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feature/is
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feature/is
| Author | SHA1 | Date | |
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1adb85926d |
154
src/main.py
154
src/main.py
@@ -106,82 +106,6 @@ def _extract_symbol_from_holding(item: dict[str, Any]) -> str:
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return ""
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return ""
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def _extract_held_codes_from_balance(
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balance_data: dict[str, Any],
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*,
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is_domestic: bool,
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) -> list[str]:
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"""Return stock codes with a positive orderable quantity from a balance response.
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Uses the broker's live output1 as the source of truth so that partial fills
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and manual external trades are always reflected correctly.
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"""
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output1 = balance_data.get("output1", [])
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if isinstance(output1, dict):
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output1 = [output1]
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if not isinstance(output1, list):
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return []
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codes: list[str] = []
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for holding in output1:
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if not isinstance(holding, dict):
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continue
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code_key = "pdno" if is_domestic else "ovrs_pdno"
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code = str(holding.get(code_key, "")).strip().upper()
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if not code:
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continue
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if is_domestic:
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qty = int(holding.get("ord_psbl_qty") or holding.get("hldg_qty") or 0)
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else:
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qty = int(holding.get("ovrs_cblc_qty") or holding.get("hldg_qty") or 0)
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if qty > 0:
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codes.append(code)
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return codes
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def _extract_held_qty_from_balance(
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balance_data: dict[str, Any],
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stock_code: str,
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*,
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is_domestic: bool,
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) -> int:
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"""Extract the broker-confirmed orderable quantity for a stock.
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Uses the broker's live balance response (output1) as the source of truth
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rather than the local DB, because DB records reflect order quantity which
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may differ from actual fill quantity due to partial fills.
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Domestic fields (VTTC8434R output1):
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pdno — 종목코드
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ord_psbl_qty — 주문가능수량 (preferred: excludes unsettled)
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hldg_qty — 보유수량 (fallback)
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Overseas fields (output1):
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ovrs_pdno — 종목코드
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ovrs_cblc_qty — 해외잔고수량 (preferred)
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hldg_qty — 보유수량 (fallback)
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"""
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output1 = balance_data.get("output1", [])
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if isinstance(output1, dict):
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output1 = [output1]
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if not isinstance(output1, list):
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return 0
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for holding in output1:
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if not isinstance(holding, dict):
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continue
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code_key = "pdno" if is_domestic else "ovrs_pdno"
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held_code = str(holding.get(code_key, "")).strip().upper()
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if held_code != stock_code.strip().upper():
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continue
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if is_domestic:
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qty = int(holding.get("ord_psbl_qty") or holding.get("hldg_qty") or 0)
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else:
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qty = int(holding.get("ovrs_cblc_qty") or holding.get("hldg_qty") or 0)
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return qty
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return 0
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def _determine_order_quantity(
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def _determine_order_quantity(
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*,
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*,
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action: str,
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action: str,
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@@ -189,11 +113,13 @@ def _determine_order_quantity(
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total_cash: float,
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total_cash: float,
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candidate: ScanCandidate | None,
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candidate: ScanCandidate | None,
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settings: Settings | None,
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settings: Settings | None,
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broker_held_qty: int = 0,
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open_position: dict[str, Any] | None = None,
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) -> int:
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) -> int:
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"""Determine order quantity using volatility-aware position sizing."""
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"""Determine order quantity using volatility-aware position sizing."""
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if action == "SELL":
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if action == "SELL":
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return broker_held_qty
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if open_position is None:
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return 0
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return int(open_position.get("quantity") or 0)
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if current_price <= 0 or total_cash <= 0:
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if current_price <= 0 or total_cash <= 0:
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return 0
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return 0
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@@ -464,10 +390,8 @@ async def trading_cycle(
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if entry_price > 0:
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if entry_price > 0:
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loss_pct = (current_price - entry_price) / entry_price * 100
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loss_pct = (current_price - entry_price) / entry_price * 100
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stop_loss_threshold = -2.0
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stop_loss_threshold = -2.0
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take_profit_threshold = 3.0
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if stock_playbook and stock_playbook.scenarios:
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if stock_playbook and stock_playbook.scenarios:
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stop_loss_threshold = stock_playbook.scenarios[0].stop_loss_pct
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stop_loss_threshold = stock_playbook.scenarios[0].stop_loss_pct
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take_profit_threshold = stock_playbook.scenarios[0].take_profit_pct
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if loss_pct <= stop_loss_threshold:
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if loss_pct <= stop_loss_threshold:
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decision = TradeDecision(
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decision = TradeDecision(
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@@ -485,22 +409,6 @@ async def trading_cycle(
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loss_pct,
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loss_pct,
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stop_loss_threshold,
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stop_loss_threshold,
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)
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)
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elif loss_pct >= take_profit_threshold:
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decision = TradeDecision(
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action="SELL",
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confidence=90,
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rationale=(
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f"Take-profit triggered ({loss_pct:.2f}% >= "
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f"{take_profit_threshold:.2f}%)"
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),
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)
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logger.info(
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"Take-profit override for %s (%s): %.2f%% >= %.2f%%",
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stock_code,
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market.name,
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loss_pct,
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take_profit_threshold,
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)
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logger.info(
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logger.info(
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"Decision for %s (%s): %s (confidence=%d)",
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"Decision for %s (%s): %s (confidence=%d)",
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stock_code,
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stock_code,
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@@ -561,12 +469,10 @@ async def trading_cycle(
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trade_price = current_price
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trade_price = current_price
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trade_pnl = 0.0
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trade_pnl = 0.0
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if decision.action in ("BUY", "SELL"):
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if decision.action in ("BUY", "SELL"):
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broker_held_qty = (
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sell_position = (
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_extract_held_qty_from_balance(
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get_open_position(db_conn, stock_code, market.code)
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balance_data, stock_code, is_domestic=market.is_domestic
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)
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if decision.action == "SELL"
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if decision.action == "SELL"
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else 0
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else None
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)
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)
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quantity = _determine_order_quantity(
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quantity = _determine_order_quantity(
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action=decision.action,
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action=decision.action,
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@@ -574,7 +480,7 @@ async def trading_cycle(
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total_cash=total_cash,
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total_cash=total_cash,
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candidate=candidate,
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candidate=candidate,
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settings=settings,
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settings=settings,
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broker_held_qty=broker_held_qty,
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open_position=sell_position,
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)
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)
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if quantity <= 0:
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if quantity <= 0:
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logger.info(
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logger.info(
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@@ -994,12 +900,10 @@ async def run_daily_session(
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trade_pnl = 0.0
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trade_pnl = 0.0
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order_succeeded = True
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order_succeeded = True
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if decision.action in ("BUY", "SELL"):
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if decision.action in ("BUY", "SELL"):
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daily_broker_held_qty = (
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daily_sell_position = (
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_extract_held_qty_from_balance(
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get_open_position(db_conn, stock_code, market.code)
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balance_data, stock_code, is_domestic=market.is_domestic
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)
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if decision.action == "SELL"
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if decision.action == "SELL"
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else 0
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else None
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)
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)
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quantity = _determine_order_quantity(
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quantity = _determine_order_quantity(
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action=decision.action,
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action=decision.action,
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@@ -1007,7 +911,7 @@ async def run_daily_session(
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total_cash=total_cash,
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total_cash=total_cash,
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candidate=candidate_map.get(stock_code),
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candidate=candidate_map.get(stock_code),
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settings=settings,
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settings=settings,
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broker_held_qty=daily_broker_held_qty,
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open_position=daily_sell_position,
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)
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)
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if quantity <= 0:
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if quantity <= 0:
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logger.info(
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logger.info(
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@@ -1974,38 +1878,8 @@ async def run(settings: Settings) -> None:
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except Exception as exc:
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except Exception as exc:
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logger.error("Smart Scanner failed for %s: %s", market.name, exc)
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logger.error("Smart Scanner failed for %s: %s", market.name, exc)
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# Get active stocks from scanner (dynamic, no static fallback).
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# Get active stocks from scanner (dynamic, no static fallback)
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# Also include currently-held positions so stop-loss /
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stock_codes = active_stocks.get(market.code, [])
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# take-profit can fire even when a holding drops off the
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# scanner. Broker balance is the source of truth here —
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# unlike the local DB it reflects actual fills and any
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# manual trades done outside the bot.
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scanner_codes = active_stocks.get(market.code, [])
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try:
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if market.is_domestic:
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held_balance = await broker.get_balance()
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else:
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held_balance = await overseas_broker.get_overseas_balance(
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market.exchange_code
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)
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held_codes = _extract_held_codes_from_balance(
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held_balance, is_domestic=market.is_domestic
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)
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except Exception as exc:
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logger.warning(
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"Failed to fetch holdings for %s: %s — skipping holdings merge",
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market.name, exc,
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)
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held_codes = []
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stock_codes = list(dict.fromkeys(scanner_codes + held_codes))
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extra_held = [c for c in held_codes if c not in set(scanner_codes)]
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if extra_held:
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logger.info(
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"Holdings added to loop for %s (not in scanner): %s",
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market.name, extra_held,
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)
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if not stock_codes:
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if not stock_codes:
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logger.debug("No active stocks for market %s", market.code)
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logger.debug("No active stocks for market %s", market.code)
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continue
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continue
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@@ -15,8 +15,6 @@ from src.logging.decision_logger import DecisionLogger
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from src.main import (
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from src.main import (
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_apply_dashboard_flag,
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_apply_dashboard_flag,
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_determine_order_quantity,
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_determine_order_quantity,
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_extract_held_codes_from_balance,
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_extract_held_qty_from_balance,
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_handle_market_close,
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_handle_market_close,
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_run_context_scheduler,
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_run_context_scheduler,
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_run_evolution_loop,
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_run_evolution_loop,
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@@ -71,104 +69,49 @@ def _make_sell_match(stock_code: str = "005930") -> ScenarioMatch:
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)
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)
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class TestExtractHeldQtyFromBalance:
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"""Tests for _extract_held_qty_from_balance()."""
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def _domestic_balance(self, stock_code: str, ord_psbl_qty: int) -> dict:
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return {
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"output1": [{"pdno": stock_code, "ord_psbl_qty": str(ord_psbl_qty)}],
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"output2": [{"dnca_tot_amt": "1000000"}],
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}
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def test_domestic_returns_ord_psbl_qty(self) -> None:
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balance = self._domestic_balance("005930", 7)
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assert _extract_held_qty_from_balance(balance, "005930", is_domestic=True) == 7
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def test_domestic_fallback_to_hldg_qty(self) -> None:
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balance = {"output1": [{"pdno": "005930", "hldg_qty": "3"}]}
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assert _extract_held_qty_from_balance(balance, "005930", is_domestic=True) == 3
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def test_domestic_returns_zero_when_not_found(self) -> None:
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balance = self._domestic_balance("005930", 5)
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assert _extract_held_qty_from_balance(balance, "000660", is_domestic=True) == 0
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def test_domestic_returns_zero_when_output1_empty(self) -> None:
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balance = {"output1": [], "output2": [{}]}
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assert _extract_held_qty_from_balance(balance, "005930", is_domestic=True) == 0
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def test_overseas_returns_ovrs_cblc_qty(self) -> None:
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balance = {"output1": [{"ovrs_pdno": "AAPL", "ovrs_cblc_qty": "10"}]}
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assert _extract_held_qty_from_balance(balance, "AAPL", is_domestic=False) == 10
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def test_overseas_fallback_to_hldg_qty(self) -> None:
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balance = {"output1": [{"ovrs_pdno": "AAPL", "hldg_qty": "4"}]}
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assert _extract_held_qty_from_balance(balance, "AAPL", is_domestic=False) == 4
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def test_case_insensitive_match(self) -> None:
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balance = {"output1": [{"pdno": "005930", "ord_psbl_qty": "2"}]}
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assert _extract_held_qty_from_balance(balance, "005930", is_domestic=True) == 2
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class TestExtractHeldCodesFromBalance:
|
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"""Tests for _extract_held_codes_from_balance()."""
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def test_returns_codes_with_positive_qty(self) -> None:
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balance = {
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"output1": [
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{"pdno": "005930", "ord_psbl_qty": "5"},
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{"pdno": "000660", "ord_psbl_qty": "3"},
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]
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}
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result = _extract_held_codes_from_balance(balance, is_domestic=True)
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assert set(result) == {"005930", "000660"}
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def test_excludes_zero_qty_holdings(self) -> None:
|
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balance = {
|
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"output1": [
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{"pdno": "005930", "ord_psbl_qty": "0"},
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{"pdno": "000660", "ord_psbl_qty": "2"},
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]
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}
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result = _extract_held_codes_from_balance(balance, is_domestic=True)
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assert "005930" not in result
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assert "000660" in result
|
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def test_returns_empty_when_output1_missing(self) -> None:
|
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balance: dict = {}
|
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assert _extract_held_codes_from_balance(balance, is_domestic=True) == []
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|
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def test_overseas_uses_ovrs_pdno(self) -> None:
|
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balance = {"output1": [{"ovrs_pdno": "AAPL", "ovrs_cblc_qty": "3"}]}
|
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result = _extract_held_codes_from_balance(balance, is_domestic=False)
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assert result == ["AAPL"]
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|
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class TestDetermineOrderQuantity:
|
class TestDetermineOrderQuantity:
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"""Test _determine_order_quantity() — SELL uses broker_held_qty."""
|
"""Test _determine_order_quantity() helper function."""
|
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|
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def test_sell_returns_broker_held_qty(self) -> None:
|
def test_sell_returns_position_quantity(self) -> None:
|
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|
"""SELL action should return actual held quantity from open_position."""
|
||||||
|
open_pos = {"decision_id": "abc", "price": 100.0, "quantity": 7}
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result = _determine_order_quantity(
|
result = _determine_order_quantity(
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action="SELL",
|
action="SELL",
|
||||||
current_price=105.0,
|
current_price=105.0,
|
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total_cash=50000.0,
|
total_cash=50000.0,
|
||||||
candidate=None,
|
candidate=None,
|
||||||
settings=None,
|
settings=None,
|
||||||
broker_held_qty=7,
|
open_position=open_pos,
|
||||||
)
|
)
|
||||||
assert result == 7
|
assert result == 7
|
||||||
|
|
||||||
def test_sell_returns_zero_when_broker_qty_zero(self) -> None:
|
def test_sell_without_position_returns_zero(self) -> None:
|
||||||
|
"""SELL with no open_position should return 0 (no shares to sell)."""
|
||||||
result = _determine_order_quantity(
|
result = _determine_order_quantity(
|
||||||
action="SELL",
|
action="SELL",
|
||||||
current_price=105.0,
|
current_price=105.0,
|
||||||
total_cash=50000.0,
|
total_cash=50000.0,
|
||||||
candidate=None,
|
candidate=None,
|
||||||
settings=None,
|
settings=None,
|
||||||
broker_held_qty=0,
|
open_position=None,
|
||||||
|
)
|
||||||
|
assert result == 0
|
||||||
|
|
||||||
|
def test_sell_with_zero_quantity_returns_zero(self) -> None:
|
||||||
|
"""SELL with position quantity=0 should return 0."""
|
||||||
|
open_pos = {"decision_id": "abc", "price": 100.0, "quantity": 0}
|
||||||
|
result = _determine_order_quantity(
|
||||||
|
action="SELL",
|
||||||
|
current_price=105.0,
|
||||||
|
total_cash=50000.0,
|
||||||
|
candidate=None,
|
||||||
|
settings=None,
|
||||||
|
open_position=open_pos,
|
||||||
)
|
)
|
||||||
assert result == 0
|
assert result == 0
|
||||||
|
|
||||||
def test_buy_without_position_sizing_returns_one(self) -> None:
|
def test_buy_without_position_sizing_returns_one(self) -> None:
|
||||||
|
"""BUY with no settings should return 1 (default)."""
|
||||||
result = _determine_order_quantity(
|
result = _determine_order_quantity(
|
||||||
action="BUY",
|
action="BUY",
|
||||||
current_price=50000.0,
|
current_price=50000.0,
|
||||||
@@ -179,6 +122,7 @@ class TestDetermineOrderQuantity:
|
|||||||
assert result == 1
|
assert result == 1
|
||||||
|
|
||||||
def test_buy_with_zero_cash_returns_zero(self) -> None:
|
def test_buy_with_zero_cash_returns_zero(self) -> None:
|
||||||
|
"""BUY with no cash should return 0."""
|
||||||
result = _determine_order_quantity(
|
result = _determine_order_quantity(
|
||||||
action="BUY",
|
action="BUY",
|
||||||
current_price=50000.0,
|
current_price=50000.0,
|
||||||
@@ -189,13 +133,16 @@ class TestDetermineOrderQuantity:
|
|||||||
assert result == 0
|
assert result == 0
|
||||||
|
|
||||||
def test_buy_with_position_sizing_calculates_correctly(self) -> None:
|
def test_buy_with_position_sizing_calculates_correctly(self) -> None:
|
||||||
|
"""BUY with position sizing should calculate quantity from budget."""
|
||||||
settings = MagicMock(spec=Settings)
|
settings = MagicMock(spec=Settings)
|
||||||
settings.POSITION_SIZING_ENABLED = True
|
settings.POSITION_SIZING_ENABLED = True
|
||||||
settings.POSITION_VOLATILITY_TARGET_SCORE = 50.0
|
settings.POSITION_VOLATILITY_TARGET_SCORE = 50.0
|
||||||
settings.POSITION_BASE_ALLOCATION_PCT = 10.0
|
settings.POSITION_BASE_ALLOCATION_PCT = 10.0
|
||||||
settings.POSITION_MAX_ALLOCATION_PCT = 30.0
|
settings.POSITION_MAX_ALLOCATION_PCT = 30.0
|
||||||
settings.POSITION_MIN_ALLOCATION_PCT = 1.0
|
settings.POSITION_MIN_ALLOCATION_PCT = 1.0
|
||||||
# 1,000,000 * 10% = 100,000 budget // 50,000 price = 2 shares
|
|
||||||
|
# total_cash=1,000,000 * 10% = 100,000 budget
|
||||||
|
# 100,000 // 50,000 = 2 shares
|
||||||
result = _determine_order_quantity(
|
result = _determine_order_quantity(
|
||||||
action="BUY",
|
action="BUY",
|
||||||
current_price=50000.0,
|
current_price=50000.0,
|
||||||
@@ -1378,14 +1325,13 @@ async def test_sell_updates_original_buy_decision_outcome() -> None:
|
|||||||
broker.get_current_price = AsyncMock(return_value=(120.0, 0.0, 0.0))
|
broker.get_current_price = AsyncMock(return_value=(120.0, 0.0, 0.0))
|
||||||
broker.get_balance = AsyncMock(
|
broker.get_balance = AsyncMock(
|
||||||
return_value={
|
return_value={
|
||||||
"output1": [{"pdno": "005930", "ord_psbl_qty": "1"}],
|
|
||||||
"output2": [
|
"output2": [
|
||||||
{
|
{
|
||||||
"tot_evlu_amt": "100000",
|
"tot_evlu_amt": "100000",
|
||||||
"dnca_tot_amt": "10000",
|
"dnca_tot_amt": "10000",
|
||||||
"pchs_amt_smtl_amt": "90000",
|
"pchs_amt_smtl_amt": "90000",
|
||||||
}
|
}
|
||||||
],
|
]
|
||||||
}
|
}
|
||||||
)
|
)
|
||||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
||||||
@@ -1469,14 +1415,13 @@ async def test_hold_overridden_to_sell_when_stop_loss_triggered() -> None:
|
|||||||
broker.get_current_price = AsyncMock(return_value=(95.0, -5.0, 0.0))
|
broker.get_current_price = AsyncMock(return_value=(95.0, -5.0, 0.0))
|
||||||
broker.get_balance = AsyncMock(
|
broker.get_balance = AsyncMock(
|
||||||
return_value={
|
return_value={
|
||||||
"output1": [{"pdno": "005930", "ord_psbl_qty": "1"}],
|
|
||||||
"output2": [
|
"output2": [
|
||||||
{
|
{
|
||||||
"tot_evlu_amt": "100000",
|
"tot_evlu_amt": "100000",
|
||||||
"dnca_tot_amt": "10000",
|
"dnca_tot_amt": "10000",
|
||||||
"pchs_amt_smtl_amt": "90000",
|
"pchs_amt_smtl_amt": "90000",
|
||||||
}
|
}
|
||||||
],
|
]
|
||||||
}
|
}
|
||||||
)
|
)
|
||||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
||||||
@@ -1537,8 +1482,8 @@ async def test_hold_overridden_to_sell_when_stop_loss_triggered() -> None:
|
|||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
async def test_hold_overridden_to_sell_when_take_profit_triggered() -> None:
|
async def test_sell_order_uses_actual_held_quantity() -> None:
|
||||||
"""HOLD decision should be overridden to SELL when take-profit threshold is reached."""
|
"""SELL order should use the actual quantity held, not hardcoded 1."""
|
||||||
db_conn = init_db(":memory:")
|
db_conn = init_db(":memory:")
|
||||||
decision_logger = DecisionLogger(db_conn)
|
decision_logger = DecisionLogger(db_conn)
|
||||||
|
|
||||||
@@ -1552,13 +1497,14 @@ async def test_hold_overridden_to_sell_when_take_profit_triggered() -> None:
|
|||||||
context_snapshot={},
|
context_snapshot={},
|
||||||
input_data={},
|
input_data={},
|
||||||
)
|
)
|
||||||
|
# Bought 5 shares at 100.0
|
||||||
log_trade(
|
log_trade(
|
||||||
conn=db_conn,
|
conn=db_conn,
|
||||||
stock_code="005930",
|
stock_code="005930",
|
||||||
action="BUY",
|
action="BUY",
|
||||||
confidence=90,
|
confidence=90,
|
||||||
rationale="entry",
|
rationale="entry",
|
||||||
quantity=1,
|
quantity=5,
|
||||||
price=100.0,
|
price=100.0,
|
||||||
market="KR",
|
market="KR",
|
||||||
exchange_code="KRX",
|
exchange_code="KRX",
|
||||||
@@ -1566,110 +1512,7 @@ async def test_hold_overridden_to_sell_when_take_profit_triggered() -> None:
|
|||||||
)
|
)
|
||||||
|
|
||||||
broker = MagicMock()
|
broker = MagicMock()
|
||||||
# Current price 106.0 → +6% gain, above take_profit_pct=3.0
|
broker.get_current_price = AsyncMock(return_value=(95.0, -5.0, 0.0))
|
||||||
broker.get_current_price = AsyncMock(return_value=(106.0, 6.0, 0.0))
|
|
||||||
broker.get_balance = AsyncMock(
|
|
||||||
return_value={
|
|
||||||
"output1": [{"pdno": "005930", "ord_psbl_qty": "1"}],
|
|
||||||
"output2": [
|
|
||||||
{
|
|
||||||
"tot_evlu_amt": "100000",
|
|
||||||
"dnca_tot_amt": "10000",
|
|
||||||
"pchs_amt_smtl_amt": "90000",
|
|
||||||
}
|
|
||||||
],
|
|
||||||
}
|
|
||||||
)
|
|
||||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
|
||||||
|
|
||||||
scenario = StockScenario(
|
|
||||||
condition=StockCondition(rsi_below=30),
|
|
||||||
action=ScenarioAction.BUY,
|
|
||||||
confidence=88,
|
|
||||||
stop_loss_pct=-2.0,
|
|
||||||
take_profit_pct=3.0,
|
|
||||||
rationale="take profit policy",
|
|
||||||
)
|
|
||||||
playbook = DayPlaybook(
|
|
||||||
date=date(2026, 2, 8),
|
|
||||||
market="KR",
|
|
||||||
stock_playbooks=[
|
|
||||||
{"stock_code": "005930", "stock_name": "Samsung", "scenarios": [scenario]}
|
|
||||||
],
|
|
||||||
)
|
|
||||||
engine = MagicMock(spec=ScenarioEngine)
|
|
||||||
engine.evaluate = MagicMock(return_value=_make_hold_match())
|
|
||||||
|
|
||||||
market = MagicMock()
|
|
||||||
market.name = "Korea"
|
|
||||||
market.code = "KR"
|
|
||||||
market.exchange_code = "KRX"
|
|
||||||
market.is_domestic = True
|
|
||||||
|
|
||||||
telegram = MagicMock()
|
|
||||||
telegram.notify_trade_execution = AsyncMock()
|
|
||||||
telegram.notify_fat_finger = AsyncMock()
|
|
||||||
telegram.notify_circuit_breaker = AsyncMock()
|
|
||||||
telegram.notify_scenario_matched = AsyncMock()
|
|
||||||
|
|
||||||
await trading_cycle(
|
|
||||||
broker=broker,
|
|
||||||
overseas_broker=MagicMock(),
|
|
||||||
scenario_engine=engine,
|
|
||||||
playbook=playbook,
|
|
||||||
risk=MagicMock(),
|
|
||||||
db_conn=db_conn,
|
|
||||||
decision_logger=decision_logger,
|
|
||||||
context_store=MagicMock(
|
|
||||||
get_latest_timeframe=MagicMock(return_value=None),
|
|
||||||
set_context=MagicMock(),
|
|
||||||
),
|
|
||||||
criticality_assessor=MagicMock(
|
|
||||||
assess_market_conditions=MagicMock(return_value=MagicMock(value="NORMAL")),
|
|
||||||
get_timeout=MagicMock(return_value=5.0),
|
|
||||||
),
|
|
||||||
telegram=telegram,
|
|
||||||
market=market,
|
|
||||||
stock_code="005930",
|
|
||||||
scan_candidates={},
|
|
||||||
)
|
|
||||||
|
|
||||||
broker.send_order.assert_called_once()
|
|
||||||
assert broker.send_order.call_args.kwargs["order_type"] == "SELL"
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
|
||||||
async def test_hold_not_overridden_when_between_stop_loss_and_take_profit() -> None:
|
|
||||||
"""HOLD should remain HOLD when P&L is within stop-loss and take-profit bounds."""
|
|
||||||
db_conn = init_db(":memory:")
|
|
||||||
decision_logger = DecisionLogger(db_conn)
|
|
||||||
|
|
||||||
buy_decision_id = decision_logger.log_decision(
|
|
||||||
stock_code="005930",
|
|
||||||
market="KR",
|
|
||||||
exchange_code="KRX",
|
|
||||||
action="BUY",
|
|
||||||
confidence=90,
|
|
||||||
rationale="entry",
|
|
||||||
context_snapshot={},
|
|
||||||
input_data={},
|
|
||||||
)
|
|
||||||
log_trade(
|
|
||||||
conn=db_conn,
|
|
||||||
stock_code="005930",
|
|
||||||
action="BUY",
|
|
||||||
confidence=90,
|
|
||||||
rationale="entry",
|
|
||||||
quantity=1,
|
|
||||||
price=100.0,
|
|
||||||
market="KR",
|
|
||||||
exchange_code="KRX",
|
|
||||||
decision_id=buy_decision_id,
|
|
||||||
)
|
|
||||||
|
|
||||||
broker = MagicMock()
|
|
||||||
# Current price 101.0 → +1% gain, within [-2%, +3%] range
|
|
||||||
broker.get_current_price = AsyncMock(return_value=(101.0, 1.0, 0.0))
|
|
||||||
broker.get_balance = AsyncMock(
|
broker.get_balance = AsyncMock(
|
||||||
return_value={
|
return_value={
|
||||||
"output2": [
|
"output2": [
|
||||||
@@ -1683,113 +1526,6 @@ async def test_hold_not_overridden_when_between_stop_loss_and_take_profit() -> N
|
|||||||
)
|
)
|
||||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
||||||
|
|
||||||
scenario = StockScenario(
|
|
||||||
condition=StockCondition(rsi_below=30),
|
|
||||||
action=ScenarioAction.BUY,
|
|
||||||
confidence=88,
|
|
||||||
stop_loss_pct=-2.0,
|
|
||||||
take_profit_pct=3.0,
|
|
||||||
rationale="within range policy",
|
|
||||||
)
|
|
||||||
playbook = DayPlaybook(
|
|
||||||
date=date(2026, 2, 8),
|
|
||||||
market="KR",
|
|
||||||
stock_playbooks=[
|
|
||||||
{"stock_code": "005930", "stock_name": "Samsung", "scenarios": [scenario]}
|
|
||||||
],
|
|
||||||
)
|
|
||||||
engine = MagicMock(spec=ScenarioEngine)
|
|
||||||
engine.evaluate = MagicMock(return_value=_make_hold_match())
|
|
||||||
|
|
||||||
market = MagicMock()
|
|
||||||
market.name = "Korea"
|
|
||||||
market.code = "KR"
|
|
||||||
market.exchange_code = "KRX"
|
|
||||||
market.is_domestic = True
|
|
||||||
|
|
||||||
telegram = MagicMock()
|
|
||||||
telegram.notify_trade_execution = AsyncMock()
|
|
||||||
telegram.notify_fat_finger = AsyncMock()
|
|
||||||
telegram.notify_circuit_breaker = AsyncMock()
|
|
||||||
telegram.notify_scenario_matched = AsyncMock()
|
|
||||||
|
|
||||||
await trading_cycle(
|
|
||||||
broker=broker,
|
|
||||||
overseas_broker=MagicMock(),
|
|
||||||
scenario_engine=engine,
|
|
||||||
playbook=playbook,
|
|
||||||
risk=MagicMock(),
|
|
||||||
db_conn=db_conn,
|
|
||||||
decision_logger=decision_logger,
|
|
||||||
context_store=MagicMock(
|
|
||||||
get_latest_timeframe=MagicMock(return_value=None),
|
|
||||||
set_context=MagicMock(),
|
|
||||||
),
|
|
||||||
criticality_assessor=MagicMock(
|
|
||||||
assess_market_conditions=MagicMock(return_value=MagicMock(value="NORMAL")),
|
|
||||||
get_timeout=MagicMock(return_value=5.0),
|
|
||||||
),
|
|
||||||
telegram=telegram,
|
|
||||||
market=market,
|
|
||||||
stock_code="005930",
|
|
||||||
scan_candidates={},
|
|
||||||
)
|
|
||||||
|
|
||||||
broker.send_order.assert_not_called()
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
|
||||||
async def test_sell_order_uses_broker_balance_qty_not_db() -> None:
|
|
||||||
"""SELL quantity must come from broker balance output1, not DB.
|
|
||||||
|
|
||||||
The DB records order quantity which may differ from actual fill quantity.
|
|
||||||
This test verifies that we use the broker-confirmed orderable quantity.
|
|
||||||
"""
|
|
||||||
db_conn = init_db(":memory:")
|
|
||||||
decision_logger = DecisionLogger(db_conn)
|
|
||||||
|
|
||||||
buy_decision_id = decision_logger.log_decision(
|
|
||||||
stock_code="005930",
|
|
||||||
market="KR",
|
|
||||||
exchange_code="KRX",
|
|
||||||
action="BUY",
|
|
||||||
confidence=90,
|
|
||||||
rationale="entry",
|
|
||||||
context_snapshot={},
|
|
||||||
input_data={},
|
|
||||||
)
|
|
||||||
# DB records 10 shares ordered — but only 5 actually filled (partial fill scenario)
|
|
||||||
log_trade(
|
|
||||||
conn=db_conn,
|
|
||||||
stock_code="005930",
|
|
||||||
action="BUY",
|
|
||||||
confidence=90,
|
|
||||||
rationale="entry",
|
|
||||||
quantity=10, # ordered quantity (may differ from fill)
|
|
||||||
price=100.0,
|
|
||||||
market="KR",
|
|
||||||
exchange_code="KRX",
|
|
||||||
decision_id=buy_decision_id,
|
|
||||||
)
|
|
||||||
|
|
||||||
broker = MagicMock()
|
|
||||||
# Stop-loss triggers (price dropped below -2%)
|
|
||||||
broker.get_current_price = AsyncMock(return_value=(95.0, -5.0, 0.0))
|
|
||||||
broker.get_balance = AsyncMock(
|
|
||||||
return_value={
|
|
||||||
# Broker confirms only 5 shares are actually orderable (partial fill)
|
|
||||||
"output1": [{"pdno": "005930", "ord_psbl_qty": "5"}],
|
|
||||||
"output2": [
|
|
||||||
{
|
|
||||||
"tot_evlu_amt": "100000",
|
|
||||||
"dnca_tot_amt": "10000",
|
|
||||||
"pchs_amt_smtl_amt": "90000",
|
|
||||||
}
|
|
||||||
],
|
|
||||||
}
|
|
||||||
)
|
|
||||||
broker.send_order = AsyncMock(return_value={"msg1": "OK"})
|
|
||||||
|
|
||||||
scenario = StockScenario(
|
scenario = StockScenario(
|
||||||
condition=StockCondition(rsi_below=30),
|
condition=StockCondition(rsi_below=30),
|
||||||
action=ScenarioAction.BUY,
|
action=ScenarioAction.BUY,
|
||||||
@@ -1844,8 +1580,7 @@ async def test_sell_order_uses_broker_balance_qty_not_db() -> None:
|
|||||||
broker.send_order.assert_called_once()
|
broker.send_order.assert_called_once()
|
||||||
call_kwargs = broker.send_order.call_args.kwargs
|
call_kwargs = broker.send_order.call_args.kwargs
|
||||||
assert call_kwargs["order_type"] == "SELL"
|
assert call_kwargs["order_type"] == "SELL"
|
||||||
# Must use broker-confirmed qty (5), NOT DB-recorded ordered qty (10)
|
assert call_kwargs["quantity"] == 5 # actual held quantity, not 1
|
||||||
assert call_kwargs["quantity"] == 5
|
|
||||||
|
|
||||||
|
|
||||||
@pytest.mark.asyncio
|
@pytest.mark.asyncio
|
||||||
|
|||||||
Reference in New Issue
Block a user