fix: persist uncertain cancel outcomes
This commit is contained in:
@@ -50,6 +50,8 @@
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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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- 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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@@ -431,10 +431,12 @@ resume_kill_switch 요청·응답 (REQ-046):
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### cancel_order
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```
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cancel_order(broker_order_id: str, *, side: str, symbol: str, qty: int, venue: str = "KRX") -> bool
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cancel_order(broker_order_id: str, *, side: str, symbol: str, qty: int, venue: str = "KRX") -> CancelOutcome
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```
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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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### get_current_price
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@@ -12,7 +12,11 @@ import httpx
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import pytest
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from trex_core.adapters.broker.kis import KISBroker
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from trex_core.application.broker_port import BrokerBalanceError, OrderRequest
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from trex_core.application.broker_port import (
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BrokerBalanceError,
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CancelState,
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OrderRequest,
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)
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_MOCK_URL = "https://openapivts.koreainvestment.com:29443"
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@@ -179,15 +183,13 @@ def test_submit_transport_failure_blocks_automatic_duplicate(monkeypatch):
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assert ack.accepted is True
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assert ack.broker_order_id.startswith("submission-unknown:")
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assert ack.reason == "submit_outcome_unknown:ReadTimeout"
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assert (
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b.cancel_order(
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ack.broker_order_id,
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side="buy",
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symbol="005930",
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qty=4,
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)
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is False
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cancel = b.cancel_order(
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ack.broker_order_id,
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side="buy",
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symbol="005930",
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qty=4,
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)
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assert cancel.state is CancelState.UNKNOWN
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def test_submit_gateway_5xx_blocks_automatic_duplicate(monkeypatch):
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@@ -9,6 +9,8 @@ from trex_core.adapters.broker.ownership import (
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from trex_core.application.broker_port import (
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BalanceItem,
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BrokerBalanceError,
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CancelOutcome,
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CancelState,
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FillStatus,
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OrderAck,
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)
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@@ -29,7 +31,7 @@ class FakeBroker:
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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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return True
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return CancelOutcome(CancelState.REQUESTED)
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def get_balance(self):
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return self.balance
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@@ -26,12 +26,13 @@ from __future__ import annotations
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from datetime import datetime, timedelta, timezone
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from decimal import Decimal
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import httpx
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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, resolve_order_venue
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from trex_core.adapters.broker.paper import PaperBroker
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from trex_core.application.broker_port import OrderRequest
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from trex_core.application.broker_port import CancelState, OrderRequest
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_MOCK_URL = "https://openapivts.koreainvestment.com:29443"
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_LIVE_URL = "https://openapi.koreainvestment.com:9443"
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@@ -218,7 +219,7 @@ def test_paper_cancel_venue_ignored():
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ack = b.submit_order(req)
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# NXT venue로 cancel — paper는 venue 무관하게 취소 성공
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result = b.cancel_order(ack.broker_order_id, side="buy", symbol="005930", qty=5, venue="NXT")
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assert result is True
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assert result.state is CancelState.REQUESTED
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def test_paper_cancel_default_venue():
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@@ -227,7 +228,7 @@ def test_paper_cancel_default_venue():
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req = OrderRequest(slot_id="s1", side="buy", symbol="005930", qty=3)
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ack = b.submit_order(req)
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result = b.cancel_order(ack.broker_order_id, side="buy", symbol="005930", qty=3)
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assert result is True
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assert result.state is CancelState.REQUESTED
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# ---------------------------------------------------------------------------
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@@ -301,6 +302,40 @@ def test_cancel_order_krx_includes_excg(monkeypatch):
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assert captured["body"]["EXCG_ID_DVSN_CD"] == "KRX"
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def test_cancel_explicit_broker_rejection_is_distinct(monkeypatch):
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def fake_post(url, headers=None, json=None, timeout=None):
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return _FakeResp({"rt_cd": "1", "msg_cd": "ORDER_NOT_CANCELLABLE"})
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b = _mock_broker()
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monkeypatch.setattr(kis_mod.httpx, "post", fake_post)
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outcome = b.cancel_order(
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"06010:0000123456",
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side="buy",
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symbol="005930",
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qty=1,
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)
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assert outcome.state is CancelState.REJECTED
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assert outcome.reason == "ORDER_NOT_CANCELLABLE"
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def test_cancel_transport_loss_is_unknown(monkeypatch):
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def fake_post(url, headers=None, json=None, timeout=None):
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raise httpx.ReadTimeout("timed out")
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b = _mock_broker()
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monkeypatch.setattr(kis_mod.httpx, "post", fake_post)
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outcome = b.cancel_order(
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"06010:0000123456",
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side="buy",
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symbol="005930",
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qty=1,
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)
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assert outcome.state is CancelState.UNKNOWN
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assert outcome.reason == "transport_failed"
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# ---------------------------------------------------------------------------
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# REQ-118 AC-5: get_current_price 기본 market=J
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# ---------------------------------------------------------------------------
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@@ -422,4 +457,4 @@ def test_paper_cancel_backward_compat_no_venue():
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ack = b.submit_order(req)
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# 기존 스타일 호출 (venue 없음)
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result = b.cancel_order(ack.broker_order_id, side="sell", symbol="005930", qty=2)
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assert result is True
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assert result.state is CancelState.REQUESTED
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@@ -35,7 +35,8 @@ _SLOT_COLUMNS = (
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"order_id, strategy_id, broker_order_id, portfolio_id, "
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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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"timeout_sec, slippage_pct, occupancy_seq, venue, "
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"cancel_state, cancel_requested_at"
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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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@@ -146,6 +147,8 @@ def _row(slot: Slot) -> tuple:
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Decimal(str(slot.slippage_pct)),
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slot.occupancy_seq,
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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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)
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@@ -7,7 +7,12 @@ from __future__ import annotations
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from trex_core.adapters.broker.paper import PaperBroker
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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 FillStatus, OrderAck
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from trex_core.application.broker_port import (
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CancelOutcome,
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CancelState,
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FillStatus,
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OrderAck,
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)
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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.domain.slot import SlotService, SlotState
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@@ -78,7 +83,10 @@ def test_unknown_submit_outcome_stays_dispatched_without_retry():
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def cancel_order(self, broker_order_id, *, side, symbol, qty, venue="KRX"):
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self.cancel_count += 1
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return False
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return CancelOutcome(
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CancelState.UNKNOWN,
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"submission_outcome_unknown",
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)
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broker = UnknownOutcomeBroker()
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repo, svc, intents, execution = _wire(broker)
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@@ -13,7 +13,13 @@ from datetime import datetime, timedelta, timezone
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from trex_core.adapters.ledger.in_memory import InMemoryLedger
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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 BalanceItem, FillStatus, OrderAck
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from trex_core.application.broker_port import (
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BalanceItem,
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CancelOutcome,
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CancelState,
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FillStatus,
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OrderAck,
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)
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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.ledger_outbox import InMemoryLedgerOutbox, LedgerWriter
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@@ -46,8 +52,8 @@ class ProgrammableBroker:
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self.polls += 1
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return self.responder(side)
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def cancel_order(self, broker_order_id, *, side, symbol, qty):
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return True
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def cancel_order(self, broker_order_id, *, side, symbol, qty, venue="KRX"):
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return CancelOutcome(CancelState.REQUESTED)
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def get_balance(self):
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# M2 (dcy-020/REQ-062): sell dispatch reads the broker balance.
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@@ -19,6 +19,8 @@ from trex_core.adapters.ledger.in_memory import InMemoryLedger
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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 (
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BalanceItem,
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CancelOutcome,
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CancelState,
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FillStatus,
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OrderAck,
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OrderRequest,
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@@ -83,8 +85,16 @@ class StubBroker:
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return FillStatus(state="unknown")
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return o.fill_status
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def cancel_order(self, broker_order_id: str, *, side: str, symbol: str, qty: int) -> bool:
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return False
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def cancel_order(
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self,
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broker_order_id: str,
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*,
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side: str,
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symbol: str,
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qty: int,
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venue: str = "KRX",
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) -> CancelOutcome:
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return CancelOutcome(CancelState.REJECTED, "order_not_cancellable")
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def get_balance(self) -> list[BalanceItem]:
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return [
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@@ -11,7 +11,14 @@ from datetime import datetime, timedelta, timezone
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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 BalanceItem, FillStatus, OrderAck, OrderRequest
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from trex_core.application.broker_port import (
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BalanceItem,
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CancelOutcome,
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CancelState,
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FillStatus,
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OrderAck,
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OrderRequest,
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)
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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.domain.slot import SlotService, SlotState
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@@ -26,6 +33,7 @@ class _RecordingBroker:
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self.orders: list[OrderRequest] = []
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self.cancel_calls: list = []
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self.cancel_raises = False
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self.cancel_outcome = CancelOutcome(CancelState.REQUESTED)
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self.responder = lambda side: FillStatus(
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state="filled", filled_qty=10, avg_price=1000.0,
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execution_id="exec-1", fee=0.0, tax=0.0,
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@@ -47,7 +55,7 @@ class _RecordingBroker:
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self.cancel_calls.append((broker_order_id, side, symbol, qty, venue))
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if self.cancel_raises:
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raise RuntimeError("broker error")
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return True
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return self.cancel_outcome
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def get_balance(self):
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return [BalanceItem(symbol=s, hldg_qty=q) for s, q in self.balance.items() if q > 0]
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@@ -287,6 +295,9 @@ class TestTimeoutCancel:
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r = execution.run_once()
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assert r.timeout_cancelled == 1
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assert len(broker.cancel_calls) == 1
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assert repo.fetch_slot(sid).cancel_state == "requested"
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execution.run_once()
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assert len(broker.cancel_calls) == 1
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def test_timeout_not_exceeded_no_cancel(self):
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broker = _RecordingBroker()
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@@ -330,7 +341,12 @@ class TestTimeoutCancel:
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r = execution.run_once()
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# timeout_cancelled NOT incremented when the cancel call raises
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assert r.timeout_cancelled == 0
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assert repo.fetch_slot(sid).status is SlotState.PENDING_BUY # state unchanged
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slot = repo.fetch_slot(sid)
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assert slot.status is SlotState.PENDING_BUY
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assert slot.cancel_state == "unknown"
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execution.run_once()
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ExecutionService(svc, repo, broker).run_once()
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assert len(broker.cancel_calls) == 1
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def test_timeout_cancel_does_not_change_slot_state(self):
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"""Timeout cancel is best-effort: slot stays PENDING_BUY after cancel_order."""
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@@ -347,6 +363,28 @@ class TestTimeoutCancel:
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# slot still PENDING_BUY — cancel is best-effort; rollback on next poll
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assert repo.fetch_slot(sid).status is SlotState.PENDING_BUY
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def test_timeout_cancel_rejection_is_persisted_without_retry(self):
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broker = _RecordingBroker()
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broker.cancel_outcome = CancelOutcome(
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CancelState.REJECTED,
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"broker_rejected",
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)
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repo, svc, intents, execution = _wire(broker)
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sid = _buy_to_pending(intents, timeout_sec=1)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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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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)
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result = execution.run_once()
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assert result.timeout_cancelled == 0
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assert repo.fetch_slot(sid).cancel_state == "rejected"
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ExecutionService(svc, repo, broker).run_once()
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assert len(broker.cancel_calls) == 1
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def test_timeout_cancel_then_fill_race_handled(self):
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"""Cancel sent, but broker fills the order — is_filled path wins on next poll."""
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broker = _RecordingBroker()
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@@ -368,7 +406,10 @@ class TestTimeoutCancel:
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)
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r2 = execution.run_once()
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assert r2.filled == 1
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assert repo.fetch_slot(sid).status is SlotState.HOLDING
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slot = repo.fetch_slot(sid)
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assert slot.status is SlotState.HOLDING
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assert slot.cancel_state is None
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assert slot.cancel_requested_at is None
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# ============================================================================
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@@ -418,7 +459,7 @@ class TestCancelPendingSlot:
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result = execution.cancel_pending_slot(sid)
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assert result == "not_dispatched"
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def test_cancel_fail_returns_cancel_failed(self):
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def test_cancel_exception_returns_unknown(self):
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broker = _RecordingBroker()
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broker.cancel_raises = True
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repo, svc, intents, execution = _wire(broker)
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@@ -427,7 +468,22 @@ class TestCancelPendingSlot:
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execution.run_once() # dispatch
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result = execution.cancel_pending_slot(sid)
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assert result == "cancel_failed"
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assert result == "cancel_unknown"
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assert repo.fetch_slot(sid).cancel_state == "unknown"
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def test_cancel_rejected_is_distinct_and_persisted(self):
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broker = _RecordingBroker()
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broker.cancel_outcome = CancelOutcome(
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CancelState.REJECTED,
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"broker_rejected",
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)
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repo, svc, intents, execution = _wire(broker)
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sid = _buy_to_pending(intents)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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|
||||
assert execution.cancel_pending_slot(sid) == "cancel_rejected"
|
||||
assert repo.fetch_slot(sid).cancel_state == "rejected"
|
||||
|
||||
def test_cancel_does_not_change_slot_state(self):
|
||||
"""Operator cancel sends cancel_order; slot stays PENDING_BUY (execution loop transitions)."""
|
||||
|
||||
@@ -4,7 +4,14 @@ from __future__ import annotations
|
||||
from uuid import UUID
|
||||
|
||||
from trex_core.adapters.persistence.in_memory_intent_store import InMemoryIntentStore
|
||||
from trex_core.application.broker_port import BalanceItem, FillStatus, OrderAck, OrderRequest
|
||||
from trex_core.application.broker_port import (
|
||||
BalanceItem,
|
||||
CancelOutcome,
|
||||
CancelState,
|
||||
FillStatus,
|
||||
OrderAck,
|
||||
OrderRequest,
|
||||
)
|
||||
from trex_core.application.execution import ExecutionService
|
||||
from trex_core.application.intents import BuyIntent, IntentService
|
||||
from trex_core.application.messaging import RpcRequest
|
||||
@@ -38,9 +45,9 @@ class RecordingBroker:
|
||||
symbol: str,
|
||||
qty: int,
|
||||
venue: str = "KRX",
|
||||
) -> bool:
|
||||
) -> CancelOutcome:
|
||||
self.cancel_venues.append(venue)
|
||||
return True
|
||||
return CancelOutcome(CancelState.REQUESTED)
|
||||
|
||||
def get_balance(self) -> list[BalanceItem]:
|
||||
return []
|
||||
|
||||
@@ -24,6 +24,8 @@ import httpx
|
||||
from trex_core.application.broker_port import (
|
||||
BalanceItem,
|
||||
BrokerBalanceError,
|
||||
CancelOutcome,
|
||||
CancelState,
|
||||
FillStatus,
|
||||
OrderAck,
|
||||
OrderRequest,
|
||||
@@ -756,7 +758,7 @@ class KISBroker:
|
||||
|
||||
def cancel_order(
|
||||
self, broker_order_id: str, *, side: str, symbol: str, qty: int, venue: str = "KRX"
|
||||
) -> bool:
|
||||
) -> CancelOutcome:
|
||||
"""Cancel a previously submitted order (REQ-118).
|
||||
|
||||
venue: exchange venue of the original order. Must match the EXCG_ID_DVSN_CD
|
||||
@@ -764,7 +766,10 @@ class KISBroker:
|
||||
Real-account NXT cancel (EXCG=NXT) confirmed rt_cd=0 on 2026-07-06.
|
||||
"""
|
||||
if broker_order_id.startswith(_SUBMISSION_UNKNOWN_PREFIX):
|
||||
return False
|
||||
return CancelOutcome(
|
||||
CancelState.UNKNOWN,
|
||||
"submission_outcome_unknown",
|
||||
)
|
||||
cano, product = self._account()
|
||||
parts = broker_order_id.split(":")
|
||||
orgno, odno = (parts[0], parts[1]) if len(parts) == 2 else ("", parts[-1])
|
||||
@@ -789,6 +794,22 @@ class KISBroker:
|
||||
json=body,
|
||||
timeout=self._timeout,
|
||||
)
|
||||
return str(resp.json().get("rt_cd")) == "0"
|
||||
except (httpx.HTTPError, ValueError):
|
||||
return False
|
||||
except httpx.HTTPError:
|
||||
return CancelOutcome(CancelState.UNKNOWN, "transport_failed")
|
||||
if getattr(resp, "status_code", 200) >= 500:
|
||||
return CancelOutcome(CancelState.UNKNOWN, "broker_unavailable")
|
||||
try:
|
||||
payload = resp.json()
|
||||
except ValueError:
|
||||
return CancelOutcome(CancelState.UNKNOWN, "malformed_response")
|
||||
rt_cd = payload.get("rt_cd")
|
||||
if str(rt_cd) == "0":
|
||||
return CancelOutcome(CancelState.REQUESTED)
|
||||
if rt_cd is None:
|
||||
if getattr(resp, "status_code", 200) >= 400:
|
||||
return CancelOutcome(CancelState.REJECTED, "http_rejected")
|
||||
return CancelOutcome(CancelState.UNKNOWN, "missing_result_code")
|
||||
return CancelOutcome(
|
||||
CancelState.REJECTED,
|
||||
str(payload.get("msg_cd") or "broker_rejected"),
|
||||
)
|
||||
|
||||
@@ -16,6 +16,7 @@ from threading import Lock
|
||||
from trex_core.application.broker_port import (
|
||||
BalanceItem,
|
||||
BrokerBalanceError,
|
||||
CancelOutcome,
|
||||
FillStatus,
|
||||
OrderAck,
|
||||
OrderRequest,
|
||||
@@ -146,7 +147,7 @@ class OwnershipAwareBroker:
|
||||
symbol: str,
|
||||
qty: int,
|
||||
venue: str = "KRX",
|
||||
) -> bool:
|
||||
) -> CancelOutcome:
|
||||
return self._delegate.cancel_order(
|
||||
broker_order_id,
|
||||
side=side,
|
||||
|
||||
@@ -14,6 +14,8 @@ from typing import Optional
|
||||
from trex_core.adapters.broker.seq_store import SeqStore
|
||||
from trex_core.application.broker_port import (
|
||||
BalanceItem,
|
||||
CancelOutcome,
|
||||
CancelState,
|
||||
FillStatus,
|
||||
OrderAck,
|
||||
OrderRequest,
|
||||
@@ -105,16 +107,24 @@ class PaperBroker:
|
||||
)
|
||||
return FillStatus(state="partially_filled", filled_qty=o.filled, avg_price=o.price)
|
||||
|
||||
def cancel_order(self, broker_order_id: str, *, side: str, symbol: str, qty: int, venue: str = "KRX") -> bool:
|
||||
def cancel_order(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
qty: int,
|
||||
venue: str = "KRX",
|
||||
) -> CancelOutcome:
|
||||
"""Cancel a paper order. venue is accepted for BrokerPort protocol conformance
|
||||
(REQ-118) but ignored — paper has no exchange concept. Existing behavior preserved.
|
||||
"""
|
||||
with self._lock:
|
||||
o = self._orders.get(broker_order_id)
|
||||
if o is None or o.filled >= o.qty:
|
||||
return False
|
||||
return CancelOutcome(CancelState.REJECTED, "order_not_cancellable")
|
||||
o.cancelled = True
|
||||
return True
|
||||
return CancelOutcome(CancelState.REQUESTED)
|
||||
|
||||
def get_balance(self) -> list[BalanceItem]:
|
||||
"""Deterministic per-symbol fill aggregate (REQ-031 AC-3).
|
||||
|
||||
@@ -37,7 +37,8 @@ _SLOT_COLUMNS = (
|
||||
"order_id, strategy_id, broker_order_id, portfolio_id, "
|
||||
"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"
|
||||
"timeout_sec, slippage_pct, occupancy_seq, venue, "
|
||||
"cancel_state, cancel_requested_at"
|
||||
)
|
||||
|
||||
|
||||
@@ -216,7 +217,8 @@ class PostgreSQLSlotRepository:
|
||||
"broker_order_id=%s, portfolio_id=%s, sell_strategy_id=%s, "
|
||||
"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, updated_at=%s WHERE slot_id=%s",
|
||||
"occupancy_seq=%s, venue=%s, cancel_state=%s, "
|
||||
"cancel_requested_at=%s, updated_at=%s WHERE slot_id=%s",
|
||||
(
|
||||
slot.status.value,
|
||||
slot.symbol,
|
||||
@@ -237,6 +239,8 @@ class PostgreSQLSlotRepository:
|
||||
slot.slippage_pct,
|
||||
slot.occupancy_seq,
|
||||
slot.venue,
|
||||
slot.cancel_state,
|
||||
slot.cancel_requested_at,
|
||||
slot.updated_at or datetime.now(tz=timezone.utc),
|
||||
slot.slot_id,
|
||||
),
|
||||
@@ -332,6 +336,26 @@ class PostgreSQLSlotRepository:
|
||||
conn.commit()
|
||||
return ok
|
||||
|
||||
def mark_cancel_outcome(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
state: str,
|
||||
) -> bool:
|
||||
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=%s, "
|
||||
"cancel_requested_at=%s, updated_at=%s "
|
||||
"WHERE slot_id=%s AND broker_order_id=%s "
|
||||
"AND status IN ('pending_buy','pending_sell')",
|
||||
(state, now, now, slot_id, broker_order_id),
|
||||
)
|
||||
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:
|
||||
@@ -347,7 +371,8 @@ class PostgreSQLSlotRepository:
|
||||
with self._psycopg.connect(self._dsn, autocommit=False) as conn:
|
||||
with conn.cursor() as cur:
|
||||
cur.execute(
|
||||
"UPDATE daily_slot SET broker_order_id=NULL, updated_at=%s WHERE slot_id=%s",
|
||||
"UPDATE daily_slot SET broker_order_id=NULL, cancel_state=NULL, "
|
||||
"cancel_requested_at=NULL, updated_at=%s WHERE slot_id=%s",
|
||||
(datetime.now(tz=timezone.utc), slot_id),
|
||||
)
|
||||
conn.commit()
|
||||
@@ -374,7 +399,8 @@ class PostgreSQLSlotRepository:
|
||||
# forced_close_at(11) stop_loss_price(12) take_profit_price(13)
|
||||
# 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)
|
||||
# occupancy_seq(20) [dcy-028/REQ-081], venue(21),
|
||||
# cancel_state(22), cancel_requested_at(23)
|
||||
return Slot(
|
||||
slot_id=row[0] if isinstance(row[0], UUID) else UUID(str(row[0])),
|
||||
status=SlotState(row[1]),
|
||||
@@ -398,6 +424,8 @@ class PostgreSQLSlotRepository:
|
||||
slippage_pct=f(row[19]),
|
||||
occupancy_seq=int(row[20]) if len(row) > 20 and row[20] is not None else 0,
|
||||
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,
|
||||
)
|
||||
|
||||
|
||||
|
||||
@@ -0,0 +1,18 @@
|
||||
-- dcy-041 / GitHub #44: cancellation request acceptance is distinct from
|
||||
-- final order cancellation. Persist the immediate result to prevent blind
|
||||
-- automatic retries across execution ticks and daemon restarts.
|
||||
ALTER TABLE daily_slot
|
||||
ADD COLUMN IF NOT EXISTS cancel_state TEXT;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD COLUMN IF NOT EXISTS cancel_requested_at TIMESTAMPTZ;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
DROP CONSTRAINT IF EXISTS daily_slot_cancel_state_check;
|
||||
|
||||
ALTER TABLE daily_slot
|
||||
ADD CONSTRAINT daily_slot_cancel_state_check
|
||||
CHECK (
|
||||
cancel_state IS NULL
|
||||
OR cancel_state IN ('requested', 'rejected', 'unknown')
|
||||
);
|
||||
@@ -10,6 +10,7 @@ from __future__ import annotations
|
||||
import os
|
||||
from dataclasses import dataclass, field
|
||||
from decimal import Decimal
|
||||
from enum import Enum
|
||||
from typing import Any, Optional, Protocol
|
||||
|
||||
|
||||
@@ -29,6 +30,30 @@ class BrokerBalanceError(RuntimeError):
|
||||
super().__init__(f"broker balance unavailable ({code})")
|
||||
|
||||
|
||||
class CancelState(str, Enum):
|
||||
"""Immediate result of a cancel request, not the final order state."""
|
||||
|
||||
REQUESTED = "requested"
|
||||
REJECTED = "rejected"
|
||||
UNKNOWN = "unknown"
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class CancelOutcome:
|
||||
"""Sanitized cancel request outcome.
|
||||
|
||||
REQUESTED only means that the broker accepted the cancellation request.
|
||||
Final cancelled/filled state is established exclusively by poll_fill().
|
||||
"""
|
||||
|
||||
state: CancelState
|
||||
reason: Optional[str] = None
|
||||
|
||||
@property
|
||||
def is_requested(self) -> bool:
|
||||
return self.state is CancelState.REQUESTED
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class OrderRequest:
|
||||
slot_id: str # originating slot (audit/correlation)
|
||||
@@ -114,12 +139,23 @@ class BrokerPort(Protocol):
|
||||
"""Observe current fill status for a previously accepted order."""
|
||||
...
|
||||
|
||||
def cancel_order(self, broker_order_id: str, *, side: str, symbol: str, qty: int, venue: str = "KRX") -> bool:
|
||||
"""Best-effort cancel. Returns True if the broker accepted the cancel.
|
||||
def cancel_order(
|
||||
self,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
side: str,
|
||||
symbol: str,
|
||||
qty: int,
|
||||
venue: str = "KRX",
|
||||
) -> CancelOutcome:
|
||||
"""Request cancellation and classify the immediate broker outcome.
|
||||
|
||||
venue: exchange venue of the original order (REQ-118). Cancel must use
|
||||
the same EXCG_ID_DVSN_CD as the original submit. Default "KRX" preserves
|
||||
backward compatibility for existing callers (orb/tsl).
|
||||
|
||||
REQUESTED is not a final cancellation. poll_fill() remains the only
|
||||
authority for cancelled/filled terminal state.
|
||||
"""
|
||||
...
|
||||
|
||||
|
||||
@@ -29,7 +29,12 @@ from datetime import datetime, timezone
|
||||
from typing import Callable, Optional
|
||||
|
||||
from trex_core.application.alarm_emitter import AlarmEmitter
|
||||
from trex_core.application.broker_port import BrokerPort, OrderRequest
|
||||
from trex_core.application.broker_port import (
|
||||
BrokerPort,
|
||||
CancelOutcome,
|
||||
CancelState,
|
||||
OrderRequest,
|
||||
)
|
||||
from trex_core.application.ledger_outbox import LedgerOutbox
|
||||
from trex_core.application.ledger_port import LedgerTrade
|
||||
from trex_core.domain.pricing import ceil_to_tick, floor_to_tick
|
||||
@@ -546,12 +551,28 @@ class ExecutionService:
|
||||
"""
|
||||
if str(slot.broker_order_id or "").startswith("submission-unknown:"):
|
||||
return
|
||||
if slot.cancel_state is not None:
|
||||
return
|
||||
if slot.timeout_sec is None or slot.updated_at is None:
|
||||
return
|
||||
age = (now - slot.updated_at).total_seconds()
|
||||
if age < slot.timeout_sec:
|
||||
return
|
||||
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(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
CancelState.UNKNOWN.value,
|
||||
):
|
||||
_log.error(
|
||||
"cancel attempt reservation conflict: slot=%s broker_order_id=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
)
|
||||
return
|
||||
try:
|
||||
cancel_kwargs = {
|
||||
"side": side,
|
||||
@@ -560,25 +581,40 @@ class ExecutionService:
|
||||
}
|
||||
if slot.venue != "KRX":
|
||||
cancel_kwargs["venue"] = slot.venue
|
||||
accepted = self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
|
||||
outcome = self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
|
||||
except Exception: # noqa: BLE001 - adapter failure becomes durable unknown
|
||||
outcome = CancelOutcome(CancelState.UNKNOWN, "adapter_exception")
|
||||
_log.warning(
|
||||
"timeout cancel outcome unknown: slot=%s broker_order_id=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
)
|
||||
persisted = self._repo.mark_cancel_outcome(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
outcome.state.value,
|
||||
)
|
||||
if not persisted:
|
||||
_log.error(
|
||||
"cancel outcome persistence conflict: slot=%s broker_order_id=%s "
|
||||
"outcome=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
outcome.state.value,
|
||||
)
|
||||
return
|
||||
if outcome.is_requested:
|
||||
r.timeout_cancelled += 1
|
||||
_log.warning(
|
||||
"timeout cancel sent: slot=%s status=%s broker_order_id=%s "
|
||||
"age_sec=%.0f timeout_sec=%d broker_accepted=%s",
|
||||
slot.slot_id,
|
||||
slot.status.value,
|
||||
slot.broker_order_id,
|
||||
age,
|
||||
slot.timeout_sec,
|
||||
accepted,
|
||||
)
|
||||
except Exception: # noqa: BLE001 - best-effort; do not block the loop
|
||||
_log.warning(
|
||||
"timeout cancel failed (exception): slot=%s broker_order_id=%s "
|
||||
"(will retry next tick if still pending)",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
)
|
||||
_log.warning(
|
||||
"timeout cancel result: slot=%s status=%s broker_order_id=%s "
|
||||
"age_sec=%.0f timeout_sec=%d outcome=%s",
|
||||
slot.slot_id,
|
||||
slot.status.value,
|
||||
slot.broker_order_id,
|
||||
age,
|
||||
slot.timeout_sec,
|
||||
outcome.state.value,
|
||||
)
|
||||
|
||||
def _emit_event(self, event_type: str, slot, routing_strategy_id: Optional[str] = None) -> None:
|
||||
if self._event_emitter is None:
|
||||
@@ -655,9 +691,9 @@ class ExecutionService:
|
||||
def cancel_pending_slot(self, slot_id) -> str:
|
||||
"""Operator backstop: send cancel_order for a pending slot (dcy-022/REQ-071).
|
||||
|
||||
Returns "ok" (cancel sent), "not_pending" (slot is HOLDING/INACTIVE),
|
||||
or "slot_not_found". Does NOT transition the slot — the execution loop's
|
||||
next poll handles the rollback via the normal is_terminal_reject path.
|
||||
Returns "ok" (request accepted), "cancel_rejected", "cancel_unknown",
|
||||
"not_pending", "not_dispatched", or "slot_not_found". Does NOT
|
||||
transition the slot — fill polling alone confirms cancelled/filled.
|
||||
"""
|
||||
from uuid import UUID
|
||||
|
||||
@@ -680,21 +716,40 @@ class ExecutionService:
|
||||
}
|
||||
if slot.venue != "KRX":
|
||||
cancel_kwargs["venue"] = slot.venue
|
||||
self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
|
||||
except Exception: # noqa: BLE001 - best-effort
|
||||
# Durable unknown reservation closes the crash window between the
|
||||
# outbound request and saving its immediate result.
|
||||
if not self._repo.mark_cancel_outcome(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
CancelState.UNKNOWN.value,
|
||||
):
|
||||
return "cancel_state_conflict"
|
||||
outcome = self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
|
||||
except Exception: # noqa: BLE001 - adapter failure becomes durable unknown
|
||||
outcome = CancelOutcome(CancelState.UNKNOWN, "adapter_exception")
|
||||
_log.warning(
|
||||
"operator cancel failed: slot=%s broker_order_id=%s",
|
||||
"operator cancel outcome unknown: slot=%s broker_order_id=%s",
|
||||
slot.slot_id,
|
||||
slot.broker_order_id,
|
||||
)
|
||||
return "cancel_failed"
|
||||
if not self._repo.mark_cancel_outcome(
|
||||
slot.slot_id,
|
||||
str(slot.broker_order_id),
|
||||
outcome.state.value,
|
||||
):
|
||||
return "cancel_state_conflict"
|
||||
_log.warning(
|
||||
"operator cancel sent: slot=%s status=%s broker_order_id=%s",
|
||||
"operator cancel result: slot=%s status=%s broker_order_id=%s outcome=%s",
|
||||
slot.slot_id,
|
||||
slot.status.value,
|
||||
slot.broker_order_id,
|
||||
outcome.state.value,
|
||||
)
|
||||
return "ok"
|
||||
if outcome.state is CancelState.REQUESTED:
|
||||
return "ok"
|
||||
if outcome.state is CancelState.REJECTED:
|
||||
return "cancel_rejected"
|
||||
return "cancel_unknown"
|
||||
|
||||
def _rollback(self, slot, *, reason: str) -> None:
|
||||
total = self._balance_map().get(slot.symbol or "", 0)
|
||||
|
||||
@@ -219,6 +219,29 @@ class InMemorySlotRepository:
|
||||
)
|
||||
return True
|
||||
|
||||
def mark_cancel_outcome(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
state: str,
|
||||
) -> bool:
|
||||
"""Persist one cancel attempt iff the same order is still pending."""
|
||||
s = self._slots.get(slot_id)
|
||||
if (
|
||||
s is None
|
||||
or s.broker_order_id != broker_order_id
|
||||
or s.status not in self._PENDING
|
||||
):
|
||||
return False
|
||||
now = datetime.now(tz=timezone.utc)
|
||||
self._slots[slot_id] = replace(
|
||||
s,
|
||||
cancel_state=state,
|
||||
cancel_requested_at=now,
|
||||
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 [
|
||||
@@ -236,7 +259,11 @@ class InMemorySlotRepository:
|
||||
s = self._slots.get(slot_id)
|
||||
if s is not None:
|
||||
self._slots[slot_id] = replace(
|
||||
s, broker_order_id=None, updated_at=datetime.now(tz=timezone.utc)
|
||||
s,
|
||||
broker_order_id=None,
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
# --- bulk counts ---
|
||||
|
||||
@@ -59,6 +59,11 @@ class Slot:
|
||||
# Order venue carried from the admitted intent through dispatch/cancel.
|
||||
# It is reset to KRX when the permanent asset slot returns to INACTIVE.
|
||||
venue: str = "KRX"
|
||||
# Immediate cancel-request result. The slot remains pending until fill
|
||||
# polling confirms cancelled/filled. Persisted to prevent blind retries
|
||||
# across ticks and restarts.
|
||||
cancel_state: Optional[str] = None
|
||||
cancel_requested_at: Optional[datetime] = None
|
||||
|
||||
|
||||
# Canonical column contract for `Slot` (dcy-001 OQ-2 / FR-5).
|
||||
@@ -88,6 +93,8 @@ EXPECTED_SLOT_FIELDS: frozenset[str] = frozenset({
|
||||
"slippage_pct", # dcy-022 / REQ-068 (BAT-032)
|
||||
"occupancy_seq", # dcy-028 / REQ-081 (BAT-042)
|
||||
"venue",
|
||||
"cancel_state",
|
||||
"cancel_requested_at",
|
||||
})
|
||||
|
||||
|
||||
|
||||
@@ -205,6 +205,8 @@ class SlotService:
|
||||
timeout_sec=None,
|
||||
slippage_pct=None,
|
||||
venue="KRX",
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
@@ -277,6 +279,8 @@ class SlotService:
|
||||
slippage_pct=new_slippage_pct,
|
||||
occupancy_seq=new_occupancy_seq,
|
||||
venue=new_venue,
|
||||
cancel_state=None,
|
||||
cancel_requested_at=None,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
|
||||
Reference in New Issue
Block a user