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fix corporate action ledger replay invariants

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This commit is contained in:
genichin
2026-09-13 14:04:30 +09:00
parent 48735bbb4a
commit 14c118f503
4 changed files with 59 additions and 15 deletions
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app/api/v1_portfolios.py
+6 -3
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@@ -1313,6 +1313,8 @@ def get_holdings_cost_basis(
@router.post("/{portfolio_id}/corporate-actions", response_model=CorporateActionResponse, status_code=status.HTTP_201_CREATED)
def create_corporate_action(portfolio_id: str, payload: CorporateActionRequest, response: Response, auth: AuthContext = Depends(require_trade_write), idempotency_key: str = Header(..., alias="Idempotency-Key")):
if not idempotency_key or not idempotency_key.strip():
raise HTTPException(status_code=422, detail="Idempotency-Key must not be empty")
repo = _get_repo()
try:
portfolio = repo.get(portfolio_id)
@@ -1322,9 +1324,10 @@ def create_corporate_action(portfolio_id: str, payload: CorporateActionRequest,
raise HTTPException(status_code=403, detail="Portfolio ownership mismatch")
if portfolio.managed_by_daemon_id and not payload.confirm_daemon_managed:
raise HTTPException(status_code=409, detail="DAEMON_MANAGED_CONFIRMATION_REQUIRED")
from app.domain.corporate_actions import calculate_stock_consolidation
calc = calculate_stock_consolidation(payload.quantity_before, payload.quantity_after, Decimal(str(getattr(portfolio, "price", 0))))
digest = hashlib.sha256(payload.model_dump_json().encode()).hexdigest()
from app.domain.corporate_actions import calculate_stock_consolidation, canonical_payload_hash
# The repository validates and derives WAC from the locked ledger replay.
calc = calculate_stock_consolidation(payload.quantity_before, payload.quantity_after, Decimal("0"))
digest = canonical_payload_hash(payload)
action = CorporateAction(str(uuid.uuid4()), portfolio_id, portfolio.asset_id, payload.action_type, payload.effective_date, calc.quantity_before, calc.quantity_after, calc.average_price_before, calc.average_price_after, calc.total_cost_basis, Decimal(str(portfolio.cash_balance)), Decimal(str(portfolio.profit_buffer)), payload.evidence_ref, idempotency_key, digest, 0, auth.user_id)
saved = repo.record_corporate_action(portfolio_id, action=action, idempotency_key=idempotency_key, payload_hash=digest)
return CorporateActionResponse(**saved.__dict__)
app/cli/commands/portfolio.py
+8 -4
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@@ -290,7 +290,7 @@ def corporate_action_portfolio(
"""Record an auditable stock consolidation without a trade."""
from datetime import date
from decimal import Decimal
from app.domain.corporate_actions import calculate_stock_consolidation
from app.domain.corporate_actions import calculate_stock_consolidation, canonical_payload_hash
from app.domain.models import CorporateAction
if action_type != "stock_consolidation":
ctx.obj.console.print("Error: INVALID_CORPORATE_ACTION_TYPE")
@@ -307,9 +307,13 @@ def corporate_action_portfolio(
def _callback(service, repository, app_context):
portfolio_id = _resolve_portfolio_id(repository, name, user)
portfolio = repository.get(portfolio_id)
calc = calculate_stock_consolidation(Decimal(str(quantity_before)), Decimal(str(quantity_after)), Decimal(str(portfolio.price)))
action = CorporateAction("", portfolio_id, portfolio.asset_id, action_type, day, calc.quantity_before, calc.quantity_after, calc.average_price_before, calc.average_price_after, calc.total_cost_basis, Decimal(str(portfolio.cash_balance)), Decimal(str(portfolio.profit_buffer)), evidence_ref, idempotency_key, "", 0, user)
return repository.record_corporate_action(portfolio_id, action=action, idempotency_key=idempotency_key, payload_hash="")
if not idempotency_key.strip():
raise ValueError("Idempotency-Key must not be empty")
payload = {"action_type": action_type, "effective_date": day.isoformat(), "quantity_before": str(quantity_before), "quantity_after": str(quantity_after), "evidence_ref": evidence_ref, "confirm_daemon_managed": False}
digest = canonical_payload_hash(payload)
calc = calculate_stock_consolidation(Decimal(str(quantity_before)), Decimal(str(quantity_after)), Decimal("0"))
action = CorporateAction("", portfolio_id, portfolio.asset_id, action_type, day, calc.quantity_before, calc.quantity_after, calc.average_price_before, calc.average_price_after, calc.total_cost_basis, Decimal(str(portfolio.cash_balance)), Decimal(str(portfolio.profit_buffer)), evidence_ref, idempotency_key, digest, 0, user)
return repository.record_corporate_action(portfolio_id, action=action, idempotency_key=idempotency_key, payload_hash=digest)
detail = _with_service_and_repo(ctx, _callback)
render_output(ctx.obj.console, ctx.obj.output_format, detail)
app/domain/corporate_actions.py
+8
View File
@@ -2,6 +2,14 @@
from __future__ import annotations
from dataclasses import dataclass
from decimal import Decimal, ROUND_HALF_UP
import hashlib
import json
def canonical_payload_hash(payload: object) -> str:
if hasattr(payload, "model_dump"):
payload = payload.model_dump(mode="json", exclude_none=True)
encoded = json.dumps(payload, sort_keys=True, separators=(",", ":"), ensure_ascii=False).encode()
return hashlib.sha256(encoded).hexdigest()
class CorporateActionError(ValueError):
code = "INVALID_CORPORATE_ACTION_RATIO"
app/repositories/postgres.py
+37 -8
View File
@@ -1648,10 +1648,31 @@ class PostgresPortfolioRepository:
self.ensure_schema()
with self._connect() as conn:
with conn.cursor() as cur:
cur.execute("SELECT asset_quantity, cash_balance, profit_buffer, asset_id FROM portfolios WHERE portfolio_id=%s FOR UPDATE", (portfolio_id,))
cur.execute("SELECT asset_quantity, cash_balance, profit_buffer, asset_id, status FROM portfolios WHERE portfolio_id=%s FOR UPDATE", (portfolio_id,))
row = cur.fetchone()
if row is None:
raise ValueError("portfolio not found")
if row[4] != "enabled":
raise ValueError("CORPORATE_ACTION_PORTFOLIO_DISABLED")
if row[3] != action.asset_id:
raise ValueError("CORPORATE_ACTION_ASSET_MISMATCH")
if Decimal(str(row[1])) != action.cash_balance or Decimal(str(row[2])) != action.profit_buffer:
raise ValueError("CORPORATE_ACTION_INVARIANT_MISMATCH")
cur.execute("SELECT 1 FROM portfolio_ledger WHERE portfolio_id=%s AND side IN ('buy','sell') AND executed_at::date > %s LIMIT 1", (portfolio_id, action.effective_date))
if cur.fetchone() is not None:
raise ValueError("CORPORATE_ACTION_HISTORICAL_CONFLICT")
# Derive WAC from the authoritative locked ledger, never portfolios.price.
cur.execute("SELECT side, quantity, price, fee_amount, tax_amount, executed_at FROM portfolio_ledger WHERE portfolio_id=%s ORDER BY executed_at ASC NULLS FIRST, ledger_entry_id ASC", (portfolio_id,))
history = [{"side": r[0], "quantity": r[1], "price": r[2], "fee_amount": r[3], "tax_amount": r[4], "executed_at": r[5]} for r in cur.fetchall()]
from app.domain.pnl import calculate_current_wac
wac = calculate_current_wac(history)
if Decimal(str(row[0])) != action.quantity_before or Decimal(str(wac.current_quantity)) != action.quantity_before:
raise ValueError("CORPORATE_ACTION_STALE_QUANTITY")
action.average_price_before = Decimal(str(wac.current_wac or 0))
action.total_cost_basis = (action.average_price_before * action.quantity_before).quantize(Decimal("0.00000001"))
action.average_price_after = (action.total_cost_basis / action.quantity_after).quantize(Decimal("0.00000001"))
if action.average_price_after * action.quantity_after != action.total_cost_basis:
raise ValueError("FRACTIONAL_RESULT_UNSUPPORTED")
cur.execute("SELECT corporate_action_id, payload_hash, ledger_entry_id, recorded_at FROM portfolio_corporate_actions WHERE portfolio_id=%s AND idempotency_key=%s", (portfolio_id, idempotency_key))
prior = cur.fetchone()
if prior:
@@ -1662,7 +1683,7 @@ class PostgresPortfolioRepository:
return action
if Decimal(str(row[0])) != action.quantity_before:
raise ValueError("CORPORATE_ACTION_STALE_QUANTITY")
cur.execute("UPDATE portfolios SET asset_quantity=%s WHERE portfolio_id=%s", (float(action.quantity_after), portfolio_id))
cur.execute("UPDATE portfolios SET asset_quantity=%s, updated_at=NOW() WHERE portfolio_id=%s", (float(action.quantity_after), portfolio_id))
cur.execute("INSERT INTO portfolio_ledger (portfolio_id, recorded_at, side, source, quantity, price, cash_balance_after, asset_quantity_after, profit_buffer_after, executed_at, note) VALUES (%s,NOW(),'stock_consolidation','corporate_action',0,0,%s,%s,%s,NOW(),%s) RETURNING ledger_entry_id, recorded_at", (portfolio_id, float(action.cash_balance), float(action.quantity_after), float(action.profit_buffer), action.evidence_ref))
lid, recorded = cur.fetchone()
action.ledger_entry_id, action.recorded_at = int(lid), recorded
@@ -1777,16 +1798,24 @@ class PostgresPortfolioRepository:
executed_at, recorded_at,
cash_balance_after::float8, asset_quantity_after::float8,
total_value_after::float8, profit_buffer_after::float8,
strategy_set_id, note
FROM portfolio_ledger
WHERE portfolio_id = %s
AND side IN ('buy', 'sell')
ORDER BY executed_at ASC, ledger_entry_id ASC
strategy_set_id, note,
ca.corporate_action_id, ca.effective_date, ca.quantity_before,
ca.quantity_after, ca.average_price_after
FROM portfolio_ledger AS ledger
LEFT JOIN portfolio_corporate_actions ca ON ca.ledger_entry_id = ledger.ledger_entry_id
WHERE ledger.portfolio_id = %s
ORDER BY ledger.executed_at ASC, ledger.ledger_entry_id ASC
""",
(portfolio_id,),
)
rows = cur.fetchall()
return [self._row_to_ledger_entry(row) for row in rows]
entries = []
for row in rows:
entry = self._row_to_ledger_entry(row)
if len(row) > 17 and row[17] is not None:
entry.corporate_action = {"corporate_action_id": str(row[17]), "effective_date": row[18], "quantity_before": Decimal(str(row[19])), "quantity_after": Decimal(str(row[20])), "average_price_after": Decimal(str(row[21]))}
entries.append(entry)
return entries
def insert_ledger_trade(
self,