QuantEngineByItz/src/quant_engine/auto_fill_atr20_v1.py

#!/usr/bin/env python3
"""
WBS-9.3: ATR20 자동 충전 절차

조건: atr20 IS NULL AND close_price IS NOT NULL
"""

def calculate_atr20(closes: list[float], period: int = 20) -> float:
    """
    Calculate ATR (Average True Range) for 20 days.

    입력: close 가격 리스트 (최소 20일)
    출력: ATR20 (숫자)
    """
    if len(closes) < period:
        return None

    # True Range 계산 (간소화 버전: 현재 close 기반)
    trs = []
    for i in range(1, len(closes)):
        high = closes[i]
        low = closes[i]
        prev_close = closes[i - 1]

        tr = max(
            high - low,
            abs(high - prev_close),
            abs(low - prev_close)
        )
        trs.append(tr)

    if not trs:
        return None

    # ATR = SMA of True Range (20일)
    atr = sum(trs[-period:]) / min(period, len(trs))
    return round(atr, 2)


def auto_fill_atr20(row: dict, historical_closes: list[float] = None) -> dict:
    """
    자동 충전: atr20 필드

    입력:
      row: 현재 행 (atr20 = None)
      historical_closes: 과거 close 가격 (최소 20일)

    출력:
      row (atr20 채워짐) 또는 원본 (실패시)
    """
    if not historical_closes or row.get("atr20") is not None:
        return row

    atr20 = calculate_atr20(historical_closes)
    if atr20 is not None:
        row["atr20"] = atr20
        row["_fill_source"] = "auto_fill_atr20_v1"

    return row