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feat(execution): reconcile timed-out orders safely

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This commit is contained in:
Hermes Agent
2026-08-14 15:15:52 +09:00
parent 482b00e54d
commit 147873cb5d
21 changed files with 801 additions and 87 deletions
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trex_core/adapters/broker/kis.py
+43 -7
View File
@@ -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,
trex_core/adapters/broker/ownership.py
+18 -2
View File
@@ -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
):
trex_core/adapters/broker/paper.py
+22 -3
View File
@@ -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,
trex_core/adapters/persistence/postgresql.py
+48 -6
View File
@@ -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,
)
trex_core/adapters/persistence/sql/022_persist_order_timeout_anchor.sql
+27
View File
@@ -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);