feat(execution,obs): 호가단위 스냅(dcy-030/#28) + 운영 관측성(dcy-029/#29) + REL-007 환류
dcy-030 (issue #28, P0 체결 복구): - REQ-083 KRX 호가단위(tick) 순수 유틸 (domain/pricing.py) - REQ-070 CHG: 슬리피지 실효가 호가단위 스냅 — 상한 준수(매수 floor/매도 ceil) + band<1tick 하한/상한 보장 + 부동소수 epsilon 가드. 147700→148400/54500→54700. - BAT-044 release-candidate dcy-029 (issue #29, 운영 관측성): - REQ-084 구조화 로깅 기반 (runtime/logging_setup.py): ISO8601 KST·레벨·Loki JSON ·correlation id(slot_id) - REQ-085 주문 결과 로깅 (event=order_submit|fill|reject) - REQ-087 거부 ERROR 가시성 (조용한 롤백 제거) - REQ-086 청산 reason+actor 동반 노출 (안전망/전략 구분, 신규 필드 없음) - REQ-088 운영 조회 CLI report (application/operator_report.py, 보유·오늘 체결 ·실현 PnL net·대기, direct-DB) - REQ-089 운영자 런북 docs/operations.md - REQ-090 baseline 정합 (runtime-flows·project-structure·interface-contract) - BAT-045(P0)·BAT-046(P1) release-candidate REL-007: confirmed → feedback-captured (운영 인스턴스 라이브 검증 + #28/#29 환류 정규화). BAT-037~041 released. 검증: 537 passed, 47 skipped, 회귀 0, ruff clean. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Claude Opus 4.8
@@ -80,30 +80,32 @@ def _buy_to_pending(intents, qty=10, entry_price=1000, timeout_sec=None, slippag
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class TestSlippageDispatch:
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def test_buy_slippage_ceil_applied_to_limit(self):
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"""buy: effective_limit = ceil(entry_price * (1 + pct/100))."""
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def test_buy_slippage_floor_to_tick(self):
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"""buy: effective_limit = floor_to_tick(entry * (1 + pct/100)).
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dcy-030/REQ-070 CHG: cap-respecting direction (was ceil). entry=1000
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is in the <2,000 band (tick 1) so floor_to_tick(1005.0) = 1005.
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"""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=1000, slippage_pct=0.5)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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order = broker.orders[0]
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# ceil(1000 * 1.005) = ceil(1005.0) = 1005
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assert order.limit_price == 1005
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def test_buy_slippage_fractional_ceil(self):
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"""ceil(1001 * 1.003) = ceil(1004.003) = 1005."""
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def test_buy_slippage_fractional_floors_down(self):
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"""floor_to_tick(1001 * 1.003) = floor(1004.003) = 1004 (tick 1)."""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=1001, slippage_pct=0.3)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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import math
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expected = int(math.ceil(1001 * 1.003))
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assert broker.orders[0].limit_price == expected
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# cap-respecting: floor (not ceil). 1004.003 -> 1004.
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assert broker.orders[0].limit_price == 1004
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def test_sell_slippage_floor_applied_to_limit(self):
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"""sell: effective_limit = floor(limit_price * (1 - pct/100))."""
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def test_sell_slippage_ceil_to_tick(self):
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"""sell: effective_limit = ceil_to_tick(limit_price * (1 - pct/100))."""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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# drive to holding first
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@@ -122,10 +124,8 @@ class TestSlippageDispatch:
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once() # dispatch sell (pending state already has limit_price)
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sell_orders = [o for o in broker.orders if o.side == "sell"]
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# floor(2000 * 0.99) = floor(1980.0) = 1980
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import math
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expected = int(math.floor(2000 * 0.99))
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assert sell_orders[0].limit_price == expected
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# ceil_to_tick(2000 * 0.99) = ceil_to_tick(1980.0) = 1980 (tick 5, exact).
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assert sell_orders[0].limit_price == 1980
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def test_no_slippage_when_slippage_pct_is_none(self):
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"""No slippage_pct → effective_limit = entry_price unchanged."""
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@@ -158,6 +158,105 @@ class TestSlippageDispatch:
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# 0.0 is falsy → slippage block skipped → no change
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assert broker.orders[0].limit_price == 1000
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def test_issue28_buy_147700_snaps_to_valid_tick(self):
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"""issue #28: 147,700 @ 0.5% → floor_to_tick(148438.5) = 148400 (tick 100)."""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=147700, slippage_pct=0.5)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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assert broker.orders[0].limit_price == 148400
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def test_issue28_buy_54500_snaps_to_valid_tick(self):
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"""issue #28: 54,500 @ 0.5% → floor_to_tick(54772.5) = 54700 (tick 100)."""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=54500, slippage_pct=0.5)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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assert broker.orders[0].limit_price == 54700
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def test_buy_sub_tick_band_floors_to_entry_tick(self):
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"""band < 1 tick: buy effective ≥ entry's valid tick (no under-fill).
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entry=147700 (on tick 100), pct=0.01 → raw=147714.77, floor_to_tick=147700;
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guard max(147700, ceil_to_tick(147700)=147700) = 147700 ≥ entry, valid tick.
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"""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=147700, slippage_pct=0.01)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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eff = broker.orders[0].limit_price
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assert eff == 147700
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assert eff % 100 == 0 # valid KRX tick
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assert eff <= 147700 * 1.0001 # within slippage ceiling
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def test_buy_snap_never_exceeds_slippage_ceiling(self):
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"""cap-respecting: buy effective ≤ entry*(1+pct/100), always a valid tick."""
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=35000, slippage_pct=0.7)
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broker.responder = lambda side: FillStatus(state="accepted")
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execution.run_once()
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eff = broker.orders[0].limit_price
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# 35000*1.007 = 35245 -> tick 50 -> floor_to_tick = 35200
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assert eff == 35200
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assert eff % 50 == 0
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assert eff <= 35000 * 1.007
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# ============================================================================
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# REQ-085 / REQ-087: order-result logging + reject ERROR visibility (dcy-029)
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# ============================================================================
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class TestOrderResultLogging:
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def test_submit_and_fill_are_logged_with_event_keys(self, caplog):
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from trex_core.runtime import logging_setup as ls
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=1000, slippage_pct=None)
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broker.responder = lambda side: FillStatus(
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state="filled", filled_qty=10, avg_price=1000.0,
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execution_id="e1", fee=1.5, tax=0.0,
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)
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with caplog.at_level(logging.INFO):
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execution.run_once() # dispatch (submit) + poll (fill)
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text = "\n".join(r.getMessage() for r in caplog.records)
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assert "event=order_submit" in text
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assert "event=order_fill" in text
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assert "fee=1.5" in text
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# correlation id set to the slot_id (intent->order->fill join key)
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sid = broker.orders[0].slot_id
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assert ls.get_correlation_id() == sid
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def test_reject_is_logged_at_error_level(self, caplog):
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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broker.submit_order = lambda req: OrderAck(
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accepted=False, broker_order_id=None, reason="주식주문호가단위 오류",
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)
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_buy_to_pending(intents, entry_price=1000)
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with caplog.at_level(logging.INFO):
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execution.run_once()
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rejects = [r for r in caplog.records if "event=order_reject" in r.getMessage()]
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assert rejects, "reject must be logged"
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assert all(r.levelno == logging.ERROR for r in rejects)
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assert "호가단위" in rejects[0].getMessage()
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def test_normal_fill_emits_no_error(self, caplog):
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broker = _RecordingBroker()
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repo, svc, intents, execution = _wire(broker)
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_buy_to_pending(intents, entry_price=1000)
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broker.responder = lambda side: FillStatus(
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state="filled", filled_qty=10, avg_price=1000.0,
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execution_id="e1", fee=0.0, tax=0.0,
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)
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with caplog.at_level(logging.INFO):
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execution.run_once()
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assert not [r for r in caplog.records if r.levelno >= logging.ERROR]
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# ============================================================================
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# REQ-069: timeout auto-cancel
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