QuantEngineByItz/src/quant_engine/macro_index_collection_v1.py

"""yfinance 기반 macro 인덱스 수집기 — GAS fetchYahooOhlcMetrics 계열의 Python/SQLite 대체.

사용자 요청(2026-06-22): "GAS 대신 Python이 수집해서 SQLite로 조회돼야 하는거 아니냐"
의 두 번째 트랙. data_feed(kis_data_collection_v1.py)에 이어, GatherTradingData.json
data.macro 시트의 원자료 13개 심볼(KOSPI/KOSDAQ/VIX/USD_KRW/USD_JPY/DXY/Gold/WTI_Oil/
US10Y_Yield/US30Y_Yield/SP500/NASDAQ100/HYG_HY_Bond)을 수집한다.

macro 시트의 나머지 9개 행(MRS_COMPUTED/REGIME_PRELIM/BAYESIAN_COMPUTED/TOTAL_HEAT/
FC_BUDGET/NET_RETURN_FEEDBACK/ORBIT_GAP/ORBIT_STATE/BUCKET_STATUS, category="Computed")은
포트폴리오 결정 로직의 산출값이며 외부 수집 대상이 아니다 — 이 모듈의 범위 밖이다
(data_feed의 SS001/AC/RW 계열과 같은 GAS 결정로직 이전 트랙, WBS-7.3 참조).
"""
from __future__ import annotations

import datetime as dt
import sys
import uuid
from pathlib import Path
from typing import Any

ROOT = Path(__file__).resolve().parents[2]
if str(ROOT) not in sys.path:
    sys.path.insert(0, str(ROOT))

try:
    import yfinance as yf  # type: ignore
except Exception:  # pragma: no cover - optional dependency
    yf = None

from src.quant_engine.data_collection_store_v1 import (
    CollectionRun,
    append_collection_error,
    upsert_collection_run,
    upsert_collection_snapshot,
)

# GatherTradingData.json data.macro의 raw 수집 대상 13개 심볼(Symbol -> Name/Category).
# "Computed" category 9개 행(MRS_COMPUTED 등)은 의도적으로 제외한다.
MACRO_SYMBOLS: tuple[tuple[str, str, str], ...] = (
    ("^KS11", "KOSPI", "Index"),
    ("^KQ11", "KOSDAQ", "Index"),
    ("^VIX", "VIX", "Risk"),
    ("KRW=X", "USD_KRW", "FX"),
    ("JPY=X", "USD_JPY", "FX"),
    ("DX-Y.NYB", "DXY", "FX"),
    ("GC=F", "Gold", "Commodity"),
    ("CL=F", "WTI_Oil", "Commodity"),
    ("^TNX", "US10Y_Yield", "Bond"),
    ("^TYX", "US30Y_Yield", "Bond"),
    ("^GSPC", "SP500", "Index"),
    ("^NDX", "NASDAQ100", "Index"),
    ("HYG", "HYG_HY_Bond", "CreditProxy"),
)


def _kst_now_iso() -> str:
    return dt.datetime.now(dt.timezone(dt.timedelta(hours=9))).isoformat()


def _avg(values: list[float]) -> float | None:
    return round(sum(values) / len(values), 4) if values else None


def _ret_pct(closes: list[float], n: int) -> float | None:
    """closes[0]이 최신. n거래일전 종가 대비 수익률(%)."""
    if len(closes) <= n or not closes[n]:
        return None
    return round((closes[0] / closes[n] - 1.0) * 100.0, 4)


def fetch_macro_symbol(symbol: str, name: str, category: str) -> dict[str, Any]:
    """yfinance에서 OHLC 히스토리를 받아 macro 시트 컬럼(Close/Ret1D~20D/MA20/MA60)을 산출."""
    if yf is None:
        return {"status": "DISABLED", "symbol": symbol, "name": name, "category": category}
    try:
        ticker = yf.Ticker(symbol)
        hist = ticker.history(period="4mo")  # ~85 거래일 — MA60/Ret20D 계산에 충분
        if hist is None or hist.empty:
            return {"status": "DATA_MISSING", "symbol": symbol, "name": name, "category": category}
        closes = list(hist["Close"].iloc[::-1])  # 최신순으로 정렬(rows[0]=최신)
        as_of = hist.index[-1]
        result: dict[str, Any] = {
            "status": "OK",
            "symbol": symbol,
            "name": name,
            "category": category,
            "close": round(float(closes[0]), 4),
            "ret1d": _ret_pct(closes, 1),
            "ret2d": _ret_pct(closes, 2),
            "ret5d": _ret_pct(closes, 5),
            "ret10d": _ret_pct(closes, 10),
            "ret20d": _ret_pct(closes, 20),
            "ma20": _avg(closes[:20]) if len(closes) >= 20 else None,
            "ma60": _avg(closes[:60]) if len(closes) >= 60 else None,
            "as_of_date": as_of.strftime("%Y-%m-%dT%H:%M:%S"),
        }
        return result
    except Exception as exc:  # noqa: BLE001 - per-symbol failure must not break the batch
        return {"status": "ERROR", "symbol": symbol, "name": name, "category": category, "error": str(exc)}


def collect_macro_to_sqlite(*, sqlite_db: Path, symbols: tuple[tuple[str, str, str], ...] = MACRO_SYMBOLS) -> dict[str, Any]:
    run_id = uuid.uuid4().hex
    started_at = _kst_now_iso()
    upsert_collection_run(
        sqlite_db,
        CollectionRun(
            run_id=run_id,
            collector_name="macro_index_collection_v1",
            started_at=started_at,
            status="RUNNING",
            input_source="yfinance",
            output_db_path=str(sqlite_db),
            notes="macro 시트 raw 수집(GAS fetchYahooOhlcMetrics 대체)",
        ),
    )

    summary: dict[str, Any] = {
        "formula_id": "MACRO_INDEX_COLLECTION_V1",
        "run_id": run_id,
        "started_at": started_at,
        "sqlite_db": str(sqlite_db),
        "row_count": len(symbols),
        "errors": [],
        "rows": [],
    }

    for symbol, name, category in symbols:
        result = fetch_macro_symbol(symbol, name, category)
        if result.get("status") in ("OK", "DATA_MISSING"):
            upsert_collection_snapshot(
                sqlite_db,
                run_id=run_id,
                dataset_name="macro",
                ticker=symbol,
                name=name,
                sector=category,
                as_of_date=result.get("as_of_date"),
                source_priority="yfinance",
                source_status=result.get("status", "UNKNOWN"),
                payload=result,
                provenance={"source": "yfinance", "symbol": symbol},
            )
            summary["rows"].append({"symbol": symbol, "name": name, "close": result.get("close"), "status": result.get("status")})
        else:
            error = {"symbol": symbol, "error": result.get("error", "unknown")}
            summary["errors"].append(error)
            append_collection_error(
                sqlite_db,
                run_id=run_id,
                source_name="yfinance",
                error_kind=result.get("status", "ERROR"),
                error_message=str(result.get("error", "")),
                ticker=symbol,
                payload=result,
            )

    summary["finished_at"] = _kst_now_iso()
    summary["status"] = "PASS" if not summary["errors"] else "PASS_WITH_WARNINGS"
    upsert_collection_run(
        sqlite_db,
        CollectionRun(
            run_id=run_id,
            collector_name="macro_index_collection_v1",
            started_at=started_at,
            status=summary["status"],
            input_source="yfinance",
            output_db_path=str(sqlite_db),
            notes="macro 시트 raw 수집(GAS fetchYahooOhlcMetrics 대체)",
        ),
        finished_at=summary["finished_at"],
    )
    return summary


def main() -> int:
    import argparse
    import json

    parser = argparse.ArgumentParser()
    parser.add_argument("--sqlite-db", type=Path, default=ROOT / "outputs" / "macro_index_collection" / "macro_index_collection.db")
    parser.add_argument("--output-json", type=Path, default=ROOT / "Temp" / "macro_index_collection_v1.json")
    args = parser.parse_args()

    summary = collect_macro_to_sqlite(sqlite_db=args.sqlite_db)
    args.output_json.parent.mkdir(parents=True, exist_ok=True)
    args.output_json.write_text(json.dumps(summary, ensure_ascii=False, indent=2), encoding="utf-8")
    print(json.dumps(summary, ensure_ascii=False, indent=2))
    return 0 if summary["status"] in ("PASS", "PASS_WITH_WARNINGS") else 1


if __name__ == "__main__":
    raise SystemExit(main())