feat: resolve and persist actual order venue
This commit is contained in:
jordan
+3
-1
@@ -49,7 +49,7 @@
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- limit_price :: numeric? :: 현재 pending 주문 지정가(side 무관, dcy-012/REQ-002 — 과거 `entry_price`에서 rename). pending 진입(매수/매도 지정가) 시 set, pending 이탈(→holding/→closed) 시 None 으로 clear → 매수 지정가가 매도로 누수되지 않음(issue #10). None 이면 dispatch 시 시장가.
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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(KRX/NXT/SOR). pending 주문·취소까지 보존하고 INACTIVE 진입 시 KRX 초기화.
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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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- 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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@@ -128,6 +128,7 @@
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- fee :: float :: BrokerPort `calculate_fee(side, qty*price)`
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- tax :: float :: 기본 0(정밀 모델 후속)
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- executed_at :: datetime?
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- venue :: str :: Core가 실제 제출에 사용한 거래소. 외부 Portfolio Hub API에는 아직 전달하지 않는다.
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- correlation_id (derived) :: `{asset_id}:{order_id}:{execution_id}`
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### State Rules
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@@ -147,6 +148,7 @@
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- side :: TEXT CHECK ('buy','sell')
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- qty / price / fee / tax :: NUMERIC(18,4)
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- executed_at :: TIMESTAMPTZ?
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- venue :: TEXT NOT NULL DEFAULT 'KRX' :: 실제 제출 거래소. 기존 행은 KRX로 보존한다.
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- status :: TEXT CHECK ('pending','completed','conflict_blocked','delivery_failed') — `delivery_failed` 추가(dcy-015, 마이그레이션 007)
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- attempts :: INTEGER :: 재시도 누적
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- last_outcome :: TEXT? CHECK ('completed','duplicate_completed','retryable_failure','conflict_blocked','permanent_failure','dead_lettered')
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@@ -396,7 +396,7 @@ resume_kill_switch 요청·응답 (REQ-046):
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### Persistence
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- PostgreSQL: `ledger_outbox(correlation_id PK, asset_id, order_id, execution_id, side, qty, price, fee, tax, executed_at, status, attempts, last_outcome, last_error, created_at, updated_at)` — `ON CONFLICT (correlation_id) DO NOTHING` 이 outbox dedup 게이트.
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- PostgreSQL: `ledger_outbox(correlation_id PK, asset_id, order_id, execution_id, side, qty, price, fee, tax, executed_at, venue, status, attempts, last_outcome, last_error, created_at, updated_at)` — `ON CONFLICT (correlation_id) DO NOTHING` 이 outbox dedup 게이트. `venue`는 Core 내부 실제 제출 거래소이며 Portfolio Hub wire에는 아직 보내지 않는다.
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## `OrderRequest` DTO (BAT-004 / REQ-011, BAT-056 / REQ-117)
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@@ -415,8 +415,9 @@ resume_kill_switch 요청·응답 (REQ-046):
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### Additive Notes (REQ-117)
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- `venue` 필드는 BAT-056에서 additive 추가. 기존 orb/tsl 미지정 호출 → 기본값 `"KRX"` 자동 적용 → 하위 호환.
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- `OrderRequest`는 AMQP wire 위를 직접 흐르지 않는다. BAT-059부터 buy/sell intent의 선택적 `venue`(기본 KRX)를 슬롯에 보존해 이 DTO까지 전달한다. 허용값 외에는 `invalid_venue`로 admission 전 거부한다.
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- KIS 어댑터(REQ-118)는 `venue` → `EXCG_ID_DVSN_CD` 로 변환해 KIS HTTP 요청에 항상 명시 전송.
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- `OrderRequest`는 AMQP wire 위를 직접 흐르지 않는다. buy/sell intent의 선택적 `venue` 기본은 `AUTO`이고, 명시한 KRX/NXT/SOR는 그대로 슬롯에 보존한다. 허용값 외에는 `invalid_venue`로 admission 전 거부한다.
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- KIS 어댑터는 `AUTO`를 KST 세션 기준 실제 KRX/NXT로 확정한 뒤 `EXCG_ID_DVSN_CD`로 전송한다. 결정 불가능 구간은 KRX로 대체하지 않고 주문을 거부한다.
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- `OrderAck.venue`의 실제 제출 거래소는 `broker_order_id`와 함께 슬롯에 원자 저장되며 재시작·취소·Core 원장 outbox에서 재사용한다.
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## `BrokerPort` Protocol 메서드 (BAT-056 / REQ-118)
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@@ -446,6 +447,7 @@ get_current_price(symbol: str, market: str = "J") -> Optional[Decimal]
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### KIS 어댑터 EXCG 명시화 (REQ-118)
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- `submit_order`: body에 `EXCG_ID_DVSN_CD: req.venue` 항상 명시 전송 (이전: 미전송·서버 기본값 의존 → 명시화로 견고성 향상). 실측(2026-07-06): NXT(EXCG=NXT) 주문 rt_cd=0 확인.
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- `AUTO` 세션: 08:00~08:49:59 NXT, 09:00:30~15:29:59 KRX, 15:30~20:00 NXT. 그 밖의 시간은 `auto_venue_session_closed`로 fail-closed 한다.
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- `cancel_order`: body에 `EXCG_ID_DVSN_CD: venue` 명시 전송. 실측(2026-07-06): NXT 취소 rt_cd=0 확인.
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- `poll_fill`: 구 TR(`TTTC8001R`/`VTTC8001R`) 유지. NXT 체결 포함 여부 미확인(OPEN ITEM — 운영 스모크 필요). 확인 후 미포함이면 `TTTC0081R`(EXCG=ALL) 전환 별도 batch 처리.
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@@ -26,13 +26,12 @@ 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
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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 BrokerPort, OrderRequest
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from trex_core.application.broker_port import 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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@@ -42,8 +41,14 @@ _LIVE_URL = "https://openapi.koreainvestment.com:9443"
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# Helpers
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# ---------------------------------------------------------------------------
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def _mock_broker() -> KISBroker:
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b = KISBroker("12345678-01", app_key="k", app_secret="s", base_url=_MOCK_URL)
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def _mock_broker(*, clock=None) -> KISBroker:
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b = KISBroker(
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"12345678-01",
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app_key="k",
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app_secret="s",
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base_url=_MOCK_URL,
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clock=clock,
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)
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b._token = "tok"
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b._token_exp = datetime.now(tz=timezone.utc) + timedelta(hours=1)
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return b
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@@ -85,6 +90,84 @@ def test_order_request_venue_nxt():
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assert req.venue == "NXT"
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@pytest.mark.parametrize(
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("at", "expected"),
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[
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(datetime(2026, 7, 29, 8, 0, tzinfo=timezone(timedelta(hours=9))), "NXT"),
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(datetime(2026, 7, 29, 8, 49, 59, tzinfo=timezone(timedelta(hours=9))), "NXT"),
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(datetime(2026, 7, 29, 9, 0, 30, tzinfo=timezone(timedelta(hours=9))), "KRX"),
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(datetime(2026, 7, 29, 15, 29, 59, tzinfo=timezone(timedelta(hours=9))), "KRX"),
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(datetime(2026, 7, 29, 15, 30, tzinfo=timezone(timedelta(hours=9))), "NXT"),
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(datetime(2026, 7, 29, 20, 0, tzinfo=timezone(timedelta(hours=9))), "NXT"),
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],
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)
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def test_auto_venue_resolves_by_kst_session(at, expected):
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assert resolve_order_venue("AUTO", at) == expected
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@pytest.mark.parametrize(
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"at",
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[
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datetime(2026, 7, 29, 7, 59, 59, tzinfo=timezone(timedelta(hours=9))),
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datetime(2026, 7, 29, 8, 50, tzinfo=timezone(timedelta(hours=9))),
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datetime(2026, 7, 29, 9, 0, 29, tzinfo=timezone(timedelta(hours=9))),
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datetime(2026, 7, 29, 20, 0, 1, tzinfo=timezone(timedelta(hours=9))),
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],
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)
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def test_auto_venue_fails_closed_outside_supported_sessions(at):
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with pytest.raises(ValueError, match="auto_venue_session_closed"):
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resolve_order_venue("AUTO", at)
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def test_submit_auto_uses_nxt_and_reports_actual_venue(monkeypatch):
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captured = {}
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at = datetime(2026, 7, 29, 8, 1, tzinfo=timezone(timedelta(hours=9)))
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def fake_post(url, headers=None, json=None, timeout=None):
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captured["body"] = json
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return _FakeResp(
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{"rt_cd": "0", "output": {"ODNO": "0002", "KRX_FWDG_ORD_ORGNO": "06010"}}
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)
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broker = _mock_broker(clock=lambda: at)
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monkeypatch.setattr(kis_mod.httpx, "post", fake_post)
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ack = broker.submit_order(
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OrderRequest(
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slot_id="s-auto",
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side="buy",
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symbol="005930",
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qty=1,
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venue="AUTO",
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)
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)
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assert ack.accepted is True
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assert ack.venue == "NXT"
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assert captured["body"]["EXCG_ID_DVSN_CD"] == "NXT"
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def test_submit_auto_outside_session_rejects_without_http(monkeypatch):
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at = datetime(2026, 7, 29, 8, 55, tzinfo=timezone(timedelta(hours=9)))
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broker = _mock_broker(clock=lambda: at)
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def unexpected_post(*args, **kwargs):
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raise AssertionError("AUTO session rejection must happen before HTTP")
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monkeypatch.setattr(kis_mod.httpx, "post", unexpected_post)
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ack = broker.submit_order(
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OrderRequest(
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slot_id="s-auto-closed",
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side="buy",
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symbol="005930",
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qty=1,
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venue="AUTO",
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)
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)
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assert ack.accepted is False
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assert ack.reason == "auto_venue_session_closed"
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# ---------------------------------------------------------------------------
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# REQ-117 AC-4: 기존 위치 인수 순서 불변
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# ---------------------------------------------------------------------------
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@@ -20,7 +20,7 @@ def _trade(execution_id="paper:1:10") -> LedgerTrade:
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return LedgerTrade(
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asset_id="PF-1", order_id="ORD-1", execution_id=execution_id,
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side="buy", qty=10, price=1000.0, fee=1.5, tax=0.0,
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executed_at=datetime(2026, 6, 4, tzinfo=timezone.utc),
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executed_at=datetime(2026, 6, 4, tzinfo=timezone.utc), venue="NXT",
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)
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@@ -32,6 +32,7 @@ def test_enqueue_persists_and_is_idempotent(pg_clean):
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pending = outbox.list_pending()
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assert len(pending) == 1
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assert pending[0].status is WorkItemStatus.PENDING
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assert pending[0].trade.venue == "NXT"
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def test_writer_completes_persisted_item(pg_clean):
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@@ -59,6 +59,7 @@ def test_buy_fill_enqueues_one_ledger_item_and_writer_records_it():
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assert (t.asset_id, t.side, t.qty, t.price) == ("PF-1", "buy", 10, 1000.0)
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assert t.execution_id.startswith("paper:PAPER-")
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assert t.fee > 0.0 and t.tax == 0.0
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assert t.venue == "AUTO"
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def test_sell_fill_enqueues_sell_ledger_item():
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@@ -43,8 +43,8 @@ class _RecordingBroker:
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def poll_fill(self, broker_order_id, *, side, symbol):
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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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self.cancel_calls.append((broker_order_id, side, symbol, qty))
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def cancel_order(self, broker_order_id, *, side, symbol, qty, venue="KRX"):
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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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@@ -1,10 +1,12 @@
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"""Venue propagation from the strategy wire contract to broker execution."""
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from __future__ import annotations
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from uuid import UUID
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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.execution import ExecutionService
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from trex_core.application.intents import IntentService
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from trex_core.application.intents import BuyIntent, IntentService
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from trex_core.application.messaging import RpcRequest
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from trex_core.application.messaging_handlers import make_intent_rpc_handler
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from trex_core.domain.slot import SlotService, SlotState
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@@ -12,13 +14,18 @@ from trex_core.domain.slot.in_memory_repository import InMemorySlotRepository
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class RecordingBroker:
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def __init__(self) -> None:
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def __init__(self, *, actual_venue: str | None = None) -> None:
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self.orders: list[OrderRequest] = []
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self.cancel_venues: list[str] = []
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self.actual_venue = actual_venue
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def submit_order(self, req: OrderRequest) -> OrderAck:
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self.orders.append(req)
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return OrderAck(accepted=True, broker_order_id=f"order-{len(self.orders)}")
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return OrderAck(
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accepted=True,
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broker_order_id=f"order-{len(self.orders)}",
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venue=self.actual_venue or req.venue,
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)
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def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
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return FillStatus(state="accepted")
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@@ -104,6 +111,41 @@ def test_invalid_venue_is_rejected_before_slot_transition() -> None:
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assert repo.list_slots("default")[0].status is SlotState.INACTIVE
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def test_omitted_wire_venue_is_auto_then_actual_venue_is_persisted() -> None:
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repo = InMemorySlotRepository()
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service = SlotService(repo)
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intents = IntentService(
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service,
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repo,
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InMemoryIntentStore(),
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resolve_symbol=lambda portfolio_id: "005930",
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)
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repo.reconcile_universe("default", {"PF-1": "005930"})
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broker = RecordingBroker(actual_venue="NXT")
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execution = ExecutionService(service, repo, broker)
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handler = make_intent_rpc_handler(intents)
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response = handler(
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RpcRequest(
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payload={
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"intent_type": "buy",
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"intent_id": "auto-buy",
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"portfolio_id": "PF-1",
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"qty": 1,
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},
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correlation_id="auto-buy",
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)
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)
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slot_id = UUID(response.payload["slot_id"])
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pending = repo.fetch_slot(slot_id)
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assert pending is not None and pending.venue == "AUTO"
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execution.run_once()
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dispatched = repo.fetch_slot(slot_id)
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assert broker.orders[0].venue == "AUTO"
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assert dispatched is not None and dispatched.venue == "NXT"
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def test_inactive_transition_resets_venue_to_krx() -> None:
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repo, intents, _, _ = _wire()
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handler = make_intent_rpc_handler(intents)
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@@ -131,6 +173,30 @@ def test_inactive_transition_resets_venue_to_krx() -> None:
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assert reset.venue == "KRX"
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def test_holding_transition_resets_next_order_venue_to_auto() -> None:
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repo, intents, _, _ = _wire()
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decision = intents.submit_buy(
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BuyIntent(
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intent_id="nxt-buy-holding",
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portfolio_id="PF-1",
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qty=1,
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venue="NXT",
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)
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)
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slot = repo.fetch_slot(decision.slot_id)
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service = SlotService(repo)
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holding = service.transit_slot(
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slot.slot_id,
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SlotState.PENDING_BUY,
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SlotState.HOLDING,
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reason="fill",
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actor="test",
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qty=1,
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avg_price=1000,
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)
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assert holding.venue == "AUTO"
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def test_operator_cancel_uses_original_nxt_venue() -> None:
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repo, intents, execution, broker = _wire()
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handler = make_intent_rpc_handler(intents)
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@@ -14,10 +14,10 @@ from __future__ import annotations
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import base64
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import json
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from dataclasses import replace
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from datetime import datetime, timedelta, timezone
|
||||
from datetime import datetime, time, timedelta, timezone
|
||||
from decimal import Decimal, InvalidOperation
|
||||
from time import monotonic
|
||||
from typing import Optional
|
||||
from typing import Callable, Optional
|
||||
|
||||
import httpx
|
||||
|
||||
@@ -37,6 +37,30 @@ _MOCK_HINTS = ("openapivts", "virtual", "mock")
|
||||
_FILL_POLL_MIN_INTERVAL_SECONDS = 5.0
|
||||
_FILL_POLL_TRANSPORT_BACKOFF_SECONDS = 30.0
|
||||
_SUBMISSION_LOOKUP_GRACE_SECONDS = 90.0
|
||||
_SUPPORTED_ORDER_VENUES = frozenset({"AUTO", "KRX", "NXT", "SOR"})
|
||||
|
||||
|
||||
def resolve_order_venue(venue: str, at: datetime) -> str:
|
||||
"""Resolve AUTO to the venue that accepts domestic-stock orders at `at`.
|
||||
|
||||
The gaps are intentional fail-closed intervals. They prevent an AUTO order
|
||||
from silently falling back to KRX while the opening venue is indeterminate.
|
||||
Explicit KRX/NXT/SOR values are preserved.
|
||||
"""
|
||||
normalized = str(venue).strip().upper()
|
||||
if normalized not in _SUPPORTED_ORDER_VENUES:
|
||||
raise ValueError("unsupported_order_venue")
|
||||
if normalized != "AUTO":
|
||||
return normalized
|
||||
|
||||
current = at.astimezone(_KST).time().replace(tzinfo=None)
|
||||
if time(8, 0) <= current < time(8, 50):
|
||||
return "NXT"
|
||||
if time(9, 0, 30) <= current < time(15, 30):
|
||||
return "KRX"
|
||||
if time(15, 30) <= current <= time(20, 0):
|
||||
return "NXT"
|
||||
raise ValueError("auto_venue_session_closed")
|
||||
|
||||
|
||||
def _safe_int(v: object) -> Optional[int]:
|
||||
@@ -108,6 +132,7 @@ class KISBroker:
|
||||
timeout: float = 5.0,
|
||||
allow_live: bool = False,
|
||||
token_cache=None,
|
||||
clock: Optional[Callable[[], datetime]] = None,
|
||||
) -> None:
|
||||
self._account_ref = account_ref
|
||||
self._app_key = app_key
|
||||
@@ -117,6 +142,7 @@ class KISBroker:
|
||||
self._token: Optional[str] = None
|
||||
self._token_exp: datetime = datetime.now(tz=timezone.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] = {}
|
||||
is_mock = any(h in self._base_url for h in _MOCK_HINTS)
|
||||
if not is_mock and not allow_live:
|
||||
@@ -226,23 +252,28 @@ class KISBroker:
|
||||
# --- BrokerPort ---
|
||||
def submit_order(self, req: OrderRequest) -> OrderAck:
|
||||
cano, product = self._account()
|
||||
submitted_at = datetime.now(tz=_KST)
|
||||
submitted_at = self._clock().astimezone(_KST)
|
||||
try:
|
||||
actual_venue = resolve_order_venue(req.venue, submitted_at)
|
||||
except ValueError as exc:
|
||||
return OrderAck(accepted=False, reason=str(exc))
|
||||
resolved_req = replace(req, venue=actual_venue)
|
||||
body = {
|
||||
"CANO": cano,
|
||||
"ACNT_PRDT_CD": product,
|
||||
"PDNO": req.symbol,
|
||||
"ORD_DVSN": req.order_type,
|
||||
"ORD_QTY": str(req.qty),
|
||||
"ORD_UNPR": str(req.limit_price or 0),
|
||||
"PDNO": resolved_req.symbol,
|
||||
"ORD_DVSN": resolved_req.order_type,
|
||||
"ORD_QTY": str(resolved_req.qty),
|
||||
"ORD_UNPR": str(resolved_req.limit_price or 0),
|
||||
# REQ-118: always send EXCG_ID_DVSN_CD from req.venue (default "KRX").
|
||||
# Previously omitted (server defaulted to KRX); explicit is more robust.
|
||||
# Real-account NXT order confirmed rt_cd=0 on 2026-07-06.
|
||||
"EXCG_ID_DVSN_CD": req.venue,
|
||||
"EXCG_ID_DVSN_CD": actual_venue,
|
||||
}
|
||||
try:
|
||||
resp = httpx.post(
|
||||
f"{self._base_url}/uapi/domestic-stock/v1/trading/order-cash",
|
||||
headers=self._headers(self._tr_submit(req.side)),
|
||||
headers=self._headers(self._tr_submit(resolved_req.side)),
|
||||
json=body,
|
||||
timeout=self._timeout,
|
||||
)
|
||||
@@ -253,15 +284,17 @@ class KISBroker:
|
||||
# the execution loop cannot submit the same order again.
|
||||
return OrderAck(
|
||||
accepted=True,
|
||||
broker_order_id=_encode_submission_unknown(req, submitted_at),
|
||||
broker_order_id=_encode_submission_unknown(resolved_req, submitted_at),
|
||||
reason=f"submit_outcome_unknown:{type(exc).__name__}",
|
||||
venue=actual_venue,
|
||||
raw={"error_class": type(exc).__name__},
|
||||
)
|
||||
if getattr(resp, "status_code", 200) >= 500:
|
||||
return OrderAck(
|
||||
accepted=True,
|
||||
broker_order_id=_encode_submission_unknown(req, submitted_at),
|
||||
broker_order_id=_encode_submission_unknown(resolved_req, submitted_at),
|
||||
reason=f"submit_outcome_unknown:http_{resp.status_code}",
|
||||
venue=actual_venue,
|
||||
raw={"http_status": resp.status_code},
|
||||
)
|
||||
if str(payload.get("rt_cd")) == "0":
|
||||
@@ -269,9 +302,17 @@ class KISBroker:
|
||||
odno = out.get("ODNO") or out.get("odno")
|
||||
orgno = out.get("KRX_FWDG_ORD_ORGNO") or out.get("ord_gno_brno") or ""
|
||||
bid = f"{orgno}:{odno}" if orgno else str(odno)
|
||||
return OrderAck(accepted=True, broker_order_id=bid, raw=payload)
|
||||
return OrderAck(
|
||||
accepted=False, reason=payload.get("msg1") or payload.get("msg_cd"), raw=payload
|
||||
accepted=True,
|
||||
broker_order_id=bid,
|
||||
venue=actual_venue,
|
||||
raw=payload,
|
||||
)
|
||||
return OrderAck(
|
||||
accepted=False,
|
||||
reason=payload.get("msg1") or payload.get("msg_cd"),
|
||||
venue=actual_venue,
|
||||
raw=payload,
|
||||
)
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
|
||||
@@ -76,7 +76,7 @@ class PaperBroker:
|
||||
seq = self._seq
|
||||
oid = f"PAPER-{seq:06d}"
|
||||
self._orders[oid] = _Order(oid, req)
|
||||
return OrderAck(accepted=True, broker_order_id=oid)
|
||||
return OrderAck(accepted=True, broker_order_id=oid, venue=req.venue)
|
||||
|
||||
def poll_fill(self, broker_order_id: str, *, side: str, symbol: str) -> FillStatus:
|
||||
with self._lock:
|
||||
|
||||
@@ -285,13 +285,25 @@ class PostgreSQLSlotRepository:
|
||||
)
|
||||
return [self._row_to_slot(r) for r in cur.fetchall()]
|
||||
|
||||
def mark_dispatched(self, slot_id: UUID, broker_order_id: str) -> bool:
|
||||
def mark_dispatched(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
venue: Optional[str] = None,
|
||||
) -> bool:
|
||||
with self._psycopg.connect(self._dsn, autocommit=False) as conn:
|
||||
with conn.cursor() as cur:
|
||||
cur.execute(
|
||||
"UPDATE daily_slot SET broker_order_id=%s, updated_at=%s "
|
||||
"UPDATE daily_slot SET broker_order_id=%s, "
|
||||
"venue=COALESCE(%s, venue), updated_at=%s "
|
||||
"WHERE slot_id=%s AND broker_order_id IS NULL",
|
||||
(broker_order_id, datetime.now(tz=timezone.utc), slot_id),
|
||||
(
|
||||
broker_order_id,
|
||||
venue,
|
||||
datetime.now(tz=timezone.utc),
|
||||
slot_id,
|
||||
),
|
||||
)
|
||||
ok = cur.rowcount == 1
|
||||
conn.commit()
|
||||
@@ -456,7 +468,7 @@ class _PgIntentRecord:
|
||||
_OUTBOX_COLUMNS = (
|
||||
"correlation_id, asset_id, order_id, execution_id, side, qty, price, "
|
||||
"fee, tax, executed_at, status, attempts, last_outcome, last_error, "
|
||||
"created_at, updated_at, next_retry_at"
|
||||
"created_at, updated_at, next_retry_at, venue"
|
||||
)
|
||||
|
||||
|
||||
@@ -473,8 +485,8 @@ class PostgreSQLLedgerOutbox:
|
||||
cur.execute(
|
||||
"INSERT INTO ledger_outbox "
|
||||
"(correlation_id, asset_id, order_id, execution_id, side, "
|
||||
" qty, price, fee, tax, executed_at) "
|
||||
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s) "
|
||||
" qty, price, fee, tax, executed_at, venue) "
|
||||
"VALUES (%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s) "
|
||||
"ON CONFLICT (correlation_id) DO NOTHING",
|
||||
(
|
||||
trade.correlation_id,
|
||||
@@ -487,6 +499,7 @@ class PostgreSQLLedgerOutbox:
|
||||
trade.fee,
|
||||
trade.tax,
|
||||
trade.executed_at,
|
||||
trade.venue,
|
||||
),
|
||||
)
|
||||
conn.commit()
|
||||
@@ -590,6 +603,7 @@ class PostgreSQLLedgerOutbox:
|
||||
fee=f(row[7]),
|
||||
tax=f(row[8]),
|
||||
executed_at=row[9],
|
||||
venue=row[17],
|
||||
)
|
||||
return LedgerWorkItem(
|
||||
correlation_id=row[0],
|
||||
|
||||
@@ -0,0 +1,20 @@
|
||||
-- dcy-041 / GitHub #44: AUTO may exist while an intent is pending, but the
|
||||
-- actual submitted KRX/NXT value replaces it atomically with broker_order_id.
|
||||
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 ('AUTO', 'KRX', 'NXT', 'SOR'));
|
||||
|
||||
-- Core keeps the actual venue in its durable ledger outbox. Portfolio Hub's
|
||||
-- HTTP schema is intentionally unchanged in this migration.
|
||||
ALTER TABLE ledger_outbox
|
||||
ADD COLUMN IF NOT EXISTS venue TEXT NOT NULL DEFAULT 'KRX';
|
||||
|
||||
ALTER TABLE ledger_outbox
|
||||
DROP CONSTRAINT IF EXISTS ledger_outbox_venue_check;
|
||||
|
||||
ALTER TABLE ledger_outbox
|
||||
ADD CONSTRAINT ledger_outbox_venue_check
|
||||
CHECK (venue IN ('AUTO', 'KRX', 'NXT', 'SOR'));
|
||||
@@ -45,6 +45,10 @@ class OrderAck:
|
||||
accepted: bool
|
||||
broker_order_id: Optional[str] = None
|
||||
reason: Optional[str] = None
|
||||
# Actual venue used for submission. KIS resolves AUTO before the HTTP call;
|
||||
# execution persists this value with the broker order id so restart/cancel
|
||||
# never has to infer the original venue.
|
||||
venue: Optional[str] = None
|
||||
raw: dict[str, Any] = field(default_factory=dict)
|
||||
|
||||
|
||||
|
||||
@@ -201,7 +201,11 @@ class ExecutionService:
|
||||
)
|
||||
)
|
||||
if ack.accepted and ack.broker_order_id:
|
||||
self._repo.mark_dispatched(slot.slot_id, ack.broker_order_id)
|
||||
self._repo.mark_dispatched(
|
||||
slot.slot_id,
|
||||
ack.broker_order_id,
|
||||
venue=ack.venue,
|
||||
)
|
||||
r.dispatched += 1
|
||||
if ack.reason and ack.reason.startswith("submit_outcome_unknown:"):
|
||||
_log.warning(
|
||||
@@ -643,6 +647,7 @@ class ExecutionService:
|
||||
fee=float(fs.fee),
|
||||
tax=float(fs.tax),
|
||||
executed_at=datetime.now(tz=timezone.utc),
|
||||
venue=slot.venue,
|
||||
)
|
||||
self._ledger_outbox.enqueue(trade)
|
||||
r.ledger_enqueued += 1
|
||||
|
||||
@@ -75,7 +75,9 @@ 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"
|
||||
# Strategy wire default. AUTO is resolved at the broker boundary so
|
||||
# strategies remain session-agnostic while explicit KRX/NXT/SOR is kept.
|
||||
venue: str = "AUTO"
|
||||
extra: dict[str, Any] = field(default_factory=dict)
|
||||
|
||||
|
||||
@@ -94,7 +96,7 @@ class SellIntent:
|
||||
# dcy-022 / REQ-068: execution policy (optional, backward-compat).
|
||||
timeout_sec: Optional[int] = None
|
||||
slippage_pct: Optional[float] = None
|
||||
venue: str = "KRX"
|
||||
venue: str = "AUTO"
|
||||
extra: dict[str, Any] = field(default_factory=dict)
|
||||
|
||||
|
||||
@@ -211,7 +213,7 @@ 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"}:
|
||||
if intent.venue not in {"AUTO", "KRX", "NXT", "SOR"}:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
|
||||
|
||||
# dcy-036 / REQ-114: day-start entry gate (fail-closed).
|
||||
@@ -308,7 +310,7 @@ 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"}:
|
||||
if intent.venue not in {"AUTO", "KRX", "NXT", "SOR"}:
|
||||
return IntentDecision(intent.intent_id, "rejected", None, "invalid_venue")
|
||||
|
||||
slot = self._repo.fetch_slot(intent.slot_id)
|
||||
|
||||
@@ -57,6 +57,9 @@ class LedgerTrade:
|
||||
fee: float = 0.0
|
||||
tax: float = 0.0
|
||||
executed_at: Optional[datetime] = None
|
||||
# Actual order venue persisted in the Core outbox. Portfolio Hub remains
|
||||
# unchanged until its API contract explicitly accepts this additive field.
|
||||
venue: str = "KRX"
|
||||
|
||||
@property
|
||||
def correlation_id(self) -> str:
|
||||
|
||||
@@ -117,7 +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",
|
||||
venue=_opt_str(body.get("venue")) or "AUTO",
|
||||
)
|
||||
d = intent_service.submit_buy(buy)
|
||||
elif intent_type == "sell":
|
||||
@@ -133,7 +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",
|
||||
venue=_opt_str(body.get("venue")) or "AUTO",
|
||||
)
|
||||
d = intent_service.submit_sell(sell)
|
||||
else:
|
||||
@@ -627,4 +627,3 @@ def _parse_date(v) -> date_cls:
|
||||
|
||||
def _today() -> date_cls:
|
||||
return datetime.now(tz=timezone.utc).date()
|
||||
|
||||
|
||||
@@ -185,13 +185,22 @@ class InMemorySlotRepository:
|
||||
]
|
||||
return out[:limit]
|
||||
|
||||
def mark_dispatched(self, slot_id: UUID, broker_order_id: str) -> bool:
|
||||
"""Atomically set broker_order_id iff still undispatched (idempotency guard)."""
|
||||
def mark_dispatched(
|
||||
self,
|
||||
slot_id: UUID,
|
||||
broker_order_id: str,
|
||||
*,
|
||||
venue: Optional[str] = None,
|
||||
) -> bool:
|
||||
"""Atomically persist dispatch identity and the actual broker venue."""
|
||||
s = self._slots.get(slot_id)
|
||||
if s is None or s.broker_order_id is not None:
|
||||
return False
|
||||
self._slots[slot_id] = replace(
|
||||
s, broker_order_id=broker_order_id, updated_at=datetime.now(tz=timezone.utc)
|
||||
s,
|
||||
broker_order_id=broker_order_id,
|
||||
venue=venue if venue is not None else s.venue,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
return True
|
||||
|
||||
|
||||
@@ -215,10 +215,15 @@ class SlotService:
|
||||
new_limit_price = limit_price if limit_price is not None else slot.limit_price
|
||||
new_timeout_sec = timeout_sec if timeout_sec is not None else slot.timeout_sec
|
||||
new_slippage_pct = slippage_pct if slippage_pct is not None else slot.slippage_pct
|
||||
new_venue = venue if venue is not None else slot.venue
|
||||
else: # HOLDING / ERROR — pending order policy no longer applies.
|
||||
new_limit_price = None
|
||||
new_timeout_sec = None
|
||||
new_slippage_pct = None
|
||||
# A completed order's venue must not leak into a later autonomous
|
||||
# sell. The next order starts session-aware unless its intent
|
||||
# explicitly chooses KRX/NXT/SOR.
|
||||
new_venue = "AUTO" if to_state is SlotState.HOLDING else slot.venue
|
||||
|
||||
# occupancy_seq (dcy-028/REQ-081): bump when a slot begins a new
|
||||
# occupancy (inactive→pending_buy). Stable across the rest of the
|
||||
@@ -271,7 +276,7 @@ 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,
|
||||
venue=new_venue,
|
||||
updated_at=datetime.now(tz=timezone.utc),
|
||||
)
|
||||
|
||||
|
||||
Reference in New Issue
Block a user