feat(stock-lab): ScreenContext.load/restrict + 합성 픽스쳐

stock-lab/app/screener/engine.py

@@ -0,0 +1,69 @@
+"""Screener engine — ScreenContext (Phase 0) + Screener/combine (Phase 2)."""
+
+from __future__ import annotations
+
+import datetime as dt
+import sqlite3
+from dataclasses import dataclass, replace
+
+import pandas as pd
+
+
+@dataclass(frozen=True)
+class ScreenContext:
+    """1회 실행 동안 공유되는 읽기 전용 데이터 컨테이너."""
+    master: pd.DataFrame                       # index=ticker
+    prices: pd.DataFrame                       # cols: ticker,date,open,high,low,close,volume,value
+    flow:   pd.DataFrame                       # cols: ticker,date,foreign_net,institution_net
+    kospi:  pd.Series                          # index=date(str), name="kospi"
+    asof:   dt.date
+
+    @classmethod
+    def load(cls, conn: sqlite3.Connection, asof: dt.date,
+             lookback_days: int = 252 * 2) -> "ScreenContext":
+        cutoff = (asof - dt.timedelta(days=int(lookback_days * 1.5))).isoformat()
+        asof_iso = asof.isoformat()
+
+        master = pd.read_sql_query(
+            "SELECT * FROM krx_master",
+            conn, index_col="ticker",
+        )
+        prices = pd.read_sql_query(
+            "SELECT ticker,date,open,high,low,close,volume,value "
+            "FROM krx_daily_prices WHERE date BETWEEN ? AND ? ORDER BY date",
+            conn, params=(cutoff, asof_iso),
+        )
+        flow = pd.read_sql_query(
+            "SELECT ticker,date,foreign_net,institution_net "
+            "FROM krx_flow WHERE date BETWEEN ? AND ? ORDER BY date",
+            conn, params=(cutoff, asof_iso),
+        )
+
+        # KOSPI 지수: MVP에서는 005930(삼성전자) 종가를 시장 대용으로 사용.
+        # 후속 슬라이스에서 ^KS11 별도 캐시.
+        kospi = pd.Series(dtype=float, name="kospi")
+        if "005930" in master.index and not prices.empty:
+            sub = prices[prices["ticker"] == "005930"].set_index("date")["close"]
+            kospi = sub.copy()
+            kospi.name = "kospi"
+
+        return cls(master=master, prices=prices, flow=flow, kospi=kospi, asof=asof)
+
+    def restrict(self, tickers) -> "ScreenContext":
+        tickers = pd.Index(tickers)
+        return replace(
+            self,
+            master=self.master.loc[self.master.index.intersection(tickers)],
+            prices=self.prices[self.prices["ticker"].isin(tickers)],
+            flow=self.flow[self.flow["ticker"].isin(tickers)],
+        )
+
+    def latest_close(self) -> pd.Series:
+        if self.prices.empty:
+            return pd.Series(dtype=float)
+        return self.prices.sort_values("date").groupby("ticker")["close"].last()
+
+    def latest_high(self) -> pd.Series:
+        if self.prices.empty:
+            return pd.Series(dtype=float)
+        return self.prices.sort_values("date").groupby("ticker")["high"].last()