전체적인 리팩토링

2026-03-12 09:26:27 +09:00
parent 406af7408a
commit e51d767878
97 changed files with 13651 additions and 363 deletions
--- a/lib/autotrade/strategy.ts
+++ b/lib/autotrade/strategy.ts
@@ -0,0 +1,424 @@
+/**
+ * [파일 역할]
+ * 자동매매 기본 전략값/폴백 신호 생성 로직을 제공하는 핵심 유틸입니다.
+ *
+ * [주요 책임]
+ * - AI 실패/비활성 상황에서도 동작할 fallback 전략 생성
+ * - 시세 기반 fallback 신호(buy/sell/hold) 계산
+ * - 자동매매 설정 기본값 제공
+ */
+
+import {
+  AUTOTRADE_DEFAULT_TECHNIQUES,
+  type AutotradeCompiledStrategy,
+  type AutotradeMarketSnapshot,
+  type AutotradeSignalCandidate,
+  type AutotradeSetupFormValues,
+  type AutotradeTechniqueId,
+} from "@/features/autotrade/types/autotrade.types";
+import { clampNumber } from "@/lib/autotrade/risk";
+
+interface CompileFallbackInput {
+  prompt: string;
+  selectedTechniques: AutotradeTechniqueId[];
+  confidenceThreshold: number;
+}
+
+export function createFallbackCompiledStrategy(
+  input: CompileFallbackInput,
+): AutotradeCompiledStrategy {
+  // [Step 1] 사용자가 입력한 프롬프트를 요약해 최소 전략 설명문을 만듭니다.
+  const summary =
+    input.prompt.trim().length > 0
+      ? `프롬프트 기반 전략: ${input.prompt.trim().slice(0, 120)}`
+      : "기본 보수형 자동매매 전략";
+
+  // [Step 2] AI 없이도 동작 가능한 보수형 기본 파라미터를 반환합니다.
+  return {
+    provider: "fallback",
+    summary,
+    selectedTechniques: input.selectedTechniques,
+    confidenceThreshold: clampNumber(input.confidenceThreshold, 0.45, 0.95),
+    maxDailyOrders: resolveMaxDailyOrders(),
+    cooldownSec: 60,
+    maxOrderAmountRatio: 0.25,
+    createdAt: new Date().toISOString(),
+  };
+}
+
+export function createFallbackSignalCandidate(params: {
+  strategy: AutotradeCompiledStrategy;
+  snapshot: AutotradeMarketSnapshot;
+}): AutotradeSignalCandidate {
+  // [Step 1] 선택한 기법별로 buy/sell 점수를 계산합니다.
+  const { strategy, snapshot } = params;
+  const activeTechniques =
+    strategy.selectedTechniques.length > 0
+      ? strategy.selectedTechniques
+      : AUTOTRADE_DEFAULT_TECHNIQUES;
+  const reasons: string[] = [];
+  let buyScore = 0;
+  let sellScore = 0;
+
+  const shortMa = average(snapshot.recentPrices.slice(-3));
+  const longMa = average(snapshot.recentPrices.slice(-7));
+  const vwap = average(snapshot.recentPrices);
+  const gapRate = snapshot.open
+    ? ((snapshot.currentPrice - snapshot.open) / snapshot.open) * 100
+    : 0;
+
+  if (activeTechniques.includes("ma_crossover")) {
+    if (shortMa > longMa * 1.001) {
+      buyScore += 1;
+      reasons.push("단기 이평이 중기 이평 위로 교차했습니다.");
+    } else if (shortMa < longMa * 0.999) {
+      sellScore += 1;
+      reasons.push("단기 이평이 중기 이평 아래로 교차했습니다.");
+    }
+  }
+
+  if (activeTechniques.includes("vwap_reversion") && vwap > 0) {
+    if (snapshot.currentPrice < vwap * 0.995) {
+      buyScore += 1;
+      reasons.push("가격이 VWAP 대비 과매도 구간입니다.");
+    } else if (snapshot.currentPrice > vwap * 1.005) {
+      sellScore += 1;
+      reasons.push("가격이 VWAP 대비 과매수 구간입니다.");
+    }
+  }
+
+  if (activeTechniques.includes("volume_breakout")) {
+    const volumeRatio =
+      snapshot.volumeRatio ??
+      (snapshot.accumulatedVolume > 0
+        ? snapshot.tradeVolume / Math.max(snapshot.accumulatedVolume / 120, 1)
+        : 1);
+
+    if (volumeRatio > 1.8 && snapshot.changeRate > 0.25) {
+      buyScore += 1;
+      reasons.push("거래량 증가와 상승 모멘텀이 같이 나타났습니다.");
+    }
+
+    if (volumeRatio > 1.8 && snapshot.changeRate < -0.25) {
+      sellScore += 1;
+      reasons.push("거래량 증가와 하락 모멘텀이 같이 나타났습니다.");
+    }
+  }
+
+  if (activeTechniques.includes("gap_breakout")) {
+    if (gapRate > 0.8 && snapshot.currentPrice >= snapshot.high * 0.998) {
+      buyScore += 1;
+      reasons.push("상승 갭 이후 고점 돌파 구간입니다.");
+    } else if (gapRate < -0.8 && snapshot.currentPrice <= snapshot.low * 1.002) {
+      sellScore += 1;
+      reasons.push("하락 갭 이후 저점 이탈 구간입니다.");
+    }
+  }
+
+  if (activeTechniques.includes("orb")) {
+    const nearHighBreak = snapshot.currentPrice >= snapshot.high * 0.999;
+    const nearLowBreak = snapshot.currentPrice <= snapshot.low * 1.001;
+
+    if (nearHighBreak && snapshot.changeRate > 0) {
+      buyScore += 1;
+      reasons.push("시가 범위 상단 돌파 조건이 충족되었습니다.");
+    }
+
+    if (nearLowBreak && snapshot.changeRate < 0) {
+      sellScore += 1;
+      reasons.push("시가 범위 하단 이탈 조건이 충족되었습니다.");
+    }
+  }
+
+  if (activeTechniques.includes("intraday_box_reversion")) {
+    const boxReversion = resolveIntradayBoxReversionSignal(snapshot);
+
+    if (boxReversion.side === "buy") {
+      buyScore += 1.2;
+      reasons.push(boxReversion.reason);
+    } else if (boxReversion.side === "sell") {
+      sellScore += 1.2;
+      reasons.push(boxReversion.reason);
+    }
+  }
+
+  if (activeTechniques.includes("intraday_breakout_scalp")) {
+    const breakoutScalp = resolveIntradayBreakoutScalpSignal(snapshot);
+
+    if (breakoutScalp.side === "buy") {
+      buyScore += 1.3;
+      reasons.push(breakoutScalp.reason);
+    } else if (breakoutScalp.side === "sell") {
+      sellScore += 0.9;
+      reasons.push(breakoutScalp.reason);
+    }
+  }
+
+  const riskFlags: string[] = [];
+  if ((snapshot.marketDataLatencySec ?? 0) > 5) {
+    riskFlags.push("market_data_stale");
+  }
+
+  // [Step 2] 방향성이 부족하면 hold 신호를 우선 반환합니다.
+  if (buyScore === 0 && sellScore === 0) {
+    return {
+      signal: "hold",
+      confidence: 0.55,
+      reason: "선택한 기법에서 유의미한 방향 신호가 아직 없습니다.",
+      ttlSec: 20,
+      riskFlags,
+      source: "fallback",
+    };
+  }
+
+  const isBuy = buyScore >= sellScore;
+  const scoreDiff = Math.abs(buyScore - sellScore);
+  const confidence = clampNumber(
+    0.58 + scoreDiff * 0.12 + Math.min(0.12, Math.abs(snapshot.changeRate) / 10),
+    0.5,
+    0.95,
+  );
+
+  if (confidence < strategy.confidenceThreshold) {
+    riskFlags.push("confidence_low");
+  }
+
+  // [Step 3] 점수 우세 방향 + 신뢰도를 기반으로 주문 후보를 구성합니다.
+  return {
+    signal: isBuy ? "buy" : "sell",
+    confidence,
+    reason: reasons[0] ?? "복합 신호 점수가 기준치를 넘었습니다.",
+    ttlSec: 20,
+    riskFlags,
+    proposedOrder: {
+      symbol: snapshot.symbol,
+      side: isBuy ? "buy" : "sell",
+      orderType: "limit",
+      price: snapshot.currentPrice,
+      quantity: 1,
+    },
+    source: "fallback",
+  };
+}
+
+export function resolveSetupDefaults(): AutotradeSetupFormValues {
+  const subscriptionCliVendor = resolveDefaultSubscriptionCliVendor();
+
+  return {
+    aiMode: resolveDefaultAiMode(),
+    subscriptionCliVendor,
+    subscriptionCliModel: resolveDefaultSubscriptionCliModel(subscriptionCliVendor),
+    prompt: "",
+    selectedTechniques: [],
+    allocationPercent: 10,
+    allocationAmount: 500000,
+    dailyLossPercent: 2,
+    dailyLossAmount: 50000,
+    confidenceThreshold: resolveDefaultConfidenceThreshold(),
+    agreeStopOnExit: false,
+  };
+}
+
+function resolveDefaultAiMode(): AutotradeSetupFormValues["aiMode"] {
+  const raw = (process.env.AUTOTRADE_AI_MODE ?? "auto").trim().toLowerCase();
+  if (raw === "openai_api") return "openai_api";
+  if (raw === "subscription_cli") return "subscription_cli";
+  if (raw === "rule_fallback") return "rule_fallback";
+  return "auto";
+}
+
+function resolveDefaultSubscriptionCliVendor(): AutotradeSetupFormValues["subscriptionCliVendor"] {
+  const raw = (process.env.AUTOTRADE_SUBSCRIPTION_CLI ?? "auto").trim().toLowerCase();
+  if (raw === "codex") return "codex";
+  if (raw === "gemini") return "gemini";
+  return "auto";
+}
+
+function resolveDefaultSubscriptionCliModel(vendor: AutotradeSetupFormValues["subscriptionCliVendor"]) {
+  const commonModel = (process.env.AUTOTRADE_SUBSCRIPTION_CLI_MODEL ?? "").trim();
+  if (commonModel) return commonModel;
+
+  if (vendor === "codex") {
+    const codexModel = (process.env.AUTOTRADE_CODEX_MODEL ?? "").trim();
+    return codexModel || "gpt-5-codex";
+  }
+
+  if (vendor === "gemini") {
+    const geminiModel = (process.env.AUTOTRADE_GEMINI_MODEL ?? "").trim();
+    return geminiModel || "auto";
+  }
+
+  return "";
+}
+
+function resolveMaxDailyOrders() {
+  const raw = Number.parseInt(
+    process.env.AUTOTRADE_MAX_DAILY_ORDERS_DEFAULT ?? "20",
+    10,
+  );
+  if (!Number.isFinite(raw)) return 20;
+  return clampNumber(raw, 1, 200);
+}
+
+function resolveDefaultConfidenceThreshold() {
+  const raw = Number.parseFloat(
+    process.env.AUTOTRADE_CONFIDENCE_THRESHOLD_DEFAULT ?? "0.65",
+  );
+  if (!Number.isFinite(raw)) return 0.65;
+  return clampNumber(raw, 0.45, 0.95);
+}
+
+function average(values: number[]) {
+  const normalized = values.filter((value) => Number.isFinite(value) && value > 0);
+  if (normalized.length === 0) return 0;
+  const sum = normalized.reduce((acc, value) => acc + value, 0);
+  return sum / normalized.length;
+}
+
+function resolveIntradayBoxReversionSignal(
+  snapshot: AutotradeMarketSnapshot,
+): { side: "buy" | "sell" | null; reason: string } {
+  const windowPrices = snapshot.recentPrices
+    .slice(-12)
+    .filter((price) => Number.isFinite(price) && price > 0);
+  if (windowPrices.length < 6) {
+    return { side: null, reason: "" };
+  }
+
+  const boxHigh = Math.max(...windowPrices);
+  const boxLow = Math.min(...windowPrices);
+  const boxRange = boxHigh - boxLow;
+  if (boxRange <= 0 || snapshot.currentPrice <= 0) {
+    return { side: null, reason: "" };
+  }
+
+  const dayRise = snapshot.changeRate;
+  const boxRangeRate = boxRange / snapshot.currentPrice;
+  const oscillationCount = countDirectionFlips(windowPrices);
+  const isRisingDay = dayRise >= 0.8;
+  const isBoxRange = boxRangeRate >= 0.003 && boxRangeRate <= 0.02;
+  const isOscillating = oscillationCount >= 2;
+
+  if (!isRisingDay || !isBoxRange || !isOscillating) {
+    return { side: null, reason: "" };
+  }
+
+  const rangePosition = clampNumber(
+    (snapshot.currentPrice - boxLow) / boxRange,
+    0,
+    1,
+  );
+
+  if (rangePosition <= 0.28) {
+    return {
+      side: "buy",
+      reason: `당일 상승(+${dayRise.toFixed(2)}%) 뒤 박스권 하단에서 반등 단타 조건이 확인됐습니다.`,
+    };
+  }
+
+  if (rangePosition >= 0.72) {
+    return {
+      side: "sell",
+      reason: `당일 상승(+${dayRise.toFixed(2)}%) 뒤 박스권 상단에서 되돌림 단타 조건이 확인됐습니다.`,
+    };
+  }
+
+  return { side: null, reason: "" };
+}
+
+function resolveIntradayBreakoutScalpSignal(
+  snapshot: AutotradeMarketSnapshot,
+): { side: "buy" | "sell" | null; reason: string } {
+  // [Step 1] 1분봉 최근 구간에서 추세/눌림/돌파 판단에 필요한 표본을 준비합니다.
+  const prices = snapshot.recentPrices
+    .slice(-18)
+    .filter((price) => Number.isFinite(price) && price > 0);
+  if (prices.length < 12 || snapshot.currentPrice <= 0) {
+    return { side: null, reason: "" };
+  }
+
+  const trendBase = prices.slice(0, prices.length - 6);
+  const pullbackWindow = prices.slice(prices.length - 6, prices.length - 1);
+  if (trendBase.length < 5 || pullbackWindow.length < 4) {
+    return { side: null, reason: "" };
+  }
+
+  const trendHigh = Math.max(...trendBase);
+  const trendLow = Math.min(...trendBase);
+  const pullbackHigh = Math.max(...pullbackWindow);
+  const pullbackLow = Math.min(...pullbackWindow);
+  const pullbackRange = pullbackHigh - pullbackLow;
+
+  if (trendHigh <= 0 || pullbackRange <= 0) {
+    return { side: null, reason: "" };
+  }
+
+  const trendRiseRate = ((trendHigh - trendLow) / trendLow) * 100;
+  const pullbackDepthRate = ((trendHigh - pullbackLow) / trendHigh) * 100;
+  const pullbackRangeRate = (pullbackRange / snapshot.currentPrice) * 100;
+  const volumeRatio = snapshot.volumeRatio ?? 1;
+  const tradeStrength = snapshot.tradeStrength ?? 100;
+  const hasBidSupport =
+    (snapshot.totalBidSize ?? 0) > (snapshot.totalAskSize ?? 0) * 1.02;
+  const momentum = snapshot.intradayMomentum ?? 0;
+
+  // 추세 필터: 상승 구간인지 먼저 확인
+  const isRisingTrend =
+    trendRiseRate >= 0.7 && snapshot.changeRate >= 0.4 && momentum >= 0.15;
+
+  // 눌림 필터: 박스형 눌림인지 확인 (과도한 급락 제외)
+  const isControlledPullback =
+    pullbackDepthRate >= 0.2 &&
+    pullbackDepthRate <= 1.6 &&
+    pullbackRangeRate >= 0.12 &&
+    pullbackRangeRate <= 0.9;
+
+  if (!isRisingTrend || !isControlledPullback) {
+    return { side: null, reason: "" };
+  }
+
+  // [Step 2] 눌림 상단 재돌파 + 거래량 재유입 조건이 맞으면 매수 우세로 판단합니다.
+  const breakoutTrigger = snapshot.currentPrice >= pullbackHigh * 1.0007;
+  const breakoutConfirmed = breakoutTrigger && volumeRatio >= 1.15;
+  const orderflowConfirmed = tradeStrength >= 98 || hasBidSupport;
+
+  if (breakoutConfirmed && orderflowConfirmed) {
+    return {
+      side: "buy",
+      reason: `상승 추세(+${trendRiseRate.toFixed(2)}%)에서 눌림 상단 재돌파(거래량비 ${volumeRatio.toFixed(2)})가 확인됐습니다.`,
+    };
+  }
+
+  // [Step 3] 재돌파 실패 후 눌림 하단 이탈 시 보수적으로 매도(또는 익절/청산) 신호를 냅니다.
+  const failedBreakdown =
+    snapshot.currentPrice <= pullbackLow * 0.9995 &&
+    volumeRatio >= 1.05 &&
+    (snapshot.netBuyExecutionCount ?? 0) < 0;
+
+  if (failedBreakdown) {
+    return {
+      side: "sell",
+      reason: "눌림 하단 이탈로 상승 단타 시나리오가 약화되어 보수적 청산 신호를 냅니다.",
+    };
+  }
+
+  return { side: null, reason: "" };
+}
+
+function countDirectionFlips(prices: number[]) {
+  let flips = 0;
+  let prevDirection = 0;
+
+  for (let i = 1; i < prices.length; i += 1) {
+    const diff = prices[i] - prices[i - 1];
+    const direction = diff > 0 ? 1 : diff < 0 ? -1 : 0;
+    if (direction === 0) continue;
+
+    if (prevDirection !== 0 && direction !== prevDirection) {
+      flips += 1;
+    }
+    prevDirection = direction;
+  }
+
+  return flips;
+}