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feature/is
...
8a8ba3b0cb
| Author | SHA1 | Date | |
|---|---|---|---|
| 8a8ba3b0cb | |||
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6b74e4cc77 | ||
| 1a1fe7e637 | |||
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2e27000760 | ||
| 5a41f86112 |
@@ -29,6 +29,20 @@ _RANKING_EXCHANGE_MAP: dict[str, str] = {
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# NASD → NAS, NYSE → NYS, AMEX → AMS (confirmed: AMEX returns empty, AMS returns price).
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_PRICE_EXCHANGE_MAP: dict[str, str] = _RANKING_EXCHANGE_MAP
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# Cancel order TR_IDs per exchange code — (live_tr_id, paper_tr_id).
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# Source: 한국투자증권 오픈API 전체문서 (20260221) — '해외주식 주문취소' 시트
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_CANCEL_TR_ID_MAP: dict[str, tuple[str, str]] = {
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"NASD": ("TTTT1004U", "VTTT1004U"),
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"NYSE": ("TTTT1004U", "VTTT1004U"),
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"AMEX": ("TTTT1004U", "VTTT1004U"),
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"SEHK": ("TTTS1003U", "VTTS1003U"),
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"TSE": ("TTTS0309U", "VTTS0309U"),
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"SHAA": ("TTTS0302U", "VTTS0302U"),
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"SZAA": ("TTTS0306U", "VTTS0306U"),
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"HNX": ("TTTS0312U", "VTTS0312U"),
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"HSX": ("TTTS0312U", "VTTS0312U"),
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}
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class OverseasBroker:
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"""KIS Overseas Stock API wrapper that reuses KISBroker infrastructure."""
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@@ -292,6 +306,131 @@ class OverseasBroker:
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f"Network error sending overseas order: {exc}"
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) from exc
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async def get_overseas_pending_orders(
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self, exchange_code: str
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) -> list[dict[str, Any]]:
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"""Fetch unfilled (pending) overseas orders for a given exchange.
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Args:
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exchange_code: Exchange code (e.g., "NASD", "SEHK").
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For US markets, NASD returns all US pending orders (NASD/NYSE/AMEX).
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Returns:
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List of pending order dicts with fields: odno, pdno, sll_buy_dvsn_cd,
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ft_ord_qty, nccs_qty, ft_ord_unpr3, ovrs_excg_cd.
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Always returns [] in paper mode (TTTS3018R is live-only).
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Raises:
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ConnectionError: On network or API errors (live mode only).
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"""
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if self._broker._settings.MODE != "live":
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logger.debug(
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"Pending orders API (TTTS3018R) not supported in paper mode; returning []"
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)
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return []
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await self._broker._rate_limiter.acquire()
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session = self._broker._get_session()
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# TTTS3018R: 해외주식 미체결내역조회 (실전 전용)
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# Source: 한국투자증권 오픈API 전체문서 (20260221) — '해외주식 미체결조회' 시트
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headers = await self._broker._auth_headers("TTTS3018R")
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params = {
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"CANO": self._broker._account_no,
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"ACNT_PRDT_CD": self._broker._product_cd,
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"OVRS_EXCG_CD": exchange_code,
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"SORT_SQN": "DS",
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"CTX_AREA_FK200": "",
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"CTX_AREA_NK200": "",
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}
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url = (
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f"{self._broker._base_url}/uapi/overseas-stock/v1/trading/inquire-nccs"
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)
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try:
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async with session.get(url, headers=headers, params=params) as resp:
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if resp.status != 200:
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text = await resp.text()
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raise ConnectionError(
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f"get_overseas_pending_orders failed ({resp.status}): {text}"
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)
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data = await resp.json()
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output = data.get("output", [])
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if isinstance(output, list):
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return output
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return []
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except (TimeoutError, aiohttp.ClientError) as exc:
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raise ConnectionError(
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f"Network error fetching pending orders: {exc}"
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) from exc
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async def cancel_overseas_order(
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self,
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exchange_code: str,
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stock_code: str,
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odno: str,
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qty: int,
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) -> dict[str, Any]:
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"""Cancel an overseas limit order.
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Args:
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exchange_code: Exchange code (e.g., "NASD", "SEHK").
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stock_code: Stock ticker symbol.
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odno: Original order number to cancel.
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qty: Unfilled quantity to cancel.
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Returns:
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API response dict containing rt_cd and msg1.
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Raises:
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ValueError: If exchange_code has no cancel TR_ID mapping.
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ConnectionError: On network or API errors.
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"""
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tr_ids = _CANCEL_TR_ID_MAP.get(exchange_code)
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if tr_ids is None:
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raise ValueError(f"No cancel TR_ID mapping for exchange: {exchange_code}")
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live_tr_id, paper_tr_id = tr_ids
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tr_id = live_tr_id if self._broker._settings.MODE == "live" else paper_tr_id
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await self._broker._rate_limiter.acquire()
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session = self._broker._get_session()
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# RVSE_CNCL_DVSN_CD="02" means cancel (not revision).
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# OVRS_ORD_UNPR must be "0" for cancellations.
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# Source: 한국투자증권 오픈API 전체문서 (20260221) — '해외주식 정정취소주문' 시트
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body = {
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"CANO": self._broker._account_no,
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"ACNT_PRDT_CD": self._broker._product_cd,
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"OVRS_EXCG_CD": exchange_code,
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"PDNO": stock_code,
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"ORGN_ODNO": odno,
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"RVSE_CNCL_DVSN_CD": "02",
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"ORD_QTY": str(qty),
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"OVRS_ORD_UNPR": "0",
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"ORD_SVR_DVSN_CD": "0",
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}
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hash_key = await self._broker._get_hash_key(body)
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headers = await self._broker._auth_headers(tr_id)
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headers["hashkey"] = hash_key
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url = (
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f"{self._broker._base_url}/uapi/overseas-stock/v1/trading/order-rvsecncl"
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)
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try:
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async with session.post(url, headers=headers, json=body) as resp:
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if resp.status != 200:
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text = await resp.text()
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raise ConnectionError(
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f"cancel_overseas_order failed ({resp.status}): {text}"
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)
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return await resp.json()
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except (TimeoutError, aiohttp.ClientError) as exc:
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raise ConnectionError(
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f"Network error cancelling overseas order: {exc}"
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) from exc
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def _get_currency_code(self, exchange_code: str) -> str:
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"""
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Map exchange code to currency code.
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225
src/main.py
225
src/main.py
@@ -860,21 +860,23 @@ async def trading_cycle(
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price=0, # market order
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)
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else:
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# For overseas orders:
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# - KIS VTS only accepts limit orders (지정가만 가능)
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# - BUY: use 0.5% premium over last price to improve fill probability
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# (ask price is typically slightly above last, and VTS won't fill below ask)
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# - SELL: use last price as the limit
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# For overseas orders, always use limit orders (지정가):
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# - KIS market orders (ORD_DVSN=01) calculate quantity based on upper limit
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# price (상한가 기준), resulting in only 60-80% of intended cash being used.
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# - BUY: +0.2% above last price — tight enough to minimise overpayment while
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# achieving >90% fill rate on large-cap US stocks.
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# - SELL: -0.2% below last price — ensures fill even when price dips slightly
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# (placing at exact last price risks no-fill if the bid is just below).
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if decision.action == "BUY":
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order_price = round(current_price * 1.005, 4)
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order_price = round(current_price * 1.002, 4)
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else:
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order_price = current_price
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order_price = round(current_price * 0.998, 4)
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result = await overseas_broker.send_overseas_order(
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exchange_code=market.exchange_code,
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stock_code=stock_code,
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order_type=decision.action,
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quantity=quantity,
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price=order_price, # limit order — KIS VTS rejects market orders
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price=order_price, # limit order
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)
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# Check if KIS rejected the order (rt_cd != "0")
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if result.get("rt_cd", "") != "0":
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@@ -976,6 +978,181 @@ async def trading_cycle(
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)
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async def handle_overseas_pending_orders(
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overseas_broker: OverseasBroker,
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telegram: TelegramClient,
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settings: Settings,
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sell_resubmit_counts: dict[str, int],
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buy_cooldown: dict[str, float] | None = None,
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) -> None:
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"""Check and handle unfilled (pending) overseas limit orders.
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Called once per market loop iteration before new orders are considered.
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In paper mode the KIS pending-orders API (TTTS3018R) is unsupported, so
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this function returns immediately without making any API calls.
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BUY pending → cancel (to free up balance) + optionally set cooldown.
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SELL pending → cancel then resubmit at a wider spread (-0.4% from last
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price). Resubmission is attempted at most once per key
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per session to avoid infinite retry loops.
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Args:
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overseas_broker: OverseasBroker instance.
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telegram: TelegramClient for notifications.
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settings: Application settings (MODE, ENABLED_MARKETS).
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sell_resubmit_counts: Mutable dict tracking SELL resubmission attempts
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per "{exchange_code}:{stock_code}" key. Passed by reference so
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counts persist across calls within the same session.
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buy_cooldown: Optional cooldown dict shared with the main trading loop.
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When provided, cancelled BUY orders are added with a
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_BUY_COOLDOWN_SECONDS expiry.
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"""
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# Determine which exchange codes to query, deduplicating US exchanges.
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# NASD alone returns all US (NASD/NYSE/AMEX) pending orders.
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us_exchanges = frozenset({"NASD", "NYSE", "AMEX"})
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exchange_codes: list[str] = []
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seen_us = False
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for market_code in settings.enabled_market_list:
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market_info = MARKETS.get(market_code)
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if market_info is None or market_info.is_domestic:
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continue
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exc_code = market_info.exchange_code
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if exc_code in us_exchanges:
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if not seen_us:
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exchange_codes.append("NASD")
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seen_us = True
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elif exc_code not in exchange_codes:
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exchange_codes.append(exc_code)
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now = asyncio.get_event_loop().time()
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for exchange_code in exchange_codes:
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try:
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orders = await overseas_broker.get_overseas_pending_orders(exchange_code)
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except Exception as exc:
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logger.warning(
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"Failed to fetch pending orders for %s: %s", exchange_code, exc
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)
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continue
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for order in orders:
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try:
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stock_code = order.get("pdno", "")
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odno = order.get("odno", "")
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sll_buy = order.get("sll_buy_dvsn_cd", "") # "01"=SELL, "02"=BUY
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nccs_qty = int(order.get("nccs_qty", "0") or "0")
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order_exchange = order.get("ovrs_excg_cd") or exchange_code
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key = f"{order_exchange}:{stock_code}"
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if not stock_code or not odno or nccs_qty <= 0:
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continue
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# Cancel the pending order first regardless of direction.
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cancel_result = await overseas_broker.cancel_overseas_order(
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exchange_code=order_exchange,
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stock_code=stock_code,
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odno=odno,
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qty=nccs_qty,
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)
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if cancel_result.get("rt_cd") != "0":
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logger.warning(
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"Cancel failed for %s %s: rt_cd=%s msg=%s",
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order_exchange,
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stock_code,
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cancel_result.get("rt_cd"),
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cancel_result.get("msg1"),
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)
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continue
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if sll_buy == "02":
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# BUY pending → cancelled; set cooldown to avoid immediate re-buy.
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if buy_cooldown is not None:
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buy_cooldown[key] = now + _BUY_COOLDOWN_SECONDS
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try:
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await telegram.notify_unfilled_order(
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stock_code=stock_code,
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market=order_exchange,
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action="BUY",
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quantity=nccs_qty,
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outcome="cancelled",
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)
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except Exception as notify_exc:
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logger.warning("notify_unfilled_order failed: %s", notify_exc)
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elif sll_buy == "01":
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# SELL pending — attempt one resubmit at a wider spread.
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if sell_resubmit_counts.get(key, 0) >= 1:
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# Already resubmitted once — only cancel (already done above).
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logger.warning(
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"SELL %s %s already resubmitted once — no further resubmit",
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order_exchange,
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stock_code,
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)
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try:
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await telegram.notify_unfilled_order(
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stock_code=stock_code,
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market=order_exchange,
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action="SELL",
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quantity=nccs_qty,
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outcome="cancelled",
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)
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except Exception as notify_exc:
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logger.warning(
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"notify_unfilled_order failed: %s", notify_exc
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)
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else:
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# First unfilled SELL → resubmit at last * 0.996 (-0.4%).
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try:
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price_data = await overseas_broker.get_overseas_price(
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order_exchange, stock_code
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)
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last_price = float(
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price_data.get("output", {}).get("last", "0") or "0"
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)
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if last_price <= 0:
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raise ValueError(
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f"Invalid price ({last_price}) for {stock_code}"
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)
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new_price = round(last_price * 0.996, 4)
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await overseas_broker.send_overseas_order(
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exchange_code=order_exchange,
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stock_code=stock_code,
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order_type="SELL",
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quantity=nccs_qty,
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price=new_price,
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)
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sell_resubmit_counts[key] = (
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sell_resubmit_counts.get(key, 0) + 1
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)
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try:
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await telegram.notify_unfilled_order(
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stock_code=stock_code,
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market=order_exchange,
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action="SELL",
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quantity=nccs_qty,
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outcome="resubmitted",
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new_price=new_price,
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)
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except Exception as notify_exc:
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logger.warning(
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"notify_unfilled_order failed: %s", notify_exc
|
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)
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except Exception as exc:
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logger.error(
|
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"SELL resubmit failed for %s %s: %s",
|
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order_exchange,
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stock_code,
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exc,
|
||||
)
|
||||
|
||||
except Exception as exc:
|
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logger.error(
|
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"Error handling pending order for %s: %s",
|
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order.get("pdno", "?"),
|
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exc,
|
||||
)
|
||||
|
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|
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async def run_daily_session(
|
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broker: KISBroker,
|
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overseas_broker: OverseasBroker,
|
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@@ -1020,11 +1197,27 @@ async def run_daily_session(
|
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# BUY cooldown: prevents retrying stocks rejected for insufficient balance
|
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daily_buy_cooldown: dict[str, float] = {} # "{market_code}:{stock_code}" -> expiry timestamp
|
||||
|
||||
# Tracks SELL resubmission attempts per "{exchange_code}:{stock_code}" (max 1 per session).
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sell_resubmit_counts: dict[str, int] = {}
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# Process each open market
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for market in open_markets:
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# Use market-local date for playbook keying
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market_today = datetime.now(market.timezone).date()
|
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|
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# Check and handle overseas pending (unfilled) limit orders before new decisions.
|
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if not market.is_domestic:
|
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try:
|
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await handle_overseas_pending_orders(
|
||||
overseas_broker,
|
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telegram,
|
||||
settings,
|
||||
sell_resubmit_counts,
|
||||
daily_buy_cooldown,
|
||||
)
|
||||
except Exception as exc:
|
||||
logger.warning("Pending order check failed: %s", exc)
|
||||
|
||||
# Dynamic stock discovery via scanner (no static watchlists)
|
||||
candidates_list: list[ScanCandidate] = []
|
||||
fallback_stocks: list[str] | None = None
|
||||
@@ -2083,6 +2276,9 @@ async def run(settings: Settings) -> None:
|
||||
# BUY cooldown: prevents retrying a stock rejected for insufficient balance
|
||||
buy_cooldown: dict[str, float] = {} # "{market_code}:{stock_code}" -> expiry timestamp
|
||||
|
||||
# Tracks SELL resubmission attempts per "{exchange_code}:{stock_code}" (max 1 until restart).
|
||||
sell_resubmit_counts: dict[str, int] = {}
|
||||
|
||||
# Initialize latency control system
|
||||
criticality_assessor = CriticalityAssessor(
|
||||
critical_pnl_threshold=-2.5, # Near circuit breaker at -3.0%
|
||||
@@ -2268,6 +2464,19 @@ async def run(settings: Settings) -> None:
|
||||
logger.warning("Market open notification failed: %s", exc)
|
||||
_market_states[market.code] = True
|
||||
|
||||
# Check and handle overseas pending (unfilled) limit orders.
|
||||
if not market.is_domestic:
|
||||
try:
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker,
|
||||
telegram,
|
||||
settings,
|
||||
sell_resubmit_counts,
|
||||
buy_cooldown,
|
||||
)
|
||||
except Exception as exc:
|
||||
logger.warning("Pending order check failed: %s", exc)
|
||||
|
||||
# Smart Scanner: dynamic stock discovery (no static watchlists)
|
||||
now_timestamp = asyncio.get_event_loop().time()
|
||||
last_scan = last_scan_time.get(market.code, 0.0)
|
||||
|
||||
@@ -473,6 +473,48 @@ class TelegramClient:
|
||||
NotificationMessage(priority=priority, message=message)
|
||||
)
|
||||
|
||||
async def notify_unfilled_order(
|
||||
self,
|
||||
stock_code: str,
|
||||
market: str,
|
||||
action: str,
|
||||
quantity: int,
|
||||
outcome: str,
|
||||
new_price: float | None = None,
|
||||
) -> None:
|
||||
"""Notify about an unfilled overseas order that was cancelled or resubmitted.
|
||||
|
||||
Args:
|
||||
stock_code: Stock ticker symbol.
|
||||
market: Exchange/market code (e.g., "NASD", "SEHK").
|
||||
action: "BUY" or "SELL".
|
||||
quantity: Unfilled quantity.
|
||||
outcome: "cancelled" or "resubmitted".
|
||||
new_price: New order price if resubmitted (None if only cancelled).
|
||||
"""
|
||||
if not self._filter.trades:
|
||||
return
|
||||
# SELL resubmit is high priority — position liquidation at risk.
|
||||
# BUY cancel is medium priority — only cash is freed.
|
||||
priority = (
|
||||
NotificationPriority.HIGH
|
||||
if action == "SELL"
|
||||
else NotificationPriority.MEDIUM
|
||||
)
|
||||
outcome_emoji = "🔄" if outcome == "resubmitted" else "❌"
|
||||
outcome_label = "재주문" if outcome == "resubmitted" else "취소됨"
|
||||
action_emoji = "🔴" if action == "SELL" else "🟢"
|
||||
lines = [
|
||||
f"<b>{outcome_emoji} 미체결 주문 {outcome_label}</b>",
|
||||
f"Symbol: <code>{stock_code}</code> ({market})",
|
||||
f"Action: {action_emoji} {action}",
|
||||
f"Quantity: {quantity:,} shares",
|
||||
]
|
||||
if new_price is not None:
|
||||
lines.append(f"New Price: {new_price:.4f}")
|
||||
message = "\n".join(lines)
|
||||
await self._send_notification(NotificationMessage(priority=priority, message=message))
|
||||
|
||||
async def notify_error(
|
||||
self, error_type: str, error_msg: str, context: str
|
||||
) -> None:
|
||||
|
||||
@@ -22,6 +22,7 @@ from src.main import (
|
||||
_run_context_scheduler,
|
||||
_run_evolution_loop,
|
||||
_start_dashboard_server,
|
||||
handle_overseas_pending_orders,
|
||||
run_daily_session,
|
||||
safe_float,
|
||||
sync_positions_from_broker,
|
||||
@@ -1105,10 +1106,11 @@ class TestOverseasBalanceParsing:
|
||||
mock_telegram: MagicMock,
|
||||
mock_overseas_market: MagicMock,
|
||||
) -> None:
|
||||
"""Overseas BUY order must use current_price (limit), not 0 (market).
|
||||
"""Overseas BUY order must use current_price +0.2% limit, not market order.
|
||||
|
||||
KIS VTS rejects market orders for overseas paper trading.
|
||||
Regression test for issue #149.
|
||||
KIS market orders (ORD_DVSN=01) calculate quantity based on upper limit price
|
||||
(상한가 기준), resulting in only 60-80% of intended cash being used.
|
||||
Regression test for issue #149 / #211.
|
||||
"""
|
||||
mock_telegram.notify_trade_execution = AsyncMock()
|
||||
|
||||
@@ -1129,14 +1131,93 @@ class TestOverseasBalanceParsing:
|
||||
scan_candidates={},
|
||||
)
|
||||
|
||||
# Verify limit order was sent with actual price + 0.5% premium (issue #151), not 0.0
|
||||
# Verify BUY limit order uses +0.2% premium (issue #211)
|
||||
mock_overseas_broker_with_buy_scenario.send_overseas_order.assert_called_once()
|
||||
call_kwargs = mock_overseas_broker_with_buy_scenario.send_overseas_order.call_args
|
||||
sent_price = call_kwargs[1].get("price") or call_kwargs[0][4]
|
||||
expected_price = round(182.5 * 1.005, 4) # 0.5% premium for BUY limit orders
|
||||
expected_price = round(182.5 * 1.002, 4) # 0.2% premium for BUY limit orders
|
||||
assert sent_price == expected_price, (
|
||||
f"Expected limit price {expected_price} (182.5 * 1.005) but got {sent_price}. "
|
||||
"KIS VTS only accepts limit orders; BUY uses 0.5% premium to improve fill rate."
|
||||
f"Expected limit price {expected_price} (182.5 * 1.002) but got {sent_price}. "
|
||||
"BUY uses +0.2% to improve fill rate while minimising overpayment (#211)."
|
||||
)
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_overseas_sell_order_uses_limit_price_below_current(
|
||||
self,
|
||||
mock_domestic_broker: MagicMock,
|
||||
mock_playbook: DayPlaybook,
|
||||
mock_risk: MagicMock,
|
||||
mock_db: MagicMock,
|
||||
mock_decision_logger: MagicMock,
|
||||
mock_context_store: MagicMock,
|
||||
mock_criticality_assessor: MagicMock,
|
||||
mock_telegram: MagicMock,
|
||||
mock_overseas_market: MagicMock,
|
||||
) -> None:
|
||||
"""Overseas SELL order must use current_price -0.2% limit (#211).
|
||||
|
||||
Placing SELL at exact last price risks no-fill when the bid is just below.
|
||||
Using -0.2% ensures the order fills even if the price dips slightly.
|
||||
"""
|
||||
sell_price = 182.5
|
||||
|
||||
# Broker mock: returns price data and a balance with 5 AAPL shares held.
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_price = AsyncMock(
|
||||
return_value={"output": {"last": str(sell_price), "rate": "1.5", "tvol": "5000000"}}
|
||||
)
|
||||
overseas_broker.get_overseas_balance = AsyncMock(
|
||||
return_value={
|
||||
"output1": [
|
||||
{
|
||||
"ovrs_pdno": "AAPL",
|
||||
"ovrs_cblc_qty": "5",
|
||||
"pchs_avg_pric": "170.0",
|
||||
"evlu_pfls_rt": "7.35",
|
||||
}
|
||||
],
|
||||
"output2": [
|
||||
{
|
||||
"frcr_evlu_tota": "100000.00",
|
||||
"frcr_dncl_amt_2": "50000.00",
|
||||
"frcr_buy_amt_smtl": "50000.00",
|
||||
}
|
||||
],
|
||||
}
|
||||
)
|
||||
overseas_broker.send_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
sell_engine = MagicMock(spec=ScenarioEngine)
|
||||
sell_engine.evaluate = MagicMock(return_value=_make_sell_match("AAPL"))
|
||||
mock_telegram.notify_trade_execution = AsyncMock()
|
||||
|
||||
with patch("src.main.log_trade"), patch("src.main.get_open_position") as mock_pos:
|
||||
mock_pos.return_value = {"quantity": 5, "stock_code": "AAPL", "price": 170.0}
|
||||
await trading_cycle(
|
||||
broker=mock_domestic_broker,
|
||||
overseas_broker=overseas_broker,
|
||||
scenario_engine=sell_engine,
|
||||
playbook=mock_playbook,
|
||||
risk=mock_risk,
|
||||
db_conn=mock_db,
|
||||
decision_logger=mock_decision_logger,
|
||||
context_store=mock_context_store,
|
||||
criticality_assessor=mock_criticality_assessor,
|
||||
telegram=mock_telegram,
|
||||
market=mock_overseas_market,
|
||||
stock_code="AAPL",
|
||||
scan_candidates={},
|
||||
)
|
||||
|
||||
overseas_broker.send_overseas_order.assert_called_once()
|
||||
call_kwargs = overseas_broker.send_overseas_order.call_args
|
||||
sent_price = call_kwargs[1].get("price") or call_kwargs[0][4]
|
||||
expected_price = round(sell_price * 0.998, 4) # -0.2% for SELL limit orders
|
||||
assert sent_price == expected_price, (
|
||||
f"Expected SELL limit price {expected_price} (182.5 * 0.998) but got {sent_price}. "
|
||||
"SELL uses -0.2% to ensure fill even when price dips slightly (#211)."
|
||||
)
|
||||
|
||||
|
||||
@@ -3792,3 +3873,188 @@ class TestDomesticBuyDoublePreventionTradingCycle:
|
||||
|
||||
# BUY must NOT have been executed because broker still holds the stock
|
||||
broker.send_order.assert_not_called()
|
||||
|
||||
|
||||
class TestHandleOverseasPendingOrders:
|
||||
"""Tests for handle_overseas_pending_orders function."""
|
||||
|
||||
def _make_settings(self, markets: str = "US_NASDAQ,US_NYSE,US_AMEX") -> Settings:
|
||||
return Settings(
|
||||
KIS_APP_KEY="k",
|
||||
KIS_APP_SECRET="s",
|
||||
KIS_ACCOUNT_NO="12345678-01",
|
||||
GEMINI_API_KEY="g",
|
||||
ENABLED_MARKETS=markets,
|
||||
)
|
||||
|
||||
def _make_telegram(self) -> MagicMock:
|
||||
t = MagicMock()
|
||||
t.notify_unfilled_order = AsyncMock()
|
||||
return t
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_buy_pending_is_cancelled_and_cooldown_set(self) -> None:
|
||||
"""BUY pending order should be cancelled and buy_cooldown should be set."""
|
||||
settings = self._make_settings("US_NASDAQ")
|
||||
telegram = self._make_telegram()
|
||||
|
||||
pending_order = {
|
||||
"pdno": "AAPL",
|
||||
"odno": "ORD001",
|
||||
"sll_buy_dvsn_cd": "02", # BUY
|
||||
"nccs_qty": "3",
|
||||
"ovrs_excg_cd": "NASD",
|
||||
}
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_pending_orders = AsyncMock(
|
||||
return_value=[pending_order]
|
||||
)
|
||||
overseas_broker.cancel_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
sell_resubmit_counts: dict[str, int] = {}
|
||||
buy_cooldown: dict[str, float] = {}
|
||||
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker, telegram, settings, sell_resubmit_counts, buy_cooldown
|
||||
)
|
||||
|
||||
overseas_broker.cancel_overseas_order.assert_called_once_with(
|
||||
exchange_code="NASD",
|
||||
stock_code="AAPL",
|
||||
odno="ORD001",
|
||||
qty=3,
|
||||
)
|
||||
assert "NASD:AAPL" in buy_cooldown
|
||||
telegram.notify_unfilled_order.assert_called_once()
|
||||
call_kwargs = telegram.notify_unfilled_order.call_args[1]
|
||||
assert call_kwargs["action"] == "BUY"
|
||||
assert call_kwargs["outcome"] == "cancelled"
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_sell_pending_is_cancelled_then_resubmitted(self) -> None:
|
||||
"""First unfilled SELL should be cancelled then resubmitted at -0.4% price."""
|
||||
settings = self._make_settings("US_NASDAQ")
|
||||
telegram = self._make_telegram()
|
||||
|
||||
pending_order = {
|
||||
"pdno": "AAPL",
|
||||
"odno": "ORD002",
|
||||
"sll_buy_dvsn_cd": "01", # SELL
|
||||
"nccs_qty": "5",
|
||||
"ovrs_excg_cd": "NASD",
|
||||
}
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_pending_orders = AsyncMock(
|
||||
return_value=[pending_order]
|
||||
)
|
||||
overseas_broker.cancel_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
overseas_broker.get_overseas_price = AsyncMock(
|
||||
return_value={"output": {"last": "200.0"}}
|
||||
)
|
||||
overseas_broker.send_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
sell_resubmit_counts: dict[str, int] = {}
|
||||
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker, telegram, settings, sell_resubmit_counts
|
||||
)
|
||||
|
||||
overseas_broker.cancel_overseas_order.assert_called_once()
|
||||
overseas_broker.send_overseas_order.assert_called_once()
|
||||
resubmit_kwargs = overseas_broker.send_overseas_order.call_args[1]
|
||||
assert resubmit_kwargs["order_type"] == "SELL"
|
||||
assert resubmit_kwargs["price"] == round(200.0 * 0.996, 4)
|
||||
assert sell_resubmit_counts.get("NASD:AAPL") == 1
|
||||
notify_kwargs = telegram.notify_unfilled_order.call_args[1]
|
||||
assert notify_kwargs["outcome"] == "resubmitted"
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_sell_cancel_failure_skips_resubmit(self) -> None:
|
||||
"""When cancel returns rt_cd != '0', resubmit should NOT be attempted."""
|
||||
settings = self._make_settings("US_NASDAQ")
|
||||
telegram = self._make_telegram()
|
||||
|
||||
pending_order = {
|
||||
"pdno": "AAPL",
|
||||
"odno": "ORD003",
|
||||
"sll_buy_dvsn_cd": "01", # SELL
|
||||
"nccs_qty": "2",
|
||||
"ovrs_excg_cd": "NASD",
|
||||
}
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_pending_orders = AsyncMock(
|
||||
return_value=[pending_order]
|
||||
)
|
||||
overseas_broker.cancel_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "1", "msg1": "Error"} # failure
|
||||
)
|
||||
overseas_broker.send_overseas_order = AsyncMock()
|
||||
|
||||
sell_resubmit_counts: dict[str, int] = {}
|
||||
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker, telegram, settings, sell_resubmit_counts
|
||||
)
|
||||
|
||||
overseas_broker.send_overseas_order.assert_not_called()
|
||||
telegram.notify_unfilled_order.assert_not_called()
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_sell_already_resubmitted_is_only_cancelled(self) -> None:
|
||||
"""Second unfilled SELL (sell_resubmit_counts >= 1) should only cancel, no resubmit."""
|
||||
settings = self._make_settings("US_NASDAQ")
|
||||
telegram = self._make_telegram()
|
||||
|
||||
pending_order = {
|
||||
"pdno": "AAPL",
|
||||
"odno": "ORD004",
|
||||
"sll_buy_dvsn_cd": "01", # SELL
|
||||
"nccs_qty": "4",
|
||||
"ovrs_excg_cd": "NASD",
|
||||
}
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_pending_orders = AsyncMock(
|
||||
return_value=[pending_order]
|
||||
)
|
||||
overseas_broker.cancel_overseas_order = AsyncMock(
|
||||
return_value={"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
overseas_broker.send_overseas_order = AsyncMock()
|
||||
|
||||
# Already resubmitted once
|
||||
sell_resubmit_counts: dict[str, int] = {"NASD:AAPL": 1}
|
||||
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker, telegram, settings, sell_resubmit_counts
|
||||
)
|
||||
|
||||
overseas_broker.cancel_overseas_order.assert_called_once()
|
||||
overseas_broker.send_overseas_order.assert_not_called()
|
||||
notify_kwargs = telegram.notify_unfilled_order.call_args[1]
|
||||
assert notify_kwargs["outcome"] == "cancelled"
|
||||
assert notify_kwargs["action"] == "SELL"
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_us_exchanges_deduplicated_to_nasd(self) -> None:
|
||||
"""US_NASDAQ, US_NYSE, US_AMEX should result in only one NASD query."""
|
||||
settings = self._make_settings("US_NASDAQ,US_NYSE,US_AMEX")
|
||||
telegram = self._make_telegram()
|
||||
|
||||
overseas_broker = MagicMock()
|
||||
overseas_broker.get_overseas_pending_orders = AsyncMock(return_value=[])
|
||||
|
||||
sell_resubmit_counts: dict[str, int] = {}
|
||||
|
||||
await handle_overseas_pending_orders(
|
||||
overseas_broker, telegram, settings, sell_resubmit_counts
|
||||
)
|
||||
|
||||
# Should be called exactly once with "NASD"
|
||||
assert overseas_broker.get_overseas_pending_orders.call_count == 1
|
||||
overseas_broker.get_overseas_pending_orders.assert_called_once_with("NASD")
|
||||
|
||||
@@ -813,3 +813,221 @@ class TestOverseasTRIDBranching:
|
||||
|
||||
await broker.send_overseas_order("NASD", "AAPL", "SELL", 1)
|
||||
assert "TTTT1006U" in captured
|
||||
|
||||
|
||||
class TestGetOverseasPendingOrders:
|
||||
"""Tests for get_overseas_pending_orders method."""
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_paper_mode_returns_empty(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""Paper mode should immediately return [] without any API call."""
|
||||
# Default mock_settings has MODE="paper"
|
||||
overseas_broker._broker._settings = overseas_broker._broker._settings.model_copy(
|
||||
update={"MODE": "paper"}
|
||||
)
|
||||
mock_session = MagicMock()
|
||||
_setup_broker_mocks(overseas_broker, mock_session)
|
||||
|
||||
result = await overseas_broker.get_overseas_pending_orders("NASD")
|
||||
|
||||
assert result == []
|
||||
mock_session.get.assert_not_called()
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_live_mode_calls_ttts3018r_with_correct_params(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""Live mode should call TTTS3018R with OVRS_EXCG_CD and return output list."""
|
||||
overseas_broker._broker._settings = overseas_broker._broker._settings.model_copy(
|
||||
update={"MODE": "live"}
|
||||
)
|
||||
captured_tr_id: list[str] = []
|
||||
captured_params: list[dict] = []
|
||||
|
||||
async def mock_auth_headers(tr_id: str) -> dict:
|
||||
captured_tr_id.append(tr_id)
|
||||
return {}
|
||||
|
||||
overseas_broker._broker._auth_headers = mock_auth_headers # type: ignore[method-assign]
|
||||
|
||||
pending_orders = [
|
||||
{"odno": "001", "pdno": "AAPL", "sll_buy_dvsn_cd": "02", "nccs_qty": "5"}
|
||||
]
|
||||
mock_resp = AsyncMock()
|
||||
mock_resp.status = 200
|
||||
mock_resp.json = AsyncMock(return_value={"output": pending_orders})
|
||||
|
||||
mock_session = MagicMock()
|
||||
|
||||
def _capture_get(url: str, **kwargs: object) -> MagicMock:
|
||||
captured_params.append(kwargs.get("params", {}))
|
||||
return _make_async_cm(mock_resp)
|
||||
|
||||
mock_session.get = MagicMock(side_effect=_capture_get)
|
||||
overseas_broker._broker._rate_limiter.acquire = AsyncMock()
|
||||
overseas_broker._broker._get_session = MagicMock(return_value=mock_session)
|
||||
|
||||
result = await overseas_broker.get_overseas_pending_orders("NASD")
|
||||
|
||||
assert result == pending_orders
|
||||
assert captured_tr_id == ["TTTS3018R"]
|
||||
assert captured_params[0]["OVRS_EXCG_CD"] == "NASD"
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_live_mode_connection_error(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""Network error in live mode should raise ConnectionError."""
|
||||
overseas_broker._broker._settings = overseas_broker._broker._settings.model_copy(
|
||||
update={"MODE": "live"}
|
||||
)
|
||||
cm = MagicMock()
|
||||
cm.__aenter__ = AsyncMock(side_effect=aiohttp.ClientError("timeout"))
|
||||
cm.__aexit__ = AsyncMock(return_value=False)
|
||||
|
||||
mock_session = MagicMock()
|
||||
mock_session.get = MagicMock(return_value=cm)
|
||||
_setup_broker_mocks(overseas_broker, mock_session)
|
||||
|
||||
with pytest.raises(ConnectionError, match="Network error fetching pending orders"):
|
||||
await overseas_broker.get_overseas_pending_orders("NASD")
|
||||
|
||||
|
||||
class TestCancelOverseasOrder:
|
||||
"""Tests for cancel_overseas_order method."""
|
||||
|
||||
def _setup_cancel_mocks(
|
||||
self, overseas_broker: OverseasBroker, response: dict
|
||||
) -> tuple[list[str], MagicMock]:
|
||||
"""Wire up mocks for a successful cancel call; return captured TR_IDs and session."""
|
||||
captured_tr_ids: list[str] = []
|
||||
|
||||
async def mock_auth_headers(tr_id: str) -> dict:
|
||||
captured_tr_ids.append(tr_id)
|
||||
return {}
|
||||
|
||||
overseas_broker._broker._auth_headers = mock_auth_headers # type: ignore[method-assign]
|
||||
overseas_broker._broker._get_hash_key = AsyncMock(return_value="hash_val") # type: ignore[method-assign]
|
||||
overseas_broker._broker._rate_limiter.acquire = AsyncMock()
|
||||
|
||||
mock_resp = AsyncMock()
|
||||
mock_resp.status = 200
|
||||
mock_resp.json = AsyncMock(return_value=response)
|
||||
|
||||
mock_session = MagicMock()
|
||||
mock_session.post = MagicMock(return_value=_make_async_cm(mock_resp))
|
||||
overseas_broker._broker._get_session = MagicMock(return_value=mock_session)
|
||||
|
||||
return captured_tr_ids, mock_session
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_us_live_uses_tttt1004u(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""US exchange in live mode should use TTTT1004U."""
|
||||
overseas_broker._broker._settings = overseas_broker._broker._settings.model_copy(
|
||||
update={"MODE": "live"}
|
||||
)
|
||||
captured, _ = self._setup_cancel_mocks(
|
||||
overseas_broker, {"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
await overseas_broker.cancel_overseas_order("NASD", "AAPL", "ORD001", 5)
|
||||
|
||||
assert "TTTT1004U" in captured
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_us_paper_uses_vttt1004u(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""US exchange in paper mode should use VTTT1004U."""
|
||||
# Default mock_settings has MODE="paper"
|
||||
captured, _ = self._setup_cancel_mocks(
|
||||
overseas_broker, {"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
await overseas_broker.cancel_overseas_order("NASD", "AAPL", "ORD001", 5)
|
||||
|
||||
assert "VTTT1004U" in captured
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_hk_live_uses_ttts1003u(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""SEHK exchange in live mode should use TTTS1003U."""
|
||||
overseas_broker._broker._settings = overseas_broker._broker._settings.model_copy(
|
||||
update={"MODE": "live"}
|
||||
)
|
||||
captured, _ = self._setup_cancel_mocks(
|
||||
overseas_broker, {"rt_cd": "0", "msg1": "OK"}
|
||||
)
|
||||
|
||||
await overseas_broker.cancel_overseas_order("SEHK", "0700", "ORD002", 10)
|
||||
|
||||
assert "TTTS1003U" in captured
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_cancel_sets_rvse_cncl_dvsn_cd_02(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""Cancel body must include RVSE_CNCL_DVSN_CD='02' and OVRS_ORD_UNPR='0'."""
|
||||
captured_body: list[dict] = []
|
||||
|
||||
async def mock_auth_headers(tr_id: str) -> dict:
|
||||
return {}
|
||||
|
||||
overseas_broker._broker._auth_headers = mock_auth_headers # type: ignore[method-assign]
|
||||
overseas_broker._broker._get_hash_key = AsyncMock(return_value="h") # type: ignore[method-assign]
|
||||
overseas_broker._broker._rate_limiter.acquire = AsyncMock()
|
||||
|
||||
mock_resp = AsyncMock()
|
||||
mock_resp.status = 200
|
||||
mock_resp.json = AsyncMock(return_value={"rt_cd": "0"})
|
||||
|
||||
mock_session = MagicMock()
|
||||
|
||||
def _capture_post(url: str, **kwargs: object) -> MagicMock:
|
||||
captured_body.append(kwargs.get("json", {}))
|
||||
return _make_async_cm(mock_resp)
|
||||
|
||||
mock_session.post = MagicMock(side_effect=_capture_post)
|
||||
overseas_broker._broker._get_session = MagicMock(return_value=mock_session)
|
||||
|
||||
await overseas_broker.cancel_overseas_order("NASD", "AAPL", "ORD003", 3)
|
||||
|
||||
assert captured_body[0]["RVSE_CNCL_DVSN_CD"] == "02"
|
||||
assert captured_body[0]["OVRS_ORD_UNPR"] == "0"
|
||||
assert captured_body[0]["ORGN_ODNO"] == "ORD003"
|
||||
|
||||
@pytest.mark.asyncio
|
||||
async def test_cancel_sets_hashkey_header(
|
||||
self, overseas_broker: OverseasBroker
|
||||
) -> None:
|
||||
"""hashkey must be set in the request headers."""
|
||||
captured_headers: list[dict] = []
|
||||
overseas_broker._broker._get_hash_key = AsyncMock(return_value="test_hash") # type: ignore[method-assign]
|
||||
overseas_broker._broker._rate_limiter.acquire = AsyncMock()
|
||||
|
||||
async def mock_auth_headers(tr_id: str) -> dict:
|
||||
return {"tr_id": tr_id}
|
||||
|
||||
overseas_broker._broker._auth_headers = mock_auth_headers # type: ignore[method-assign]
|
||||
|
||||
mock_resp = AsyncMock()
|
||||
mock_resp.status = 200
|
||||
mock_resp.json = AsyncMock(return_value={"rt_cd": "0"})
|
||||
|
||||
mock_session = MagicMock()
|
||||
|
||||
def _capture_post(url: str, **kwargs: object) -> MagicMock:
|
||||
captured_headers.append(dict(kwargs.get("headers", {})))
|
||||
return _make_async_cm(mock_resp)
|
||||
|
||||
mock_session.post = MagicMock(side_effect=_capture_post)
|
||||
overseas_broker._broker._get_session = MagicMock(return_value=mock_session)
|
||||
|
||||
await overseas_broker.cancel_overseas_order("NASD", "AAPL", "ORD004", 2)
|
||||
|
||||
assert captured_headers[0].get("hashkey") == "test_hash"
|
||||
|
||||
Reference in New Issue
Block a user