ce952d97b2
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Add urgency-based response system to react faster in critical market situations. Components: - CriticalityAssessor: Evaluates market conditions (P&L, volatility, volume surge) and assigns urgency levels (CRITICAL <5s, HIGH <30s, NORMAL <60s, LOW batch) - PriorityTaskQueue: Thread-safe priority queue with timeout enforcement, metrics tracking, and graceful degradation when full - Integration with main.py: Assess criticality at trading cycle start, monitor latency per criticality level, log queue metrics Auto-elevate to CRITICAL when: - P&L < -2.5% (near circuit breaker at -3.0%) - Stock moves >5% in 1 minute - Volume surge >10x average Integration with Volatility Hunter: - Uses VolatilityAnalyzer.calculate_momentum() for assessment - Pulls volatility scores from Context Tree L7_REALTIME - Auto-detects market conditions for criticality Tests: - 30 comprehensive tests covering criticality assessment, priority queue, timeout enforcement, metrics tracking, and integration scenarios - Coverage: criticality.py 100%, priority_queue.py 96% - All 157 tests pass Resolves issue #21 - Pillar 1: 속도와 시의성의 최적화 Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
462 lines
17 KiB
Python
462 lines
17 KiB
Python
"""The Ouroboros — main trading loop.
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Orchestrates the broker, brain, and risk manager into a continuous
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trading cycle with configurable intervals.
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"""
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from __future__ import annotations
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import argparse
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import asyncio
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import logging
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import signal
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from datetime import UTC, datetime
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from typing import Any
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from src.analysis.scanner import MarketScanner
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from src.analysis.volatility import VolatilityAnalyzer
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from src.brain.gemini_client import GeminiClient
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from src.broker.kis_api import KISBroker
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from src.broker.overseas import OverseasBroker
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from src.config import Settings
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from src.context.layer import ContextLayer
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from src.context.store import ContextStore
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from src.core.criticality import CriticalityAssessor, CriticalityLevel
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from src.core.priority_queue import PriorityTaskQueue
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from src.core.risk_manager import CircuitBreakerTripped, RiskManager
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from src.db import init_db, log_trade
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from src.logging.decision_logger import DecisionLogger
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from src.logging_config import setup_logging
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from src.markets.schedule import MarketInfo, get_next_market_open, get_open_markets
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logger = logging.getLogger(__name__)
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# Target stock codes to monitor per market
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WATCHLISTS = {
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"KR": ["005930", "000660", "035420"], # Samsung, SK Hynix, NAVER
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"US_NASDAQ": ["AAPL", "MSFT", "GOOGL"], # Example US stocks
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"US_NYSE": ["JPM", "BAC"], # Example NYSE stocks
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"JP": ["7203", "6758"], # Toyota, Sony
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}
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TRADE_INTERVAL_SECONDS = 60
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SCAN_INTERVAL_SECONDS = 60 # Scan markets every 60 seconds
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MAX_CONNECTION_RETRIES = 3
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# Full stock universe per market (for scanning)
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# In production, this would be loaded from a database or API
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STOCK_UNIVERSE = {
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"KR": ["005930", "000660", "035420", "051910", "005380", "005490"],
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"US_NASDAQ": ["AAPL", "MSFT", "GOOGL", "AMZN", "NVDA", "TSLA"],
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"US_NYSE": ["JPM", "BAC", "XOM", "JNJ", "V"],
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"JP": ["7203", "6758", "9984", "6861"],
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}
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async def trading_cycle(
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broker: KISBroker,
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overseas_broker: OverseasBroker,
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brain: GeminiClient,
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risk: RiskManager,
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db_conn: Any,
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decision_logger: DecisionLogger,
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context_store: ContextStore,
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criticality_assessor: CriticalityAssessor,
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market: MarketInfo,
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stock_code: str,
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) -> None:
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"""Execute one trading cycle for a single stock."""
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cycle_start_time = asyncio.get_event_loop().time()
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# 1. Fetch market data
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if market.is_domestic:
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orderbook = await broker.get_orderbook(stock_code)
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balance_data = await broker.get_balance()
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output2 = balance_data.get("output2", [{}])
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total_eval = float(output2[0].get("tot_evlu_amt", "0")) if output2 else 0
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total_cash = float(
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balance_data.get("output2", [{}])[0].get("dnca_tot_amt", "0")
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if output2
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else "0"
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)
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purchase_total = float(output2[0].get("pchs_amt_smtl_amt", "0")) if output2 else 0
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current_price = float(orderbook.get("output1", {}).get("stck_prpr", "0"))
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foreigner_net = float(orderbook.get("output1", {}).get("frgn_ntby_qty", "0"))
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else:
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# Overseas market
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price_data = await overseas_broker.get_overseas_price(
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market.exchange_code, stock_code
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)
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balance_data = await overseas_broker.get_overseas_balance(market.exchange_code)
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output2 = balance_data.get("output2", [{}])
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total_eval = float(output2[0].get("frcr_evlu_tota", "0")) if output2 else 0
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total_cash = float(output2[0].get("frcr_dncl_amt_2", "0")) if output2 else 0
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purchase_total = float(output2[0].get("frcr_buy_amt_smtl", "0")) if output2 else 0
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current_price = float(price_data.get("output", {}).get("last", "0"))
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foreigner_net = 0.0 # Not available for overseas
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# Calculate daily P&L %
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pnl_pct = (
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((total_eval - purchase_total) / purchase_total * 100)
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if purchase_total > 0
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else 0.0
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)
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market_data = {
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"stock_code": stock_code,
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"market_name": market.name,
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"current_price": current_price,
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"foreigner_net": foreigner_net,
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}
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# 1.5. Get volatility metrics from context store (L7_REALTIME)
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latest_timeframe = context_store.get_latest_timeframe(ContextLayer.L7_REALTIME)
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volatility_score = 50.0 # Default normal volatility
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volume_surge = 1.0
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price_change_1m = 0.0
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if latest_timeframe:
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volatility_data = context_store.get_context(
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ContextLayer.L7_REALTIME,
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latest_timeframe,
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f"volatility_{stock_code}",
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)
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if volatility_data:
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volatility_score = volatility_data.get("momentum_score", 50.0)
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volume_surge = volatility_data.get("volume_surge", 1.0)
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price_change_1m = volatility_data.get("price_change_1m", 0.0)
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# 1.6. Assess criticality based on market conditions
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criticality = criticality_assessor.assess_market_conditions(
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pnl_pct=pnl_pct,
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volatility_score=volatility_score,
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volume_surge=volume_surge,
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price_change_1m=price_change_1m,
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is_market_open=True,
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)
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logger.info(
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"Criticality for %s (%s): %s (pnl=%.2f%%, volatility=%.1f, volume_surge=%.1fx)",
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stock_code,
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market.name,
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criticality.value,
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pnl_pct,
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volatility_score,
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volume_surge,
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)
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# 2. Ask the brain for a decision
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decision = await brain.decide(market_data)
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logger.info(
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"Decision for %s (%s): %s (confidence=%d)",
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stock_code,
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market.name,
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decision.action,
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decision.confidence,
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)
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# 2.5. Log decision with context snapshot
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context_snapshot = {
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"L1": {
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"current_price": current_price,
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"foreigner_net": foreigner_net,
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},
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"L2": {
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"total_eval": total_eval,
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"total_cash": total_cash,
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"purchase_total": purchase_total,
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"pnl_pct": pnl_pct,
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},
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# L3-L7 will be populated when context tree is implemented
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}
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input_data = {
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"current_price": current_price,
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"foreigner_net": foreigner_net,
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"total_eval": total_eval,
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"total_cash": total_cash,
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"pnl_pct": pnl_pct,
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}
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decision_logger.log_decision(
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stock_code=stock_code,
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market=market.code,
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exchange_code=market.exchange_code,
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action=decision.action,
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confidence=decision.confidence,
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rationale=decision.rationale,
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context_snapshot=context_snapshot,
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input_data=input_data,
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)
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# 3. Execute if actionable
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if decision.action in ("BUY", "SELL"):
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# Determine order size (simplified: 1 lot)
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quantity = 1
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order_amount = current_price * quantity
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# 4. Risk check BEFORE order
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risk.validate_order(
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current_pnl_pct=pnl_pct,
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order_amount=order_amount,
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total_cash=total_cash,
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)
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# 5. Send order
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if market.is_domestic:
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result = await broker.send_order(
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stock_code=stock_code,
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order_type=decision.action,
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quantity=quantity,
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price=0, # market order
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)
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else:
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result = await overseas_broker.send_overseas_order(
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exchange_code=market.exchange_code,
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stock_code=stock_code,
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order_type=decision.action,
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quantity=quantity,
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price=0.0, # market order
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)
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logger.info("Order result: %s", result.get("msg1", "OK"))
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# 6. Log trade
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log_trade(
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conn=db_conn,
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stock_code=stock_code,
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action=decision.action,
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confidence=decision.confidence,
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rationale=decision.rationale,
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market=market.code,
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exchange_code=market.exchange_code,
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)
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# 7. Latency monitoring
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cycle_end_time = asyncio.get_event_loop().time()
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cycle_latency = cycle_end_time - cycle_start_time
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timeout = criticality_assessor.get_timeout(criticality)
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if timeout and cycle_latency > timeout:
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logger.warning(
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"Trading cycle exceeded timeout for %s (criticality=%s, latency=%.2fs, timeout=%.2fs)",
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stock_code,
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criticality.value,
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cycle_latency,
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timeout,
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)
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else:
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logger.debug(
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"Trading cycle completed within timeout for %s (criticality=%s, latency=%.2fs)",
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stock_code,
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criticality.value,
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cycle_latency,
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)
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async def run(settings: Settings) -> None:
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"""Main async loop — iterate over open markets on a timer."""
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broker = KISBroker(settings)
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overseas_broker = OverseasBroker(broker)
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brain = GeminiClient(settings)
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risk = RiskManager(settings)
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db_conn = init_db(settings.DB_PATH)
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decision_logger = DecisionLogger(db_conn)
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context_store = ContextStore(db_conn)
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# Initialize volatility hunter
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volatility_analyzer = VolatilityAnalyzer(min_volume_surge=2.0, min_price_change=1.0)
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market_scanner = MarketScanner(
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broker=broker,
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overseas_broker=overseas_broker,
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volatility_analyzer=volatility_analyzer,
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context_store=context_store,
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top_n=5,
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)
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# Initialize latency control system
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criticality_assessor = CriticalityAssessor(
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critical_pnl_threshold=-2.5, # Near circuit breaker at -3.0%
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critical_price_change_threshold=5.0, # 5% in 1 minute
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critical_volume_surge_threshold=10.0, # 10x average
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high_volatility_threshold=70.0,
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low_volatility_threshold=30.0,
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)
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priority_queue = PriorityTaskQueue(max_size=1000)
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# Track last scan time for each market
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last_scan_time: dict[str, float] = {}
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shutdown = asyncio.Event()
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def _signal_handler() -> None:
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logger.info("Shutdown signal received")
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shutdown.set()
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loop = asyncio.get_running_loop()
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for sig in (signal.SIGINT, signal.SIGTERM):
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loop.add_signal_handler(sig, _signal_handler)
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logger.info("The Ouroboros is alive. Mode: %s", settings.MODE)
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logger.info("Enabled markets: %s", settings.enabled_market_list)
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try:
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while not shutdown.is_set():
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# Get currently open markets
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open_markets = get_open_markets(settings.enabled_market_list)
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if not open_markets:
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# No markets open — wait until next market opens
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try:
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next_market, next_open_time = get_next_market_open(
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settings.enabled_market_list
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)
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now = datetime.now(UTC)
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wait_seconds = (next_open_time - now).total_seconds()
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logger.info(
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"No markets open. Next market: %s, opens in %.1f hours",
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next_market.name,
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wait_seconds / 3600,
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)
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await asyncio.wait_for(shutdown.wait(), timeout=wait_seconds)
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except TimeoutError:
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continue # Market should be open now
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except ValueError as exc:
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logger.error("Failed to find next market open: %s", exc)
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await asyncio.sleep(TRADE_INTERVAL_SECONDS)
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continue
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# Process each open market
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for market in open_markets:
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if shutdown.is_set():
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break
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# Volatility Hunter: Scan market periodically to update watchlist
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now_timestamp = asyncio.get_event_loop().time()
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last_scan = last_scan_time.get(market.code, 0.0)
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if now_timestamp - last_scan >= SCAN_INTERVAL_SECONDS:
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try:
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# Scan all stocks in the universe
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stock_universe = STOCK_UNIVERSE.get(market.code, [])
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if stock_universe:
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logger.info("Volatility Hunter: Scanning %s market", market.name)
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scan_result = await market_scanner.scan_market(
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market, stock_universe
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)
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# Update watchlist with top movers
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current_watchlist = WATCHLISTS.get(market.code, [])
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updated_watchlist = market_scanner.get_updated_watchlist(
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current_watchlist,
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scan_result,
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max_replacements=2,
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)
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WATCHLISTS[market.code] = updated_watchlist
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logger.info(
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"Volatility Hunter: Watchlist updated for %s (%d top movers, %d breakouts)",
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market.name,
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len(scan_result.top_movers),
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len(scan_result.breakouts),
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)
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last_scan_time[market.code] = now_timestamp
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except Exception as exc:
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logger.error("Volatility Hunter scan failed for %s: %s", market.name, exc)
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# Get watchlist for this market
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watchlist = WATCHLISTS.get(market.code, [])
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if not watchlist:
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logger.debug("No watchlist for market %s", market.code)
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continue
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logger.info("Processing market: %s (%d stocks)", market.name, len(watchlist))
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# Process each stock in the watchlist
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for stock_code in watchlist:
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if shutdown.is_set():
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break
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# Retry logic for connection errors
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for attempt in range(1, MAX_CONNECTION_RETRIES + 1):
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try:
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await trading_cycle(
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broker,
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overseas_broker,
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brain,
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risk,
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db_conn,
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decision_logger,
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context_store,
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criticality_assessor,
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market,
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stock_code,
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)
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break # Success — exit retry loop
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except CircuitBreakerTripped:
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logger.critical("Circuit breaker tripped — shutting down")
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raise
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except ConnectionError as exc:
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if attempt < MAX_CONNECTION_RETRIES:
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logger.warning(
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"Connection error for %s (attempt %d/%d): %s",
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stock_code,
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attempt,
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MAX_CONNECTION_RETRIES,
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exc,
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)
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await asyncio.sleep(2**attempt) # Exponential backoff
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else:
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logger.error(
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"Connection error for %s (all retries exhausted): %s",
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stock_code,
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exc,
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)
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break # Give up on this stock
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except Exception as exc:
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logger.exception("Unexpected error for %s: %s", stock_code, exc)
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break # Don't retry on unexpected errors
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# Log priority queue metrics periodically
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metrics = await priority_queue.get_metrics()
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if metrics.total_enqueued > 0:
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logger.info(
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"Priority queue metrics: enqueued=%d, dequeued=%d, size=%d, timeouts=%d, errors=%d",
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metrics.total_enqueued,
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metrics.total_dequeued,
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metrics.current_size,
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metrics.total_timeouts,
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metrics.total_errors,
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)
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# Wait for next cycle or shutdown
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try:
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await asyncio.wait_for(shutdown.wait(), timeout=TRADE_INTERVAL_SECONDS)
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except TimeoutError:
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pass # Normal — timeout means it's time for next cycle
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finally:
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await broker.close()
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db_conn.close()
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logger.info("The Ouroboros rests.")
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def main() -> None:
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parser = argparse.ArgumentParser(description="The Ouroboros Trading Agent")
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parser.add_argument(
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"--mode",
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choices=["paper", "live"],
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default="paper",
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help="Trading mode (default: paper)",
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)
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args = parser.parse_args()
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setup_logging()
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settings = Settings(MODE=args.mode) # type: ignore[call-arg]
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asyncio.run(run(settings))
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if __name__ == "__main__":
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main()
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