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fix(bat-052): CHG-20260626-02 보정 — buy_fee_only_assets 제거 + NFR-2 엄격화

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portfolio-hub WAC가 매수 fee를 cost basis에 편입함에 따라(REQ-110 change-req)
이중계상을 방지하기 위해 buy_fee_only_assets 관련 로직을 전면 제거하고,
일중 닫힌 거래 AC-2 단언을 엄격 동치(realized_pnl_wac == realized_pnl)로 강화.

변경:
- OperatorReport.buy_fee_only_assets 필드 제거
- apply_wac_to_report buy_fee_only_assets 인자 제거
- buy_fee_by_asset 헬퍼 함수 제거
- render_text 매수전용 수수료 섹션 제거
- render_json buy_fee_only_assets 필드 제거 (WAC 필드 4개→3개)
- cli.py: buy_fee_by_asset import/사용 제거, 미사용 'from datetime import date, timedelta' 제거
- test_wac_equals_net_when_same_day_buy_sell: WAC 957.0, 엄격 동치 단언
- test_buy_only_assets_has_fee → test_buy_only_asset_no_fee_line (fee 라인 없음)
- test_render_json_has_all_four_wac_fields → test_render_json_has_three_wac_fields
- 동일 CLI 통합 테스트 보정

결과: 717 passed, 47 skipped

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01VHtM5Ws1HKCKQ4JGi6GRb5
This commit is contained in:
genichin
2026-06-26 20:35:17 +09:00
co-authored by Claude Sonnet 4.6
parent 73d3b35ab2
commit d3e4af59cf
4 changed files with 42 additions and 78 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/application/test_operator_report.py
+26 -41
View File
@@ -8,7 +8,6 @@ from trex_core.application.operator_report import (
TradeRow,
apply_wac_to_report,
build_report,
buy_fee_by_asset,
kst_day_bounds_utc,
realized_pnl,
render_json,
@@ -103,7 +102,6 @@ class TestApplyWacToReport:
rep,
wac_total=49675.0, # (75000-70000)*10 - 100 - 225
wac_by_asset={"005930": 49675.0},
buy_fee_only_assets={},
data_completeness_warning=False,
)
assert rep.realized_pnl_wac == 49675.0
@@ -132,16 +130,18 @@ class TestApplyWacToReport:
rep,
wac_total=49675.0,
wac_by_asset={"005930": 49675.0},
buy_fee_only_assets={},
data_completeness_warning=False,
)
assert rep.realized_pnl_wac == 49675.0
assert rep.realized_pnl_wac != rep.realized_pnl # WAC != 당일 net
def test_wac_equals_net_when_same_day_buy_sell(self):
"""REQ-110 AC-2: 동일날 매수+매도(WAC=당일매수가) → WAC ≈ 당일 net.
"""REQ-110 AC-2(엄격): 동일날 매수+매도 → WAC 실현손익 == 당일 net (완전 동치).
일중 진입·청산 시 WAC 매수가 = 당일 net 매수 대금이므로 결과가 일치한다.
portfolio-hub WAC가 매수 fee를 cost basis에 편입하므로(CHG-20260626-02):
WAC = (1000*10 + 5) / 10 = 1000.5
realized = (1100 - 1000.5) * 10 - 5 - 33 = 957
당일 net도 957이므로 닫힌 거래에서 엄격 동치가 성립한다.
"""
rep = build_report(
holdings=[],
@@ -154,53 +154,38 @@ class TestApplyWacToReport:
# 당일 net = (11000-5-33) - (10000+5) = 10962 - 10005 = 957
assert rep.realized_pnl == 957.0
# WAC = (1100-1000)*10 - 5 - 33 = 962 (fee for sell subtracted here)
# 단, 당일 매수 fee(5)는 buy_fee_only_assets 아닌 실현PnL에 반영됨
# 사실 WAC 계산: realized = (sell_price - wac) * qty - fee - tax
# wac = 1000 (동일날 매수가), qty=10, sell=1100, fee=5, tax=33
# realized = (1100-1000)*10 - 5 - 33 = 962
# 당일 net = sell대금 - buy대금 = (11000-5-33)-(10000+5) = 10962-10005 = 957
# 미세한 차이는 buy_fee 처리 방식 차이 — 여기서는 WAC 동일날 시나리오 확인
# WAC(편입 후) = (1000*10+5)/10 = 1000.5
# realized_pnl_wac = (1100-1000.5)*10 - 5 - 33 = 9950 - 38 - 5 - 33 = 957
apply_wac_to_report(
rep,
wac_total=962.0,
wac_by_asset={"A": 962.0},
buy_fee_only_assets={},
wac_total=957.0,
wac_by_asset={"A": 957.0},
data_completeness_warning=False,
)
# NFR-2: 당일 net(기존) 필드는 유지되고 독립적이다
assert rep.realized_pnl == 957.0
assert rep.realized_pnl_wac == 962.0
# NFR-2 엄격화 (AC-2): 일중 닫힌 거래에서 WAC 실현손익 == 당일 net
assert rep.realized_pnl_wac == rep.realized_pnl # 957 == 957
def test_buy_only_assets_has_fee(self):
"""REQ-110 AC-3: 매수만 있는 자산 → realized 0 + buy_fee_only_assets 표시."""
def test_buy_only_asset_no_fee_line(self):
"""REQ-110 AC-3(변경): 매수만 있는 자산 → 실현 0, 별도 수수료 라인 없음.
CHG-20260626-02: 매수 fee가 cost basis에 편입 → 매도 시 실현되므로
매수 전용일에 별도 "수수료 비용" 라인을 표시하지 않는다(이중계상 방지).
"""
rep = build_report(
holdings=[Holding("000660", "pf-2", 10, 50000)],
pending=[],
trades=[TradeRow("pf-2", "buy", 10, 50000, fee=250)],
)
# 매도 없음 → sell_assets = {}
fee_map = buy_fee_by_asset(rep.holdings.__class__([]), # type: ignore
exclude_symbols=set())
fee_map2 = buy_fee_by_asset(
[TradeRow("pf-2", "buy", 10, 50000, fee=250)],
exclude_symbols=set(),
)
assert fee_map2 == {"pf-2": 250.0}
apply_wac_to_report(
rep,
wac_total=0.0,
wac_by_asset={},
buy_fee_only_assets={"pf-2": 250.0},
data_completeness_warning=False,
)
assert rep.realized_pnl_wac == 0.0
assert rep.buy_fee_only_assets == {"pf-2": 250.0}
# render_text에 buy_fee_only_assets 섹션 포함
# 별도 수수료 라인 없음
text = render_text(rep)
assert "매수 전용 자산 수수료" in text
assert "pf-2" in text
assert "매수 전용 자산 수수료" not in text
def test_completeness_warning_in_text_and_json(self):
"""REQ-110 AC-4: completeness:true → text·json 모두 경고 표면화."""
@@ -209,7 +194,6 @@ class TestApplyWacToReport:
rep,
wac_total=0.0,
wac_by_asset={},
buy_fee_only_assets={},
data_completeness_warning=True,
)
text = render_text(rep)
@@ -225,27 +209,28 @@ class TestApplyWacToReport:
rep,
wac_total=100.0,
wac_by_asset={"005930": 80.0, "000660": 20.0},
buy_fee_only_assets={},
data_completeness_warning=False,
)
text = render_text(rep)
assert "005930" in text and "000660" in text
def test_render_json_has_all_four_wac_fields(self):
"""REQ-110 AC-6: --json에 신규 4필드 포함."""
def test_render_json_has_three_wac_fields(self):
"""REQ-110 AC-6: --json에 신규 3 WAC 필드 포함 (CHG-20260626-02: buy_fee_only_assets 제거).
필드: realized_pnl_wac, realized_pnl_wac_by_asset, data_completeness_warning.
"""
rep = build_report([], [], [])
apply_wac_to_report(
rep,
wac_total=5000.0,
wac_by_asset={"X": 5000.0},
buy_fee_only_assets={},
data_completeness_warning=False,
)
j = render_json(rep)
assert "realized_pnl_wac" in j
assert "realized_pnl_wac_by_asset" in j
assert "buy_fee_only_assets" in j
assert "data_completeness_warning" in j
assert "buy_fee_only_assets" not in j
assert j["realized_pnl_wac"] == 5000.0
@@ -289,8 +274,8 @@ class TestWacDegrade:
# WAC 필드는 null
assert j["realized_pnl_wac"] is None
assert j["realized_pnl_wac_by_asset"] is None
assert j["buy_fee_only_assets"] is None
assert j["data_completeness_warning"] is None
assert "buy_fee_only_assets" not in j # CHG-20260626-02: 필드 자체 제거됨
# 에러 필드 존재
assert "realized_pnl_wac_error" in j
assert "unavailable" in j["realized_pnl_wac_error"]
tests/runtime/test_cli_report_wac.py
+14 -7
View File
@@ -143,8 +143,11 @@ class TestReportWacPath:
# 에러 없음
assert "unavailable" not in out
def test_wac_json_has_all_four_fields(self, capsys):
"""REQ-110 AC-6: --json에 4 WAC 필드 포함."""
def test_wac_json_has_three_wac_fields(self, capsys):
"""REQ-110 AC-6: --json에 3 WAC 필드 포함 (CHG-20260626-02: buy_fee_only_assets 제거).
필드: realized_pnl_wac, realized_pnl_wac_by_asset, data_completeness_warning.
"""
db_rows = [
[("005930", "pf-1", 10, 70000.0)],
[],
@@ -168,8 +171,9 @@ class TestReportWacPath:
assert rc == 0
j = json.loads(capsys.readouterr().out)
for field in ("realized_pnl_wac", "realized_pnl_wac_by_asset",
"buy_fee_only_assets", "data_completeness_warning"):
"data_completeness_warning"):
assert field in j, f"missing field: {field}"
assert "buy_fee_only_assets" not in j
def test_completeness_warning_in_text_and_json(self, capsys):
"""REQ-110 AC-4: completeness:true → text·json 경고 표면화."""
@@ -266,8 +270,11 @@ class TestReportWacPath:
assert j["fills_count"] == 1
assert j["holdings"][0]["symbol"] == "005930"
def test_buy_only_asset_fee_displayed(self, capsys):
"""REQ-110 AC-3: 매수만 → 실현 0 + buy_fee_only_assets 표시."""
def test_buy_only_asset_no_fee_line(self, capsys):
"""REQ-110 AC-3(변경): 매수만 → 실현 0, 별도 수수료 라인 없음.
CHG-20260626-02: 매수 fee 편입 → 매수 전용 자산 수수료 섹션 제거.
"""
db_rows = [
[("000660", "pf-2", 5, 50000.0)], # holdings (보유 중)
[],
@@ -291,8 +298,8 @@ class TestReportWacPath:
rc = cli.main(["report"])
assert rc == 0
out = capsys.readouterr().out
assert "매수 전용 자산 수수료" in out
assert "pf-2" in out
# 매수 전용 수수료 섹션은 더 이상 표시하지 않음
assert "매수 전용 자산 수수료" not in out
def test_no_fallback_to_daily_net(self, capsys):
"""REQ-111 AC-3: degrade 시 당일 net 폴백 안 함.
trex_core/application/operator_report.py
+2 -23
View File
@@ -53,7 +53,6 @@ class OperatorReport:
# REQ-110 WAC 실현손익 (portfolio-hub 통합)
realized_pnl_wac: float = 0.0
realized_pnl_wac_by_asset: dict[str, float] = field(default_factory=dict)
buy_fee_only_assets: dict[str, float] = field(default_factory=dict)
data_completeness_warning: bool = False
# REQ-111 degrade flag
wac_unavailable: bool = False
@@ -104,34 +103,19 @@ def apply_wac_to_report(
*,
wac_total: float,
wac_by_asset: dict[str, float],
buy_fee_only_assets: dict[str, float],
data_completeness_warning: bool,
) -> None:
"""REQ-110: WAC 실현손익을 OperatorReport에 in-place로 적용한다.
순수 도메인 계층에서는 이 헬퍼가 아닌 build_report를 사용하고,
CLI(_cmd_report)에서 portfolio-hub 응답을 받아 이 함수로 주입한다.
CHG-20260626-02: 매수 fee가 cost basis에 편입되어 buy_fee_only_assets 제거됨.
"""
rep.realized_pnl_wac = wac_total
rep.realized_pnl_wac_by_asset = dict(wac_by_asset)
rep.buy_fee_only_assets = dict(buy_fee_only_assets)
rep.data_completeness_warning = data_completeness_warning
def buy_fee_by_asset(trades: list[TradeRow], *, exclude_symbols: set[str] | None = None) -> dict[str, float]:
"""OQ-3: 당일 매수 거래 fee 합산, 자산별 (매도 없는 자산 대상).
exclude_symbols: 매도 실현손익이 이미 WAC에 반영된 자산 집합.
"""
fee_map: dict[str, float] = {}
for t in trades:
if t.side == "buy":
fee_map[t.asset_id] = fee_map.get(t.asset_id, 0.0) + t.fee
if exclude_symbols:
return {k: v for k, v in fee_map.items() if k not in exclude_symbols}
return fee_map
def render_text(rep: OperatorReport) -> str:
"""사람용 표 요약."""
lines: list[str] = []
@@ -155,10 +139,6 @@ def render_text(rep: OperatorReport) -> str:
lines.append(f" {asset}: {pnl:,.0f}")
if rep.data_completeness_warning:
lines.append(" [!] 이력 불완전 경고: cost basis 산출이 부정확할 수 있습니다.")
if rep.buy_fee_only_assets:
lines.append("=== 매수 전용 자산 수수료 ===")
for asset, fee in sorted(rep.buy_fee_only_assets.items()):
lines.append(f" {asset}: -{fee:,.0f}")
return "\n".join(lines)
@@ -177,10 +157,9 @@ def render_json(rep: OperatorReport) -> dict:
"fills_count": rep.fills_count,
"realized_pnl": rep.realized_pnl,
"realized_pnl_by_asset": rep.realized_pnl_by_asset,
# REQ-110 신규 WAC 필드
# REQ-110 신규 WAC 필드 (CHG-20260626-02: buy_fee_only_assets 제거)
"realized_pnl_wac": None if rep.wac_unavailable else rep.realized_pnl_wac,
"realized_pnl_wac_by_asset": None if rep.wac_unavailable else rep.realized_pnl_wac_by_asset,
"buy_fee_only_assets": None if rep.wac_unavailable else rep.buy_fee_only_assets,
"data_completeness_warning": None if rep.wac_unavailable else rep.data_completeness_warning,
}
# REQ-111: degrade 표기
trex_core/runtime/cli.py
-7
View File
@@ -668,7 +668,6 @@ def _cmd_verify(args, cfg) -> int:
def _cmd_report(args, cfg) -> int:
"""REQ-088/110/111: holdings / today's fills / WAC realized PnL / pending — direct-DB."""
import psycopg
from datetime import date, timedelta
from trex_core.application.operator_report import (
Holding,
@@ -676,7 +675,6 @@ def _cmd_report(args, cfg) -> int:
TradeRow,
apply_wac_to_report,
build_report,
buy_fee_by_asset,
kst_day_bounds_utc,
render_json,
render_text,
@@ -749,15 +747,10 @@ def _cmd_report(args, cfg) -> int:
key = item.symbol or pid
wac_by_asset_accum[key] = wac_by_asset_accum.get(key, 0.0) + item.realized_pnl
# OQ-3: buy_fee_only_assets = 당일 매수 거래 fee 합산 (매도 없는 자산 대상)
sell_assets = {t.asset_id for t in trades if t.side == "sell"}
buy_fee_only = buy_fee_by_asset(trades, exclude_symbols=sell_assets)
apply_wac_to_report(
rep,
wac_total=wac_total,
wac_by_asset=wac_by_asset_accum,
buy_fee_only_assets=buy_fee_only,
data_completeness_warning=any_warning,
)