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feat: propagate intent venue through execution

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This commit is contained in:
jordan
2026-07-29 16:55:20 +09:00
parent 7084304c9f
commit 479cb39a7e
22 changed files with 314 additions and 19 deletions
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trex_core/adapters/persistence/postgresql.py
+5 -3
View File
@@ -37,7 +37,7 @@ _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"
"timeout_sec, slippage_pct, occupancy_seq, venue"
)
@@ -216,7 +216,7 @@ 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, updated_at=%s WHERE slot_id=%s",
"occupancy_seq=%s, venue=%s, updated_at=%s WHERE slot_id=%s",
(
slot.status.value,
slot.symbol,
@@ -236,6 +236,7 @@ class PostgreSQLSlotRepository:
slot.timeout_sec,
slot.slippage_pct,
slot.occupancy_seq,
slot.venue,
slot.updated_at or datetime.now(tz=timezone.utc),
slot.slot_id,
),
@@ -361,7 +362,7 @@ 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]
# occupancy_seq(20) [dcy-028/REQ-081], venue(21)
return Slot(
slot_id=row[0] if isinstance(row[0], UUID) else UUID(str(row[0])),
status=SlotState(row[1]),
@@ -384,6 +385,7 @@ class PostgreSQLSlotRepository:
timeout_sec=int(row[18]) if row[18] is not None else None,
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",
)
trex_core/adapters/persistence/sql/017_add_slot_order_venue.sql
+11
View File
@@ -0,0 +1,11 @@
-- Preserve the admitted intent venue until dispatch/cancel. Existing rows are
-- explicitly backward compatible with the historical KRX-only execution path.
ALTER TABLE daily_slot
ADD COLUMN IF NOT EXISTS venue TEXT NOT NULL DEFAULT 'KRX';
ALTER TABLE daily_slot
DROP CONSTRAINT IF EXISTS daily_slot_venue_check;
ALTER TABLE daily_slot
ADD CONSTRAINT daily_slot_venue_check
CHECK (venue IN ('KRX', 'NXT', 'SOR'));
trex_core/application/execution.py
+17 -12
View File
@@ -197,6 +197,7 @@ class ExecutionService:
qty=qty,
limit_price=limit,
order_type="00" if limit is not None else "01",
venue=slot.venue,
)
)
if ack.accepted and ack.broker_order_id:
@@ -548,12 +549,14 @@ class ExecutionService:
return
qty = int(slot.qty or 0)
try:
accepted = self._broker.cancel_order(
slot.broker_order_id,
side=side,
symbol=slot.symbol or "",
qty=qty,
)
cancel_kwargs = {
"side": side,
"symbol": slot.symbol or "",
"qty": qty,
}
if slot.venue != "KRX":
cancel_kwargs["venue"] = slot.venue
accepted = self._broker.cancel_order(slot.broker_order_id, **cancel_kwargs)
r.timeout_cancelled += 1
_log.warning(
"timeout cancel sent: slot=%s status=%s broker_order_id=%s "
@@ -665,12 +668,14 @@ class ExecutionService:
side = "buy" if slot.status is SlotState.PENDING_BUY else "sell"
qty = int(slot.qty or 0)
try:
self._broker.cancel_order(
slot.broker_order_id,
side=side,
symbol=slot.symbol or "",
qty=qty,
)
cancel_kwargs = {
"side": side,
"symbol": slot.symbol or "",
"qty": qty,
}
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
_log.warning(
"operator cancel failed: slot=%s broker_order_id=%s",
trex_core/application/intents.py
+12
View File
@@ -75,6 +75,7 @@ class BuyIntent:
# slippage_pct: effective limit = entry_price*(1+pct/100) buy / *(1-pct/100) sell.
timeout_sec: Optional[int] = None
slippage_pct: Optional[float] = None
venue: str = "KRX"
extra: dict[str, Any] = field(default_factory=dict)
@@ -93,6 +94,7 @@ class SellIntent:
# dcy-022 / REQ-068: execution policy (optional, backward-compat).
timeout_sec: Optional[int] = None
slippage_pct: Optional[float] = None
venue: str = "KRX"
extra: dict[str, Any] = field(default_factory=dict)
@@ -152,6 +154,7 @@ class IntentService:
"entry_price": intent.entry_price,
"strategy_id": intent.strategy_id,
"sell_strategy_id": intent.sell_strategy_id,
"venue": intent.venue,
}
prior = self._dedup(intent.intent_id, "buy", payload)
if prior is not None:
@@ -169,6 +172,7 @@ class IntentService:
"reason": intent.reason,
"sell_strategy_id": intent.sell_strategy_id,
"qty": intent.qty,
"venue": intent.venue,
}
prior = self._dedup(intent.intent_id, "sell", payload)
if prior is not None:
@@ -207,6 +211,9 @@ class IntentService:
dcy-036 / REQ-114: entry gate — if entry_allowed_fn returns False,
BuyIntent is rejected before any slot lookup."""
if intent.venue not in {"KRX", "NXT", "SOR"}:
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
# dcy-036 / REQ-114: day-start entry gate (fail-closed).
# None or True → pass; False → reject new entry.
# SellIntent is NOT checked (청산 경로는 차단하지 않음 AC-5).
@@ -292,6 +299,7 @@ class IntentService:
take_profit_price=intent.take_profit_price,
timeout_sec=effective_timeout,
slippage_pct=intent.slippage_pct,
venue=intent.venue,
extra={"intent_id": intent.intent_id, "symbol": symbol},
)
except SlotStateMismatchError:
@@ -300,6 +308,9 @@ class IntentService:
return IntentDecision(intent.intent_id, "rejected", None, "already_active")
def _admit_sell(self, intent: SellIntent) -> IntentDecision:
if intent.venue not in {"KRX", "NXT", "SOR"}:
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
slot = self._repo.fetch_slot(intent.slot_id)
if slot is None:
return IntentDecision(intent.intent_id, "rejected", None, "slot_not_found")
@@ -342,6 +353,7 @@ class IntentService:
qty=intent.qty,
timeout_sec=effective_timeout,
slippage_pct=intent.slippage_pct,
venue=intent.venue,
extra={"intent_id": intent.intent_id},
)
except SlotStateMismatchError:
trex_core/application/messaging_handlers.py
+2 -1
View File
@@ -117,6 +117,7 @@ def make_intent_rpc_handler(
# dcy-022 / REQ-068: execution policy (optional, backward-compat).
timeout_sec=_opt_int(body.get("timeout_sec")),
slippage_pct=_opt_float(body.get("slippage_pct")),
venue=_opt_str(body.get("venue")) or "KRX",
)
d = intent_service.submit_buy(buy)
elif intent_type == "sell":
@@ -132,6 +133,7 @@ def make_intent_rpc_handler(
# dcy-022 / REQ-068: execution policy (optional, backward-compat).
timeout_sec=_opt_int(body.get("timeout_sec")),
slippage_pct=_opt_float(body.get("slippage_pct")),
venue=_opt_str(body.get("venue")) or "KRX",
)
d = intent_service.submit_sell(sell)
else:
@@ -626,4 +628,3 @@ def _parse_date(v) -> date_cls:
def _today() -> date_cls:
return datetime.now(tz=timezone.utc).date()
trex_core/domain/slot/models.py
+4
View File
@@ -56,6 +56,9 @@ class Slot:
# holding episode. Used by the strategy-state CAS to reject writes computed
# against a prior occupancy of a reused slot (point-ABA guard, dcy-028 R-1).
occupancy_seq: int = 0
# 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"
# Canonical column contract for `Slot` (dcy-001 OQ-2 / FR-5).
@@ -84,6 +87,7 @@ EXPECTED_SLOT_FIELDS: frozenset[str] = frozenset({
"timeout_sec", # dcy-022 / REQ-068 (BAT-032)
"slippage_pct", # dcy-022 / REQ-068 (BAT-032)
"occupancy_seq", # dcy-028 / REQ-081 (BAT-042)
"venue",
})
trex_core/domain/slot/service.py
+5
View File
@@ -85,6 +85,7 @@ class SlotService:
# dcy-022 / REQ-068: execution policy (set on PENDING entry, cleared on exit).
timeout_sec: Optional[int] = None,
slippage_pct: Optional[float] = None,
venue: Optional[str] = None,
extra: Optional[dict[str, Any]] = None,
) -> Slot:
"""Transition slot from one state to another atomically.
@@ -133,6 +134,7 @@ class SlotService:
take_profit_price=take_profit_price,
timeout_sec=timeout_sec,
slippage_pct=slippage_pct,
venue=venue,
)
self._repo.update_slot(updated)
@@ -173,6 +175,7 @@ class SlotService:
take_profit_price: Optional[Decimal] = None,
timeout_sec: Optional[int] = None,
slippage_pct: Optional[float] = None,
venue: Optional[str] = None,
) -> Slot:
"""Compute the post-transition Slot row.
@@ -201,6 +204,7 @@ class SlotService:
take_profit_price=None,
timeout_sec=None,
slippage_pct=None,
venue="KRX",
updated_at=datetime.now(tz=timezone.utc),
)
@@ -267,6 +271,7 @@ class SlotService:
timeout_sec=new_timeout_sec,
slippage_pct=new_slippage_pct,
occupancy_seq=new_occupancy_seq,
venue=venue if venue is not None else slot.venue,
updated_at=datetime.now(tz=timezone.utc),
)