fix: adjustment='all' 조정가 적용 + parquet export 엔드포인트

- alpaca.py backfill: on_conflict_do_nothing → on_conflict_do_update
  기존 미조정 행(split 전 $1,208)을 조정가($120)로 덮어씀
  NVDA 2024-06-07 ~$120 통과 기준
- finra.py: POST /admin/export-pit-panel (Background) + GET /download
  pit_universe_membership × alpaca_price_data 조인 → /app/data/pit_panel.parquet
- requirements-api.txt: pyarrow>=14.0.0 추가

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

app/api/v1/endpoints/alpaca.py

@@ -447,7 +447,19 @@ async def _run_pit_backfill(start_str: str, end_str: str, force: bool) -> None:
                         stmt = pg_insert(AlpacaPriceData).values(
                             rows_to_insert[i: i + CHUNK_SIZE]
                         )
-                        stmt = stmt.on_conflict_do_nothing(constraint="uq_alpaca_price_data")
+                        stmt = stmt.on_conflict_do_update(
+                            constraint="uq_alpaca_price_data",
+                            set_={
+                                "open":        stmt.excluded.open,
+                                "high":        stmt.excluded.high,
+                                "low":         stmt.excluded.low,
+                                "close":       stmt.excluded.close,
+                                "volume":      stmt.excluded.volume,
+                                "vwap":        stmt.excluded.vwap,
+                                "trade_count": stmt.excluded.trade_count,
+                                "data_source": stmt.excluded.data_source,
+                            }
+                        )
                         result = await db.execute(stmt)
                         total_inserted += result.rowcount
                         await asyncio.sleep(0)
@@ -481,7 +493,7 @@ async def _run_pit_backfill(start_str: str, end_str: str, force: bool) -> None:
         "Alpaca SIP 일봉(1d)을 백필합니다. 생존편향-0 수익 계산에 필요.\n\n"
         "**특성**:\n"
         "- `adjustment=all` (분할+배당 조정) — 상폐 종목은 future-proof\n"
-        "- DB-first, idempotent (`on_conflict_do_nothing`) — 재실행 안전\n"
+        "- `on_conflict_do_update`: 기존 행도 조정가로 덮어씀 (split 이전 미조정 데이터 수정)\n"
         "- Alpaca SIP 일봉은 무료 플랜에서 2016-01-04부터 제공\n"
         "- 기본 시작일: 2018-08-01 (FINRA DB 시작일)\n\n"
         "**백그라운드 실행**: 즉시 `started` 응답, 1-3시간 소요.\n"

app/api/v1/endpoints/finra.py

@@ -2,14 +2,20 @@
 FINRA Short Sale Volume endpoints
 """
 
+import logging
+import os
 from datetime import date, datetime, timedelta, timezone
 from typing import List, Optional
 
-from fastapi import APIRouter, Depends, HTTPException, Query
-from fastapi.responses import Response
+from fastapi import APIRouter, BackgroundTasks, Depends, HTTPException, Query
+from fastapi.responses import FileResponse, Response
 from sqlalchemy import text
 from sqlalchemy.ext.asyncio import AsyncSession
 
+from app.core.database import AsyncSessionLocal
+
+logger = logging.getLogger(__name__)
+
 from app.core.config import settings
 from app.core.database import get_db
 from app.schemas.finra import (
@@ -184,6 +190,100 @@ async def get_pit_panel(
     }
 
 
+_EXPORT_PATH = "/app/data/pit_panel.parquet"
+
+
+async def _run_pit_export(start_str: str, end_str: str) -> None:
+    """Background task: export PIT panel to /app/data/pit_panel.parquet."""
+    try:
+        import pandas as pd
+    except ImportError:
+        logger.error("pandas not installed"); return
+    try:
+        import pyarrow  # noqa: F401
+    except ImportError:
+        logger.error("pyarrow not installed"); return
+
+    logger.info(f"PIT export: loading {start_str} → {end_str} ...")
+
+    async with AsyncSessionLocal() as db:
+        rows = (await db.execute(text("""
+            SELECT
+                p.d::date                  AS date,
+                p.symbol,
+                p.short_volume,
+                p.short_exempt_volume,
+                p.total_volume,
+                p.short_ratio,
+                a.open, a.high, a.low, a.close,
+                a.volume                   AS price_volume,
+                a.vwap
+            FROM pit_universe_membership p
+            LEFT JOIN alpaca_price_data a
+                ON a.ticker     = p.symbol
+               AND a.date::date = p.d
+               AND a.interval   = '1d'
+            WHERE p.d BETWEEN :s AND :e
+            ORDER BY p.d, p.symbol
+        """), {"s": start_str, "e": end_str})).fetchall()
+
+    logger.info(f"PIT export: {len(rows):,} rows fetched, writing parquet ...")
+    df = pd.DataFrame(rows, columns=[
+        "date","symbol","short_volume","short_exempt_volume","total_volume",
+        "short_ratio","open","high","low","close","price_volume","vwap",
+    ])
+    df["date"] = pd.to_datetime(df["date"])
+    os.makedirs(os.path.dirname(_EXPORT_PATH), exist_ok=True)
+    df.to_parquet(_EXPORT_PATH, index=False, engine="pyarrow")
+    mb = os.path.getsize(_EXPORT_PATH) / 1_048_576
+    logger.info(
+        f"PIT export complete: {_EXPORT_PATH} | {mb:.0f} MB | shape={df.shape} | "
+        f"price_coverage={df['close'].notna().mean()*100:.1f}%"
+    )
+
+
+@router.post(
+    "/admin/export-pit-panel",
+    summary="PIT 패널 parquet export → /app/data/pit_panel.parquet",
+    description=(
+        "FINRA × Alpaca(adjustment='all') 조인 패널을 parquet으로 저장.\n\n"
+        "`GET /finra/admin/export-pit-panel/download` 로 다운로드.\n\n"
+        "백그라운드 실행 — 전체 기간(2018-08~현재) 기준 수 분 ~ 10여 분 소요."
+    ),
+)
+async def export_pit_panel(
+    background_tasks: BackgroundTasks,
+    start_date: date = Query(date(2018, 8, 1), description="시작일"),
+    end_date: date = Query(None, description="종료일 (기본: 오늘)"),
+):
+    _end = end_date or date.today()
+    background_tasks.add_task(_run_pit_export, start_date.isoformat(), _end.isoformat())
+    return {
+        "status":     "started",
+        "start_date": start_date.isoformat(),
+        "end_date":   _end.isoformat(),
+        "output":     _EXPORT_PATH,
+        "note":       "완료 후 GET /finra/admin/export-pit-panel/download 로 다운로드.",
+    }
+
+
+@router.get(
+    "/admin/export-pit-panel/download",
+    summary="pit_panel.parquet 다운로드",
+)
+async def download_pit_panel():
+    if not os.path.exists(_EXPORT_PATH):
+        raise HTTPException(
+            status_code=404,
+            detail="parquet 파일 없음. POST /finra/admin/export-pit-panel 먼저 실행.",
+        )
+    return FileResponse(
+        _EXPORT_PATH,
+        media_type="application/octet-stream",
+        filename="pit_panel.parquet",
+    )
+
+
 @router.post(
     "/admin/ingest",
     response_model=IngestResponse,

requirements-api.txt

@@ -23,6 +23,7 @@ beautifulsoup4>=4.12.0
 # SEC data processing - using direct API calls and EDGAR downloader
 aiohttp>=3.8.0
 pandas>=2.0.0,<3.0.0
+pyarrow>=14.0.0  # parquet export (pit_panel)
 numpy>=1.24.0,<3.0.0
 python-dateutil>=2.8.0
 sec-edgar-downloader>=5.0.0