fix: reconcile ambiguous KIS order submissions

This commit is contained in:
jordan
2026-07-28 11:17:06 +09:00
parent b72bf9f394
commit 24c42d1c92
11 changed files with 1420 additions and 191 deletions
+96 -14
View File
@@ -2,10 +2,12 @@
In-memory adapters; deterministic paper double drives the full async path.
"""
from __future__ import annotations
from trex_core.adapters.broker.paper import PaperBroker
from trex_core.adapters.persistence.in_memory_intent_store import InMemoryIntentStore
from trex_core.application.broker_port import FillStatus, OrderAck
from trex_core.application.execution import ExecutionService
from trex_core.application.intents import BuyIntent, IntentService, SellIntent
from trex_core.domain.slot import SlotService, SlotState
@@ -19,9 +21,12 @@ def _wire(broker, max_active_slots=None):
repo = InMemorySlotRepository()
svc = SlotService(repo, instance_key=INST)
intents = IntentService(
svc, repo, InMemoryIntentStore(),
svc,
repo,
InMemoryIntentStore(),
resolve_symbol=SYMBOLS.get,
instance_key=INST, max_active_slots=max_active_slots,
instance_key=INST,
max_active_slots=max_active_slots,
)
execution = ExecutionService(svc, repo, broker, instance_key=INST)
repo.reconcile_universe(INST, SYMBOLS) # permanent asset slots
@@ -29,9 +34,7 @@ def _wire(broker, max_active_slots=None):
def _buy(intents, iid="b1", pid="PF-1", qty=10):
return intents.submit_buy(
BuyIntent(intent_id=iid, portfolio_id=pid, qty=qty, entry_price=1000)
)
return intents.submit_buy(BuyIntent(intent_id=iid, portfolio_id=pid, qty=qty, entry_price=1000))
def test_buy_lifecycle_to_holding():
@@ -48,13 +51,93 @@ def test_buy_dispatch_is_idempotent_no_double_order():
broker = PaperBroker(fill_after_polls=5) # stays accepted (not filled) across ticks
repo, svc, intents, execution = _wire(broker)
sid = _buy(intents).slot_id
execution.run_once() # dispatch (1 order) + poll(accepted)
execution.run_once() # dispatch (1 order) + poll(accepted)
bid1 = repo.fetch_slot(sid).broker_order_id
execution.run_once() # must NOT re-dispatch
execution.run_once() # must NOT re-dispatch
bid2 = repo.fetch_slot(sid).broker_order_id
assert bid1 == bid2 and len(broker._orders) == 1 # exactly one broker order
def test_unknown_submit_outcome_stays_dispatched_without_retry():
class UnknownOutcomeBroker(PaperBroker):
def __init__(self):
super().__init__()
self.submit_count = 0
self.cancel_count = 0
def submit_order(self, req):
self.submit_count += 1
return OrderAck(
accepted=True,
broker_order_id=f"submission-unknown:{req.slot_id}",
reason="submit_outcome_unknown:ReadTimeout",
)
def poll_fill(self, broker_order_id, *, side, symbol):
return FillStatus(state="unknown")
def cancel_order(self, broker_order_id, *, side, symbol, qty, venue="KRX"):
self.cancel_count += 1
return False
broker = UnknownOutcomeBroker()
repo, svc, intents, execution = _wire(broker)
sid = _buy(intents).slot_id
first = execution.run_once()
second = execution.run_once()
slot = repo.fetch_slot(sid)
assert first.dispatched == 1
assert second.dispatched == 0
assert broker.submit_count == 1
assert broker.cancel_count == 0
assert slot.status is SlotState.PENDING_BUY
assert slot.broker_order_id == f"submission-unknown:{sid}"
def test_unknown_submit_resolution_is_persisted_before_restart_reconcile():
class ResolvedOutcomeBroker(PaperBroker):
def __init__(self):
super().__init__()
self.submit_count = 0
self.poll_count = 0
def submit_order(self, req):
self.submit_count += 1
return OrderAck(
accepted=True,
broker_order_id=f"submission-unknown:{req.slot_id}",
reason="submit_outcome_unknown:ReadTimeout",
)
def poll_fill(self, broker_order_id, *, side, symbol):
self.poll_count += 1
if self.poll_count == 1:
return FillStatus(
state="accepted",
raw={"resolved_broker_order_id": "91258:0012345678"},
)
return FillStatus(
state="filled",
filled_qty=10,
avg_price=1000,
execution_id="resolved-fill-1",
)
broker = ResolvedOutcomeBroker()
repo, svc, intents, execution = _wire(broker)
sid = _buy(intents).slot_id
execution.run_once()
assert repo.fetch_slot(sid).broker_order_id == "91258:0012345678"
execution.reconcile()
slot = repo.fetch_slot(sid)
assert slot.status is SlotState.HOLDING
assert broker.submit_count == 1
def test_buy_reject_rolls_back_to_inactive():
repo, svc, intents, execution = _wire(PaperBroker(reject_symbols={"005931"}))
sid = _buy(intents).slot_id
@@ -156,8 +239,7 @@ def test_sell_skipped_when_broker_flat():
sid = _buy(intents).slot_id
execution.run_once() # holding (broker balance 10)
broker._orders.clear() # simulate divergence: broker is actually flat
svc.transit_slot(sid, SlotState.HOLDING, SlotState.PENDING_SELL,
reason="r", actor="t")
svc.transit_slot(sid, SlotState.HOLDING, SlotState.PENDING_SELL, reason="r", actor="t")
r = execution.run_once()
assert r.sell_skipped_no_balance == 1
assert r.dispatched == 0
@@ -172,8 +254,7 @@ def test_skipped_sell_does_not_block_other_dispatches():
sid = _buy(intents, iid="b1", pid="PF-1").slot_id
execution.run_once() # PF-1 holding
broker._orders.clear() # broker flat for PF-1's symbol
svc.transit_slot(sid, SlotState.HOLDING, SlotState.PENDING_SELL,
reason="r", actor="t")
svc.transit_slot(sid, SlotState.HOLDING, SlotState.PENDING_SELL, reason="r", actor="t")
d2 = _buy(intents, iid="b2", pid="PF-2") # a buy behind the stuck sell
r = execution.run_once()
assert r.sell_skipped_no_balance == 1
@@ -185,10 +266,10 @@ def test_reconcile_after_crash_completes_fill_without_redispatch():
broker = PaperBroker(fill_after_polls=1)
repo, svc, intents, execution = _wire(broker)
sid = _buy(intents).slot_id
execution.run_once() # dispatch + poll1 (accepted, not filled) — simulates crash here
execution.run_once() # dispatch + poll1 (accepted, not filled) — simulates crash here
assert repo.fetch_slot(sid).status is SlotState.PENDING_BUY
orders_before = len(broker._orders)
execution.reconcile() # restart: re-poll -> fills, no new order
execution.reconcile() # restart: re-poll -> fills, no new order
slot = repo.fetch_slot(sid)
assert slot.status is SlotState.HOLDING
assert len(broker._orders) == orders_before # reconcile did not submit a new order
@@ -197,7 +278,8 @@ def test_reconcile_after_crash_completes_fill_without_redispatch():
def test_capacity_full_blocks_further_buys():
"""dcy-020/REQ-059: at M active slots further buys reject capacity_full."""
repo, svc, intents, execution = _wire(
PaperBroker(fill_after_polls=0), max_active_slots=2,
PaperBroker(fill_after_polls=0),
max_active_slots=2,
)
assert _buy(intents, iid="b0", pid="PF-0").status == "admitted"
assert _buy(intents, iid="b1", pid="PF-1").status == "admitted"