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feat: persist skipped ledger fills

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Co-authored-by: genichin <4282227+genichin@users.noreply.github.com>
This commit is contained in:
copilot-swe-agent[bot]
2026-08-24 13:23:06 +00:00
committed by GitHub
co-authored by genichin
parent df0258bc36
commit 76cde2edd0
19 changed files with 1246 additions and 151 deletions
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trex_core/adapters/broker/kis.py
+33 -21
View File
@@ -14,11 +14,11 @@ from __future__ import annotations
import base64
import hashlib
import json
from collections.abc import Callable
from dataclasses import replace
from datetime import datetime, timedelta, timezone
from datetime import UTC, datetime, timedelta, timezone
from decimal import Decimal, InvalidOperation
from time import monotonic
from typing import Callable, Optional
import httpx
@@ -47,7 +47,7 @@ class KISEvidenceLookupError(RuntimeError):
"""Read-only daily-fill evidence lookup failed."""
def _balance_http_error_code(status: Optional[int]) -> str:
def _balance_http_error_code(status: int | None) -> str:
if status == 401:
return "authentication_failed"
if status == 403:
@@ -69,7 +69,7 @@ def resolve_order_venue(venue: str, at: datetime) -> str:
return normalized
def _safe_int(v: object) -> Optional[int]:
def _safe_int(v: object) -> int | None:
try:
return int(str(v).strip())
except (TypeError, ValueError):
@@ -92,7 +92,7 @@ def _encode_submission_unknown(req: OrderRequest, submitted_at: datetime) -> str
return f"{_SUBMISSION_UNKNOWN_PREFIX}{encoded}"
def _decode_submission_unknown(broker_order_id: str) -> Optional[dict]:
def _decode_submission_unknown(broker_order_id: str) -> dict | None:
if not broker_order_id.startswith(_SUBMISSION_UNKNOWN_PREFIX):
return None
encoded = broker_order_id[len(_SUBMISSION_UNKNOWN_PREFIX) :]
@@ -138,15 +138,15 @@ class KISBroker:
timeout: float = 5.0,
allow_live: bool = False,
token_cache=None,
clock: Optional[Callable[[], datetime]] = None,
clock: Callable[[], datetime] | None = None,
) -> None:
self._account_ref = account_ref
self._app_key = app_key
self._app_secret = app_secret
self._base_url = base_url.rstrip("/")
self._timeout = timeout
self._token: Optional[str] = None
self._token_exp: datetime = datetime.now(tz=timezone.utc)
self._token: str | None = None
self._token_exp: datetime = datetime.now(tz=UTC)
self._token_cache = token_cache # optional TokenCache (L2, REQ-016)
self._clock = clock or (lambda: datetime.now(tz=_KST))
self._fill_poll_not_before: dict[str, float] = {}
@@ -197,12 +197,12 @@ class KISBroker:
self._app_secret = credential.app_secret
# Invalidate L1 in-memory token so next call re-issues.
self._token = None
self._token_exp = datetime.min.replace(tzinfo=timezone.utc)
self._token_exp = datetime.min.replace(tzinfo=UTC)
# --- auth ---
def _ensure_token(self) -> str:
# L1: in-memory
if self._token and datetime.now(tz=timezone.utc) < self._token_exp:
if self._token and datetime.now(tz=UTC) < self._token_exp:
return self._token
# L2: shared/persistent cache (Redis) — survives restart / multi-process (REQ-016)
if self._token_cache is not None:
@@ -224,7 +224,7 @@ class KISBroker:
data = resp.json()
self._token = data["access_token"]
ttl = int(data.get("expires_in", 3600))
self._token_exp = datetime.now(tz=timezone.utc) + timedelta(seconds=max(60, ttl - 300))
self._token_exp = datetime.now(tz=UTC) + timedelta(seconds=max(60, ttl - 300))
if self._token_cache is not None:
self._token_cache.store(self._account_ref, self._app_key, self._token, self._token_exp)
return self._token
@@ -364,8 +364,8 @@ class KISBroker:
*,
side: str,
symbol: str,
order_date: Optional[str] = None,
submitted_at: Optional[datetime] = None,
order_date: str | None = None,
submitted_at: datetime | None = None,
) -> FillStatus:
if broker_order_id.startswith(_SUBMISSION_UNKNOWN_PREFIX):
return self._poll_unknown_submission(broker_order_id, side=side, symbol=symbol)
@@ -424,7 +424,7 @@ class KISBroker:
if row is None:
visible_grace = (
submitted_at is None
or (self._clock().astimezone(timezone.utc) - submitted_at.astimezone(timezone.utc))
or (self._clock().astimezone(UTC) - submitted_at.astimezone(UTC))
.total_seconds()
< _SUBMISSION_LOOKUP_GRACE_SECONDS
)
@@ -639,11 +639,21 @@ class KISBroker:
def _executed_at_from_row(row: dict, fallback_date: str) -> datetime:
order_date = str(row.get("ord_dt") or fallback_date).strip()
order_time = str(row.get("ord_tmd") or "").strip()[:6]
year = int(order_date[0:4])
month = int(order_date[4:6])
day = int(order_date[6:8])
if len(order_time) == 6 and order_time.isdigit():
executed_at = datetime.strptime(order_date + order_time, "%Y%m%d%H%M%S")
return executed_at.replace(tzinfo=_KST).astimezone(timezone.utc)
executed_at = datetime.strptime(order_date, "%Y%m%d")
return executed_at.replace(tzinfo=_KST).astimezone(timezone.utc)
executed_at = datetime(
year,
month,
day,
int(order_time[0:2]),
int(order_time[2:4]),
int(order_time[4:6]),
tzinfo=_KST,
)
return executed_at.astimezone(UTC)
return datetime(year, month, day, tzinfo=_KST).astimezone(UTC)
def lookup_fill_evidence(self, *, trading_date: str, execution_id: str) -> dict:
"""Read one exact filled/partial-cancel evidence row for a historical execution."""
@@ -737,7 +747,7 @@ class KISBroker:
if cancelled:
return FillStatus(state="cancelled", raw=row) # full external cancel
return FillStatus(state="accepted", raw=row)
if ccld_qty >= ord_qty and ord_qty > 0:
if ccld_qty >= ord_qty > 0:
# Deterministic execution_id (dcy-004 OQ-3, orbit kis.py rule):
# kis-daily-ccld:{ord_dt}:{ord_gno_brno}:{odno}:{tot_ccld_qty}
ord_dt = str(row.get("ord_dt") or today)
@@ -760,6 +770,7 @@ class KISBroker:
fee=fee,
tax=tax,
execution_venue=execution_venue,
executed_at=KISBroker._executed_at_from_row(row, ord_dt),
raw=row,
)
# 0 < ccld_qty < ord_qty
@@ -784,6 +795,7 @@ class KISBroker:
fee=fee,
tax=tax,
execution_venue=execution_venue,
executed_at=KISBroker._executed_at_from_row(row, ord_dt),
cancelled=True,
raw=row,
)
@@ -827,7 +839,7 @@ class KISBroker:
quantities: dict[str, int] = {}
seen_continuations: set[tuple[str, str]] = set()
continuation: Optional[tuple[str, str]] = None
continuation: tuple[str, str] | None = None
while True:
request_headers = headers
if continuation is not None:
@@ -944,7 +956,7 @@ class KISBroker:
raise BrokerBalanceError("malformed_response")
return amount
def get_current_price(self, symbol: str, market: str = "J") -> Optional[Decimal]:
def get_current_price(self, symbol: str, market: str = "J") -> Decimal | None:
"""Current traded price `stck_prpr` via KIS inquire-price (REQ-038, REQ-118).
tr_id: `FHKST01010100` per REQ-038 AC-7 (live and mock share the same tr_id).
trex_core/adapters/broker/paper.py
+8 -8
View File
@@ -8,9 +8,8 @@ execution code path that production (KIS) takes.
from __future__ import annotations
import threading
from datetime import UTC, datetime
from decimal import Decimal
from datetime import datetime
from typing import Optional
from trex_core.adapters.broker.seq_store import SeqStore
from trex_core.application.broker_port import (
@@ -52,9 +51,9 @@ class PaperBroker:
self,
*,
fill_after_polls: int = 0,
qty_per_poll: Optional[int] = None,
reject_symbols: Optional[set[str]] = None,
seq_store: Optional[SeqStore] = None,
qty_per_poll: int | None = None,
reject_symbols: set[str] | None = None,
seq_store: SeqStore | None = None,
) -> None:
self._fill_after = fill_after_polls
self._qty_per_poll = qty_per_poll
@@ -90,8 +89,8 @@ class PaperBroker:
*,
side: str,
symbol: str,
order_date: Optional[str] = None,
submitted_at: Optional[datetime] = None,
order_date: str | None = None,
submitted_at: datetime | None = None,
) -> FillStatus:
with self._lock:
o = self._orders.get(broker_order_id)
@@ -122,6 +121,7 @@ class PaperBroker:
state="filled", filled_qty=o.filled, avg_price=o.price,
execution_id=execution_id, fee=fee, tax=tax,
execution_venue=o.execution_venue,
executed_at=datetime.now(tz=UTC),
)
return FillStatus(
state="partially_filled",
@@ -172,7 +172,7 @@ class PaperBroker:
with self._lock:
self._prices[symbol] = Decimal(str(price))
def get_current_price(self, symbol: str, market: str = "J") -> Optional[Decimal]:
def get_current_price(self, symbol: str, market: str = "J") -> Decimal | None:
"""Return the programmed current price for symbol, or None if unset.
market accepted for BrokerPort protocol conformance (REQ-118) but