pyqqq 0.12.178__tar.gz → 0.12.179__tar.gz

{pyqqq-0.12.178 → pyqqq-0.12.179}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: pyqqq
-Version: 0.12.178
+Version: 0.12.179
 Summary: Package for quantitative strategy development on the PyQQQ platform
 License: MIT
 Author: PyQQQ team

{pyqqq-0.12.178 → pyqqq-0.12.179}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "pyqqq"
-version = "0.12.178"
+version = "0.12.179"
 description = "Package for quantitative strategy development on the PyQQQ platform"
 authors = ["PyQQQ team <pyqqq.cs@gmail.com>"]
 readme = "README.md"

{pyqqq-0.12.178 → pyqqq-0.12.179}/pyqqq/backtest/broker.py

@@ -25,6 +25,7 @@ from pyqqq.data.us_stocks import get_ticker_info as get_us_ticker_info
 from pyqqq.datatypes import *
 from pyqqq.utils.casting import casting
 from pyqqq.utils.market_schedule import get_last_trading_day, get_market_schedule, get_trading_day_with_offset
+from pyqqq.utils.position_classfier import PositionClassifier
 
 MarketType = Literal["kr_stock", "us_stock"]
 
@@ -249,6 +250,8 @@ class TradingBroker(BaseBroker):
         trading_api: Union[KISSimpleDomesticStock, KISSimpleOverseasStock],
         clock: WallClock,
         market_nxt_on: bool = False,
+        strategy_name: Optional[str] = None,
+        classifier_type: Optional[str] = None,
     ):
         """TradingBroker 클래스의 초기화 메서드입니다.
 
@@ -266,6 +269,14 @@ class TradingBroker(BaseBroker):
         self.data_api = data_api
         self.trading_api = trading_api
         self.market_nxt_on = market_nxt_on
+        self.position_classifier = None
+
+        if classifier_type and classifier_type in ["auto", "direct"]:
+            if strategy_name:
+                kv_store_collection = f"{strategy_name}_classifier"
+            else:
+                kv_store_collection = f"account_{self.trading_api.account_no}_classifier"
+            self.position_classifier = PositionClassifier(simple_data_api=self.trading_api, kv_store_collection=kv_store_collection, default_type=classifier_type)
 
     def get_account(self) -> dict:
         return self.trading_api.get_account()
@@ -350,7 +361,20 @@ class TradingBroker(BaseBroker):
 
     def create_order(self, asset_code: str, side: OrderSide, quantity: int, order_type: OrderType = OrderType.MARKET, price: int | Decimal = 0, exchange: OrderExchange = OrderExchange.KRX) -> str:
         self.logger.debug(f"create_order: {asset_code} {side} {quantity} {order_type} {price} {exchange}")
-        return self.trading_api.create_order(asset_code, side, quantity, order_type, price, exchange=exchange)
+
+        if side is OrderSide.SELL and self.position_classifier:
+            # 포지션 분류기를 사용하여 전략에서 보유중인 수량으로 매도 가능 수량 재 계산
+            calc_quantity = self.position_classifier.get_sellable_quantity(asset_code, quantity)
+
+            if calc_quantity != quantity:
+                self.logger.warning(f"Requested sell quantity {quantity} for {asset_code} adjusted to {calc_quantity} based on position classifier.")
+                quantity = calc_quantity
+
+        order_no = self.trading_api.create_order(asset_code, side, quantity, order_type, price, exchange=exchange)
+        if order_no and self.position_classifier:
+            # 주문이 성공적으로 생성되면 포지션 분류기에 주문 정보를 업데이트
+            self.position_classifier.tagging_order_auto(order_no)
+        return order_no
 
     def update_order(self, org_order_no: str, order_type: OrderType, price: int | Decimal, quantity: int = 0, exchange: OrderExchange = OrderExchange.KRX):
         if isinstance(self.trading_api, KISSimpleOverseasStock):
@@ -387,6 +411,13 @@ class TradingBroker(BaseBroker):
             self.logger.debug(f"cancel_order: {order_no} {quantity}")
             return self.trading_api.cancel_order(order_no, quantity)
 
+    async def start_classifier(self):
+        """ 포지션 분류기를 시작합니다.
+        이 메서드는 포지션 분류기를 사용한다면 반드시 호출해야 합니다.
+        """
+        if self.position_classifier:
+            await self.position_classifier.start()
+
 
 # 백테스팅 할때 사용되는 브로커
 class MockBroker(BaseBroker):

{pyqqq-0.12.178 → pyqqq-0.12.179}/pyqqq/backtest/environment.py

@@ -1,7 +1,7 @@
 import datetime as dtm
 import os
 from abc import ABC
-from typing import Literal
+from typing import Literal, Optional
 from zoneinfo import ZoneInfo
 
 from pyqqq.backtest.broker import BaseBroker, MockBroker, TradingBroker
@@ -142,12 +142,18 @@ class KISDomesticEnvironment(TradingEnvironment):
         ```
     """
 
-    def __init__(self, paper_trading: bool = False, market_nxt_on: bool = False):
+    def __init__(self, paper_trading: bool = False, market_nxt_on: bool = False, strategy_name: Optional[str] = None, classifier_type: Optional[str] = None):
         """KISDomesticEnvironment 클래스의 초기화 메서드입니다.
 
         Args:
             paper_trading (bool, optional): 모의투자 사용 여부. Defaults to False.
                                           True일 경우 모의투자 계좌 사용
+            market_nxt_on (bool, optional): NXT 시장 처리 여부. Defaults to False.
+            strategy_name (str, optional): 전략 이름. Defaults to None.
+                position classifier 데이터가 저장되는 kvstore collection 이름에 사용됨.
+            classifier_type (str, optional): "direct", "auto" 중 하나로 설정시 position classifier 사용하게 됨. Defaults to None.
+                해당 값은 분류기가 기본 포지션을 어떤 방식으로 결정할지에 대한 설정.
+
 
         Raises:
             KeyError: 필요한 환경변수가 설정되지 않은 경우
@@ -160,6 +166,8 @@ class KISDomesticEnvironment(TradingEnvironment):
             trading_api=conn.broker_simple if not paper_trading else conn.paper_broker_simple,
             clock=self.clock,
             market_nxt_on=market_nxt_on,
+            strategy_name=strategy_name,
+            classifier_type=classifier_type,
         )
 
 

{pyqqq-0.12.178 → pyqqq-0.12.179}/pyqqq/utils/position_classifier.py

@@ -107,7 +107,7 @@ class PositionClassifier:
         self.logger.info(f"set_initial_position.\npositions: {cur_pos}\nauto_positions: {self.auto_positions}\ndirect_positions: {self.direct_positions}")
 
     def set_initial_order(self):
-        cur_order = self.api.get_pending_orders()
+        cur_order = self.api.get_pending_orders(exchanges=[OrderExchange.KRX, OrderExchange.NXT, OrderExchange.SOR])
         kv_auto_orders = self.kv_store.get(self.DEF_AUTO_ORDER_KEY) or {}
         kv_direct_orders = self.kv_store.get(self.DEF_DIRECT_ORDER_KEY) or {}
         kv_auto_tag_orders = self.kv_store.get(self.DEF_TAG_AUTO_ORDER_KEY) or []