Jeroen Grusewski
0ed2cfdff3
The first live UCITS paper run on bizworx reported EXECUTED/exit-0 but was degraded: the IEF->CBU0 leg got 0 fills and DBMF hung Submitted. - Error 478 (contract conflict): the ISIN-qualified UCITS contract kept a localSymbol/secId conflicting with the pinned conId (requested CBU0 vs canonical CSBGU0). Strip secId/secIdType/localSymbol after resolve and route by conId + SMART. - Error 10349 (TIF preset): the bare MarketOrder had no TIF so the account preset forced DAY + cancel/reconfirm. Set explicit tif="DAY". - False-success (the dangerous one): plan.executed counted Cancelled/Submitted legs as placed, and exec-record booked on any non-blocked run. Now executed requires EVERY leg filled; a degraded run prints DEGRADED, exits 1, and skips exec-track booking so the reconciliation gate stays WAIT (never books a phantom rebalance) — real money errs false-WAIT. Tests: new test_ucits_exec_fill_status.py + degraded cases in test_execution.py and test_execute_multistrat_b2a.py (TDD failing-first). 523 exec/forward/gate tests green, mypy clean. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
104 lines
5.2 KiB
Python
104 lines
5.2 KiB
Python
import datetime as dt
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from fxhnt.adapters.persistence.cockpit_models import StrategyAllocationRow
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from fxhnt.adapters.persistence.forward_nav import ForwardNavRepo
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from fxhnt.application.multistrat_exec_record import plan_and_record
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class _FakePlan:
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def __init__(self):
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self.orders = []
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self.notes = []
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self.nlv = 100_000.0
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self.blocked = False
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self.executed = True
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class _FakeExecSvc:
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def __init__(self, blocked=False, degraded=False):
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self.last = None
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self._blocked = blocked
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self._degraded = degraded # orders attempted but a leg didn't fill -> executed False
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def rebalance_weights(self, name, weights, prices, *, max_gross, execute, contract_specs=None, sizing_capital=None):
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self.last = dict(weights)
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plan = _FakePlan()
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plan.blocked = self._blocked
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if self._degraded:
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plan.orders = [object()] # an order WAS placed
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plan.executed = False # ...but it did not fill
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return plan
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def _seed_alloc(repo, dollars, at):
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repo.replace_allocations([StrategyAllocationRow(
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strategy_id="multistrat", target_weight=0.5, target_dollars=dollars, policy_version=1,
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policy_hash="h", as_of="2026-07-10", computed_at=at)], at)
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def test_envelope_scales_weights_and_records_on_execute(tmp_path):
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repo = ForwardNavRepo(f"sqlite:///{tmp_path}/e.db")
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repo.migrate()
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at = dt.datetime(2026, 7, 10, 23, 30)
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_seed_alloc(repo, 10_000.0, at)
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svc = _FakeExecSvc()
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plan, env = plan_and_record(repo=repo, exec_svc=svc, within_weights={"SPY": 0.6, "IEF": 0.4},
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prices={"SPY": 500.0, "IEF": 100.0}, nlv=100_000.0,
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today="2026-07-10", at=at, max_gross=2.0, execute=True)
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assert env == 10_000.0
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assert abs(svc.last["SPY"] - 0.06) < 1e-12 # 0.6 * 10k/100k
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assert repo.get_book_state("multistrat_exec_pos")["envelope"] == 10_000.0 # recorded
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# positions_after is the TARGET book we rebalanced to: SPY 0.06*100k/500=12, IEF 0.04*100k/100=40
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pos_after = repo.get_book_state("multistrat_exec_pos")["positions"]
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assert pos_after.keys() == {"SPY", "IEF"}
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assert abs(pos_after["SPY"] - 12.0) < 1e-9
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assert abs(pos_after["IEF"] - 40.0) < 1e-9
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def test_zero_allocation_flattens(tmp_path):
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repo = ForwardNavRepo(f"sqlite:///{tmp_path}/z.db")
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repo.migrate()
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at = dt.datetime(2026, 7, 10, 23, 30) # no allocation row for multistrat
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svc = _FakeExecSvc()
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plan, env = plan_and_record(repo=repo, exec_svc=svc, within_weights={"SPY": 0.6, "IEF": 0.4},
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prices={"SPY": 500.0, "IEF": 100.0}, nlv=100_000.0,
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today="2026-07-10", at=at, max_gross=2.0, execute=False)
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assert env == 0.0 and svc.last == {"SPY": 0.0, "IEF": 0.0} # $0/absent → flatten
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def test_blocked_plan_records_nothing(tmp_path):
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"""A safety-gate-tripped plan (blocked=True, zero orders placed) must NOT be recorded: no forward_record
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row for multistrat_exec, and the multistrat_exec_pos book-state must stay untouched (still empty on a
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first run) — the account did not change, so the basis must not either."""
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repo = ForwardNavRepo(f"sqlite:///{tmp_path}/b.db")
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repo.migrate()
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at = dt.datetime(2026, 7, 10, 23, 30)
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_seed_alloc(repo, 10_000.0, at)
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svc = _FakeExecSvc(blocked=True)
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plan, env = plan_and_record(repo=repo, exec_svc=svc, within_weights={"SPY": 0.6, "IEF": 0.4},
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prices={"SPY": 500.0, "IEF": 100.0}, nlv=100_000.0,
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today="2026-07-10", at=at, max_gross=2.0, execute=True)
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assert plan.blocked is True
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assert repo.get_book_state("multistrat_exec_pos") == {} # unchanged — still empty
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assert repo.nav_history("multistrat_exec") == [] # no forward_record row
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assert not any(s.strategy_id == "multistrat_exec" for s in repo.all_summaries())
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def test_degraded_plan_records_nothing(tmp_path):
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"""A DEGRADED plan (orders placed but a leg did NOT fill — Error 478/10349 live 2026-07-20) must NOT be
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recorded: recording would advance the basis to the INTENDED target book, which the account does not hold
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(the un-filled leg), permanently diverging the executed track. Same skip as a blocked plan — err
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false-WAIT."""
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repo = ForwardNavRepo(f"sqlite:///{tmp_path}/d.db")
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repo.migrate()
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at = dt.datetime(2026, 7, 10, 23, 30)
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_seed_alloc(repo, 10_000.0, at)
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svc = _FakeExecSvc(degraded=True)
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plan, env = plan_and_record(repo=repo, exec_svc=svc, within_weights={"SPY": 0.6, "IEF": 0.4},
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prices={"SPY": 500.0, "IEF": 100.0}, nlv=100_000.0,
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today="2026-07-10", at=at, max_gross=2.0, execute=True)
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assert plan.executed is False and plan.orders # degraded: placed but unfilled
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assert repo.get_book_state("multistrat_exec_pos") == {} # NOT advanced
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assert repo.nav_history("multistrat_exec") == [] # no phantom forward_record
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assert not any(s.strategy_id == "multistrat_exec" for s in repo.all_summaries())
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