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feat(slot): dcy-021 포지션 사이징 — 보유 슬롯 증액·부분 매도 (BAT-031)

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자산 영구 슬롯(dcy-020)의 수량 가변 전제 위에 보유 포지션 수량 조정 구현.
명령형 계약(전략이 cash+quantity 로 qty+price 계산), core 는 실행 substrate,
수량 정본 = 브로커 잔고 재동기화로 "주문 수량 vs 보유 수량" 충돌 해소(별도 필드 없음).

- state.py: holding→pending_buy 전이 추가(증액) → 13 transitions (REQ-057)
- service.py: PENDING_SELL 진입 qty=caller as-is(None=전량 sentinel, 값=부분 주문) (REQ-062)
- intents.py: 증액 admission(holding 슬롯 매수=increase, M 캡 미적용), SellIntent.qty 부분 매도 (REQ-061)
- execution.py: _balance_map; 매도 dispatch=브로커잔고(전량)/min(주문,잔고)(부분);
  매수 체결 avg_price 가중평균+브로커 정본 resync; 매도 체결 잔고>0→holding/0→inactive;
  증액 롤백 holding 복귀 (REQ-066/062)
- messaging_handlers.py: sell payload qty 파싱(부분 매도)
- baseline 4문서(data-model/runtime-flows/interface-contract/project-structure) 정합 (REQ-067)

검증: 단위 378 / 통합(PG+RabbitMQ) 422 passed, ruff clean. run-the-app 사이징 e2e:
매수 10@1000 → 증액 +5@1200 → 15@1066.67(가중평균) → 부분 매도 6 → 9@1066.67(cost basis) → 전량→inactive.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
genichin
2026-06-10 18:53:37 +09:00
co-authored by Claude Opus 4.8
parent b2ba8c73fe
commit e4be4d60c2
13 changed files with 251 additions and 56 deletions
Download Patch File Download Diff File Expand all files Collapse all files
trex_core/application/execution.py
+79 -24
View File
@@ -114,10 +114,12 @@ class ExecutionService:
# surfaces via reconcile_core_holdings (REQ-062 A). No mirror
# fallback by design.
if sell_balance is None:
sell_balance = {
b.symbol: int(b.hldg_qty) for b in self._broker.get_balance()
}
qty = sell_balance.get(slot.symbol or "", 0)
sell_balance = self._balance_map()
bal = sell_balance.get(slot.symbol or "", 0)
# dcy-021 / REQ-062 (D4): full sell (slot.qty is None) => broker
# balance; partial sell => min(order qty, broker balance). Broker
# flat -> skip + WARN (divergence surfaces via reconcile).
qty = bal if slot.qty is None else min(int(slot.qty), bal)
if qty <= 0:
r.sell_skipped_no_balance += 1
_log.warning(
@@ -172,21 +174,47 @@ class ExecutionService:
self._check_stale_pending(slot, now, r)
# ------------------------------------------------------------
def _balance_map(self) -> dict:
"""Current broker balance as {symbol: hldg_qty} (REQ-062 ground truth)."""
return {b.symbol: int(b.hldg_qty) for b in self._broker.get_balance()}
def _on_filled(self, slot, fs, side: str, r: ExecutionResult) -> None:
broker_order_id = slot.broker_order_id # captured BEFORE clear_dispatch
try:
if slot.status is SlotState.PENDING_BUY:
# dcy-021/REQ-066: held qty = broker balance (authority, includes
# the just-filled increase); avg_price = weighted average. For an
# initial buy slot.avg_price is None (=0) so new_avg = fill price.
total = self._balance_map().get(slot.symbol or "", 0)
filled = float(fs.filled_qty)
new_qty = float(total) if total > 0 else filled
old_qty = max(0.0, new_qty - filled)
old_avg = float(slot.avg_price) if slot.avg_price else 0.0
fill_price = float(fs.avg_price) if fs.avg_price is not None else old_avg
new_avg = (
(old_qty * old_avg + filled * fill_price) / new_qty
if new_qty > 0 else fill_price
)
updated = 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,
avg_price=new_avg, qty=new_qty,
)
event_type = "slot_filled_buy"
else: # PENDING_SELL — asset slot returns to inactive (dcy-020/REQ-057)
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.INACTIVE,
reason="sell_filled", actor="execution_loop",
)
else: # PENDING_SELL — dcy-021/REQ-066: remainder>0 stays holding,
# full exit -> inactive. Held qty = broker balance.
total = self._balance_map().get(slot.symbol or "", 0)
if total > 0:
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.HOLDING,
reason="sell_filled_partial", actor="execution_loop",
qty=float(total), # avg_price (cost basis) preserved
)
else:
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.INACTIVE,
reason="sell_filled", actor="execution_loop",
)
event_type = "slot_filled_sell"
except SlotStateMismatchError:
return # slot moved concurrently; next tick reconciles
@@ -211,20 +239,36 @@ class ExecutionService:
filled = float(fs.filled_qty)
try:
if slot.status is SlotState.PENDING_BUY:
# Only the filled portion is held; avg_price = fill price.
# dcy-021: held qty = broker balance; avg_price weighted average
# (consistent with _on_filled). Only the filled portion recorded.
total = self._balance_map().get(slot.symbol or "", 0)
new_qty = float(total) if total > 0 else filled
old_qty = max(0.0, new_qty - filled)
old_avg = float(slot.avg_price) if slot.avg_price else 0.0
fill_price = float(fs.avg_price) if fs.avg_price is not None else old_avg
new_avg = (
(old_qty * old_avg + filled * fill_price) / new_qty
if new_qty > 0 else fill_price
)
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.HOLDING,
reason="buy_partial_cancel", actor="execution_loop",
avg_price=fs.avg_price, qty=filled,
avg_price=new_avg, qty=new_qty,
)
event_type = "slot_filled_buy"
else: # PENDING_SELL: remainder stays held, cost basis unchanged.
remaining = max(0.0, float(slot.qty or 0) - filled)
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.HOLDING,
reason="sell_partial_cancel", actor="execution_loop",
qty=remaining,
)
else: # PENDING_SELL: remainder = broker balance, cost basis unchanged.
total = self._balance_map().get(slot.symbol or "", 0)
if total > 0:
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.HOLDING,
reason="sell_partial_cancel", actor="execution_loop",
qty=float(total),
)
else:
updated = self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.INACTIVE,
reason="sell_partial_cancel", actor="execution_loop",
)
event_type = "slot_filled_sell"
except SlotStateMismatchError:
return # slot moved concurrently; next tick reconciles
@@ -297,16 +341,27 @@ class ExecutionService:
r.ledger_enqueued += 1
def _rollback(self, slot, *, reason: str) -> None:
total = self._balance_map().get(slot.symbol or "", 0)
try:
if slot.status is SlotState.PENDING_BUY:
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.INACTIVE,
reason=reason, actor="execution_loop",
) # inactive reset clears broker_order_id in the domain
else: # PENDING_SELL rejected -> back to holding, clear order for re-dispatch
if total > 0:
# dcy-021: increase rejected — the prior holding is intact
# (broker still holds), so return to holding, not inactive.
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.HOLDING,
reason=reason, actor="execution_loop", qty=float(total),
)
self._repo.clear_dispatch(slot.slot_id)
else: # initial buy rejected -> inactive (clears broker_order_id)
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_BUY, SlotState.INACTIVE,
reason=reason, actor="execution_loop",
)
else: # PENDING_SELL rejected -> back to holding (broker authoritative qty)
self._svc.transit_slot(
slot.slot_id, SlotState.PENDING_SELL, SlotState.HOLDING,
reason=reason, actor="execution_loop",
qty=float(total) if total > 0 else None,
)
self._repo.clear_dispatch(slot.slot_id)
except SlotStateMismatchError:
trex_core/application/intents.py
+27 -9
View File
@@ -78,6 +78,9 @@ class SellIntent:
# dcy-012 / REQ-007: optional sell limit price. None => market sell
# (the path used by safety-sell / kill-switch). Set => limit sell at price.
limit_price: Optional[float] = None
# dcy-021 / REQ-062: optional partial-sell quantity. None => sell the whole
# position (broker balance); set => partial sell of min(qty, broker balance).
qty: Optional[float] = None
extra: dict[str, Any] = field(default_factory=dict)
@@ -140,6 +143,7 @@ class IntentService:
"slot_id": str(intent.slot_id),
"reason": intent.reason,
"sell_strategy_id": intent.sell_strategy_id,
"qty": intent.qty,
}
prior = self._dedup(intent.intent_id, "sell", payload)
if prior is not None:
@@ -163,15 +167,17 @@ class IntentService:
return IntentDecision(intent_id, rec.status, rec.slot_id, rec.reason)
def _admit_buy(self, intent: BuyIntent) -> IntentDecision:
"""dcy-020 / REQ-059·REQ-061: activate the asset's permanent slot.
"""dcy-020 / REQ-059·REQ-061 + dcy-021/REQ-066: activate or size up the
asset's permanent slot.
Contract key is slot_id (REQ-061); portfolio_id is accepted as a legacy
dual-accept mapping. Symbol is resolved from the slot's portfolio_id.
FCFS + no eviction: already-active -> already_active; at M ->
capacity_full (existing holdings untouched, incl. over-cap). Single
intent thread + instance-scoped advisory lock serialize admissions
(dcy-020 OQ-1)."""
_ACTIVE = (SlotState.PENDING_BUY, SlotState.HOLDING, SlotState.PENDING_SELL)
- INACTIVE slot -> initial buy (FCFS, M cap applies, no eviction).
- HOLDING slot -> position-sizing INCREASE (dcy-021): adds to the held
position; M cap does NOT apply (active asset count unchanged).
- PENDING_* slot -> in-flight conflict (already_active).
Single intent thread + instance-scoped advisory lock serialize
admissions (dcy-020 OQ-1)."""
def _resolve(sl):
pid = sl.portfolio_id
@@ -191,12 +197,20 @@ class IntentService:
return IntentDecision(intent.intent_id, "rejected", None, "slot_id_or_portfolio_required")
if slot is None:
return IntentDecision(intent.intent_id, "rejected", None, miss_reason)
if slot.status in _ACTIVE:
# dcy-021: a buy on a HOLDING slot is a position-sizing increase.
is_increase = slot.status is SlotState.HOLDING
if slot.status in (SlotState.PENDING_BUY, SlotState.PENDING_SELL):
return IntentDecision(intent.intent_id, "rejected", None, "already_active")
if slot.status not in (SlotState.INACTIVE, SlotState.HOLDING):
return IntentDecision(
intent.intent_id, "rejected", None, f"slot_not_buyable:{slot.status.value}"
)
symbol = _resolve(slot)
if not symbol:
return IntentDecision(intent.intent_id, "rejected", None, "unknown_portfolio")
if (self._max_active_slots is not None
# M cap applies only to NEW activations (initial buy). An increase on
# an already-active asset does not change the active asset count.
if (not is_increase and self._max_active_slots is not None
and self._repo.count_active(self._instance_key) >= self._max_active_slots):
return IntentDecision(intent.intent_id, "rejected", None, "capacity_full")
try:
@@ -204,7 +218,7 @@ class IntentService:
slot.slot_id,
slot.status,
SlotState.PENDING_BUY,
reason="buy_intent",
reason="position_increase" if is_increase else "buy_intent",
actor="intent_api",
symbol=symbol,
qty=intent.qty,
@@ -243,6 +257,10 @@ class IntentService:
sell_strategy_id=intent.sell_strategy_id,
# dcy-012 / REQ-007: optional sell limit (None => market sell).
limit_price=intent.limit_price,
# dcy-021 / REQ-062: partial-sell order qty (None => sell all);
# dispatch caps at the broker balance. Entering PENDING_SELL takes
# this qty as-is (None = "sell all" sentinel).
qty=intent.qty,
extra={"intent_id": intent.intent_id},
)
except SlotStateMismatchError:
trex_core/application/messaging_handlers.py
+2
View File
@@ -97,6 +97,8 @@ def make_intent_rpc_handler(
sell_strategy_id=_opt_str(body.get("sell_strategy_id")),
# dcy-012 / REQ-007: optional sell limit price; absent => market sell.
limit_price=_opt_float(body.get("limit_price")),
# dcy-021 / REQ-062: optional partial-sell qty; absent => sell all.
qty=_opt_float(body.get("qty")),
)
d = intent_service.submit_sell(sell)
else:
trex_core/domain/slot/service.py
+11 -1
View File
@@ -192,12 +192,22 @@ class SlotService:
else: # HOLDING / ERROR — pending order limit no longer applies.
new_limit_price = None
# qty semantics during a pending state = the ORDER quantity (dcy-021 D1/D4).
# Entering PENDING_SELL takes the caller qty AS-IS so a full sell
# (qty=None) records a "sell all" sentinel rather than the stale held
# mirror; a partial-sell intent records its order qty. Other states keep
# the caller-override-else-preserve rule.
if to_state is SlotState.PENDING_SELL:
new_qty = qty
else:
new_qty = qty if qty is not None else slot.qty
# Generic update: caller-supplied fields override; None means "keep".
return replace(
slot,
status=to_state,
symbol=symbol if symbol is not None else slot.symbol,
qty=qty if qty is not None else slot.qty,
qty=new_qty,
avg_price=avg_price if avg_price is not None else slot.avg_price,
limit_price=new_limit_price,
allocated_capital=(
trex_core/domain/slot/state.py
+7 -4
View File
@@ -37,17 +37,20 @@ class SlotState(str, Enum):
ERROR = "error"
# Canonical transitions (dcy-020/REQ-057). There is no inactive self-loop and
# no closed->idle recovery family — a permanent slot simply returns to
# `inactive` and may activate again via inactive->pending_buy.
# Canonical transitions (dcy-020/REQ-057; dcy-021/REQ-057 CHG-03). There is no
# inactive self-loop and no closed->idle recovery family — a permanent slot
# simply returns to `inactive` and may activate again via inactive->pending_buy.
# dcy-021 adds holding->pending_buy for position-sizing increase (the slot stays
# a held position; the buy adds to it, returning to holding on fill).
_BASE_TRANSITIONS: frozenset[tuple[SlotState, SlotState]] = frozenset(
{
(SlotState.INACTIVE, SlotState.PENDING_BUY), # 1. buy decision (activate)
(SlotState.PENDING_BUY, SlotState.HOLDING), # 2. buy filled
(SlotState.PENDING_BUY, SlotState.INACTIVE), # 3. buy rejected/rollback
(SlotState.HOLDING, SlotState.PENDING_BUY), # 7. position-sizing increase (dcy-021)
(SlotState.HOLDING, SlotState.PENDING_SELL), # 4. sell decision
(SlotState.PENDING_SELL, SlotState.INACTIVE), # 5. sell filled (deactivate)
(SlotState.PENDING_SELL, SlotState.HOLDING), # 6. sell rejected/rollback
(SlotState.PENDING_SELL, SlotState.HOLDING), # 6. sell rejected/rollback (or partial-sell remainder)
}
)