feat(execution): reconcile timed-out orders safely
This commit is contained in:
+5
-2
@@ -50,8 +50,11 @@
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- allocated_capital :: numeric? :: 배정 자본
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- order_id / broker_order_id :: str? :: 주문 식별자(자유 주석 / 브로커 핸들)
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- venue :: TEXT NOT NULL DEFAULT 'KRX' :: 현재 주문 거래소 구분(AUTO/KRX/NXT/SOR). intent 단계의 AUTO는 KIS 제출 시 실제 KRX/NXT로 교체되며 주문번호와 원자 저장한다. pending 주문·취소까지 보존하고 HOLDING 진입 시 다음 자율주문의 AUTO, INACTIVE 진입 시 KRX로 초기화한다.
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- cancel_state :: TEXT? :: 취소 요청의 즉시 결과(requested/rejected/unknown). 최종 취소 상태가 아니며 같은 주문의 자동 재취소를 막는다.
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- cancel_requested_at :: TIMESTAMPTZ? :: 취소 요청 결과를 저장한 시각. 주문 종료·dispatch clear 때 함께 제거한다.
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- cancel_state :: TEXT? :: 취소 요청의 즉시 결과(requested/rejected/unknown). 최종 취소 상태가 아니다. requested는 재시도하지 않고, rejected/unknown만 authoritative open-row 확인과 bounded backoff 뒤 재시도할 수 있다.
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- cancel_requested_at :: TIMESTAMPTZ? :: 마지막 취소 시도 예약 시각. 주문 종료·dispatch clear 때 함께 제거한다.
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- order_submitted_at :: TIMESTAMPTZ? :: timeout deadline의 immutable 주문 제출 기준점. poll/cancel bookkeeping 및 daemon 재시작에서 보존하고 terminal dispatch clear 때 제거한다.
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- order_date :: TEXT? :: 원주문 KST 날짜(`YYYYMMDD`). 날짜 rollover 뒤 KIS 일별주문체결조회가 현재 날짜가 아닌 원주문 날짜를 사용하도록 보존한다.
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- cancel_attempts :: INTEGER NOT NULL DEFAULT 0 :: 원자적으로 예약된 취소 시도 횟수. 새 dispatch에서 0, terminal dispatch clear에서 0으로 초기화한다.
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- strategy_id / sell_strategy_id :: str? :: 진입/청산 전략 식별
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- portfolio_id :: str? :: 포트폴리오 식별
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- forced_close_at :: datetime? :: 강제 청산 마감선
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@@ -447,8 +447,8 @@ cancel_order(broker_order_id: str, *, side: str, symbol: str, qty: int, venue: s
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- `venue`: 원주문 venue. 취소 시 원주문과 동일한 `EXCG_ID_DVSN_CD`를 사용해야 한다. 기본값 `"KRX"`로 기존 호출자 하위 호환.
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- `CancelOutcome.state`: `requested`(요청 접수), `rejected`(명시적 거부), `unknown`(응답유실·전송 실패). `requested`도 최종 취소가 아니며 `poll_fill()`의 `cancelled|filled`만 주문의 최종 상태를 확정한다.
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- Core는 외부 취소 호출 전에 `unknown`을 먼저 영속화하고 응답 뒤 실제 즉시 결과로 교체한다. 따라서 요청과 저장 사이에 프로세스가 종료돼도 자동 timeout 취소는 같은 주문을 재전송하지 않고, 재시작 뒤 체결조회로만 수렴한다.
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- timeout과 운영자 취소 모두 `cancel_state IS NULL` 비교·설정에 성공한 한 호출만 외부 요청을 보낸다. 이후 반복 요청은 `cancel_already_recorded`로 응답하고 poll만 계속한다.
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- Core는 외부 취소 호출 전에 `unknown`과 시도 횟수를 원자적으로 영속화하고 응답 뒤 실제 즉시 결과로 교체한다. 따라서 요청과 저장 사이에 프로세스가 종료돼도 재시작 시 먼저 체결조회를 수행한다.
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- `requested`는 재시도하지 않는다. `rejected|unknown`은 후속 `poll_fill()`이 원주문을 open으로 확인하고 bounded backoff·최대 시도 조건을 만족한 경우에만 재시도한다. row 미가시성·missing·accepted만으로 blind retry하지 않는다. 운영자 반복 요청은 기존 `cancel_already_recorded` 경계를 유지한다.
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### get_current_price
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@@ -466,6 +466,10 @@ get_current_price(symbol: str, market: str = "J") -> Optional[Decimal]
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- `poll_fill`: KIS 신형 일별주문체결조회 실전 `TTTC0081R`, 모의
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`VTTC0081R`을 사용하고 `EXCG_ID_DVSN_CD=ALL`을 전달한다. 일반 주문번호
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조회와 결과불명 주문 탐색이 같은 계약으로 KRX·NXT 체결을 확인한다.
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일반 주문은 영속화된 `order_date`(`YYYYMMDD`)를 조회일로 사용하며,
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row가 없으면 bounded 제출 직후 visibility grace 이후 `unknown`으로
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fail-closed 한다. `order_submitted_at`/`order_date`를 알 수 없는 legacy
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pending row는 mutable `updated_at`로 추정하지 않고 CRITICAL alarm과 pending을 유지한다.
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## `FillStatus` 확장 (BAT-006 / REQ-018)
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@@ -25,6 +25,7 @@ class FakeBroker:
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def __init__(self, balance, fill=None):
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self.balance = balance
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self.fill = fill or FillStatus(state="accepted")
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self.poll_metadata = None
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def name(self):
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return "fake"
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@@ -32,7 +33,16 @@ class FakeBroker:
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def submit_order(self, req):
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return OrderAck(accepted=True, broker_order_id="1")
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def poll_fill(self, broker_order_id, *, side, symbol):
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def poll_fill(
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self,
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broker_order_id,
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*,
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side,
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symbol,
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order_date=None,
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submitted_at=None,
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):
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self.poll_metadata = (order_date, submitted_at)
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return self.fill
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def cancel_order(self, broker_order_id, *, side, symbol, qty, venue="KRX"):
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@@ -77,6 +87,23 @@ def test_confirmed_fill_is_persisted_once_and_manual_remainder_stays_hidden(tmp_
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assert StrategyOwnershipStore(store.path).snapshot()[0] == {"005930": 2}
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def test_poll_preserves_original_order_metadata_through_ownership_decorator(tmp_path):
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store = StrategyOwnershipStore(tmp_path / "ownership.json")
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delegate = FakeBroker([])
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broker = OwnershipAwareBroker(delegate, store)
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submitted_at = datetime(2026, 8, 14, 6, 20, tzinfo=timezone.utc)
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broker.poll_fill(
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"1",
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side="buy",
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symbol="005930",
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order_date="20260814",
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submitted_at=submitted_at,
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)
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assert delegate.poll_metadata == ("20260814", submitted_at)
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def test_strategy_quantity_above_raw_broker_total_fails_closed(tmp_path):
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store = StrategyOwnershipStore(tmp_path / "ownership.json")
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store.apply_fill(
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@@ -36,7 +36,7 @@ _SLOT_COLUMNS = (
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"sell_strategy_id, forced_close_at, stop_loss_price, take_profit_price, "
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"created_at, updated_at, instance_key, retired_at, "
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"timeout_sec, slippage_pct, occupancy_seq, venue, "
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"cancel_state, cancel_requested_at"
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"cancel_state, cancel_requested_at, order_submitted_at, order_date, cancel_attempts"
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)
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_MANAGED_SLOT_SQL = (
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f"SELECT {_SLOT_COLUMNS} FROM daily_slot "
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@@ -149,6 +149,9 @@ def _row(slot: Slot) -> tuple:
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slot.venue,
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slot.cancel_state,
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slot.cancel_requested_at,
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slot.order_submitted_at,
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slot.order_date,
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slot.cancel_attempts,
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)
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@@ -290,7 +290,8 @@ class TestTimeoutCancel:
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# age the slot past timeout
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s = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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s, updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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s,
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order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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)
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r = execution.run_once()
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assert r.timeout_cancelled == 1
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@@ -310,13 +311,13 @@ class TestTimeoutCancel:
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assert r.timeout_cancelled == 0
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assert len(broker.cancel_calls) == 0
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def test_no_timeout_sec_no_cancel(self):
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def test_updated_at_does_not_move_hard_fallback_deadline(self):
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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sid = _buy_to_pending(intents, timeout_sec=None)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once() # dispatch
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# age the slot
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# Mutable row bookkeeping is not the dispatch/deadline clock.
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s = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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s, updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=9999),
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@@ -335,7 +336,8 @@ class TestTimeoutCancel:
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execution.run_once() # dispatch
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s = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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s, updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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s,
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order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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)
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with caplog.at_level(logging.WARNING):
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r = execution.run_once()
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@@ -357,7 +359,8 @@ class TestTimeoutCancel:
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execution.run_once()
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s = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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s, updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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s,
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order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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)
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execution.run_once()
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# slot still PENDING_BUY — cancel is best-effort; rollback on next poll
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@@ -376,7 +379,7 @@ class TestTimeoutCancel:
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slot = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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slot,
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updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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)
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result = execution.run_once()
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@@ -395,7 +398,8 @@ class TestTimeoutCancel:
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# age the slot → cancel sent
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s = repo.fetch_slot(sid)
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repo._slots[sid] = replace(
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s, updated_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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s,
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order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(seconds=60),
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)
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r1 = execution.run_once()
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assert r1.timeout_cancelled == 1
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@@ -75,14 +75,14 @@ class TestIntentPayloadParsing:
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assert slot.timeout_sec == 60
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assert slot.slippage_pct == 1.0
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def test_buy_policy_fields_absent_means_none(self):
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"""Backward-compat: no policy fields in payload → None on slot."""
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def test_buy_policy_fields_absent_uses_hard_fallback(self):
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"""No policy field still receives the hard 3,600-second fallback."""
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repo, _, intents = _wire()
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handler = make_intent_rpc_handler(intents)
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resp = handler(_buy_req())
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sid = UUID(resp.payload["slot_id"])
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slot = repo.fetch_slot(sid)
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assert slot.timeout_sec is None
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assert slot.timeout_sec == 3600
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assert slot.slippage_pct is None
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def test_sell_timeout_sec_parsed(self):
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@@ -166,13 +166,13 @@ class TestDefaultOrderTimeoutSec:
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slot = repo.fetch_slot(d.slot_id)
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assert slot.timeout_sec == 30
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def test_no_config_default_no_intent_timeout_means_none(self):
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def test_no_config_default_no_intent_timeout_uses_hard_fallback(self):
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repo, _, intents = self._wire_with_default(default_timeout=None)
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d = intents.submit_buy(BuyIntent(
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intent_id="b1", portfolio_id="PF-1", qty=10,
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))
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slot = repo.fetch_slot(d.slot_id)
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assert slot.timeout_sec is None
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assert slot.timeout_sec == 3600
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# ============================================================================
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@@ -0,0 +1,342 @@
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"""Synthetic coverage for GitHub #58 timeout/cancel reconciliation."""
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from __future__ import annotations
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from dataclasses import replace
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from datetime import datetime, timedelta, timezone
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from pathlib import Path
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from uuid import UUID
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import pytest
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from trex_core.adapters.broker import kis as kis_mod
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from trex_core.adapters.broker.kis import KISBroker
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from trex_core.adapters.persistence.in_memory_intent_store import InMemoryIntentStore
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from trex_core.application.broker_port import CancelOutcome, CancelState, FillStatus
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from trex_core.application.execution import ExecutionService
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from trex_core.application.intents import BuyIntent, IntentService, SellIntent
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from trex_core.application.messaging import RpcRequest
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from trex_core.application.messaging_handlers import make_intent_rpc_handler
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from trex_core.domain.slot import SlotService, SlotState
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from trex_core.domain.slot.in_memory_repository import InMemorySlotRepository
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from trex_core.runtime.config import DaemonInstanceConfig
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from tests.application.test_execution_policy import _RecordingBroker
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_KST = timezone(timedelta(hours=9))
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def _wire(*, default_timeout=None):
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repo = InMemorySlotRepository()
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service = SlotService(repo)
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intents = IntentService(
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service,
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repo,
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InMemoryIntentStore(),
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resolve_symbol=lambda _pid: "005930",
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default_order_timeout_sec=default_timeout,
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)
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repo.reconcile_universe("default", {"PF-1": "005930"})
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return repo, service, intents
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@pytest.mark.parametrize("value", [0, -1, 3601, True, 1.5, "30"])
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def test_direct_strategy_timeout_outside_integer_bounds_is_rejected(value):
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repo, _, intents = _wire()
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decision = intents.submit_buy(
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BuyIntent(intent_id=f"b-{value!r}", portfolio_id="PF-1", qty=1, timeout_sec=value)
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)
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assert decision.status == "rejected"
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assert decision.reason.startswith("bad_request:timeout_sec_")
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assert repo.list_undispatched_pending() == []
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@pytest.mark.parametrize("value", [0, -1, 3601, True, 1.5, "30"])
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def test_direct_sell_timeout_outside_integer_bounds_is_rejected(value):
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repo, _, intents = _wire()
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decision = intents.submit_sell(
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SellIntent(intent_id=f"s-{value!r}", slot_id=UUID(int=1), timeout_sec=value)
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)
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assert decision.status == "rejected"
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assert decision.reason.startswith("bad_request:timeout_sec_")
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assert repo.list_undispatched_pending() == []
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@pytest.mark.parametrize("value", [0, -1, 3601, 1.5, True, "30", "not-an-int"])
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@pytest.mark.parametrize("intent_type", ["buy", "sell"])
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def test_wire_strategy_timeout_bad_request_before_admission(value, intent_type):
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repo, _, intents = _wire()
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payload = {
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"intent_type": intent_type,
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"intent_id": "bad-timeout",
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"timeout_sec": value,
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}
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if intent_type == "buy":
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payload.update({"portfolio_id": "PF-1", "qty": 1})
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else:
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payload["slot_id"] = str(UUID(int=1))
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response = make_intent_rpc_handler(intents)(
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RpcRequest(
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correlation_id="bad-timeout",
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payload=payload,
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)
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)
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assert response.payload["status"] == "rejected"
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assert response.payload["reason"].startswith("bad_request:")
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assert repo.list_undispatched_pending() == []
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@pytest.mark.parametrize("value", [1, 3600])
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def test_strategy_timeout_inclusive_bounds_are_admitted(value):
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repo, _, intents = _wire()
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decision = intents.submit_buy(
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BuyIntent(intent_id=f"b-{value}", portfolio_id="PF-1", qty=1, timeout_sec=value)
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)
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assert decision.admitted
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assert repo.fetch_slot(decision.slot_id).timeout_sec == value
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def test_buy_and_sell_omission_use_instance_override_or_hard_fallback():
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repo, service, intents = _wire(default_timeout=120)
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buy = intents.submit_buy(BuyIntent(intent_id="b1", portfolio_id="PF-1", qty=1))
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assert repo.fetch_slot(buy.slot_id).timeout_sec == 120
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service.transit_slot(
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buy.slot_id,
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SlotState.PENDING_BUY,
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SlotState.HOLDING,
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reason="fixture",
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actor="test",
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qty=1,
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avg_price=1000,
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)
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sell = intents.submit_sell(SellIntent(intent_id="s1", slot_id=buy.slot_id))
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assert sell.admitted
|
||||
assert repo.fetch_slot(buy.slot_id).timeout_sec == 120
|
||||
|
||||
fallback_repo, _, fallback = _wire(default_timeout=None)
|
||||
fallback_buy = fallback.submit_buy(
|
||||
BuyIntent(intent_id="fallback", portfolio_id="PF-1", qty=1)
|
||||
)
|
||||
assert fallback_repo.fetch_slot(fallback_buy.slot_id).timeout_sec == 3600
|
||||
|
||||
|
||||
@pytest.mark.parametrize("value", [0, -1, 3601, 1.5, True, "30"])
|
||||
def test_instance_timeout_outside_toml_integer_contract_fails_startup(tmp_path, value):
|
||||
path = tmp_path / "instance.toml"
|
||||
literal = str(value).lower() if isinstance(value, bool) else repr(value)
|
||||
path.write_text(f'instance_key = "x"\ndefault_order_timeout_sec = {literal}\n')
|
||||
with pytest.raises(RuntimeError, match="default_order_timeout_sec"):
|
||||
DaemonInstanceConfig.from_toml(str(path))
|
||||
|
||||
|
||||
def test_instance_timeout_omission_and_bounds(tmp_path):
|
||||
path = tmp_path / "instance.toml"
|
||||
path.write_text('instance_key = "x"\n')
|
||||
assert DaemonInstanceConfig.from_toml(str(path)).default_order_timeout_sec == 3600
|
||||
for value in (1, 3600):
|
||||
path.write_text(f'instance_key = "x"\ndefault_order_timeout_sec = {value}\n')
|
||||
assert DaemonInstanceConfig.from_toml(str(path)).default_order_timeout_sec == value
|
||||
|
||||
|
||||
def test_migration_does_not_invent_legacy_submission_metadata():
|
||||
migration = (
|
||||
Path(__file__).parents[2]
|
||||
/ "trex_core/adapters/persistence/sql/022_persist_order_timeout_anchor.sql"
|
||||
).read_text(encoding="utf-8")
|
||||
|
||||
assert "ADD COLUMN IF NOT EXISTS order_submitted_at" in migration
|
||||
assert "ADD COLUMN IF NOT EXISTS order_date" in migration
|
||||
assert "UPDATE daily_slot" not in migration
|
||||
assert "COALESCE(updated_at, created_at)" not in migration
|
||||
|
||||
|
||||
def test_dispatch_anchor_and_original_date_survive_bookkeeping_and_restart():
|
||||
broker = _RecordingBroker()
|
||||
repo, service, intents = _wire()
|
||||
execution = ExecutionService(service, repo, broker)
|
||||
decision = intents.submit_buy(
|
||||
BuyIntent(intent_id="b1", portfolio_id="PF-1", qty=1, timeout_sec=60)
|
||||
)
|
||||
broker.responder = lambda _side: FillStatus(state="accepted")
|
||||
execution.run_once()
|
||||
dispatched = repo.fetch_slot(decision.slot_id)
|
||||
submitted_at = dispatched.order_submitted_at
|
||||
order_date = dispatched.order_date
|
||||
assert submitted_at is not None and order_date == submitted_at.astimezone(_KST).strftime("%Y%m%d")
|
||||
|
||||
assert repo.replace_dispatch(dispatched.slot_id, dispatched.broker_order_id, "resolved-1")
|
||||
resolved = repo.fetch_slot(dispatched.slot_id)
|
||||
assert resolved.order_submitted_at == submitted_at
|
||||
assert resolved.order_date == order_date
|
||||
|
||||
repo.mark_cancel_outcome(dispatched.slot_id, "resolved-1", "unknown")
|
||||
persisted = repo.fetch_slot(dispatched.slot_id)
|
||||
assert persisted.updated_at != dispatched.updated_at
|
||||
assert persisted.order_submitted_at == submitted_at
|
||||
assert persisted.order_date == order_date
|
||||
assert ExecutionService(service, repo, broker).reconcile().filled == 0
|
||||
restarted = repo.fetch_slot(dispatched.slot_id)
|
||||
assert restarted.order_submitted_at == submitted_at
|
||||
assert restarted.order_date == order_date
|
||||
|
||||
service.transit_slot(
|
||||
dispatched.slot_id,
|
||||
SlotState.PENDING_BUY,
|
||||
SlotState.HOLDING,
|
||||
reason="terminal-fixture",
|
||||
actor="test",
|
||||
qty=1,
|
||||
avg_price=1000,
|
||||
)
|
||||
repo.clear_dispatch(dispatched.slot_id)
|
||||
terminal = repo.fetch_slot(dispatched.slot_id)
|
||||
assert terminal.order_submitted_at is None
|
||||
assert terminal.order_date is None
|
||||
assert terminal.cancel_attempts == 0
|
||||
|
||||
|
||||
class _AlarmRecorder:
|
||||
def __init__(self):
|
||||
self.calls = []
|
||||
|
||||
def publish_alarm(self, code, title, *, fields=None, severity="critical"):
|
||||
self.calls.append((code, severity, fields))
|
||||
|
||||
|
||||
def test_legacy_pending_without_authoritative_metadata_is_fail_closed_and_alarm_bounded():
|
||||
broker = _RecordingBroker()
|
||||
repo, service, intents = _wire()
|
||||
alarms = _AlarmRecorder()
|
||||
execution = ExecutionService(service, repo, broker, alarm_emitter=alarms)
|
||||
decision = intents.submit_buy(
|
||||
BuyIntent(intent_id="legacy", portfolio_id="PF-1", qty=1, timeout_sec=1)
|
||||
)
|
||||
broker.responder = lambda _side: FillStatus(state="accepted")
|
||||
execution.run_once()
|
||||
slot = repo.fetch_slot(decision.slot_id)
|
||||
repo._slots[slot.slot_id] = replace(
|
||||
slot,
|
||||
order_submitted_at=None,
|
||||
order_date=None,
|
||||
updated_at=datetime.now(tz=timezone.utc) - timedelta(days=2),
|
||||
)
|
||||
|
||||
execution.run_once()
|
||||
execution.run_once()
|
||||
|
||||
persisted = repo.fetch_slot(slot.slot_id)
|
||||
assert persisted.status is SlotState.PENDING_BUY
|
||||
assert broker.cancel_calls == []
|
||||
metadata_alarms = [
|
||||
call for call in alarms.calls if call[0] == "order_reconciliation_metadata_unknown"
|
||||
]
|
||||
assert len(metadata_alarms) == 1
|
||||
assert set(metadata_alarms[0][2]) == {"slot_id", "symbol"}
|
||||
|
||||
|
||||
def test_cancel_rejected_is_fail_closed_alarm_and_authoritative_bounded_retry():
|
||||
broker = _RecordingBroker()
|
||||
broker.cancel_outcome = CancelOutcome(CancelState.REJECTED, "closed_session")
|
||||
repo, service, intents = _wire()
|
||||
alarms = _AlarmRecorder()
|
||||
execution = ExecutionService(service, repo, broker, alarm_emitter=alarms)
|
||||
decision = intents.submit_buy(
|
||||
BuyIntent(intent_id="b1", portfolio_id="PF-1", qty=1, timeout_sec=1)
|
||||
)
|
||||
broker.responder = lambda _side: FillStatus(state="accepted")
|
||||
execution.run_once()
|
||||
slot = repo.fetch_slot(decision.slot_id)
|
||||
repo._slots[slot.slot_id] = replace(
|
||||
slot,
|
||||
order_submitted_at=datetime.now(tz=timezone.utc) - timedelta(minutes=1),
|
||||
)
|
||||
execution.run_once()
|
||||
rejected = repo.fetch_slot(slot.slot_id)
|
||||
assert rejected.status is SlotState.PENDING_BUY
|
||||
assert rejected.cancel_state == "rejected"
|
||||
assert len(broker.cancel_calls) == 1
|
||||
assert any(code == "order_cancel_unresolved" and severity == "critical" for code, severity, _ in alarms.calls)
|
||||
|
||||
# No visible broker row => no blind retry, even after restart/backoff.
|
||||
repo._slots[slot.slot_id] = replace(
|
||||
rejected,
|
||||
cancel_requested_at=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
)
|
||||
ExecutionService(service, repo, broker, alarm_emitter=alarms).run_once()
|
||||
assert len(broker.cancel_calls) == 1
|
||||
|
||||
# An authoritative open row permits one backoff-gated retry.
|
||||
broker.responder = lambda _side: FillStatus(
|
||||
state="accepted", raw={"order_open_confirmed": True}
|
||||
)
|
||||
broker.cancel_outcome = CancelOutcome(CancelState.REQUESTED)
|
||||
ExecutionService(service, repo, broker, alarm_emitter=alarms).run_once()
|
||||
assert len(broker.cancel_calls) == 2
|
||||
retried = repo.fetch_slot(slot.slot_id)
|
||||
assert retried.cancel_state == "requested"
|
||||
assert retried.cancel_attempts == 2
|
||||
ExecutionService(service, repo, broker).run_once()
|
||||
assert len(broker.cancel_calls) == 2
|
||||
|
||||
|
||||
class _Resp:
|
||||
status_code = 200
|
||||
|
||||
def __init__(self, payload):
|
||||
self._payload = payload
|
||||
|
||||
def json(self):
|
||||
return self._payload
|
||||
|
||||
|
||||
def _kis(clock):
|
||||
broker = KISBroker(
|
||||
"12345678-01",
|
||||
app_key="k",
|
||||
app_secret="s",
|
||||
base_url="https://openapivts.koreainvestment.com:29443",
|
||||
clock=clock,
|
||||
)
|
||||
broker._token = "token"
|
||||
broker._token_exp = datetime.now(tz=timezone.utc) + timedelta(hours=1)
|
||||
return broker
|
||||
|
||||
|
||||
def test_kis_rollover_uses_original_date_and_row_visibility_is_nonterminal(monkeypatch):
|
||||
now = datetime(2026, 8, 15, 9, 0, tzinfo=_KST)
|
||||
submitted = datetime(2026, 8, 14, 15, 20, tzinfo=_KST)
|
||||
seen = {}
|
||||
|
||||
def fake_get(*_args, **kwargs):
|
||||
seen.update(kwargs["params"])
|
||||
return _Resp({"rt_cd": "0", "output1": []})
|
||||
|
||||
monkeypatch.setattr(kis_mod.httpx, "get", fake_get)
|
||||
status = _kis(lambda: now).poll_fill(
|
||||
"06010:0000123456",
|
||||
side="buy",
|
||||
symbol="005930",
|
||||
order_date="20260814",
|
||||
submitted_at=submitted,
|
||||
)
|
||||
assert seen["INQR_STRT_DT"] == seen["INQR_END_DT"] == "20260814"
|
||||
assert status.state == "unknown"
|
||||
assert status.raw["reason"] == "order_not_visible_unresolved"
|
||||
assert status.raw["order_visible"] is False
|
||||
|
||||
|
||||
def test_kis_recent_missing_row_stays_in_bounded_visibility_grace(monkeypatch):
|
||||
now = datetime(2026, 8, 14, 9, 0, tzinfo=_KST)
|
||||
monkeypatch.setattr(
|
||||
kis_mod.httpx,
|
||||
"get",
|
||||
lambda *_args, **_kwargs: _Resp({"rt_cd": "0", "output1": []}),
|
||||
)
|
||||
status = _kis(lambda: now).poll_fill(
|
||||
"06010:0000123457",
|
||||
side="sell",
|
||||
symbol="005930",
|
||||
order_date="20260814",
|
||||
submitted_at=now - timedelta(seconds=30),
|
||||
)
|
||||
assert status.state == "accepted"
|
||||
assert status.raw["reason"] == "order_visibility_grace"
|
||||
assert status.raw["order_visible"] is False
|
||||
@@ -144,7 +144,13 @@ def _wire(broker: KISBroker):
|
||||
instance_key=INSTANCE,
|
||||
)
|
||||
repo.reconcile_universe(INSTANCE, {PORTFOLIO: SYMBOL})
|
||||
execution = ExecutionService(slots, repo, broker, instance_key=INSTANCE)
|
||||
execution = ExecutionService(
|
||||
slots,
|
||||
repo,
|
||||
broker,
|
||||
instance_key=INSTANCE,
|
||||
clock=lambda: VIRTUAL_AT,
|
||||
)
|
||||
decision = intents.submit_buy(
|
||||
BuyIntent(
|
||||
intent_id="virtual-buy-1",
|
||||
@@ -170,7 +176,13 @@ def test_timeout_after_exchange_accept_resolves_without_duplicate_and_survives_r
|
||||
assert len(state.orders) == 1
|
||||
|
||||
state.fill_orders = True
|
||||
restarted = ExecutionService(slots, repo, _broker(server), instance_key=INSTANCE)
|
||||
restarted = ExecutionService(
|
||||
slots,
|
||||
repo,
|
||||
_broker(server),
|
||||
instance_key=INSTANCE,
|
||||
clock=lambda: VIRTUAL_AT,
|
||||
)
|
||||
restarted.reconcile()
|
||||
|
||||
holding = repo.fetch_slot(slot_id)
|
||||
|
||||
@@ -307,6 +307,7 @@ class KISBroker:
|
||||
reason=f"submit_outcome_unknown:{type(exc).__name__}",
|
||||
venue=actual_venue,
|
||||
raw={"error_class": type(exc).__name__},
|
||||
submitted_at=submitted_at,
|
||||
)
|
||||
if getattr(resp, "status_code", 200) >= 500:
|
||||
return OrderAck(
|
||||
@@ -315,6 +316,7 @@ class KISBroker:
|
||||
reason=f"submit_outcome_unknown:http_{resp.status_code}",
|
||||
venue=actual_venue,
|
||||
raw={"http_status": resp.status_code},
|
||||
submitted_at=submitted_at,
|
||||
)
|
||||
if str(payload.get("rt_cd")) == "0":
|
||||
out = payload.get("output") or {}
|
||||
@@ -326,6 +328,7 @@ class KISBroker:
|
||||
broker_order_id=bid,
|
||||
venue=actual_venue,
|
||||
raw=payload,
|
||||
submitted_at=submitted_at,
|
||||
)
|
||||
return OrderAck(
|
||||
accepted=False,
|
||||
@@ -362,7 +365,15 @@ class KISBroker:
|
||||
"EXCG_ID_DVSN_CD": "ALL",
|
||||
}
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
def poll_fill(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
order_date: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> FillStatus:
|
||||
if broker_order_id.startswith(_SUBMISSION_UNKNOWN_PREFIX):
|
||||
return self._poll_unknown_submission(broker_order_id, side=side, symbol=symbol)
|
||||
now = monotonic()
|
||||
@@ -375,8 +386,8 @@ class KISBroker:
|
||||
# open duplicate KIS inquiries for the same order.
|
||||
self._fill_poll_not_before[broker_order_id] = now + _FILL_POLL_MIN_INTERVAL_SECONDS
|
||||
odno = broker_order_id.split(":")[-1]
|
||||
today = datetime.now(tz=_KST).strftime("%Y%m%d")
|
||||
tr_id, params = self._daily_fill_request(today, order_number=odno)
|
||||
inquiry_date = order_date or self._clock().astimezone(_KST).strftime("%Y%m%d")
|
||||
tr_id, params = self._daily_fill_request(inquiry_date, order_number=odno)
|
||||
try:
|
||||
resp = httpx.get(
|
||||
f"{self._base_url}/uapi/domestic-stock/v1/trading/inquire-daily-ccld",
|
||||
@@ -410,11 +421,36 @@ class KISBroker:
|
||||
None,
|
||||
)
|
||||
if row is None:
|
||||
return FillStatus(
|
||||
state="accepted",
|
||||
raw={"reason": "order_not_visible_in_fill_inquiry"},
|
||||
visible_grace = (
|
||||
submitted_at is None
|
||||
or (self._clock().astimezone(timezone.utc) - submitted_at.astimezone(timezone.utc))
|
||||
.total_seconds()
|
||||
< _SUBMISSION_LOOKUP_GRACE_SECONDS
|
||||
)
|
||||
return self._fill_status_from_row(row, side=side, today=today, fallback_odno=odno)
|
||||
return FillStatus(
|
||||
state="accepted" if visible_grace else "unknown",
|
||||
raw={
|
||||
"reason": (
|
||||
"order_visibility_grace"
|
||||
if visible_grace
|
||||
else "order_not_visible_unresolved"
|
||||
),
|
||||
"order_visible": False,
|
||||
"inquiry_date": inquiry_date,
|
||||
},
|
||||
)
|
||||
status = self._fill_status_from_row(
|
||||
row, side=side, today=inquiry_date, fallback_odno=odno
|
||||
)
|
||||
return replace(
|
||||
status,
|
||||
raw={
|
||||
**(status.raw if isinstance(status.raw, dict) else {}),
|
||||
"order_visible": True,
|
||||
"order_open_confirmed": status.state in {"accepted", "partially_filled"},
|
||||
"inquiry_date": inquiry_date,
|
||||
},
|
||||
)
|
||||
|
||||
def _poll_unknown_submission(
|
||||
self,
|
||||
|
||||
@@ -10,8 +10,10 @@ from __future__ import annotations
|
||||
|
||||
import json
|
||||
import os
|
||||
from datetime import datetime
|
||||
from pathlib import Path
|
||||
from threading import Lock
|
||||
from typing import Optional
|
||||
|
||||
from trex_core.application.broker_port import (
|
||||
BalanceItem,
|
||||
@@ -126,8 +128,22 @@ class OwnershipAwareBroker:
|
||||
def submit_order(self, req: OrderRequest) -> OrderAck:
|
||||
return self._delegate.submit_order(req)
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
result = self._delegate.poll_fill(broker_order_id, side=side, symbol=symbol)
|
||||
def poll_fill(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
order_date: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> FillStatus:
|
||||
result = self._delegate.poll_fill(
|
||||
broker_order_id,
|
||||
side=side,
|
||||
symbol=symbol,
|
||||
order_date=order_date,
|
||||
submitted_at=submitted_at,
|
||||
)
|
||||
if result.execution_id and result.filled_qty > 0 and (
|
||||
result.is_filled or result.is_partial_cancel
|
||||
):
|
||||
|
||||
@@ -9,6 +9,7 @@ from __future__ import annotations
|
||||
|
||||
import threading
|
||||
from decimal import Decimal
|
||||
from datetime import datetime
|
||||
from typing import Optional
|
||||
|
||||
from trex_core.adapters.broker.seq_store import SeqStore
|
||||
@@ -80,7 +81,15 @@ class PaperBroker:
|
||||
self._orders[oid] = _Order(oid, req)
|
||||
return OrderAck(accepted=True, broker_order_id=oid, venue=req.venue)
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
def poll_fill(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
order_date: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> FillStatus:
|
||||
with self._lock:
|
||||
o = self._orders.get(broker_order_id)
|
||||
if o is None:
|
||||
@@ -91,7 +100,12 @@ class PaperBroker:
|
||||
if symbol in self._reject:
|
||||
return FillStatus(state="rejected", raw={"reason": "paper_reject"})
|
||||
if o.polls <= self._fill_after:
|
||||
return FillStatus(state="accepted", filled_qty=o.filled, avg_price=o.price)
|
||||
return FillStatus(
|
||||
state="accepted",
|
||||
filled_qty=o.filled,
|
||||
avg_price=o.price,
|
||||
raw={"order_open_confirmed": True},
|
||||
)
|
||||
step = self._qty_per_poll if self._qty_per_poll is not None else (o.qty - o.filled)
|
||||
o.filled = min(o.qty, o.filled + step)
|
||||
if o.filled >= o.qty:
|
||||
@@ -105,7 +119,12 @@ class PaperBroker:
|
||||
state="filled", filled_qty=o.filled, avg_price=o.price,
|
||||
execution_id=execution_id, fee=fee, tax=tax,
|
||||
)
|
||||
return FillStatus(state="partially_filled", filled_qty=o.filled, avg_price=o.price)
|
||||
return FillStatus(
|
||||
state="partially_filled",
|
||||
filled_qty=o.filled,
|
||||
avg_price=o.price,
|
||||
raw={"order_open_confirmed": True},
|
||||
)
|
||||
|
||||
def cancel_order(
|
||||
self,
|
||||
|
||||
@@ -14,7 +14,7 @@ from __future__ import annotations
|
||||
|
||||
import json
|
||||
from contextlib import contextmanager
|
||||
from datetime import datetime, timezone
|
||||
from datetime import datetime, timedelta, timezone
|
||||
from typing import Any, Iterator, Optional
|
||||
from uuid import UUID, uuid4
|
||||
|
||||
@@ -38,9 +38,11 @@ _SLOT_COLUMNS = (
|
||||
"sell_strategy_id, forced_close_at, stop_loss_price, take_profit_price, "
|
||||
"created_at, updated_at, instance_key, retired_at, "
|
||||
"timeout_sec, slippage_pct, occupancy_seq, venue, "
|
||||
"cancel_state, cancel_requested_at"
|
||||
"cancel_state, cancel_requested_at, order_submitted_at, order_date, cancel_attempts"
|
||||
)
|
||||
|
||||
_KST = timezone(timedelta(hours=9))
|
||||
|
||||
|
||||
def _require_psycopg(module: Any = None) -> Any:
|
||||
if module is not None:
|
||||
@@ -218,7 +220,8 @@ class PostgreSQLSlotRepository:
|
||||
"forced_close_at=%s, stop_loss_price=%s, take_profit_price=%s, "
|
||||
"instance_key=%s, retired_at=%s, timeout_sec=%s, slippage_pct=%s, "
|
||||
"occupancy_seq=%s, venue=%s, cancel_state=%s, "
|
||||
"cancel_requested_at=%s, updated_at=%s WHERE slot_id=%s",
|
||||
"cancel_requested_at=%s, order_submitted_at=%s, order_date=%s, "
|
||||
"cancel_attempts=%s, updated_at=%s WHERE slot_id=%s",
|
||||
(
|
||||
slot.status.value,
|
||||
slot.symbol,
|
||||
@@ -241,6 +244,9 @@ class PostgreSQLSlotRepository:
|
||||
slot.venue,
|
||||
slot.cancel_state,
|
||||
slot.cancel_requested_at,
|
||||
slot.order_submitted_at,
|
||||
slot.order_date,
|
||||
slot.cancel_attempts,
|
||||
slot.updated_at or datetime.now(tz=timezone.utc),
|
||||
slot.slot_id,
|
||||
),
|
||||
@@ -295,16 +301,22 @@ class PostgreSQLSlotRepository:
|
||||
broker_order_id: str,
|
||||
*,
|
||||
venue: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> bool:
|
||||
submitted_at = submitted_at or datetime.now(tz=timezone.utc)
|
||||
order_date = submitted_at.astimezone(_KST).strftime("%Y%m%d")
|
||||
with self._psycopg.connect(self._dsn, autocommit=False) as conn:
|
||||
with conn.cursor() as cur:
|
||||
cur.execute(
|
||||
"UPDATE daily_slot SET broker_order_id=%s, "
|
||||
"venue=COALESCE(%s, venue), updated_at=%s "
|
||||
"venue=COALESCE(%s, venue), order_submitted_at=%s, order_date=%s, "
|
||||
"cancel_attempts=0, updated_at=%s "
|
||||
"WHERE slot_id=%s AND broker_order_id IS NULL",
|
||||
(
|
||||
broker_order_id,
|
||||
venue,
|
||||
submitted_at,
|
||||
order_date,
|
||||
datetime.now(tz=timezone.utc),
|
||||
slot_id,
|
||||
),
|
||||
@@ -366,6 +378,31 @@ class PostgreSQLSlotRepository:
|
||||
conn.commit()
|
||||
return ok
|
||||
|
||||
def reserve_cancel_attempt(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
retry_before: Optional[datetime] = None,
|
||||
) -> bool:
|
||||
"""Atomically reserve first cancel or an authoritative backoff-gated retry."""
|
||||
now = datetime.now(tz=timezone.utc)
|
||||
with self._psycopg.connect(self._dsn, autocommit=False) as conn:
|
||||
with conn.cursor() as cur:
|
||||
cur.execute(
|
||||
"UPDATE daily_slot SET cancel_state='unknown', cancel_requested_at=%s, "
|
||||
"cancel_attempts=cancel_attempts+1, updated_at=%s "
|
||||
"WHERE slot_id=%s AND broker_order_id=%s "
|
||||
"AND status IN ('pending_buy','pending_sell') "
|
||||
"AND (cancel_state IS NULL OR "
|
||||
"(%s IS NOT NULL AND cancel_state IN ('rejected','unknown') "
|
||||
"AND cancel_attempts < 4 AND cancel_requested_at <= %s))",
|
||||
(now, now, slot_id, broker_order_id, retry_before, retry_before),
|
||||
)
|
||||
ok = cur.rowcount == 1
|
||||
conn.commit()
|
||||
return ok
|
||||
|
||||
def list_dispatched_pending(self, instance_key: str = "default") -> list[Slot]:
|
||||
with self._psycopg.connect(self._dsn) as conn:
|
||||
with conn.cursor() as cur:
|
||||
@@ -382,7 +419,8 @@ class PostgreSQLSlotRepository:
|
||||
with conn.cursor() as cur:
|
||||
cur.execute(
|
||||
"UPDATE daily_slot SET broker_order_id=NULL, cancel_state=NULL, "
|
||||
"cancel_requested_at=NULL, updated_at=%s WHERE slot_id=%s",
|
||||
"cancel_requested_at=NULL, order_submitted_at=NULL, order_date=NULL, "
|
||||
"cancel_attempts=0, updated_at=%s WHERE slot_id=%s",
|
||||
(datetime.now(tz=timezone.utc), slot_id),
|
||||
)
|
||||
conn.commit()
|
||||
@@ -410,7 +448,8 @@ class PostgreSQLSlotRepository:
|
||||
# created_at(14) updated_at(15) instance_key(16) retired_at(17)
|
||||
# timeout_sec(18) slippage_pct(19) [dcy-022/REQ-068]
|
||||
# occupancy_seq(20) [dcy-028/REQ-081], venue(21),
|
||||
# cancel_state(22), cancel_requested_at(23)
|
||||
# cancel_state(22), cancel_requested_at(23), order_submitted_at(24),
|
||||
# order_date(25), cancel_attempts(26)
|
||||
return Slot(
|
||||
slot_id=row[0] if isinstance(row[0], UUID) else UUID(str(row[0])),
|
||||
status=SlotState(row[1]),
|
||||
@@ -436,6 +475,9 @@ class PostgreSQLSlotRepository:
|
||||
venue=str(row[21]) if len(row) > 21 and row[21] is not None else "KRX",
|
||||
cancel_state=str(row[22]) if len(row) > 22 and row[22] is not None else None,
|
||||
cancel_requested_at=row[23] if len(row) > 23 else None,
|
||||
order_submitted_at=row[24] if len(row) > 24 else None,
|
||||
order_date=str(row[25]) if len(row) > 25 and row[25] is not None else None,
|
||||
cancel_attempts=int(row[26]) if len(row) > 26 and row[26] is not None else 0,
|
||||
)
|
||||
|
||||
|
||||
|
||||
@@ -0,0 +1,27 @@
|
||||
-- GitHub #58: persist the effective timeout's immutable dispatch anchor and
|
||||
-- original KST order date separately from mutable row bookkeeping. Existing
|
||||
-- dispatched rows deliberately remain NULL: updated_at/created_at are mutable
|
||||
-- bookkeeping and cannot prove the original submission timestamp or order day.
|
||||
-- Runtime keeps those legacy rows fail-closed and raises a sanitized alarm.
|
||||
ALTER TABLE daily_slot
|
||||
ADD COLUMN IF NOT EXISTS order_submitted_at TIMESTAMPTZ;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD COLUMN IF NOT EXISTS order_date TEXT;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD COLUMN IF NOT EXISTS cancel_attempts INTEGER NOT NULL DEFAULT 0;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
DROP CONSTRAINT IF EXISTS daily_slot_order_date_check;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD CONSTRAINT daily_slot_order_date_check
|
||||
CHECK (order_date IS NULL OR order_date ~ '^[0-9]{8}$');
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
DROP CONSTRAINT IF EXISTS daily_slot_cancel_attempts_check;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD CONSTRAINT daily_slot_cancel_attempts_check
|
||||
CHECK (cancel_attempts >= 0);
|
||||
@@ -9,6 +9,7 @@ from __future__ import annotations
|
||||
|
||||
import os
|
||||
from dataclasses import dataclass, field
|
||||
from datetime import datetime
|
||||
from decimal import Decimal
|
||||
from enum import Enum
|
||||
from typing import Any, Optional, Protocol
|
||||
@@ -75,6 +76,7 @@ class OrderAck:
|
||||
# never has to infer the original venue.
|
||||
venue: Optional[str] = None
|
||||
raw: dict[str, Any] = field(default_factory=dict)
|
||||
submitted_at: Optional[datetime] = None
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
@@ -135,7 +137,15 @@ class BrokerPort(Protocol):
|
||||
"""Submit an order. Returns accepted + broker_order_id (no synchronous fill)."""
|
||||
...
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
def poll_fill(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
order_date: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> FillStatus:
|
||||
"""Observe current fill status for a previously accepted order."""
|
||||
...
|
||||
|
||||
|
||||
@@ -23,9 +23,10 @@ single producer for ledger work items (NFR-3, single record subject).
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import inspect
|
||||
import logging
|
||||
from dataclasses import dataclass, replace
|
||||
from datetime import datetime, timezone
|
||||
from datetime import datetime, timedelta, timezone
|
||||
from typing import Callable, Optional
|
||||
|
||||
from trex_core.application.alarm_emitter import AlarmEmitter
|
||||
@@ -86,6 +87,7 @@ class ExecutionService:
|
||||
instance_key: str = "default",
|
||||
alarm_emitter: Optional[AlarmEmitter] = None,
|
||||
balance_reader: Optional[Callable[[], list[BalanceItem]]] = None,
|
||||
clock: Optional[Callable[[], datetime]] = None,
|
||||
) -> None:
|
||||
self._svc = slot_service
|
||||
self._repo = repo
|
||||
@@ -106,6 +108,11 @@ class ExecutionService:
|
||||
)
|
||||
# dcy-033 / REQ-100: best-effort alarm emitter (None = no alarms sent).
|
||||
self._alarm_emitter = alarm_emitter
|
||||
# One emission per durable unresolved state/attempt in this process.
|
||||
# A restart intentionally emits once again, covering a crash between a
|
||||
# durable cancel reservation and best-effort alarm publication.
|
||||
self._order_alarm_keys: set[tuple[str, str, int]] = set()
|
||||
self._clock = clock or (lambda: datetime.now(tz=timezone.utc))
|
||||
# dcy-041 / GitHub #45: pending-sell quantity may use a bounded
|
||||
# account snapshot only through this injected reader. Reconciliation
|
||||
# remains wired directly to the live broker.
|
||||
@@ -216,6 +223,7 @@ class ExecutionService:
|
||||
slot.slot_id,
|
||||
ack.broker_order_id,
|
||||
venue=ack.venue,
|
||||
submitted_at=ack.submitted_at,
|
||||
)
|
||||
r.dispatched += 1
|
||||
if ack.reason and ack.reason.startswith("submit_outcome_unknown:"):
|
||||
@@ -258,11 +266,11 @@ class ExecutionService:
|
||||
r.rolled_back += 1
|
||||
|
||||
def _poll(self, r: ExecutionResult) -> None:
|
||||
now = datetime.now(tz=timezone.utc)
|
||||
now = self._clock().astimezone(timezone.utc)
|
||||
for slot in self._repo.list_dispatched_pending(self._instance_key):
|
||||
side = "buy" if slot.status is SlotState.PENDING_BUY else "sell"
|
||||
set_correlation_id(str(slot.slot_id)) # REQ-084: same key as submit
|
||||
fs = self._broker.poll_fill(slot.broker_order_id, side=side, symbol=slot.symbol or "")
|
||||
fs = self._poll_fill(slot, side)
|
||||
resolved_order_id = (
|
||||
fs.raw.get("resolved_broker_order_id") if isinstance(fs.raw, dict) else None
|
||||
)
|
||||
@@ -312,7 +320,18 @@ class ExecutionService:
|
||||
# tick, but surface if it has been stuck too long (FR-3), and
|
||||
# send a cancel if the slot-level timeout is exceeded (REQ-069).
|
||||
self._check_stale_pending(slot, now, r)
|
||||
self._try_timeout_cancel(slot, now, side, r)
|
||||
self._try_timeout_cancel(slot, now, side, fs, r)
|
||||
|
||||
def _poll_fill(self, slot, side: str):
|
||||
"""Use immutable order metadata when the adapter supports the new seam."""
|
||||
poll = self._broker.poll_fill
|
||||
parameters = inspect.signature(poll).parameters
|
||||
kwargs = {"side": side, "symbol": slot.symbol or ""}
|
||||
if "order_date" in parameters:
|
||||
kwargs["order_date"] = slot.order_date
|
||||
if "submitted_at" in parameters:
|
||||
kwargs["submitted_at"] = slot.order_submitted_at
|
||||
return poll(slot.broker_order_id, **kwargs)
|
||||
|
||||
# ------------------------------------------------------------
|
||||
def _balance_map(self) -> dict:
|
||||
@@ -553,39 +572,40 @@ class ExecutionService:
|
||||
self._stale_threshold_sec,
|
||||
)
|
||||
|
||||
def _try_timeout_cancel(self, slot, now: datetime, side: str, r: ExecutionResult) -> None:
|
||||
"""Send cancel_order when the slot-level timeout is exceeded (dcy-022/REQ-069).
|
||||
|
||||
Best-effort: a failure only logs a warning — the slot is NOT changed here.
|
||||
Actual rollback happens on the next poll tick when the broker confirms the
|
||||
cancel (is_terminal_reject) or partial fill then cancel (is_partial_cancel).
|
||||
This design is safe across the cancel-fill race: if the cancel races with a
|
||||
fill, the next poll sees is_filled and follows the normal fill path (FR-4).
|
||||
"""
|
||||
def _try_timeout_cancel(self, slot, now: datetime, side: str, fs, r: ExecutionResult) -> None:
|
||||
"""Begin or safely retry cancellation after the immutable deadline."""
|
||||
if str(slot.broker_order_id or "").startswith("submission-unknown:"):
|
||||
return
|
||||
if slot.cancel_state is not None:
|
||||
if slot.timeout_sec is None:
|
||||
return
|
||||
if slot.timeout_sec is None or slot.updated_at is None:
|
||||
if slot.order_submitted_at is None or slot.order_date is None:
|
||||
self._emit_order_metadata_unknown_alarm(slot)
|
||||
return
|
||||
age = (now - slot.updated_at).total_seconds()
|
||||
age = (now - slot.order_submitted_at).total_seconds()
|
||||
if age < slot.timeout_sec:
|
||||
return
|
||||
|
||||
is_retry = slot.cancel_state in {
|
||||
CancelState.REJECTED.value,
|
||||
CancelState.UNKNOWN.value,
|
||||
}
|
||||
if slot.cancel_state is not None and not is_retry:
|
||||
return
|
||||
if is_retry:
|
||||
self._emit_unresolved_cancel_alarm(slot)
|
||||
if not (isinstance(fs.raw, dict) and fs.raw.get("order_open_confirmed") is True):
|
||||
return
|
||||
backoff_sec = min(300, 5 * (2 ** max(0, slot.cancel_attempts - 1)))
|
||||
retry_before = now - timedelta(seconds=backoff_sec)
|
||||
else:
|
||||
retry_before = None
|
||||
|
||||
qty = int(slot.qty or 0)
|
||||
# Write UNKNOWN before external I/O. If the process dies after KIS
|
||||
# receives the request but before the response is persisted, restart
|
||||
# polls the order instead of issuing a blind second cancellation.
|
||||
if not self._repo.mark_cancel_outcome(
|
||||
if not self._repo.reserve_cancel_attempt(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
CancelState.UNKNOWN.value,
|
||||
only_if_unset=True,
|
||||
retry_before=retry_before,
|
||||
):
|
||||
_log.error(
|
||||
"cancel attempt reservation conflict: slot=%s broker_order_id=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
)
|
||||
return
|
||||
try:
|
||||
cancel_kwargs = {
|
||||
@@ -610,8 +630,7 @@ class ExecutionService:
|
||||
)
|
||||
if not persisted:
|
||||
_log.error(
|
||||
"cancel outcome persistence conflict: slot=%s broker_order_id=%s "
|
||||
"outcome=%s",
|
||||
"cancel outcome persistence conflict: slot=%s broker_order_id=%s outcome=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
outcome.state.value,
|
||||
@@ -619,6 +638,14 @@ class ExecutionService:
|
||||
return
|
||||
if outcome.is_requested:
|
||||
r.timeout_cancelled += 1
|
||||
elif outcome.state in {CancelState.REJECTED, CancelState.UNKNOWN}:
|
||||
self._emit_unresolved_cancel_alarm(
|
||||
replace(
|
||||
slot,
|
||||
cancel_state=outcome.state.value,
|
||||
cancel_attempts=slot.cancel_attempts + 1,
|
||||
)
|
||||
)
|
||||
_log.warning(
|
||||
"timeout cancel result: slot=%s status=%s broker_order_id=%s "
|
||||
"age_sec=%.0f timeout_sec=%d outcome=%s",
|
||||
@@ -630,6 +657,52 @@ class ExecutionService:
|
||||
outcome.state.value,
|
||||
)
|
||||
|
||||
def _emit_unresolved_cancel_alarm(self, slot) -> None:
|
||||
key = (str(slot.slot_id), str(slot.cancel_state), slot.cancel_attempts)
|
||||
if key in self._order_alarm_keys:
|
||||
return
|
||||
self._order_alarm_keys.add(key)
|
||||
_log.critical(
|
||||
"cancel unresolved: slot=%s status=%s broker_order_id=%s outcome=%s "
|
||||
"(fail-closed pending; authoritative polling continues)",
|
||||
slot.slot_id,
|
||||
slot.status.value,
|
||||
slot.broker_order_id,
|
||||
slot.cancel_state,
|
||||
)
|
||||
if self._alarm_emitter is not None:
|
||||
self._alarm_emitter.publish_alarm(
|
||||
"order_cancel_unresolved",
|
||||
f"주문 취소 미확정: 슬롯 pending 유지 (slot={slot.slot_id})",
|
||||
fields={
|
||||
"slot_id": str(slot.slot_id),
|
||||
"symbol": slot.symbol,
|
||||
"cancel_state": slot.cancel_state,
|
||||
"order_date": slot.order_date,
|
||||
},
|
||||
)
|
||||
|
||||
def _emit_order_metadata_unknown_alarm(self, slot) -> None:
|
||||
key = (str(slot.slot_id), "order_metadata_unknown", slot.cancel_attempts)
|
||||
if key in self._order_alarm_keys:
|
||||
return
|
||||
self._order_alarm_keys.add(key)
|
||||
_log.critical(
|
||||
"order reconciliation metadata unknown: slot=%s status=%s "
|
||||
"(fail-closed pending; no timeout cancel retry)",
|
||||
slot.slot_id,
|
||||
slot.status.value,
|
||||
)
|
||||
if self._alarm_emitter is not None:
|
||||
self._alarm_emitter.publish_alarm(
|
||||
"order_reconciliation_metadata_unknown",
|
||||
f"주문 원시각/원주문일 미확인: 슬롯 pending 유지 (slot={slot.slot_id})",
|
||||
fields={
|
||||
"slot_id": str(slot.slot_id),
|
||||
"symbol": slot.symbol,
|
||||
},
|
||||
)
|
||||
|
||||
def _emit_event(self, event_type: str, slot, routing_strategy_id: Optional[str] = None) -> None:
|
||||
if self._event_emitter is None:
|
||||
return
|
||||
@@ -734,11 +807,9 @@ class ExecutionService:
|
||||
cancel_kwargs["venue"] = slot.venue
|
||||
# Durable unknown reservation closes the crash window between the
|
||||
# outbound request and saving its immediate result.
|
||||
if not self._repo.mark_cancel_outcome(
|
||||
if not self._repo.reserve_cancel_attempt(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
CancelState.UNKNOWN.value,
|
||||
only_if_unset=True,
|
||||
):
|
||||
return "cancel_already_recorded"
|
||||
outcome = self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
|
||||
|
||||
@@ -38,6 +38,7 @@ from trex_core.domain.slot import (
|
||||
)
|
||||
|
||||
_MAX_ADMIT_RETRY = 8
|
||||
_HARD_ORDER_TIMEOUT_SEC = 3600
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
@@ -129,9 +130,15 @@ class IntentService:
|
||||
# expected to set max_active_slots in the instance TOML — design §5).
|
||||
self._instance_key = instance_key
|
||||
self._max_active_slots = max_active_slots
|
||||
# dcy-022 / REQ-068: default timeout when intent omits timeout_sec.
|
||||
# None = OFF = indefinite wait (legacy behavior). Per-intent value overrides.
|
||||
self._default_order_timeout_sec = default_order_timeout_sec
|
||||
# Omission never disables timeout. Runtime validates configured values;
|
||||
# this seam remains fail-safe for direct application construction.
|
||||
self._default_order_timeout_sec = (
|
||||
default_order_timeout_sec
|
||||
if isinstance(default_order_timeout_sec, int)
|
||||
and not isinstance(default_order_timeout_sec, bool)
|
||||
and 1 <= default_order_timeout_sec <= _HARD_ORDER_TIMEOUT_SEC
|
||||
else _HARD_ORDER_TIMEOUT_SEC
|
||||
)
|
||||
# BAT-050 / REQ-104: reconcile-warning gate store (Optional).
|
||||
# When None, gate is skipped (backward compat, NFR-4).
|
||||
self._warn_store = warn_store
|
||||
@@ -219,6 +226,9 @@ class IntentService:
|
||||
dcy-036 / REQ-114: entry gate — if entry_allowed_fn returns False,
|
||||
BuyIntent is rejected before any slot lookup."""
|
||||
|
||||
timeout_error = self._timeout_error(intent.timeout_sec)
|
||||
if timeout_error is not None:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, timeout_error)
|
||||
if intent.venue not in {"AUTO", "KRX", "NXT", "SOR"}:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
|
||||
|
||||
@@ -334,6 +344,9 @@ class IntentService:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "already_active")
|
||||
|
||||
def _admit_sell(self, intent: SellIntent) -> IntentDecision:
|
||||
timeout_error = self._timeout_error(intent.timeout_sec)
|
||||
if timeout_error is not None:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, timeout_error)
|
||||
if intent.venue not in {"AUTO", "KRX", "NXT", "SOR"}:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
|
||||
|
||||
@@ -385,3 +398,13 @@ class IntentService:
|
||||
except SlotStateMismatchError:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "slot_state_changed")
|
||||
return IntentDecision(intent.intent_id, "admitted", updated.slot_id, None)
|
||||
|
||||
@staticmethod
|
||||
def _timeout_error(timeout_sec: object) -> Optional[str]:
|
||||
if timeout_sec is None:
|
||||
return None
|
||||
if not isinstance(timeout_sec, int) or isinstance(timeout_sec, bool):
|
||||
return "bad_request:timeout_sec_must_be_integer"
|
||||
if not 1 <= timeout_sec <= _HARD_ORDER_TIMEOUT_SEC:
|
||||
return "bad_request:timeout_sec_out_of_range"
|
||||
return None
|
||||
|
||||
@@ -608,7 +608,9 @@ def _opt_float(v) -> Optional[float]:
|
||||
def _opt_int(v) -> Optional[int]:
|
||||
if v is None:
|
||||
return None
|
||||
return int(v)
|
||||
if not isinstance(v, int) or isinstance(v, bool):
|
||||
raise ValueError("integer required")
|
||||
return v
|
||||
|
||||
|
||||
def _opt_dt(v) -> Optional[datetime]:
|
||||
|
||||
@@ -9,7 +9,7 @@ from __future__ import annotations
|
||||
import threading
|
||||
from contextlib import contextmanager
|
||||
from dataclasses import replace
|
||||
from datetime import datetime, timezone
|
||||
from datetime import datetime, timedelta, timezone
|
||||
from typing import Iterator, Optional
|
||||
from uuid import UUID, uuid4
|
||||
|
||||
@@ -163,6 +163,7 @@ class InMemorySlotRepository:
|
||||
|
||||
# --- order execution queue (BAT-004 / REQ-013, option A) ---
|
||||
_PENDING = (SlotState.PENDING_BUY, SlotState.PENDING_SELL)
|
||||
_KST = timezone(timedelta(hours=9))
|
||||
|
||||
def list_undispatched_pending(
|
||||
self,
|
||||
@@ -191,15 +192,20 @@ class InMemorySlotRepository:
|
||||
broker_order_id: str,
|
||||
*,
|
||||
venue: Optional[str] = None,
|
||||
submitted_at: Optional[datetime] = None,
|
||||
) -> bool:
|
||||
"""Atomically persist dispatch identity and the actual broker venue."""
|
||||
"""Atomically persist dispatch identity and its immutable clock."""
|
||||
s = self._slots.get(slot_id)
|
||||
if s is None or s.broker_order_id is not None:
|
||||
return False
|
||||
submitted_at = submitted_at or datetime.now(tz=timezone.utc)
|
||||
self._slots[slot_id] = replace(
|
||||
s,
|
||||
broker_order_id=broker_order_id,
|
||||
venue=venue if venue is not None else s.venue,
|
||||
order_submitted_at=submitted_at,
|
||||
order_date=submitted_at.astimezone(self._KST).strftime("%Y%m%d"),
|
||||
cancel_attempts=0,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
return True
|
||||
@@ -245,6 +251,39 @@ class InMemorySlotRepository:
|
||||
)
|
||||
return True
|
||||
|
||||
def reserve_cancel_attempt(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
retry_before: Optional[datetime] = None,
|
||||
) -> bool:
|
||||
s = self._slots.get(slot_id)
|
||||
retry_allowed = (
|
||||
retry_before is not None
|
||||
and s is not None
|
||||
and s.cancel_state in {"rejected", "unknown"}
|
||||
and s.cancel_attempts < 4
|
||||
and s.cancel_requested_at is not None
|
||||
and s.cancel_requested_at <= retry_before
|
||||
)
|
||||
if (
|
||||
s is None
|
||||
or s.broker_order_id != broker_order_id
|
||||
or s.status not in self._PENDING
|
||||
or (s.cancel_state is not None and not retry_allowed)
|
||||
):
|
||||
return False
|
||||
now = datetime.now(tz=timezone.utc)
|
||||
self._slots[slot_id] = replace(
|
||||
s,
|
||||
cancel_state="unknown",
|
||||
cancel_requested_at=now,
|
||||
cancel_attempts=s.cancel_attempts + 1,
|
||||
updated_at=now,
|
||||
)
|
||||
return True
|
||||
|
||||
def list_dispatched_pending(self, instance_key: str = "default") -> list[Slot]:
|
||||
"""Pending slots already dispatched (broker_order_id NOT NULL) — poll targets."""
|
||||
return [
|
||||
@@ -266,6 +305,9 @@ class InMemorySlotRepository:
|
||||
broker_order_id=None,
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
order_submitted_at=None,
|
||||
order_date=None,
|
||||
cancel_attempts=0,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
|
||||
@@ -64,6 +64,11 @@ class Slot:
|
||||
# across ticks and restarts.
|
||||
cancel_state: Optional[str] = None
|
||||
cancel_requested_at: Optional[datetime] = None
|
||||
# Immutable dispatch clock and original KST order date. Unlike updated_at,
|
||||
# these survive polling/cancel bookkeeping and anchor deadline/recovery.
|
||||
order_submitted_at: Optional[datetime] = None
|
||||
order_date: Optional[str] = None
|
||||
cancel_attempts: int = 0
|
||||
|
||||
|
||||
# Canonical column contract for `Slot` (dcy-001 OQ-2 / FR-5).
|
||||
@@ -95,6 +100,9 @@ EXPECTED_SLOT_FIELDS: frozenset[str] = frozenset({
|
||||
"venue",
|
||||
"cancel_state",
|
||||
"cancel_requested_at",
|
||||
"order_submitted_at",
|
||||
"order_date",
|
||||
"cancel_attempts",
|
||||
})
|
||||
|
||||
|
||||
|
||||
@@ -213,6 +213,9 @@ class SlotService:
|
||||
venue="KRX",
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
order_submitted_at=None,
|
||||
order_date=None,
|
||||
cancel_attempts=0,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
@@ -287,6 +290,21 @@ class SlotService:
|
||||
venue=new_venue,
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
order_submitted_at=(
|
||||
slot.order_submitted_at
|
||||
if to_state in {SlotState.PENDING_BUY, SlotState.PENDING_SELL}
|
||||
else None
|
||||
),
|
||||
order_date=(
|
||||
slot.order_date
|
||||
if to_state in {SlotState.PENDING_BUY, SlotState.PENDING_SELL}
|
||||
else None
|
||||
),
|
||||
cancel_attempts=(
|
||||
slot.cancel_attempts
|
||||
if to_state in {SlotState.PENDING_BUY, SlotState.PENDING_SELL}
|
||||
else 0
|
||||
),
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
|
||||
+15
-10
@@ -170,9 +170,8 @@ class DaemonInstanceConfig:
|
||||
# admission capacity cap. BAT-030: asset-centric is the only model; absent
|
||||
# means no cap (operators are expected to set it in production).
|
||||
max_active_slots: Optional[int] = None
|
||||
# dcy-022 / REQ-068: default order timeout in seconds (opt-in per instance).
|
||||
# None = OFF = indefinite wait (legacy behavior). Per-intent timeout_sec overrides.
|
||||
default_order_timeout_sec: Optional[int] = None
|
||||
# Per-instance override; omission uses the hard 3,600-second fallback.
|
||||
default_order_timeout_sec: int = 3600
|
||||
# dcy-024 / REQ-048 CHG-20260611-01: disable autonomous safety-sell worker.
|
||||
# Absent = True (safe default). False → trex-safety-sell thread not started.
|
||||
safety_sell_enabled: bool = True
|
||||
@@ -202,11 +201,17 @@ class DaemonInstanceConfig:
|
||||
raise RuntimeError(
|
||||
f"instance TOML 'max_active_slots' must be > 0, got {raw_max}: {path}"
|
||||
)
|
||||
raw_timeout = data.get("default_order_timeout_sec")
|
||||
default_timeout = int(raw_timeout) if raw_timeout is not None else None
|
||||
if default_timeout is not None and default_timeout <= 0:
|
||||
raw_timeout = data.get("default_order_timeout_sec", 3600)
|
||||
if not isinstance(raw_timeout, int) or isinstance(raw_timeout, bool):
|
||||
raise RuntimeError(
|
||||
f"instance TOML 'default_order_timeout_sec' must be > 0, got {raw_timeout}: {path}"
|
||||
f"instance TOML 'default_order_timeout_sec' must be an integer in 1..3600, "
|
||||
f"got {raw_timeout}: {path}"
|
||||
)
|
||||
default_timeout = raw_timeout
|
||||
if not 1 <= default_timeout <= 3600:
|
||||
raise RuntimeError(
|
||||
f"instance TOML 'default_order_timeout_sec' must be in 1..3600, "
|
||||
f"got {raw_timeout}: {path}"
|
||||
)
|
||||
raw_wd = data.get("watchdog_timeout_sec")
|
||||
watchdog_timeout = int(raw_wd) if raw_wd is not None else None
|
||||
@@ -258,9 +263,8 @@ class DaemonConfig:
|
||||
# threshold in seconds. 0 disables (default). When >0, dispatched-pending
|
||||
# slots older than this are surfaced (WARN + counter) without state change.
|
||||
pending_stale_threshold_sec: int = 0
|
||||
# dcy-022 / REQ-068: default order timeout (seconds). None = OFF = indefinite.
|
||||
# Per-intent timeout_sec overrides. Passed to IntentService at wiring time.
|
||||
default_order_timeout_sec: Optional[int] = None
|
||||
# Effective fallback passed to IntentService; never disabled by omission.
|
||||
default_order_timeout_sec: int = 3600
|
||||
# dcy-014 / REQ-048: operator-local timezone (CLI date display etc.). The
|
||||
# daily preallocation trigger was removed with the pool model (BAT-030).
|
||||
trading_timezone: str = "Asia/Seoul"
|
||||
@@ -417,4 +421,5 @@ class DaemonConfig:
|
||||
safety_sell_enabled=inst.safety_sell_enabled,
|
||||
safety_sell=safety_sell,
|
||||
credential_fetch_enabled=inst.credential_fetch_enabled,
|
||||
default_order_timeout_sec=inst.default_order_timeout_sec,
|
||||
)
|
||||
|
||||
Reference in New Issue
Block a user