shuim
a264561576
- 스윙 체결가 확인 전 executed_price NULL + fill_sweep, 진입가 resolve(ActiveTrade↔Portfolio), 0체결/부분체결 매수 장부 원복 - DT 고아 감지(근거 한정)·0체결 매도 복원·stale 점검 확대, 시간손절 -0.3% 원복 - 폴백 손절 ATR 캐시, 거래량부족-차단 신호 매수 차단, 현금 5% 유보 재적용, MDD peak/reset 수정 - KIS 서킷브레이커 청산 우회·경보, db_worker 재큐잉 순서, heartbeat·health-watch 사이드카 - 실시간 WS 재구독·41건 우선순위·다건 프레임 분할, 차트 샘플 제거·당일봉 합성, WS 서브프로토콜 인증 - 프론트: 미관리 그룹·확인 모달·차트 실시간 반영·예수금 표시 정정 - 전문가 에이전트 6종 추가(.claude/agents) - 유닛 스위트 2667 passed (소켓 차단 하), tsc OK Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01Y83Za98XsNw9zuA4FTUytN
296 lines
16 KiB
Python
296 lines
16 KiB
Python
"""DT 청산 하드닝 라운드 2 회귀 테스트 (2026-10-09, daytrading/exit_service.py).
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R2-1 15:20~15:30 종가 단일가 매도는 장 마감 후 재확인한 실제 체결가로 loss_tracker 승패 기록
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R2-3 국내 ETF/ETN 매도는 증권거래세 0
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R2-4 분할 익절 후 전량 청산의 승패는 왕복 순손익으로(당일 연패·loss_tracker)
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R2-5 강제청산 None 반환도 실패로 재시도·텔레그램, 장 마감 후 잔존 DT 포지션 경보
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목킹 원칙(CLAUDE.md §4.1): 주문은 공통 종단(`safe_place_order`·`_execute_exit_impl`)에 걸고,
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호출되면 안 되는 경로는 BaseException 발생형. 기대값은 settings.* 에서 계산한다.
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"""
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import asyncio
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from datetime import datetime
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from unittest.mock import AsyncMock, patch
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import pytest
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from app.core.config import settings
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from app.services.daytrading import exit_service as es
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from app.services.daytrading import fill_reconciler as fr
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from app.services.daytrading.position_manager import day_trading_state
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class MustNotBeCalled(BaseException):
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"""호출되면 안 되는 경로 (except Exception 에 삼켜지지 않게 BaseException)."""
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def _boom(name):
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async def _f(*a, **k):
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raise MustNotBeCalled(f"호출 금지 경로 도달: {name}")
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return _f
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@pytest.fixture(autouse=True)
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def _clean():
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from app.services.telegram_notifier import telegram_notifier
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saved = (dict(day_trading_state.positions), set(day_trading_state.closed_today),
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set(day_trading_state.dt_exited_today), day_trading_state.daily_pnl,
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day_trading_state.loss_streak_today)
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day_trading_state.reset_if_new_day()
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day_trading_state.positions.clear()
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day_trading_state.closed_today.clear()
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day_trading_state.dt_exited_today.clear()
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day_trading_state.daily_pnl = 0.0
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day_trading_state.loss_streak_today = 0
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colls = (es._stale_sell_attempted, es._stale_sell_failures, es._last_exit_order_outcome,
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es._unresolved_exit_unknown, es._stale_cleaned, es._exit_tokens,
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es._recent_dt_sell_finalized, es._manual_alerted, es._once_alerted,
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es._post_close_check_scheduled)
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for coll in colls:
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coll.clear()
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day_trading_state.exits_in_progress.clear()
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tg = AsyncMock()
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with patch.object(day_trading_state, "save_daily_state", AsyncMock(return_value=True)), \
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patch.object(telegram_notifier, "notify_system_warning", tg):
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yield tg
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day_trading_state.positions.clear()
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day_trading_state.positions.update(saved[0])
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day_trading_state.closed_today.clear()
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day_trading_state.closed_today.update(saved[1])
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day_trading_state.dt_exited_today.clear()
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day_trading_state.dt_exited_today.update(saved[2])
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day_trading_state.daily_pnl = saved[3]
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day_trading_state.loss_streak_today = saved[4]
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for coll in colls:
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coll.clear()
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day_trading_state.exits_in_progress.clear()
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@pytest.fixture
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def exit_env():
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"""공통 종단 safe_place_order 접수 + 큐·캐시·loss_tracker 목."""
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import app.services.trade_executor as te
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import app.services.portfolio_cache_bridge as pcb
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rec = AsyncMock()
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with patch.object(te, "safe_place_order",
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AsyncMock(return_value={"rt_cd": "0", "output": {"ODNO": "0000123"}})), \
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patch.object(es, "enqueue_trade_history", AsyncMock()), \
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patch.object(es, "enqueue_close_active_trade", AsyncMock()), \
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patch("app.services.db_worker.enqueue_active_trade_upsert", AsyncMock()), \
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patch("app.services.db_worker.enqueue_update_trade_history_by_order_id", AsyncMock()), \
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patch.object(pcb, "reflect_sell", AsyncMock()), \
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patch.object(es.loss_tracker, "record_trade_result_safe", rec), \
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patch.object(es.loss_tracker, "save_to_db", AsyncMock()):
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yield rec
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def _pos(qty=10, entry=10_000.0, name="테스트"):
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return {"stock_name": name, "entry_price": entry, "quantity": qty,
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"stop_loss": entry * 0.97, "target_price": entry * 1.045, "highest_price": entry,
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"order_id": "0000999", "entry_time": datetime.now(), "reason": "ORB"}
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def _row(qty, filled, avg, rmn):
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return [{"odno": "123", "pdno": "777777", "ord_qty": str(qty), "tot_ccld_qty": str(filled),
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"avg_prvs": str(avg), "rmn_qty": str(rmn), "cncl_yn": "N"}]
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# ═══ R2-3 ETF/ETN 거래세 0 ═══════════════════════════════════════════════════
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@pytest.mark.parametrize("name", ["PLUS 200", "KIWOOM 200TR", "PLUS K방산", "KODEX 200",
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"TIGER 미국S&P500", "삼성 인버스 2X WTI원유 선물 ETN"])
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def test_etf_etn_sell_tax_zero(name):
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assert es._dt_sell_tax_rate({"stock_name": name}) == 0.0
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@pytest.mark.parametrize("name", ["삼성전자", "KB금융", "SK하이닉스", "", None])
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def test_stock_sell_tax_unchanged(name):
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assert es._dt_sell_tax_rate({"stock_name": name}) == float(settings.KR_SELL_TAX_RATE_KOSPI)
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assert es._dt_sell_tax_rate({"stock_name": name, "market": "KOSDAQ"}) == \
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float(settings.KR_SELL_TAX_RATE_KOSDAQ)
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def test_etf_net_pnl_has_commission_only():
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"""10/06 PLUS 200 재현: 비용은 수수료뿐(거래세 812원 없음)."""
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r = es.dt_net_pnl(113_285.0, 112_840.0, 4, {"stock_name": "PLUS 200"})
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fee = float(settings.KR_COMMISSION_RATE)
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expected_cost = (113_285.0 * 4 + 112_840.0 * 4) * fee
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assert abs(r["total_cost"] - expected_cost) <= 2.0
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stock = es.dt_net_pnl(113_285.0, 112_840.0, 4, {"stock_name": "삼성전자"})
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assert stock["total_cost"] - r["total_cost"] >= 112_840.0 * 4 * float(settings.KR_SELL_TAX_RATE_KOSPI) - 2
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# ═══ R2-4 왕복 순손익 승패 ═══════════════════════════════════════════════════
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@pytest.mark.asyncio
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async def test_partial_profit_then_small_loss_counts_as_round_trip_win(exit_env):
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"""+1.5R 분할 익절 뒤 잔량 소폭 손실 청산 → 왕복 이익 → 연패 리셋·loss_tracker 이익."""
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day_trading_state.positions["777777"] = _pos(10)
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day_trading_state.loss_streak_today = 2
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with patch.object(es, "_in_closing_auction_impl", return_value=False):
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r1 = await es._execute_exit("777777", day_trading_state.positions["777777"], 10_450.0,
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"목표가 도달", sell_pct=0.5)
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assert r1["profit_loss"] > 0
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assert day_trading_state.positions["777777"]["realized_net"] == pytest.approx(r1["profit_loss"])
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assert exit_env.await_count == 0 # 분할 레그는 기록 안 함
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r2 = await es._execute_exit("777777", day_trading_state.positions["777777"], 9_990.0,
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"트레일링 스탑")
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assert r2["profit_loss"] < 0 # 마지막 레그만 보면 손실
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assert r1["profit_loss"] + r2["profit_loss"] > 0 # 왕복은 이익
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exit_env.assert_awaited_once_with("777777", False)
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assert day_trading_state.loss_streak_today == 0
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assert day_trading_state.daily_pnl == pytest.approx(r1["profit_loss"] + r2["profit_loss"])
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@pytest.mark.asyncio
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async def test_round_trip_loss_still_counts_as_loss(exit_env):
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day_trading_state.positions["777777"] = _pos(10)
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with patch.object(es, "_in_closing_auction_impl", return_value=False):
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await es._execute_exit("777777", day_trading_state.positions["777777"], 10_050.0,
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"목표가 도달", sell_pct=0.5)
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await es._execute_exit("777777", day_trading_state.positions["777777"], 9_700.0, "손절")
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exit_env.assert_awaited_once_with("777777", True)
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assert day_trading_state.loss_streak_today == 1
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@pytest.mark.asyncio
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async def test_no_partial_keeps_last_leg_rule(exit_env):
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day_trading_state.positions["777777"] = _pos(10)
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with patch.object(es, "_in_closing_auction_impl", return_value=False):
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r = await es._execute_exit("777777", day_trading_state.positions["777777"], 10_010.0, "손절")
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assert r["profit_loss"] < 0 # 비용 차감 후 손실
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exit_env.assert_awaited_once_with("777777", True)
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assert day_trading_state.loss_streak_today == 1
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# ═══ R2-1 종가 단일가 매도 — 체결 확인 후 loss_tracker ═════════════════════════
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@pytest.mark.asyncio
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async def test_closing_auction_sell_records_loss_on_confirmed_fill(exit_env):
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"""15:20 신호가로는 이익이지만 15:30 체결가로 손실 → 체결 확인 후 '손실'로 1회 기록."""
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day_trading_state.positions["777777"] = _pos(10)
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calls = {"n": 0}
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async def _orders(code):
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calls["n"] += 1
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# 장 마감 전(즉시 확인) 구간에서는 loss_tracker 가 아직 기록되면 안 된다
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if calls["n"] <= int(settings.DAY_TRADE_FILL_CHECK_ATTEMPTS):
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assert exit_env.await_count == 0
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return _row(10, 0, 0, 10) # 미체결·미종결
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return _row(10, 10, 9_950, 0) # 15:30 종가 체결
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with patch.object(settings, "DAY_TRADE_FILL_CHECK_ENABLED", True), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_DELAY_SEC", 0.0), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_INTERVAL_SEC", 0.0), \
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patch.object(es, "_in_closing_auction_impl", return_value=True), \
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patch.object(es, "_auction_recheck_params_impl", return_value=(0.0, 3, 0.0)), \
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patch.object(es, "_seconds_until_auction_recheck_impl", return_value=0.0), \
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patch.object(fr.korea_investment_api, "get_todays_orders", _orders):
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r = await es._execute_exit("777777", day_trading_state.positions["777777"], 10_050.0,
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"EOD 강제 청산")
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assert r["profit_loss"] > 0 # 신호가 기준은 이익
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await asyncio.gather(*list(es._auction_fill_tasks))
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exit_env.assert_awaited_once_with("777777", True)
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expected = es.dt_net_pnl(10_000.0, 9_950.0, 10, _pos())["net_profit_loss"]
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assert day_trading_state.daily_pnl == pytest.approx(expected)
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@pytest.mark.asyncio
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async def test_closing_auction_unconfirmed_falls_back_to_signal_price(exit_env):
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"""재확인까지 주문 행을 못 찾으면 신호가 기준으로 기록(구 동작) — 기록 누락 없음."""
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day_trading_state.positions["777777"] = _pos(10)
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with patch.object(settings, "DAY_TRADE_FILL_CHECK_ENABLED", True), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_DELAY_SEC", 0.0), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_INTERVAL_SEC", 0.0), \
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patch.object(es, "_in_closing_auction_impl", return_value=True), \
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patch.object(es, "_auction_recheck_params_impl", return_value=(0.0, 2, 0.0)), \
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patch.object(es, "_seconds_until_auction_recheck_impl", return_value=0.0), \
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patch.object(fr.korea_investment_api, "get_todays_orders", AsyncMock(return_value=[])):
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await es._execute_exit("777777", day_trading_state.positions["777777"], 10_050.0,
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"EOD 강제 청산")
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await asyncio.gather(*list(es._auction_fill_tasks))
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exit_env.assert_awaited_once_with("777777", False)
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@pytest.mark.asyncio
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async def test_closing_auction_zero_fill_does_not_record(exit_env):
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"""종가 단일가 매도가 0주 체결로 종결 → 포지션 복원, loss_tracker 기록하지 않음."""
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day_trading_state.positions["777777"] = _pos(10)
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rows = [{"odno": "123", "pdno": "777777", "ord_qty": "10", "tot_ccld_qty": "0",
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"avg_prvs": "0", "rmn_qty": "0", "cncl_yn": "Y"}]
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with patch.object(settings, "DAY_TRADE_FILL_CHECK_ENABLED", True), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_DELAY_SEC", 0.0), \
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patch.object(settings, "DAY_TRADE_FILL_CHECK_INTERVAL_SEC", 0.0), \
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patch.object(es, "_in_closing_auction_impl", return_value=True), \
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patch.object(es, "_seconds_until_auction_recheck_impl", return_value=0.0), \
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patch.object(fr.korea_investment_api, "get_todays_orders", AsyncMock(return_value=rows)):
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await es._execute_exit("777777", day_trading_state.positions["777777"], 10_050.0,
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"EOD 강제 청산")
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await asyncio.gather(*list(es._auction_fill_tasks))
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assert exit_env.await_count == 0
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assert day_trading_state.positions["777777"]["quantity"] == 10
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@pytest.mark.asyncio
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async def test_time_stop_in_auction_still_not_recorded(exit_env):
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day_trading_state.positions["777777"] = _pos(10)
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with patch.object(settings, "DAY_TRADE_FILL_CHECK_ENABLED", False), \
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patch.object(es, "_in_closing_auction_impl", return_value=True):
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await es._execute_exit("777777", day_trading_state.positions["777777"], 9_960.0,
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"시간 손절 (테스트)")
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assert exit_env.await_count == 0
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def test_closing_auction_window_bounds():
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d = datetime(2026, 10, 6)
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assert not es._in_closing_auction_impl(d.replace(hour=15, minute=19, second=59))
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assert es._in_closing_auction_impl(d.replace(hour=15, minute=20))
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assert es._in_closing_auction_impl(d.replace(hour=15, minute=29, second=59))
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assert not es._in_closing_auction_impl(d.replace(hour=15, minute=30))
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# ═══ R2-5 강제청산 미청산 경보 ═══════════════════════════════════════════════
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@pytest.mark.asyncio
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async def test_force_close_none_result_retried_and_alerted(_clean):
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day_trading_state.positions["888888"] = _pos(5)
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exec_mock = AsyncMock(return_value=None) # KIS 거부 등 — 예외 없이 None
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with patch.object(es, "_execute_exit_impl", exec_mock), \
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patch.object(es, "is_eod_flat_time", return_value=False), \
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patch.object(es, "close_stale_positions", _boom("close_stale_positions")), \
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patch.object(es.korea_investment_api, "get_current_price",
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AsyncMock(return_value={"output": {"stck_prpr": "10000"}})):
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out = await es.force_close_all(reason="EOD 강제 청산")
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await asyncio.gather(*list(es._alert_tasks))
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assert out == []
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assert exec_mock.await_count == 2 # 1회 + 재시도 1회
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tags = [c.args[0] for c in _clean.await_args_list]
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assert tags == ["DT_EOD"]
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assert "888888" in _clean.await_args_list[0].args[1]
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@pytest.mark.asyncio
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async def test_post_close_residual_check_alerts(_clean):
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assert es.check_post_close_residual_v2() == []
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day_trading_state.positions["888888"] = _pos(5)
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assert es.check_post_close_residual_v2() == ["888888"]
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es.check_post_close_residual_v2() # 같은 날 같은 잔존 → 1회만
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await asyncio.gather(*list(es._alert_tasks))
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assert [c.args[0] for c in _clean.await_args_list] == ["DT_EOD"]
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@pytest.mark.asyncio
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async def test_eod_force_close_schedules_post_close_check_once(_clean):
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day_trading_state.positions["888888"] = _pos(5)
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day_trading_state.exits_in_progress.add("888888") # 불명 보류 중 → 이번 회차 skip
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with patch.object(es, "_execute_exit_impl", _boom("_execute_exit_impl")), \
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patch.object(es, "is_eod_flat_time", return_value=True), \
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patch.object(es, "_seconds_until_auction_recheck_impl", return_value=0.0), \
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patch.object(es.korea_investment_api, "get_current_price", _boom("get_current_price")):
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await es.force_close_all(reason="EOD 강제 청산")
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await es.force_close_all(reason="EOD 강제 청산")
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assert len(es._post_close_tasks) <= 1
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await asyncio.gather(*list(es._post_close_tasks))
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await asyncio.gather(*list(es._alert_tasks))
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assert [c.args[0] for c in _clean.await_args_list] == ["DT_EOD"]
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