Deliver BAT-004: broker execution + KIS adapter + durable handoff

Implement REQ-011~015 (dcy-003): the order-execution layer on top of the
BAT-002 slot-core daemon, connecting intents to real orders.
- application: BrokerPort (submit/poll_fill/cancel) + ExecutionService
  (claim -> submit -> poll -> transition -> rollback -> reconcile)
- adapters/broker: PaperBroker (deterministic async double) and KISBroker
  (KIS Open API: token, order-cash, inquire-daily-ccld, cancel; VTS sandbox
  tr_ids; live account gated behind allow_live)
- persistence: option-A execution queue (find_pending_for_dispatch FOR
  UPDATE SKIP LOCKED, mark_dispatched idempotency guard, clear_dispatch)
- runtime: background execution loop in the daemon lifespan + startup
  reconcile; config selects paper|kis

Verification (real KIS VTS 모의투자 + PostgreSQL): 92 passed, ruff clean,
domain import sweep shows zero broker/web/db deps, buy->holding /
sell->closed / reject->idle, idempotent dispatch (exactly one order),
reconcile after crash creates no duplicate order, KIS sandbox token+submit
round-trip, and a daemon E2E through the background loop. Align the four
baseline docs. BAT-004 -> release-candidate; REQ-011~015 -> Implemented.

KIS live-account go-live, partial-fill accrual, option-B outbox, connection
pooling, and the safety floor remain deferred to follow-up Discoveries.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-06-04 17:46:17 +09:00
co-authored by Claude Opus 4.8
parent d60d720bc7
commit 97d58318db
29 changed files with 1456 additions and 35 deletions
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"""Broker port + DTOs (REQ-011, dcy-003).
The single broker boundary (invariant B): only the core, through this port,
submits/cancels orders and observes fills. Adapters (paper, KIS) live in
trex_core.adapters.broker. Fills are observed asynchronously via poll_fill
(unified contract — paper does not shortcut to synchronous, dcy-003 OQ-2).
"""
from __future__ import annotations
from dataclasses import dataclass, field
from typing import Any, Optional, Protocol
@dataclass(frozen=True)
class OrderRequest:
slot_id: str # originating slot (audit/correlation)
side: str # 'buy' | 'sell'
symbol: str
qty: int
limit_price: Optional[int] = None # None => market order
order_type: str = "00" # KIS ORD_DVSN: 00 limit, 01 market
@dataclass(frozen=True)
class OrderAck:
accepted: bool
broker_order_id: Optional[str] = None
reason: Optional[str] = None
raw: dict[str, Any] = field(default_factory=dict)
@dataclass(frozen=True)
class FillStatus:
state: str # accepted | partially_filled | filled | rejected | cancelled | unknown
filled_qty: int = 0
avg_price: Optional[float] = None
raw: dict[str, Any] = field(default_factory=dict)
@property
def is_filled(self) -> bool:
return self.state == "filled"
@property
def is_terminal_reject(self) -> bool:
return self.state in {"rejected", "cancelled"}
class BrokerPort(Protocol):
"""Single broker session boundary (invariant B)."""
def name(self) -> str:
...
def submit_order(self, req: OrderRequest) -> OrderAck:
"""Submit an order. Returns accepted + broker_order_id (no synchronous fill)."""
...
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
"""Observe current fill status for a previously accepted order."""
...
def cancel_order(self, broker_order_id: str, *, side: str, symbol: str, qty: int) -> bool:
"""Best-effort cancel. Returns True if the broker accepted the cancel."""
...
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"""Order execution service (REQ-013, REQ-014, dcy-003).
A single background execution loop (invariant A single writer, invariant B
single broker session) that, per tick:
dispatch: claim pending slots with broker_order_id IS NULL (option A queue),
submit the order, record broker_order_id (idempotency guard).
poll: observe fills on dispatched pending slots and transition the slot
(pending_buy->holding / pending_sell->closed), or roll back on reject.
reconcile() re-polls dispatched slots on restart so a crash after dispatch
converges without duplicate orders (REQ-014).
All slot writes go through SlotService (advisory lock). The broker is touched
only here, never by the domain or the HTTP API.
"""
from __future__ import annotations
from dataclasses import dataclass
from trex_core.application.broker_port import BrokerPort, OrderRequest
from trex_core.domain.slot import SlotService, SlotState, SlotStateMismatchError
_MAX_DISPATCH_PER_TICK = 64
@dataclass
class ExecutionResult:
dispatched: int = 0
filled: int = 0
rolled_back: int = 0
class ExecutionService:
def __init__(self, slot_service: SlotService, repo, broker: BrokerPort) -> None:
self._svc = slot_service
self._repo = repo
self._broker = broker
# ------------------------------------------------------------
def run_once(self) -> ExecutionResult:
r = ExecutionResult()
self._dispatch(r)
self._poll(r)
return r
def reconcile(self) -> ExecutionResult:
"""Restart recovery: re-poll dispatched-but-pending slots (REQ-014).
Undispatched pending slots (broker_order_id IS NULL) are simply picked
up by the next dispatch, so a crash before dispatch causes no duplicate.
"""
r = ExecutionResult()
self._poll(r)
return r
# ------------------------------------------------------------
def _dispatch(self, r: ExecutionResult) -> None:
for _ in range(_MAX_DISPATCH_PER_TICK):
slot = self._repo.find_pending_for_dispatch()
if slot is None:
return
side = "buy" if slot.status is SlotState.PENDING_BUY else "sell"
qty = int(slot.qty or 0)
limit = int(slot.entry_price) if slot.entry_price else None
ack = self._broker.submit_order(
OrderRequest(
slot_id=str(slot.slot_id),
side=side,
symbol=slot.symbol or "",
qty=qty,
limit_price=limit,
order_type="00" if limit is not None else "01",
)
)
if ack.accepted and ack.broker_order_id:
self._repo.mark_dispatched(slot.slot_id, ack.broker_order_id)
r.dispatched += 1
else:
self._rollback(slot, reason=ack.reason or "order_rejected")
r.rolled_back += 1
def _poll(self, r: ExecutionResult) -> None:
for slot in self._repo.list_dispatched_pending():
side = "buy" if slot.status is SlotState.PENDING_BUY else "sell"
fs = self._broker.poll_fill(slot.broker_order_id, side=side, symbol=slot.symbol or "")
if fs.is_filled:
self._on_filled(slot, fs)
r.filled += 1
elif fs.is_terminal_reject:
self._rollback(slot, reason=f"order_{fs.state}")
r.rolled_back += 1
# accepted / partially_filled -> leave for next tick
# ------------------------------------------------------------
def _on_filled(self, slot, fs) -> None:
try:
if slot.status is SlotState.PENDING_BUY:
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.HOLDING,
reason="buy_filled", actor="execution_loop",
avg_price=fs.avg_price, qty=float(fs.filled_qty) or slot.qty,
)
else: # PENDING_SELL
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.CLOSED,
reason="sell_filled", actor="execution_loop",
)
except SlotStateMismatchError:
return # slot moved concurrently; next tick reconciles
self._repo.clear_dispatch(slot.slot_id) # done with this order
def _rollback(self, slot, *, reason: str) -> None:
try:
if slot.status is SlotState.PENDING_BUY:
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.IDLE,
reason=reason, actor="execution_loop",
) # idle reset clears broker_order_id in the domain
else: # PENDING_SELL rejected -> back to holding, clear order for re-dispatch
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.HOLDING,
reason=reason, actor="execution_loop",
)
self._repo.clear_dispatch(slot.slot_id)
except SlotStateMismatchError:
return