feat: add JSONL trade persistence + separate MTF deploy pipeline

- mtf_bot: ExecutionManager saves entry/exit records to data/trade_history/mtf_{symbol}.jsonl on every close - Jenkinsfile: split MTF_CHANGED from BOT_CHANGED so mtf_bot.py-only changes restart mtf-bot service without touching cointrader - docker-compose: mount ./data:/app/data on mtf-bot for persistence Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-03-30 21:07:05 +09:00
parent b8a371992f
commit e31c4bf080
3 changed files with 69 additions and 19 deletions
--- a/19
+++ b/19
@@ -47,10 +47,15 @@ pipeline {
                    if (changes == 'ALL') {
                        // 첫 빌드이거나 diff 실패 시 전체 빌드
                        env.BOT_CHANGED = 'true'
+                        env.MTF_CHANGED = 'true'
                        env.DASH_API_CHANGED = 'true'
                        env.DASH_UI_CHANGED = 'true'
                    } else {
-                        env.BOT_CHANGED = (changes =~ /(?m)^(src\/|scripts\/|main\.py|requirements\.txt|Dockerfile)/).find() ? 'true' : 'false'
+                        // mtf_bot.py 변경 감지 (mtf-bot 서비스만 재시작)
+                        env.MTF_CHANGED = (changes =~ /(?m)^src\/mtf_bot\.py/).find() ? 'true' : 'false'
+                        // src/ 변경 중 mtf_bot.py만 바뀐 경우 메인 봇은 재시작 불필요
+                        def botFiles = changes.split('\n').findAll { it =~ /^(src\/(?!mtf_bot\.py)|scripts\/|main\.py|requirements\.txt|Dockerfile)/ }
+                        env.BOT_CHANGED = botFiles.size() > 0 ? 'true' : 'false'
                        env.DASH_API_CHANGED = (changes =~ /(?m)^dashboard\/api\//).find() ? 'true' : 'false'
                        env.DASH_UI_CHANGED = (changes =~ /(?m)^dashboard\/ui\//).find() ? 'true' : 'false'
                    }
@@ -62,7 +67,7 @@ pipeline {
                        env.COMPOSE_CHANGED = 'false'
                    }

-                    echo "BOT_CHANGED=${env.BOT_CHANGED}, DASH_API_CHANGED=${env.DASH_API_CHANGED}, DASH_UI_CHANGED=${env.DASH_UI_CHANGED}, COMPOSE_CHANGED=${env.COMPOSE_CHANGED}"
+                    echo "BOT_CHANGED=${env.BOT_CHANGED}, MTF_CHANGED=${env.MTF_CHANGED}, DASH_API_CHANGED=${env.DASH_API_CHANGED}, DASH_UI_CHANGED=${env.DASH_UI_CHANGED}, COMPOSE_CHANGED=${env.COMPOSE_CHANGED}"
                }
            }
        }
@@ -70,7 +75,7 @@ pipeline {
        stage('Build Docker Images') {
            parallel {
                stage('Bot') {
-                    when { expression { env.BOT_CHANGED == 'true' } }
+                    when { expression { env.BOT_CHANGED == 'true' || env.MTF_CHANGED == 'true' } }
                    steps {
                        sh "docker build -t ${FULL_IMAGE} -t ${LATEST_IMAGE} ."
                    }
@@ -95,7 +100,7 @@ pipeline {
                withCredentials([usernamePassword(credentialsId: 'gitea-registry-cred', passwordVariable: 'GITEA_TOKEN', usernameVariable: 'GITEA_USER')]) {
                    sh "echo \$GITEA_TOKEN | docker login ${REGISTRY} -u \$GITEA_USER --password-stdin"
                    script {
-                        if (env.BOT_CHANGED == 'true') {
+                        if (env.BOT_CHANGED == 'true' || env.MTF_CHANGED == 'true') {
                            sh "docker push ${FULL_IMAGE}"
                            sh "docker push ${LATEST_IMAGE}"
                        }
@@ -126,6 +131,8 @@ pipeline {
                    if (env.BOT_CHANGED == 'true') {
                        services.add('cointrader')
                        services.add('ls-ratio-collector')
+                    }
+                    if (env.BOT_CHANGED == 'true' || env.MTF_CHANGED == 'true') {
                        services.add('mtf-bot')
                    }
                    if (env.DASH_API_CHANGED == 'true') services.add('dashboard-api')
@@ -145,7 +152,7 @@ pipeline {
        stage('Cleanup') {
            steps {
                script {
-                    if (env.BOT_CHANGED == 'true') {
+                    if (env.BOT_CHANGED == 'true' || env.MTF_CHANGED == 'true') {
                        sh "docker rmi ${FULL_IMAGE} || true"
                        sh "docker rmi ${LATEST_IMAGE} || true"
                    }
@@ -168,7 +175,7 @@ pipeline {
            sh """
            curl -H "Content-Type: application/json" \
                 -X POST \
-                 -d '{"content": "✅ **[배포 성공]** `cointrader` (Build #${env.BUILD_NUMBER}) 운영 서버(10.1.10.24) 배포 완료!\\n- 🤖 봇: ${env.BOT_CHANGED}\\n- 📊 API: ${env.DASH_API_CHANGED}\\n- 🖥️ UI: ${env.DASH_UI_CHANGED}"}' \
+                 -d '{"content": "✅ **[배포 성공]** `cointrader` (Build #${env.BUILD_NUMBER}) 운영 서버(10.1.10.24) 배포 완료!\\n- 🤖 봇: ${env.BOT_CHANGED}\\n- 📈 MTF: ${env.MTF_CHANGED}\\n- 📊 API: ${env.DASH_API_CHANGED}\\n- 🖥️ UI: ${env.DASH_UI_CHANGED}"}' \
                 ${DISCORD_WEBHOOK}
            """
        }
--- a/docker-compose.yml
+++ b/docker-compose.yml
@@ -63,6 +63,7 @@ services:
      - PYTHONUNBUFFERED=1
    volumes:
      - ./logs:/app/logs
+      - ./data:/app/data
    entrypoint: ["python", "main_mtf.py"]
    logging:
      driver: "json-file"
--- a/src/mtf_bot.py
+++ b/src/mtf_bot.py
@@ -15,10 +15,12 @@ Module 4: ExecutionManager (Dry-run 가상 주문 + SL/TP 관리)
 """

 import asyncio
+import json
 import os
 import time as _time
 from datetime import datetime, timezone
 from collections import deque
+from pathlib import Path
 from typing import Optional, Dict, List

 import pandas as pd
@@ -399,6 +401,9 @@ class TriggerStrategy:
 # Module 4: ExecutionManager
 # ═══════════════════════════════════════════════════════════════════

+_MTF_TRADE_DIR = Path("data/trade_history")
+
+
 class ExecutionManager:
    """
    TriggerStrategy의 신호를 받아 포지션 상태를 관리하고
@@ -408,11 +413,14 @@ class ExecutionManager:
    ATR_SL_MULT = 1.5
    ATR_TP_MULT = 2.3

-    def __init__(self):
+    def __init__(self, symbol: str = "XRPUSDT"):
+        self.symbol = symbol
        self.current_position: Optional[str] = None  # None | 'LONG' | 'SHORT'
        self._entry_price: Optional[float] = None
+        self._entry_ts: Optional[str] = None
        self._sl_price: Optional[float] = None
        self._tp_price: Optional[float] = None
+        self._atr_at_entry: Optional[float] = None

    def execute(self, signal: str, current_price: float, atr_value: Optional[float]) -> Optional[Dict]:
        """
@@ -455,8 +463,10 @@ class ExecutionManager:

        self.current_position = side
        self._entry_price = entry_price
+        self._entry_ts = datetime.now(timezone.utc).isoformat()
        self._sl_price = sl_price
        self._tp_price = tp_price
+        self._atr_at_entry = atr_value

        sl_dist = abs(entry_price - sl_price)
        tp_dist = abs(tp_price - entry_price)
@@ -492,8 +502,8 @@ class ExecutionManager:
            "risk_reward": round(rr_ratio, 2),
        }

-    def close_position(self, reason: str) -> None:
-        """포지션 청산 (상태 초기화)."""
+    def close_position(self, reason: str, exit_price: float = 0.0, pnl_bps: float = 0.0) -> None:
+        """포지션 청산 + JSONL 기록 (상태 초기화)."""
        if self.current_position is None:
            logger.debug("[ExecutionManager] 청산할 포지션 없음")
            return
@@ -503,6 +513,9 @@ class ExecutionManager:
            f"(진입: {self._entry_price:.4f}) | 사유: {reason}"
        )

+        # JSONL에 기록
+        self._save_trade(reason, exit_price, pnl_bps)
+
        # ── 실주문 (프로덕션 전환 시 주석 해제) ──
        # if self.current_position == "LONG":
        #     await self.exchange.create_market_sell_order(symbol, amount)
@@ -511,8 +524,34 @@ class ExecutionManager:

        self.current_position = None
        self._entry_price = None
+        self._entry_ts = None
        self._sl_price = None
        self._tp_price = None
+        self._atr_at_entry = None
+
+    def _save_trade(self, reason: str, exit_price: float, pnl_bps: float) -> None:
+        """거래 기록을 JSONL 파일에 append."""
+        record = {
+            "symbol": self.symbol,
+            "side": self.current_position,
+            "entry_price": self._entry_price,
+            "entry_ts": self._entry_ts,
+            "exit_price": exit_price,
+            "exit_ts": datetime.now(timezone.utc).isoformat(),
+            "sl_price": self._sl_price,
+            "tp_price": self._tp_price,
+            "atr": self._atr_at_entry,
+            "pnl_bps": round(pnl_bps, 1),
+            "reason": reason,
+        }
+        try:
+            _MTF_TRADE_DIR.mkdir(parents=True, exist_ok=True)
+            path = _MTF_TRADE_DIR / f"mtf_{self.symbol.replace('/', '').replace(':', '').lower()}.jsonl"
+            with open(path, "a") as f:
+                f.write(json.dumps(record) + "\n")
+            logger.info(f"[ExecutionManager] 거래 기록 저장: {path.name}")
+        except Exception as e:
+            logger.warning(f"[ExecutionManager] 거래 기록 저장 실패: {e}")

    def get_position_info(self) -> Dict:
        """현재 포지션 정보 반환."""
@@ -543,7 +582,7 @@ class MTFPullbackBot:
        self.fetcher = DataFetcher(symbol=symbol)
        self.meta = MetaFilter(self.fetcher)
        self.trigger = TriggerStrategy()
-        self.executor = ExecutionManager()
+        self.executor = ExecutionManager(symbol=symbol)
        self.notifier = DiscordNotifier(
            webhook_url=os.getenv("DISCORD_WEBHOOK_URL", ""),
        )
@@ -689,32 +728,35 @@ class MTFPullbackBot:
        if hit_sl and hit_tp:
            exit_price = sl
            pnl = (exit_price - entry) / entry if pos == "LONG" else (entry - exit_price) / entry
-            logger.info(f"[MTFBot] SL+TP 동시 히트 → SL 우선 청산 | PnL: {pnl*10000:+.1f}bps")
-            self.executor.close_position(f"SL 히트 ({exit_price:.4f})")
+            pnl_bps = pnl * 10000
+            logger.info(f"[MTFBot] SL+TP 동시 히트 → SL 우선 청산 | PnL: {pnl_bps:+.1f}bps")
+            self.executor.close_position(f"SL 히트 ({exit_price:.4f})", exit_price, pnl_bps)
            self.notifier._send(
                f"❌ **[MTF Dry-run] {pos} SL 청산**\n"
                f"진입: `{entry:.4f}` → 청산: `{exit_price:.4f}`\n"
-                f"PnL: `{pnl*10000:+.1f}bps`"
+                f"PnL: `{pnl_bps:+.1f}bps`"
            )
        elif hit_sl:
            exit_price = sl
            pnl = (exit_price - entry) / entry if pos == "LONG" else (entry - exit_price) / entry
-            logger.info(f"[MTFBot] SL 히트 | 청산가: {exit_price:.4f} | PnL: {pnl*10000:+.1f}bps")
-            self.executor.close_position(f"SL 히트 ({exit_price:.4f})")
+            pnl_bps = pnl * 10000
+            logger.info(f"[MTFBot] SL 히트 | 청산가: {exit_price:.4f} | PnL: {pnl_bps:+.1f}bps")
+            self.executor.close_position(f"SL 히트 ({exit_price:.4f})", exit_price, pnl_bps)
            self.notifier._send(
                f"❌ **[MTF Dry-run] {pos} SL 청산**\n"
                f"진입: `{entry:.4f}` → 청산: `{exit_price:.4f}`\n"
-                f"PnL: `{pnl*10000:+.1f}bps`"
+                f"PnL: `{pnl_bps:+.1f}bps`"
            )
        elif hit_tp:
            exit_price = tp
            pnl = (exit_price - entry) / entry if pos == "LONG" else (entry - exit_price) / entry
-            logger.info(f"[MTFBot] TP 히트 | 청산가: {exit_price:.4f} | PnL: {pnl*10000:+.1f}bps")
-            self.executor.close_position(f"TP 히트 ({exit_price:.4f})")
+            pnl_bps = pnl * 10000
+            logger.info(f"[MTFBot] TP 히트 | 청산가: {exit_price:.4f} | PnL: {pnl_bps:+.1f}bps")
+            self.executor.close_position(f"TP 히트 ({exit_price:.4f})", exit_price, pnl_bps)
            self.notifier._send(
                f"✅ **[MTF Dry-run] {pos} TP 청산**\n"
                f"진입: `{entry:.4f}` → 청산: `{exit_price:.4f}`\n"
-                f"PnL: `{pnl*10000:+.1f}bps`"
+                f"PnL: `{pnl_bps:+.1f}bps`"
            )