
|
||||
selection_context: dict[str, any] | None = None,
|
||||
decision_id: str | None = None,
|
||||
) -> None:
|
||||
"""Insert a trade record into the database.
|
||||
|
||||
@@ -166,9 +171,9 @@ def log_trade(
|
||||
"""
|
||||
INSERT INTO trades (
|
||||
timestamp, stock_code, action, confidence, rationale,
|
||||
quantity, price, pnl, market, exchange_code, selection_context
|
||||
quantity, price, pnl, market, exchange_code, selection_context, decision_id
|
||||
)
|
||||
VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
|
||||
VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
|
||||
""",
|
||||
(
|
||||
datetime.now(UTC).isoformat(),
|
||||
@@ -182,6 +187,30 @@ def log_trade(
|
||||
market,
|
||||
exchange_code,
|
||||
context_json,
|
||||
decision_id,
|
||||
),
|
||||
)
|
||||
conn.commit()
|
||||
|
||||
|
||||
def get_latest_buy_trade(
|
||||
conn: sqlite3.Connection, stock_code: str, market: str
|
||||
) -> dict[str, Any] | None:
|
||||
"""Fetch the most recent BUY trade for a stock and market."""
|
||||
cursor = conn.execute(
|
||||
"""
|
||||
SELECT decision_id, price, quantity
|
||||
FROM trades
|
||||
WHERE stock_code = ?
|
||||
AND market = ?
|
||||
AND action = 'BUY'
|
||||
AND decision_id IS NOT NULL
|
||||
ORDER BY timestamp DESC
|
||||
LIMIT 1
|
||||
""",
|
||||
(stock_code, market),
|
||||
)
|
||||
row = cursor.fetchone()
|
||||
if not row:
|
||||
return None
|
||||
return {"decision_id": row[0], "price": row[1], "quantity": row[2]}
|
||||
|
||||
@@ -1,6 +1,7 @@
|
||||
"""Evolution engine for self-improving trading strategies."""
|
||||
|
||||
from src.evolution.ab_test import ABTester, ABTestResult, StrategyPerformance
|
||||
from src.evolution.daily_review import DailyReviewer
|
||||
from src.evolution.optimizer import EvolutionOptimizer
|
||||
from src.evolution.performance_tracker import (
|
||||
PerformanceDashboard,
|
||||
@@ -18,4 +19,5 @@ __all__ = [
|
||||
"PerformanceDashboard",
|
||||
"StrategyMetrics",
|
||||
"DailyScorecard",
|
||||
"DailyReviewer",
|
||||
]
|
||||
|
||||
196
src/evolution/daily_review.py
Normal file
196
src/evolution/daily_review.py
Normal file
@@ -0,0 +1,196 @@
|
||||
"""Daily review generator for market-scoped end-of-day scorecards."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import logging
|
||||
import re
|
||||
import sqlite3
|
||||
from dataclasses import asdict
|
||||
|
||||
from src.brain.gemini_client import GeminiClient
|
||||
from src.context.layer import ContextLayer
|
||||
from src.context.store import ContextStore
|
||||
from src.evolution.scorecard import DailyScorecard
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class DailyReviewer:
|
||||
"""Builds daily scorecards and optional AI-generated lessons."""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
conn: sqlite3.Connection,
|
||||
context_store: ContextStore,
|
||||
gemini_client: GeminiClient | None = None,
|
||||
) -> None:
|
||||
self._conn = conn
|
||||
self._context_store = context_store
|
||||
self._gemini = gemini_client
|
||||
|
||||
def generate_scorecard(self, date: str, market: str) -> DailyScorecard:
|
||||
"""Generate a market-scoped scorecard from decision logs and trades."""
|
||||
decision_rows = self._conn.execute(
|
||||
"""
|
||||
SELECT action, confidence, context_snapshot
|
||||
FROM decision_logs
|
||||
WHERE DATE(timestamp) = ? AND market = ?
|
||||
""",
|
||||
(date, market),
|
||||
).fetchall()
|
||||
|
||||
total_decisions = len(decision_rows)
|
||||
buys = sum(1 for row in decision_rows if row[0] == "BUY")
|
||||
sells = sum(1 for row in decision_rows if row[0] == "SELL")
|
||||
holds = sum(1 for row in decision_rows if row[0] == "HOLD")
|
||||
avg_confidence = (
|
||||
round(sum(int(row[1]) for row in decision_rows) / total_decisions, 2)
|
||||
if total_decisions > 0
|
||||
else 0.0
|
||||
)
|
||||
|
||||
matched = 0
|
||||
for row in decision_rows:
|
||||
try:
|
||||
snapshot = json.loads(row[2]) if row[2] else {}
|
||||
except json.JSONDecodeError:
|
||||
snapshot = {}
|
||||
scenario_match = snapshot.get("scenario_match", {})
|
||||
if isinstance(scenario_match, dict) and scenario_match:
|
||||
matched += 1
|
||||
scenario_match_rate = (
|
||||
round((matched / total_decisions) * 100, 2)
|
||||
if total_decisions
|
||||
else 0.0
|
||||
)
|
||||
|
||||
trade_stats = self._conn.execute(
|
||||
"""
|
||||
SELECT
|
||||
COALESCE(SUM(pnl), 0.0),
|
||||
SUM(CASE WHEN pnl > 0 THEN 1 ELSE 0 END),
|
||||
SUM(CASE WHEN pnl < 0 THEN 1 ELSE 0 END)
|
||||
FROM trades
|
||||
WHERE DATE(timestamp) = ? AND market = ?
|
||||
""",
|
||||
(date, market),
|
||||
).fetchone()
|
||||
total_pnl = round(float(trade_stats[0] or 0.0), 2) if trade_stats else 0.0
|
||||
wins = int(trade_stats[1] or 0) if trade_stats else 0
|
||||
losses = int(trade_stats[2] or 0) if trade_stats else 0
|
||||
win_rate = round((wins / (wins + losses)) * 100, 2) if (wins + losses) > 0 else 0.0
|
||||
|
||||
top_winners = [
|
||||
row[0]
|
||||
for row in self._conn.execute(
|
||||
"""
|
||||
SELECT stock_code, SUM(pnl) AS stock_pnl
|
||||
FROM trades
|
||||
WHERE DATE(timestamp) = ? AND market = ?
|
||||
GROUP BY stock_code
|
||||
HAVING stock_pnl > 0
|
||||
ORDER BY stock_pnl DESC
|
||||
LIMIT 3
|
||||
""",
|
||||
(date, market),
|
||||
).fetchall()
|
||||
]
|
||||
|
||||
top_losers = [
|
||||
row[0]
|
||||
for row in self._conn.execute(
|
||||
"""
|
||||
SELECT stock_code, SUM(pnl) AS stock_pnl
|
||||
FROM trades
|
||||
WHERE DATE(timestamp) = ? AND market = ?
|
||||
GROUP BY stock_code
|
||||
HAVING stock_pnl < 0
|
||||
ORDER BY stock_pnl ASC
|
||||
LIMIT 3
|
||||
""",
|
||||
(date, market),
|
||||
).fetchall()
|
||||
]
|
||||
|
||||
return DailyScorecard(
|
||||
date=date,
|
||||
market=market,
|
||||
total_decisions=total_decisions,
|
||||
buys=buys,
|
||||
sells=sells,
|
||||
holds=holds,
|
||||
total_pnl=total_pnl,
|
||||
win_rate=win_rate,
|
||||
avg_confidence=avg_confidence,
|
||||
scenario_match_rate=scenario_match_rate,
|
||||
top_winners=top_winners,
|
||||
top_losers=top_losers,
|
||||
lessons=[],
|
||||
cross_market_note="",
|
||||
)
|
||||
|
||||
async def generate_lessons(self, scorecard: DailyScorecard) -> list[str]:
|
||||
"""Generate concise lessons from scorecard metrics using Gemini."""
|
||||
if self._gemini is None:
|
||||
return []
|
||||
|
||||
prompt = (
|
||||
"You are a trading performance reviewer.\n"
|
||||
"Return ONLY a JSON array of 1-3 short lessons in English.\n"
|
||||
f"Market: {scorecard.market}\n"
|
||||
f"Date: {scorecard.date}\n"
|
||||
f"Total decisions: {scorecard.total_decisions}\n"
|
||||
f"Buys/Sells/Holds: {scorecard.buys}/{scorecard.sells}/{scorecard.holds}\n"
|
||||
f"Total PnL: {scorecard.total_pnl}\n"
|
||||
f"Win rate: {scorecard.win_rate}%\n"
|
||||
f"Average confidence: {scorecard.avg_confidence}\n"
|
||||
f"Scenario match rate: {scorecard.scenario_match_rate}%\n"
|
||||
f"Top winners: {', '.join(scorecard.top_winners) or 'N/A'}\n"
|
||||
f"Top losers: {', '.join(scorecard.top_losers) or 'N/A'}\n"
|
||||
)
|
||||
|
||||
try:
|
||||
decision = await self._gemini.decide(
|
||||
{
|
||||
"stock_code": "REVIEW",
|
||||
"market_name": scorecard.market,
|
||||
"current_price": 0,
|
||||
"prompt_override": prompt,
|
||||
}
|
||||
)
|
||||
return self._parse_lessons(decision.rationale)
|
||||
except Exception as exc:
|
||||
logger.warning("Failed to generate daily lessons: %s", exc)
|
||||
return []
|
||||
|
||||
def store_scorecard_in_context(self, scorecard: DailyScorecard) -> None:
|
||||
"""Store scorecard in L6 using market-scoped key."""
|
||||
self._context_store.set_context(
|
||||
ContextLayer.L6_DAILY,
|
||||
scorecard.date,
|
||||
f"scorecard_{scorecard.market}",
|
||||
asdict(scorecard),
|
||||
)
|
||||
|
||||
def _parse_lessons(self, raw_text: str) -> list[str]:
|
||||
"""Parse lessons from JSON array response or fallback text."""
|
||||
raw_text = raw_text.strip()
|
||||
try:
|
||||
parsed = json.loads(raw_text)
|
||||
if isinstance(parsed, list):
|
||||
return [str(item).strip() for item in parsed if str(item).strip()][:3]
|
||||
except json.JSONDecodeError:
|
||||
pass
|
||||
|
||||
match = re.search(r"\[.*\]", raw_text, re.DOTALL)
|
||||
if match:
|
||||
try:
|
||||
parsed = json.loads(match.group(0))
|
||||
if isinstance(parsed, list):
|
||||
return [str(item).strip() for item in parsed if str(item).strip()][:3]
|
||||
except json.JSONDecodeError:
|
||||
pass
|
||||
|
||||
lines = [line.strip("-* \t") for line in raw_text.splitlines() if line.strip()]
|
||||
return lines[:3]
|
||||
44
src/main.py
44
src/main.py
@@ -26,7 +26,7 @@ from src.context.store import ContextStore
|
||||
from src.core.criticality import CriticalityAssessor
|
||||
from src.core.priority_queue import PriorityTaskQueue
|
||||
from src.core.risk_manager import CircuitBreakerTripped, FatFingerRejected, RiskManager
|
||||
from src.db import init_db, log_trade
|
||||
from src.db import get_latest_buy_trade, init_db, log_trade
|
||||
from src.logging.decision_logger import DecisionLogger
|
||||
from src.logging_config import setup_logging
|
||||
from src.markets.schedule import MarketInfo, get_next_market_open, get_open_markets
|
||||
@@ -279,7 +279,7 @@ async def trading_cycle(
|
||||
"pnl_pct": pnl_pct,
|
||||
}
|
||||
|
||||
decision_logger.log_decision(
|
||||
decision_id = decision_logger.log_decision(
|
||||
stock_code=stock_code,
|
||||
market=market.code,
|
||||
exchange_code=market.exchange_code,
|
||||
@@ -291,6 +291,9 @@ async def trading_cycle(
|
||||
)
|
||||
|
||||
# 3. Execute if actionable
|
||||
quantity = 0
|
||||
trade_price = current_price
|
||||
trade_pnl = 0.0
|
||||
if decision.action in ("BUY", "SELL"):
|
||||
# Determine order size (simplified: 1 lot)
|
||||
quantity = 1
|
||||
@@ -346,6 +349,18 @@ async def trading_cycle(
|
||||
except Exception as exc:
|
||||
logger.warning("Telegram notification failed: %s", exc)
|
||||
|
||||
if decision.action == "SELL":
|
||||
buy_trade = get_latest_buy_trade(db_conn, stock_code, market.code)
|
||||
if buy_trade and buy_trade.get("price") is not None:
|
||||
buy_price = float(buy_trade["price"])
|
||||
buy_qty = int(buy_trade.get("quantity") or 1)
|
||||
trade_pnl = (trade_price - buy_price) * buy_qty
|
||||
decision_logger.update_outcome(
|
||||
decision_id=buy_trade["decision_id"],
|
||||
pnl=trade_pnl,
|
||||
accuracy=1 if trade_pnl > 0 else 0,
|
||||
)
|
||||
|
||||
# 6. Log trade with selection context
|
||||
selection_context = None
|
||||
if stock_code in market_candidates:
|
||||
@@ -363,9 +378,13 @@ async def trading_cycle(
|
||||
action=decision.action,
|
||||
confidence=decision.confidence,
|
||||
rationale=decision.rationale,
|
||||
quantity=quantity,
|
||||
price=trade_price,
|
||||
pnl=trade_pnl,
|
||||
market=market.code,
|
||||
exchange_code=market.exchange_code,
|
||||
selection_context=selection_context,
|
||||
decision_id=decision_id,
|
||||
)
|
||||
|
||||
# 7. Latency monitoring
|
||||
@@ -600,7 +619,7 @@ async def run_daily_session(
|
||||
"pnl_pct": pnl_pct,
|
||||
}
|
||||
|
||||
decision_logger.log_decision(
|
||||
decision_id = decision_logger.log_decision(
|
||||
stock_code=stock_code,
|
||||
market=market.code,
|
||||
exchange_code=market.exchange_code,
|
||||
@@ -612,6 +631,9 @@ async def run_daily_session(
|
||||
)
|
||||
|
||||
# Execute if actionable
|
||||
quantity = 0
|
||||
trade_price = stock_data["current_price"]
|
||||
trade_pnl = 0.0
|
||||
if decision.action in ("BUY", "SELL"):
|
||||
quantity = 1
|
||||
order_amount = stock_data["current_price"] * quantity
|
||||
@@ -684,6 +706,18 @@ async def run_daily_session(
|
||||
)
|
||||
continue
|
||||
|
||||
if decision.action == "SELL":
|
||||
buy_trade = get_latest_buy_trade(db_conn, stock_code, market.code)
|
||||
if buy_trade and buy_trade.get("price") is not None:
|
||||
buy_price = float(buy_trade["price"])
|
||||
buy_qty = int(buy_trade.get("quantity") or 1)
|
||||
trade_pnl = (trade_price - buy_price) * buy_qty
|
||||
decision_logger.update_outcome(
|
||||
decision_id=buy_trade["decision_id"],
|
||||
pnl=trade_pnl,
|
||||
accuracy=1 if trade_pnl > 0 else 0,
|
||||
)
|
||||
|
||||
# Log trade
|
||||
log_trade(
|
||||
conn=db_conn,
|
||||
@@ -691,8 +725,12 @@ async def run_daily_session(
|
||||
action=decision.action,
|
||||
confidence=decision.confidence,
|
||||
rationale=decision.rationale,
|
||||
quantity=quantity,
|
||||
price=trade_price,
|
||||
pnl=trade_pnl,
|
||||
market=market.code,
|
||||
exchange_code=market.exchange_code,
|
||||
decision_id=decision_id,
|
||||
)
|
||||
|
||||
logger.info("Daily trading session completed")
|
||||
|
||||
383
tests/test_daily_review.py
Normal file
383
tests/test_daily_review.py
Normal file
@@ -0,0 +1,383 @@
|
||||
"""Tests for DailyReviewer."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import sqlite3
|
||||
from types import SimpleNamespace
|
||||
from unittest.mock import AsyncMock, MagicMock
|
||||
|
||||
import pytest
|
||||
|
||||
from src.context.layer import ContextLayer
|
||||
from src.context.store import ContextStore
|
||||
from src.db import init_db, log_trade
|
||||
from src.evolution.daily_review import DailyReviewer
|
||||
from src.evolution.scorecard import DailyScorecard
|
||||
from src.logging.decision_logger import DecisionLogger
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def db_conn() -> sqlite3.Connection:
|
||||
return init_db(":memory:")
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
def context_store(db_conn: sqlite3.Connection) -> ContextStore:
|
||||
return ContextStore(db_conn)
|
||||
|
||||
|
||||
def _log_decision(
|
||||
logger: DecisionLogger,
|
||||
*,
|
||||
stock_code: str,
|
||||
market: str,
|
||||
action: str,
|
||||
confidence: int,
|
||||
scenario_match: dict[str, float] | None = None,
|
||||
) -> str:
|
||||
return logger.log_decision(
|
||||
stock_code=stock_code,
|
||||
market=market,
|
||||
exchange_code="KRX" if market == "KR" else "NASDAQ",
|
||||
action=action,
|
||||
confidence=confidence,
|
||||
rationale="test",
|
||||
context_snapshot={"scenario_match": scenario_match or {}},
|
||||
input_data={"stock_code": stock_code},
|
||||
)
|
||||
|
||||
|
||||
def test_generate_scorecard_market_scoped(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
logger = DecisionLogger(db_conn)
|
||||
|
||||
buy_id = _log_decision(
|
||||
logger,
|
||||
stock_code="005930",
|
||||
market="KR",
|
||||
action="BUY",
|
||||
confidence=90,
|
||||
scenario_match={"rsi": 29.0},
|
||||
)
|
||||
_log_decision(
|
||||
logger,
|
||||
stock_code="000660",
|
||||
market="KR",
|
||||
action="HOLD",
|
||||
confidence=60,
|
||||
)
|
||||
_log_decision(
|
||||
logger,
|
||||
stock_code="AAPL",
|
||||
market="US",
|
||||
action="SELL",
|
||||
confidence=80,
|
||||
scenario_match={"volume_ratio": 2.1},
|
||||
)
|
||||
|
||||
log_trade(
|
||||
db_conn,
|
||||
"005930",
|
||||
"BUY",
|
||||
90,
|
||||
"buy",
|
||||
quantity=1,
|
||||
price=100.0,
|
||||
pnl=10.0,
|
||||
market="KR",
|
||||
exchange_code="KRX",
|
||||
decision_id=buy_id,
|
||||
)
|
||||
log_trade(
|
||||
db_conn,
|
||||
"000660",
|
||||
"HOLD",
|
||||
60,
|
||||
"hold",
|
||||
quantity=0,
|
||||
price=0.0,
|
||||
pnl=0.0,
|
||||
market="KR",
|
||||
exchange_code="KRX",
|
||||
)
|
||||
log_trade(
|
||||
db_conn,
|
||||
"AAPL",
|
||||
"SELL",
|
||||
80,
|
||||
"sell",
|
||||
quantity=1,
|
||||
price=200.0,
|
||||
pnl=-5.0,
|
||||
market="US",
|
||||
exchange_code="NASDAQ",
|
||||
)
|
||||
|
||||
scorecard = reviewer.generate_scorecard("2026-02-14", "KR")
|
||||
|
||||
assert scorecard.market == "KR"
|
||||
assert scorecard.total_decisions == 2
|
||||
assert scorecard.buys == 1
|
||||
assert scorecard.sells == 0
|
||||
assert scorecard.holds == 1
|
||||
assert scorecard.total_pnl == 10.0
|
||||
assert scorecard.win_rate == 100.0
|
||||
assert scorecard.avg_confidence == 75.0
|
||||
assert scorecard.scenario_match_rate == 50.0
|
||||
|
||||
|
||||
def test_generate_scorecard_top_winners_and_losers(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
logger = DecisionLogger(db_conn)
|
||||
|
||||
for code, pnl in [("005930", 30.0), ("000660", 10.0), ("035420", -15.0), ("051910", -5.0)]:
|
||||
decision_id = _log_decision(
|
||||
logger,
|
||||
stock_code=code,
|
||||
market="KR",
|
||||
action="BUY" if pnl >= 0 else "SELL",
|
||||
confidence=80,
|
||||
scenario_match={"rsi": 30.0},
|
||||
)
|
||||
log_trade(
|
||||
db_conn,
|
||||
code,
|
||||
"BUY" if pnl >= 0 else "SELL",
|
||||
80,
|
||||
"test",
|
||||
quantity=1,
|
||||
price=100.0,
|
||||
pnl=pnl,
|
||||
market="KR",
|
||||
exchange_code="KRX",
|
||||
decision_id=decision_id,
|
||||
)
|
||||
|
||||
scorecard = reviewer.generate_scorecard("2026-02-14", "KR")
|
||||
assert scorecard.top_winners == ["005930", "000660"]
|
||||
assert scorecard.top_losers == ["035420", "051910"]
|
||||
|
||||
|
||||
def test_generate_scorecard_empty_day(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
scorecard = reviewer.generate_scorecard("2026-02-14", "KR")
|
||||
|
||||
assert scorecard.total_decisions == 0
|
||||
assert scorecard.total_pnl == 0.0
|
||||
assert scorecard.win_rate == 0.0
|
||||
assert scorecard.avg_confidence == 0.0
|
||||
assert scorecard.scenario_match_rate == 0.0
|
||||
assert scorecard.top_winners == []
|
||||
assert scorecard.top_losers == []
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_generate_lessons_without_gemini_returns_empty(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store, gemini_client=None)
|
||||
lessons = await reviewer.generate_lessons(
|
||||
DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="KR",
|
||||
total_decisions=1,
|
||||
buys=1,
|
||||
sells=0,
|
||||
holds=0,
|
||||
total_pnl=5.0,
|
||||
win_rate=100.0,
|
||||
avg_confidence=90.0,
|
||||
scenario_match_rate=100.0,
|
||||
)
|
||||
)
|
||||
assert lessons == []
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_generate_lessons_parses_json_array(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
mock_gemini = MagicMock()
|
||||
mock_gemini.decide = AsyncMock(
|
||||
return_value=SimpleNamespace(rationale='["Cut losers earlier", "Reduce midday churn"]')
|
||||
)
|
||||
reviewer = DailyReviewer(db_conn, context_store, gemini_client=mock_gemini)
|
||||
|
||||
lessons = await reviewer.generate_lessons(
|
||||
DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="KR",
|
||||
total_decisions=3,
|
||||
buys=1,
|
||||
sells=1,
|
||||
holds=1,
|
||||
total_pnl=-2.5,
|
||||
win_rate=50.0,
|
||||
avg_confidence=70.0,
|
||||
scenario_match_rate=66.7,
|
||||
)
|
||||
)
|
||||
assert lessons == ["Cut losers earlier", "Reduce midday churn"]
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_generate_lessons_fallback_to_lines(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
mock_gemini = MagicMock()
|
||||
mock_gemini.decide = AsyncMock(
|
||||
return_value=SimpleNamespace(rationale="- Keep risk tighter\n- Increase selectivity")
|
||||
)
|
||||
reviewer = DailyReviewer(db_conn, context_store, gemini_client=mock_gemini)
|
||||
|
||||
lessons = await reviewer.generate_lessons(
|
||||
DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="US",
|
||||
total_decisions=2,
|
||||
buys=1,
|
||||
sells=1,
|
||||
holds=0,
|
||||
total_pnl=1.0,
|
||||
win_rate=50.0,
|
||||
avg_confidence=75.0,
|
||||
scenario_match_rate=100.0,
|
||||
)
|
||||
)
|
||||
assert lessons == ["Keep risk tighter", "Increase selectivity"]
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_generate_lessons_handles_gemini_error(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
mock_gemini = MagicMock()
|
||||
mock_gemini.decide = AsyncMock(side_effect=RuntimeError("boom"))
|
||||
reviewer = DailyReviewer(db_conn, context_store, gemini_client=mock_gemini)
|
||||
|
||||
lessons = await reviewer.generate_lessons(
|
||||
DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="US",
|
||||
total_decisions=0,
|
||||
buys=0,
|
||||
sells=0,
|
||||
holds=0,
|
||||
total_pnl=0.0,
|
||||
win_rate=0.0,
|
||||
avg_confidence=0.0,
|
||||
scenario_match_rate=0.0,
|
||||
)
|
||||
)
|
||||
assert lessons == []
|
||||
|
||||
|
||||
def test_store_scorecard_in_context(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
scorecard = DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="KR",
|
||||
total_decisions=5,
|
||||
buys=2,
|
||||
sells=1,
|
||||
holds=2,
|
||||
total_pnl=15.0,
|
||||
win_rate=66.67,
|
||||
avg_confidence=82.0,
|
||||
scenario_match_rate=80.0,
|
||||
lessons=["Keep position sizing stable"],
|
||||
cross_market_note="US risk-off",
|
||||
)
|
||||
|
||||
reviewer.store_scorecard_in_context(scorecard)
|
||||
|
||||
stored = context_store.get_context(
|
||||
ContextLayer.L6_DAILY,
|
||||
"2026-02-14",
|
||||
"scorecard_KR",
|
||||
)
|
||||
assert stored is not None
|
||||
assert stored["market"] == "KR"
|
||||
assert stored["total_pnl"] == 15.0
|
||||
assert stored["lessons"] == ["Keep position sizing stable"]
|
||||
|
||||
|
||||
def test_store_scorecard_key_is_market_scoped(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
kr = DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="KR",
|
||||
total_decisions=1,
|
||||
buys=1,
|
||||
sells=0,
|
||||
holds=0,
|
||||
total_pnl=1.0,
|
||||
win_rate=100.0,
|
||||
avg_confidence=90.0,
|
||||
scenario_match_rate=100.0,
|
||||
)
|
||||
us = DailyScorecard(
|
||||
date="2026-02-14",
|
||||
market="US",
|
||||
total_decisions=1,
|
||||
buys=0,
|
||||
sells=1,
|
||||
holds=0,
|
||||
total_pnl=-1.0,
|
||||
win_rate=0.0,
|
||||
avg_confidence=70.0,
|
||||
scenario_match_rate=100.0,
|
||||
)
|
||||
|
||||
reviewer.store_scorecard_in_context(kr)
|
||||
reviewer.store_scorecard_in_context(us)
|
||||
|
||||
kr_ctx = context_store.get_context(ContextLayer.L6_DAILY, "2026-02-14", "scorecard_KR")
|
||||
us_ctx = context_store.get_context(ContextLayer.L6_DAILY, "2026-02-14", "scorecard_US")
|
||||
|
||||
assert kr_ctx["market"] == "KR"
|
||||
assert us_ctx["market"] == "US"
|
||||
assert kr_ctx["total_pnl"] == 1.0
|
||||
assert us_ctx["total_pnl"] == -1.0
|
||||
|
||||
|
||||
def test_generate_scorecard_handles_invalid_context_snapshot(
|
||||
db_conn: sqlite3.Connection, context_store: ContextStore,
|
||||
) -> None:
|
||||
reviewer = DailyReviewer(db_conn, context_store)
|
||||
db_conn.execute(
|
||||
"""
|
||||
INSERT INTO decision_logs (
|
||||
decision_id, timestamp, stock_code, market, exchange_code,
|
||||
action, confidence, rationale, context_snapshot, input_data
|
||||
) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
|
||||
""",
|
||||
(
|
||||
"d1",
|
||||
"2026-02-14T09:00:00+00:00",
|
||||
"005930",
|
||||
"KR",
|
||||
"KRX",
|
||||
"HOLD",
|
||||
50,
|
||||
"test",
|
||||
"{invalid_json",
|
||||
json.dumps({}),
|
||||
),
|
||||
)
|
||||
db_conn.commit()
|
||||
|
||||
scorecard = reviewer.generate_scorecard("2026-02-14", "KR")
|
||||
assert scorecard.total_decisions == 1
|
||||
assert scorecard.scenario_match_rate == 0.0
|
||||
@@ -5,8 +5,10 @@ from unittest.mock import ANY, AsyncMock, MagicMock, patch
|
||||
|
||||
import pytest
|
||||
|
||||
from src.core.risk_manager import CircuitBreakerTripped, FatFingerRejected
|
||||
from src.context.layer import ContextLayer
|
||||
from src.core.risk_manager import CircuitBreakerTripped, FatFingerRejected
|
||||
from src.db import init_db, log_trade
|
||||
from src.logging.decision_logger import DecisionLogger
|
||||
from src.main import safe_float, trading_cycle
|
||||
from src.strategy.models import (
|
||||
DayPlaybook,
|
||||
@@ -44,6 +46,17 @@ def _make_hold_match(stock_code: str = "005930") -> ScenarioMatch:
|
||||
)
|
||||
|
||||
|
||||
def _make_sell_match(stock_code: str = "005930") -> ScenarioMatch:
|
||||
"""Create a ScenarioMatch that returns SELL."""
|
||||
return ScenarioMatch(
|
||||
stock_code=stock_code,
|
||||
matched_scenario=None,
|
||||
action=ScenarioAction.SELL,
|
||||
confidence=90,
|
||||
rationale="Test sell",
|
||||
)
|
||||
|
||||
|
||||
class TestSafeFloat:
|
||||
"""Test safe_float() helper function."""
|
||||
|
||||
@@ -1113,3 +1126,96 @@ class TestScenarioEngineIntegration:
|
||||
# REDUCE_ALL is not BUY or SELL — no order sent
|
||||
mock_broker.send_order.assert_not_called()
|
||||
mock_telegram.notify_trade_execution.assert_not_called()
|
||||
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_sell_updates_original_buy_decision_outcome() -> None:
|
||||
"""SELL should update the original BUY decision outcome in decision_logs."""
|
||||
db_conn = init_db(":memory:")
|
||||
decision_logger = DecisionLogger(db_conn)
|
||||
|
||||
buy_decision_id = decision_logger.log_decision(
|
||||
stock_code="005930",
|
||||
market="KR",
|
||||
exchange_code="KRX",
|
||||
action="BUY",
|
||||
confidence=85,
|
||||
rationale="Initial buy",
|
||||
context_snapshot={},
|
||||
input_data={},
|
||||
)
|
||||
log_trade(
|
||||
conn=db_conn,
|
||||
stock_code="005930",
|
||||
action="BUY",
|
||||
confidence=85,
|
||||
rationale="Initial buy",
|
||||
quantity=1,
|
||||
price=100.0,
|
||||
pnl=0.0,
|
||||
market="KR",
|
||||
exchange_code="KRX",
|
||||
decision_id=buy_decision_id,
|
||||
)
|
||||
|
||||
broker = MagicMock()
|
||||
broker.get_orderbook = AsyncMock(
|
||||
return_value={"output1": {"stck_prpr": "120", "frgn_ntby_qty": "0"}}
|
||||
)
|
||||
broker.get_balance = AsyncMock(
|
||||
return_value={
|
||||
"output2": [
|
||||
{
|
||||
"tot_evlu_amt": "100000",
|
||||
"dnca_tot_amt": "10000",
|
||||
"pchs_amt_smtl_amt": "90000",
|
||||
}
|
||||
]
|
||||
}
|
||||
)
|
||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
||||
|
||||
overseas_broker = MagicMock()
|
||||
engine = MagicMock(spec=ScenarioEngine)
|
||||
engine.evaluate = MagicMock(return_value=_make_sell_match())
|
||||
risk = MagicMock()
|
||||
context_store = MagicMock(
|
||||
get_latest_timeframe=MagicMock(return_value=None),
|
||||
set_context=MagicMock(),
|
||||
)
|
||||
criticality_assessor = MagicMock(
|
||||
assess_market_conditions=MagicMock(return_value=MagicMock(value="NORMAL")),
|
||||
get_timeout=MagicMock(return_value=5.0),
|
||||
)
|
||||
telegram = MagicMock()
|
||||
telegram.notify_trade_execution = AsyncMock()
|
||||
telegram.notify_fat_finger = AsyncMock()
|
||||
telegram.notify_circuit_breaker = AsyncMock()
|
||||
telegram.notify_scenario_matched = AsyncMock()
|
||||
|
||||
market = MagicMock()
|
||||
market.name = "Korea"
|
||||
market.code = "KR"
|
||||
market.exchange_code = "KRX"
|
||||
market.is_domestic = True
|
||||
|
||||
await trading_cycle(
|
||||
broker=broker,
|
||||
overseas_broker=overseas_broker,
|
||||
scenario_engine=engine,
|
||||
playbook=_make_playbook(),
|
||||
risk=risk,
|
||||
db_conn=db_conn,
|
||||
decision_logger=decision_logger,
|
||||
context_store=context_store,
|
||||
criticality_assessor=criticality_assessor,
|
||||
telegram=telegram,
|
||||
market=market,
|
||||
stock_code="005930",
|
||||
scan_candidates={},
|
||||
)
|
||||
|
||||
updated_buy = decision_logger.get_decision_by_id(buy_decision_id)
|
||||
assert updated_buy is not None
|
||||
assert updated_buy.outcome_pnl == 20.0
|
||||
assert updated_buy.outcome_accuracy == 1
|
||||
|
||||
Reference in New Issue
Block a user