feat: L7 실시간 컨텍스트 시장별 기록 (issue #85) #116

Merged
jihoson merged 1 commits from feature/issue-85-l7-context-write into main 2026-02-10 04:22:57 +09:00
4 changed files with 101 additions and 15 deletions
Showing only changes of commit c4e31be27a - Show all commits

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@@ -108,7 +108,7 @@ class MarketScanner:
self.context_store.set_context( self.context_store.set_context(
ContextLayer.L7_REALTIME, ContextLayer.L7_REALTIME,
timeframe, timeframe,
f"{market.code}_{stock_code}_volatility", f"volatility_{market.code}_{stock_code}",
{ {
"price": metrics.current_price, "price": metrics.current_price,
"atr": metrics.atr, "atr": metrics.atr,
@@ -179,7 +179,7 @@ class MarketScanner:
self.context_store.set_context( self.context_store.set_context(
ContextLayer.L7_REALTIME, ContextLayer.L7_REALTIME,
timeframe, timeframe,
f"{market.code}_scan_result", f"scan_result_{market.code}",
{ {
"total_scanned": len(valid_metrics), "total_scanned": len(valid_metrics),
"top_movers": [m.stock_code for m in top_movers], "top_movers": [m.stock_code for m in top_movers],

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@@ -13,7 +13,6 @@ import signal
from datetime import UTC, datetime from datetime import UTC, datetime
from typing import Any from typing import Any
from src.analysis.scanner import MarketScanner
from src.analysis.smart_scanner import ScanCandidate, SmartVolatilityScanner from src.analysis.smart_scanner import ScanCandidate, SmartVolatilityScanner
from src.analysis.volatility import VolatilityAnalyzer from src.analysis.volatility import VolatilityAnalyzer
from src.brain.context_selector import ContextSelector from src.brain.context_selector import ContextSelector
@@ -154,6 +153,38 @@ async def trading_cycle(
market_data["rsi"] = candidate.rsi market_data["rsi"] = candidate.rsi
market_data["volume_ratio"] = candidate.volume_ratio market_data["volume_ratio"] = candidate.volume_ratio
# 1.3. Record L7 real-time context (market-scoped keys)
timeframe = datetime.now(UTC).isoformat()
context_store.set_context(
ContextLayer.L7_REALTIME,
timeframe,
f"volatility_{market.code}_{stock_code}",
{
"momentum_score": 50.0,
"volume_surge": 1.0,
"price_change_1m": 0.0,
},
)
context_store.set_context(
ContextLayer.L7_REALTIME,
timeframe,
f"price_{market.code}_{stock_code}",
{"current_price": current_price},
)
if candidate:
context_store.set_context(
ContextLayer.L7_REALTIME,
timeframe,
f"rsi_{market.code}_{stock_code}",
{"rsi": candidate.rsi},
)
context_store.set_context(
ContextLayer.L7_REALTIME,
timeframe,
f"volume_ratio_{market.code}_{stock_code}",
{"volume_ratio": candidate.volume_ratio},
)
# Build portfolio data for global rule evaluation # Build portfolio data for global rule evaluation
portfolio_data = { portfolio_data = {
"portfolio_pnl_pct": pnl_pct, "portfolio_pnl_pct": pnl_pct,
@@ -171,7 +202,7 @@ async def trading_cycle(
volatility_data = context_store.get_context( volatility_data = context_store.get_context(
ContextLayer.L7_REALTIME, ContextLayer.L7_REALTIME,
latest_timeframe, latest_timeframe,
f"volatility_{stock_code}", f"volatility_{market.code}_{stock_code}",
) )
if volatility_data: if volatility_data:
volatility_score = volatility_data.get("momentum_score", 50.0) volatility_score = volatility_data.get("momentum_score", 50.0)
@@ -835,15 +866,6 @@ async def run(settings: Settings) -> None:
# Initialize volatility hunter # Initialize volatility hunter
volatility_analyzer = VolatilityAnalyzer(min_volume_surge=2.0, min_price_change=1.0) volatility_analyzer = VolatilityAnalyzer(min_volume_surge=2.0, min_price_change=1.0)
market_scanner = MarketScanner(
broker=broker,
overseas_broker=overseas_broker,
volatility_analyzer=volatility_analyzer,
context_store=context_store,
top_n=5,
max_concurrent_scans=1, # Fully serialized to avoid EGW00201
)
# Initialize smart scanner (Python-first, AI-last pipeline) # Initialize smart scanner (Python-first, AI-last pipeline)
smart_scanner = SmartVolatilityScanner( smart_scanner = SmartVolatilityScanner(
broker=broker, broker=broker,

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@@ -1,11 +1,12 @@
"""Tests for main trading loop integration.""" """Tests for main trading loop integration."""
from datetime import date from datetime import date
from unittest.mock import AsyncMock, MagicMock, patch from unittest.mock import ANY, AsyncMock, MagicMock, patch
import pytest import pytest
from src.core.risk_manager import CircuitBreakerTripped, FatFingerRejected from src.core.risk_manager import CircuitBreakerTripped, FatFingerRejected
from src.context.layer import ContextLayer
from src.main import safe_float, trading_cycle from src.main import safe_float, trading_cycle
from src.strategy.models import ( from src.strategy.models import (
DayPlaybook, DayPlaybook,
@@ -810,6 +811,69 @@ class TestScenarioEngineIntegration:
assert "portfolio_pnl_pct" in portfolio_data assert "portfolio_pnl_pct" in portfolio_data
assert "total_cash" in portfolio_data assert "total_cash" in portfolio_data
@pytest.mark.asyncio
async def test_trading_cycle_sets_l7_context_keys(
self, mock_broker: MagicMock, mock_market: MagicMock, mock_telegram: MagicMock,
) -> None:
"""Test L7 context is written with market-scoped keys."""
from src.analysis.smart_scanner import ScanCandidate
engine = MagicMock(spec=ScenarioEngine)
engine.evaluate = MagicMock(return_value=_make_hold_match())
playbook = _make_playbook()
context_store = MagicMock(get_latest_timeframe=MagicMock(return_value=None))
candidate = ScanCandidate(
stock_code="005930", name="Samsung", price=50000,
volume=1000000, volume_ratio=3.5, rsi=25.0,
signal="oversold", score=85.0,
)
with patch("src.main.log_trade"):
await trading_cycle(
broker=mock_broker,
overseas_broker=MagicMock(),
scenario_engine=engine,
playbook=playbook,
risk=MagicMock(),
db_conn=MagicMock(),
decision_logger=MagicMock(),
context_store=context_store,
criticality_assessor=MagicMock(
assess_market_conditions=MagicMock(return_value=MagicMock(value="NORMAL")),
get_timeout=MagicMock(return_value=5.0),
),
telegram=mock_telegram,
market=mock_market,
stock_code="005930",
scan_candidates={"KR": {"005930": candidate}},
)
context_store.set_context.assert_any_call(
ContextLayer.L7_REALTIME,
ANY,
"volatility_KR_005930",
{"momentum_score": 50.0, "volume_surge": 1.0, "price_change_1m": 0.0},
)
context_store.set_context.assert_any_call(
ContextLayer.L7_REALTIME,
ANY,
"price_KR_005930",
{"current_price": 50000.0},
)
context_store.set_context.assert_any_call(
ContextLayer.L7_REALTIME,
ANY,
"rsi_KR_005930",
{"rsi": 25.0},
)
context_store.set_context.assert_any_call(
ContextLayer.L7_REALTIME,
ANY,
"volume_ratio_KR_005930",
{"volume_ratio": 3.5},
)
@pytest.mark.asyncio @pytest.mark.asyncio
async def test_scan_candidates_market_scoped( async def test_scan_candidates_market_scoped(
self, mock_broker: MagicMock, mock_market: MagicMock, mock_telegram: MagicMock, self, mock_broker: MagicMock, mock_market: MagicMock, mock_telegram: MagicMock,

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@@ -412,7 +412,7 @@ class TestMarketScanner:
scan_result = context_store.get_context( scan_result = context_store.get_context(
ContextLayer.L7_REALTIME, ContextLayer.L7_REALTIME,
latest_timeframe, latest_timeframe,
"KR_scan_result", "scan_result_KR",
) )
assert scan_result is not None assert scan_result is not None
assert scan_result["total_scanned"] == 3 assert scan_result["total_scanned"] == 3