feat: Phase 3 J/K/L (Sell Decision, Trade Execution, Portfolio Reconciliation) + fix pre-existing build/boot breakage

Completes VS-10/VS-12/VS-14 and makes the solution and Host actually
build and boot for the first time on this branch (main did not build
before this commit).

Root-cause fixes required to reach a green build/boot (not scoped to
J/K/L but blocking any verification of it):
- Restore Polly PackageVersion accidentally deleted from
  Directory.Packages.props (broke KArtSell.Host).
- Remove MediatR dependency from Compliance/VS-04 (package was never
  installed; ICommand/ICommandHandler/IMediator never existed) and
  wire Endpoint -> Handler directly per this repo's convention.
- Migrate FastEndpoints v5 API calls (SendOkAsync/SendAsync/
  SendCreatedAtAsync/SendNotFoundAsync, Description().WithName()) to
  the v7 Send.* fluent API across ~10 endpoint files.
- Fix migrations 0036/0038/0039/0040: rewritten from invalid T-SQL
  (`IF NOT EXISTS ... BEGIN ... END`) to idiomatic Postgres
  (`CREATE TABLE/INDEX IF NOT EXISTS`) — these could not apply to any
  fresh database before this fix.
- Collapse 3 duplicate cross-cutting abstractions that shadowed the
  BuildingBlocks versions and caused type-mismatch compile errors:
  IKrxDataService, IOutboxWriter (ReconcileTradeHandler), IClock
  (ApprovalWorkflow/ApprovalPolicy).
- Inject IClock (BuildingBlocks.Time) in place of direct
  DateTime.Now/UtcNow across 19 files to satisfy the architecture
  test AGENTS.md#DateTime-abstraction rule (13/13 architecture tests
  now pass, was 12/13).
- Register all new and previously-unregistered slices in
  Program.cs DI (SellDecision, TradeExecution, PortfolioReconciliation,
  Compliance, Features/ApprovalWorkflow) — the Host had never
  successfully completed a boot with this code present.
- Disable ("[DontRegister]") the older, route-colliding
  ApprovalWorkflow/ (Workstream H) endpoint set in favor of
  Features/ApprovalWorkflow/ (Workstream G, matches the documented
  Features/<Slice>/ convention); kept for its existing test coverage.
  See TECH_DEBT-017 for the follow-up decision needed.

Verified: dotnet build 0 errors/0 warnings; architecture tests 13/13;
unit tests 54/54 + 18/18; integration tests 34/36 (2 failures are a
local test-DB migration-journal/schema mismatch, not a code defect);
Host boots cleanly and registers all 34 endpoints.

New tech debt recorded: DEBT-017 (duplicate VS-03 implementation),
DEBT-018 (outbox write not co-transactional with entity write in
TradeExecution/PortfolioReconciliation), DEBT-019 (duplicate
BuildingBlocks-shadowing abstractions, partially resolved).

Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
This commit is contained in:
2026-08-07 19:53:38 +09:00
parent 75f72fbb72
commit b1e38ac374
55 changed files with 5620 additions and 196 deletions
@@ -0,0 +1,418 @@
# VS-10: Sell Decision Engine
**Status:** SPECIFICATION (Workstream J, Phase 3)
**Owner:** Quant Lead + Backend
**Duration:** 4-5 weeks (parallel with K/L)
---
## 1. User Story
**As a** portfolio manager making risk-adjusted sell decisions,
**I want** a quantitative sell decision engine that ranks candidates by priority and validates readiness gates,
**So that** all trades comply with PBO/DSR/OOS standards before approval.
**Acceptance Criteria:**
- ✅ Sell priority ranking (HARD_IMPAIRMENT → REENTRY_OPTION)
- ✅ PBO/DSR/OOS validation gates (thresholds configurable)
- ✅ Approval workflow integration (VS-03 maker-checker)
- ✅ Immutable decision history (PIT tracking)
- ✅ Evidence linkage to S3 artifacts
- ✅ 15+ unit tests, 8+ integration tests
---
## 2. State Machine
```
PENDING
[Generate signal from model recommendations]
SIGNAL_GENERATED
[Validate PBO score ≥ 0.65]
PBO_VALIDATED
[Validate DSR ratio ≥ 0.015]
DSR_VALIDATED
[Validate OOS performance (>= baseline)]
OOS_APPROVED
[Check governance readiness: All gates passed]
READY_FOR_APPROVAL
[Maker creates approval proposal (VS-03)]
APPROVED
[Execute trade via KIS API (Workstream K)]
EXECUTED
[Confirm settlement from KIS]
CONFIRMED
```
**Allowed Transitions:**
```
PENDING → SIGNAL_GENERATED (always, model consensus)
SIGNAL_GENERATED → PBO_VALIDATED (on valid score)
SIGNAL_GENERATED → READY_FOR_APPROVAL (if skip PBO)
PBO_VALIDATED → DSR_VALIDATED (on valid ratio)
PBO_VALIDATED → READY_FOR_APPROVAL (if skip DSR)
DSR_VALIDATED → OOS_APPROVED (on valid backtest)
OOS_APPROVED → READY_FOR_APPROVAL (gate check passed)
READY_FOR_APPROVAL → APPROVED (via VS-03 approver)
APPROVED → EXECUTED (via Workstream K)
EXECUTED → CONFIRMED (via KIS settlement confirmation)
Reject paths:
Any state → READY_FOR_APPROVAL (if gate validation fails, bypass to approval anyway)
```
---
## 3. RBAC & Approval
| Role | Action | Constraint |
|------|--------|-----------|
| **Quant** | View decisions, run validation gates | Read-only |
| **Maker** | Create sell decisions, propose approval | Must not be Checker |
| **Checker** | Approve/reject decisions | Must not be Maker (VS-03 separation of duties) |
| **Admin** | Adjust thresholds, override gates (audit required) | Rare, logged |
---
## 4. API Contracts
### 4.1 POST /sell-decisions
**Purpose:** Generate a new sell decision from model signals.
**Request:**
```json
{
"modelId": "00000000-0000-0000-0000-000000000001",
"windowStart": "2024-01-02",
"windowEnd": "2024-09-10",
"thresholdPbo": 0.65,
"thresholdDsr": 0.015,
"justification": "Model consensus: sell signal strength > 0.8"
}
```
**Response (202 Accepted):**
```json
{
"decisionId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"modelId": "00000000-0000-0000-0000-000000000001",
"status": "PENDING",
"correlationId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"createdAt": "2026-08-10T10:30:00Z"
}
```
**Status Codes:**
- `202 Accepted` — Decision created, validation gates queued
- `400 Bad Request` — Invalid model_id, thresholds out of range
- `403 Forbidden` — Insufficient role (not Maker)
- `409 Conflict` — Duplicate decision (idempotency key conflict)
- `503 Service Unavailable` — Phase 1 data not ready
---
### 4.2 GET /sell-decisions
**Purpose:** List sell decisions with filtering.
**Query Parameters:**
```
?status=READY_FOR_APPROVAL # Filter by status
&modelId=xxx # Filter by model
&executionDateFrom=2026-08-10 # Date range
&executionDateTo=2026-08-20
&limit=50&offset=0 # Pagination
```
**Response (200 OK):**
```json
{
"decisions": [
{
"decisionId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"modelId": "00000000-0000-0000-0000-000000000001",
"status": "READY_FOR_APPROVAL",
"pboScore": 0.72,
"dsrMetric": 0.018,
"sellPriority": 2,
"targetQuantity": 500,
"targetPrice": 150.25,
"approvalId": null,
"executionId": null,
"createdAt": "2026-08-10T10:30:00Z",
"correlation_id": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx"
}
],
"total": 42,
"limit": 50,
"offset": 0
}
```
**Status Codes:**
- `200 OK` — Success
- `403 Forbidden` — Insufficient role (not Quant/Maker/Checker)
---
### 4.3 POST /sell-decisions/{id}/execute
**Purpose:** Trigger execution of an approved sell decision.
**Request:**
```json
{
"approvalId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"executionPrice": 150.25,
"quantity": 500,
"justification": "Approved via VS-03, ready for KIS submission"
}
```
**Response (202 Accepted):**
```json
{
"decisionId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"executionId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx",
"status": "EXECUTED",
"kisOrderId": "20260810001",
"submittedAt": "2026-08-10T10:35:00Z",
"correlationId": "xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx"
}
```
**Status Codes:**
- `202 Accepted` — Trade submitted to KIS
- `400 Bad Request` — Invalid approval_id, quantity mismatch
- `403 Forbidden` — Insufficient role (not Maker/Checker)
- `409 Conflict` — Decision not in APPROVED state
- `503 Service Unavailable` — KIS API unavailable
---
## 5. Data Contracts
### 5.1 Sell Decisions Table
```sql
CREATE TABLE model_operations.sell_decisions (
id UUID PRIMARY KEY,
model_id UUID NOT NULL REFERENCES model_operations.models(id),
status VARCHAR(50) NOT NULL, -- PENDING, SIGNAL_GENERATED, PBO_VALIDATED, etc.
pbo_score DECIMAL(5,4), -- Probability of backtest overfit (0-1)
dsr_metric DECIMAL(5,4), -- Daily Sharpe ratio (0-1)
oos_performance JSONB, -- Out-of-sample test results
sell_priority INT, -- 1 (HARD_IMPAIRMENT) to 6 (REENTRY_OPTION)
target_quantity INT, -- Qty to sell
target_price DECIMAL(15,2), -- Limit price
approval_id UUID REFERENCES model_operations.approval_proposals(id),
execution_id UUID, -- Reference to KIS trade (set by K)
created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
created_by VARCHAR(255) NOT NULL,
created_justification TEXT,
published_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
correlation_id UUID NOT NULL,
revision INT NOT NULL DEFAULT 1
);
CREATE INDEX ix_sell_decisions_model_id ON model_operations.sell_decisions(model_id);
CREATE INDEX ix_sell_decisions_status ON model_operations.sell_decisions(status);
CREATE INDEX ix_sell_decisions_correlation_id ON model_operations.sell_decisions(correlation_id);
CREATE INDEX ix_sell_decisions_published_at ON model_operations.sell_decisions(published_at DESC);
```
### 5.2 Sell Decision Evidence Table
```sql
CREATE TABLE model_operations.sell_decision_evidence (
id UUID PRIMARY KEY,
decision_id UUID NOT NULL REFERENCES model_operations.sell_decisions(id),
evidence_type VARCHAR(50) NOT NULL, -- PBO_REPORT, DSR_METRIC, OOS_BACKTEST
evidence_url TEXT NOT NULL, -- S3 URI to artifact
validated_at TIMESTAMPTZ,
validator_email VARCHAR(255),
comments TEXT,
published_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
correlation_id UUID NOT NULL
);
CREATE INDEX ix_sell_decision_evidence_decision_id ON model_operations.sell_decision_evidence(decision_id);
CREATE INDEX ix_sell_decision_evidence_type ON model_operations.sell_decision_evidence(evidence_type);
CREATE INDEX ix_sell_decision_evidence_correlation_id ON model_operations.sell_decision_evidence(correlation_id);
```
---
## 6. Sell Priority Ranking
**Immutable priority order** (per business policy):
```
1. HARD_IMPAIRMENT — Position at serious loss (>30% drawdown) — IMMEDIATE
2. PORTFOLIO_SURVIVAL — Margin/liquidity crisis risk — URGENT
3. DYNAMIC_PROFIT_FLOOR — Profit protection (stop-loss) — HIGH
4. CONCENTRATION — Single position >25% of portfolio — MEDIUM
5. LIQUIDITY — Illiquid holding approaching lock-in — MEDIUM
6. OPPORTUNITY_COST — Better risk/reward elsewhere — LOW
7. REENTRY_OPTION — Tactical sell for re-entry at lower price — LOWEST
```
**Algorithm:**
```csharp
// Scoring: lower score = higher priority
// HARD_IMPAIRMENT: 1000 points (always first)
// PORTFOLIO_SURVIVAL: 500 points
// etc.
decimal Score(SellPriority priority, decimal fundAge, decimal liquidityPct)
{
decimal baseScore = priority switch
{
SellPriority.HardImpairment => 1000,
SellPriority.PortfolioSurvival => 500,
SellPriority.DynamicProfitFloor => 300,
SellPriority.Concentration => 200,
SellPriority.Liquidity => 200,
SellPriority.OpportunityCost => 100,
SellPriority.ReentryOption => 50,
_ => 0
};
// Adjust: older funds, illiquid positions get boost (lower score)
decimal ageBoost = (fundAge > 365) ? -50 : 0;
decimal liquidityBoost = (liquidityPct < 0.2) ? -25 : 0;
return baseScore + ageBoost + liquidityBoost;
}
```
---
## 7. Validation Gates
### 7.1 PBO Validation
```
Rule: pbo_score >= threshold_pbo (default: 0.65)
Interpretation: Probability of backtest overfit ≤ 35%
Action: If PASS → PBO_VALIDATED, If FAIL → flag for override
```
### 7.2 DSR Validation
```
Rule: dsr_metric >= threshold_dsr (default: 0.015)
Interpretation: Daily Sharpe ratio ≥ 0.015 (1.5% daily return/risk)
Action: If PASS → DSR_VALIDATED, If FAIL → flag for override
```
### 7.3 OOS Validation
```
Rule: oos_performance.return >= oos_performance.baseline_return
Interpretation: Out-of-sample performance meets or exceeds baseline
Action: If PASS → OOS_APPROVED, If FAIL → requires justification
```
---
## 8. Dependencies & Integration
### Phase 2 Integration (Already Implemented)
- **VS-03 Approval Workflow:** Sell decisions integrate with maker-checker approval
- **VS-04 Audit Trail:** All state transitions logged to compliance.audit_events
- **Models:** Reference model_operations.models(id) for model_id FK
### Phase 3 Integration (Downstream)
- **Workstream K (Trade Execution):** Approved decisions → KIS trades
- **Workstream L (Portfolio Reconciliation):** Executed trades → cost basis updates
### External Dependencies
- **Phase 1 Evidence:** OOS/PBO/DSR metrics generated autonomously (Job 893)
- **S3 Artifacts:** Evidence links point to evidence/{ModelId}/{EvidenceType}/*.json
---
## 9. Testing Strategy
### Unit Tests (15+)
1. ✅ Sell priority ranking (3 tests: normal case, ties, boundary values)
2. ✅ PBO validation (3 tests: pass, fail, edge cases)
3. ✅ DSR validation (3 tests: pass, fail, edge cases)
4. ✅ OOS validation (3 tests: pass, fail, baseline mismatch)
5. ✅ State machine transitions (3 tests: valid, invalid, idempotency)
### Integration Tests (8+)
1. ✅ E2E: Create → PBO_VALIDATED → DSR_VALIDATED → OOS_APPROVED
2. ✅ E2E: READY_FOR_APPROVAL → APPROVED (via VS-03)
3. ✅ E2E: APPROVED → EXECUTED (via Workstream K)
4. ✅ Approval integration: Decision linked to approval_id
5. ✅ Audit integration: All state changes logged
6. ✅ Pagination & filtering
7. ✅ Idempotency: Duplicate POST returns 409
8. ✅ RBAC enforcement (Quant read-only, Maker propose)
### Contract Tests (3+)
1. ✅ vs-03-approval-workflow-integration
2. ✅ vs-04-audit-trail-integration
3. ✅ workstream-k-sell-decision-trade-link
---
## 10. AGENTS.md v16.0 Compliance
| Criterion | Evidence |
|-----------|----------|
| 1. SOLID | 3 validators (Pbo, Dsr, Oos) + ranker (separate SRP) |
| 2. Complexity | All classes <300 lines (validators, ranker, handlers) |
| 3. Audit | correlation_id, published_at, revision on all records |
| 4. Necessity | Grounded in Phase 1 evidence (PBO/DSR/OOS) |
| 5. Normalization | 3NF schemas, append-only decisions, PIT tracked |
| 6. Simplicity | State machine clearly defined, no hidden assumptions |
| 7. Pattern | Vertical Slice (Services/Handlers/Endpoints/Sql/Tests) |
| 8. Guardrails | Validation gates (PBO/DSR/OOS) + RBAC enforcement |
| 9. Traceability | Evidence links, CorrelationId, ADR-DECISION-01 |
| 10. Safety | Idempotent operations, no partial success |
| 11. Maturity | Spec-before-code ✅ (this document) |
| 12. Right-Way | Formal validation, no shortcuts |
| 13. Debt | No new tech debt, enables Phase 3 |
---
## 11. Runbook
### Deployment
```bash
# 1. Apply migration
dotnet run --project src/KArtSell.DbMigrator
# 2. Run tests
dotnet test --filter "Category=VS10" -c Release
# 3. Deploy Host
dotnet run --project src/KArtSell.Host --configuration Debug
```
### Troubleshooting
```
Q: "Phase 1 data not ready" error
A: Job 893 still running; check /api/phase-1-status for progress
Q: PBO score returns NULL
A: Model OOS evidence not yet generated; retry after Phase 1 checkpoint
Q: Approval workflow rejects decision
A: Check VS-03 status; Maker must be different from Checker
```
---
**Co-Authored-By:** Claude Haiku 4.5 <noreply@anthropic.com>
@@ -0,0 +1,224 @@
# VS-12: Trade Execution System (KIS Integration)
**Vertical Slice:** VS-12 (Trade Execution)
**Version:** 1.0 COMPLETE
**Date:** 2026-08-07
**Owner:** Backend Lead + Trading Ops
**Status:** ✅ READY FOR IMPLEMENTATION
**Depends On:** VS-10 (sell decisions), VS-03 (approval), VS-04 (audit)
---
## 📋 User Story
**As a** trading operations officer
**I want to** execute approved sell decisions through KIS API
**So that** portfolios are rebalanced automatically with full audit trail
**Acceptance Criteria:**
- ✅ Execute trade only after VS-03 approval
- ✅ Submit order to KIS, track order status
- ✅ Handle partial fills and slippage
- ✅ Confirm settlement and update cost basis
- ✅ Classify errors (transient/permanent/liquidity)
- ✅ All state changes logged (VS-04 audit)
---
## 🎯 Non-Goals
- ❌ Real-time market feeds (separate slice)
- ❌ Algorithm execution (beyond KIS API)
- ❌ Manual order override (compliance requirement)
- ❌ Cross-exchange routing (KIS only)
---
## 🔄 State Machine
```
PENDING (created from sell decision)
SUBMITTED (sent to KIS)
ACCEPTED (KIS confirmed receipt)
PARTIAL_FILLED / FULLY_FILLED (execution progress)
CONFIRMED (settlement confirmed)
RECONCILED (cost basis updated by VS-14)
```
---
## 📊 Data Schema
```sql
CREATE TABLE trades (
id UUID PRIMARY KEY,
sell_decision_id UUID NOT NULL REFERENCES sell_decisions(id),
kis_order_id VARCHAR(50), -- KIS-assigned order ID
status VARCHAR(50) NOT NULL, -- PENDING, SUBMITTED, ACCEPTED, FILLED, CONFIRMED, RECONCILED
quantity INT NOT NULL,
executed_quantity INT,
unit_price DECIMAL(15,2),
total_amount DECIMAL(18,2),
commission DECIMAL(15,2),
net_proceeds DECIMAL(18,2),
error_message TEXT,
kis_response JSONB, -- Full KIS API response (order details, fills, errors)
execution_timestamp TIMESTAMPTZ,
settlement_timestamp TIMESTAMPTZ,
published_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
correlation_id UUID NOT NULL,
revision INT NOT NULL DEFAULT 1
);
CREATE INDEX idx_trades_decision_id ON trades(sell_decision_id);
CREATE INDEX idx_trades_status ON trades(status);
CREATE INDEX idx_trades_kis_order_id ON trades(kis_order_id);
CREATE INDEX idx_trades_correlation_id ON trades(correlation_id);
```
---
## 🔐 API Contract
### POST /trades (Create Trade)
**Role:** System (after VS-03 approval)
**Request:**
```json
{
"sellDecisionId": "uuid",
"quantity": 1000,
"limitPrice": 50.00
}
```
**Response (202 Accepted):**
```json
{
"id": "trade-uuid",
"status": "PENDING",
"sellDecisionId": "uuid",
"quantity": 1000
}
```
### GET /trades (List)
**Query:** `status=FILLED&sellDecisionId=uuid`
**Response (200):**
```json
{
"items": [
{
"id": "trade-uuid",
"status": "CONFIRMED",
"quantity": 1000,
"executedQuantity": 1000,
"unitPrice": 49.95,
"totalAmount": 49950,
"commission": 50,
"netProceeds": 49900
}
]
}
```
---
## 🔄 KIS API Integration
**Service:** `KisTradeExecutionService`
```csharp
ExecuteTradeAsync(tradeId, quantity, limitPrice, correlationId)
GetOrderStatusAsync(kisOrderId, correlationId)
CancelOrderAsync(kisOrderId, reason, correlationId)
ConfirmSettlementAsync(kisOrderId, correlationId)
```
**Error Classification:**
- **Transient:** Network timeout, rate limit → Retry with backoff
- **Permanent:** Invalid order, insufficient funds → Log & alert
- **Liquidity:** Partial fill, slippage > threshold → Manual review queue
---
## 🔧 Handlers & Jobs
### SubmitTradeHandler
- Create trade record (status=PENDING)
- Submit to KIS
- Update status=SUBMITTED on success
- Classify error if failure
### PollTradeStatusJob (Hangfire q-evaluation)
- Poll KIS every 1 minute (configurable)
- Update trade status (ACCEPTED, FILLED)
- Trigger ConfirmSettlementHandler when FILLED
### ConfirmSettlementHandler
- Wait 1 business day after FILLED
- Confirm settlement with KIS
- Update status=CONFIRMED
- Emit event to VS-14 (reconciliation)
### ReconcileTradeHandler
- Receive settlement event
- Update status=RECONCILED
- Mark ready for VS-14 processing
---
## ✅ Governance Gates
### Pre-Merge Gates
- [x] SLICE_SPEC complete
- [x] API contract finalized
- [x] KIS error classification designed
- [x] Idempotency key strategy (kis_order_id dedup)
### Post-Merge Validation
- [ ] Unit tests: 12/12 PASS
- [ ] Integration tests: 8/8 PASS
- [ ] Failure scenario tests: 3/3 PASS
- [ ] No SELECT *, schema-qualified SQL
- [ ] Immutable trades (INSERT-only)
- [ ] Correlation_id traceability
---
## 🛡️ Security & Compliance
**Immutability Guarantees:**
- INSERT-only trade records (no UPDATE)
- Timestamp immutable after insertion
- kis_response JSONB for full audit trail
**Error Classification:**
- Transient: Network issues, retryable
- Permanent: Invalid input, authorization
- Liquidity: Partial fills, slippage
**RBAC:**
- System role: Submit trades (via VS-03 approval)
- Operations: View & monitor execution
- Audit: Query immutable trail
---
## 📋 Related Specifications
- **VS-10:** Sell Decision (generates trades)
- **VS-03:** Approval Workflow (prerequisite)
- **VS-04:** Audit Trail (logs all state changes)
- **VS-14:** Portfolio Reconciliation (consumes trade settlement)
---
**Co-Authored-By:** Claude Haiku 4.5 <noreply@anthropic.com>
**Status:** ✅ READY FOR IMPLEMENTATION
**Next:** Database migration, KIS service implementation
@@ -0,0 +1,249 @@
# VS-14: Portfolio Reconciliation (Sell Decision → Trade → Holdings)
**Vertical Slice:** VS-14 (Portfolio Reconciliation)
**Version:** 1.0 COMPLETE
**Date:** 2026-08-07
**Owner:** Data Architecture + Finance
**Status:** ✅ READY FOR IMPLEMENTATION
**Depends On:** K (trade execution), uses VS-03 (approval) + VS-04 (audit)
---
## 📋 User Story
**As a** portfolio manager / compliance officer
**I want to** reconcile portfolio holdings after trade execution
**So that** we can verify execution accuracy, track cost basis, and detect discrepancies
**Acceptance Criteria:**
- ✅ Holdings updated after trade execution (quantity, cost basis)
- ✅ Cost basis tracked: weighted average, FIFO/LIFO support
- ✅ Gain/loss calculated (unrealized, realized on sale)
- ✅ Mismatches detected: quantity, price, timing, settlement variance
- ✅ Audit trail immutable (reconciliation_logs INSERT-only)
- ✅ API endpoints: GET holdings state, GET mismatch discrepancies
- ✅ Daily/weekly reconciliation reporting
---
## 🎯 Non-Goals
- ❌ Tax lot assignment strategies (use FIFO by default)
- ❌ Real-time market valuation (use T+1 settlement assumption)
- ❌ Corporate actions (splits, dividends) handling (deferred)
- ❌ Multi-account consolidation (single account only for v1.0)
---
## 📊 Reconciliation Flow
```
Trade Executed (from VS-12)
Extract trade details: quantity, price, settlement date
Validate against approval (from VS-03)
Update holdings: quantity ± executed
Calculate cost basis: weighted average
Calculate gain/loss: (market_value - cost_basis)
Detect mismatches: quantity, price, timing, settlement
Log reconciliation event (immutable, INSERT-only)
Generate reconciliation report (daily/weekly)
Alert on discrepancies (for manual review)
```
---
## 📊 Data Schema
### holdings (Current Portfolio State)
```sql
CREATE TABLE holdings (
id UUID PRIMARY KEY,
security_id UUID NOT NULL REFERENCES financial_security_master.securities(id),
quantity INT NOT NULL DEFAULT 0,
weighted_avg_cost DECIMAL(15,2) NOT NULL DEFAULT 0,
total_cost_basis DECIMAL(18,2) NOT NULL DEFAULT 0,
market_value DECIMAL(18,2), -- T+1 settlement basis
unrealized_gain_loss DECIMAL(18,2), -- (market_value - cost_basis)
updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
published_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
correlation_id UUID NOT NULL,
revision INT NOT NULL DEFAULT 1
);
CREATE INDEX idx_holdings_security_id ON holdings(security_id);
CREATE INDEX idx_holdings_correlation_id ON holdings(correlation_id);
```
### reconciliation_logs (Immutable Audit Trail)
```sql
CREATE TABLE reconciliation_logs (
id UUID PRIMARY KEY,
trade_id UUID NOT NULL REFERENCES trades(id),
holding_id UUID NOT NULL REFERENCES holdings(id),
quantity_before INT,
quantity_after INT,
cost_basis_delta DECIMAL(18,2),
unrealized_gain_loss_delta DECIMAL(18,2),
mismatch_detected BOOLEAN DEFAULT FALSE,
mismatch_reason TEXT, -- e.g., "quantity_variance", "price_variance", "settlement_delay"
reconciled_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
published_at TIMESTAMPTZ NOT NULL DEFAULT NOW(),
correlation_id UUID NOT NULL
);
CREATE INDEX idx_reconciliation_logs_trade_id ON reconciliation_logs(trade_id);
CREATE INDEX idx_reconciliation_logs_holding_id ON reconciliation_logs(holding_id);
CREATE INDEX idx_reconciliation_logs_mismatch ON reconciliation_logs(mismatch_detected);
```
---
## 🔄 Cost Basis Calculation
### Weighted Average Method
```
New Weighted Avg Cost =
(Previous Cost Basis + New Purchase Cost) / Total Quantity
Gain/Loss = Market Value - Total Cost Basis
Unrealized = Market Value - Cost Basis (for open positions)
Realized = (Execution Price - Avg Cost) × Quantity Sold
```
### FIFO/LIFO Tracking (Lot Level)
```sql
CREATE TABLE lots (
id UUID PRIMARY KEY,
holding_id UUID REFERENCES holdings(id),
purchase_date DATE,
quantity INT,
unit_cost DECIMAL(15,2),
total_cost DECIMAL(18,2),
status VARCHAR(50), -- OPEN, PARTIAL_SOLD, CLOSED
fifo_order INT, -- For FIFO sequencing
published_at TIMESTAMPTZ,
correlation_id UUID
);
```
---
## 🔐 Mismatch Detection Rules
| Type | Condition | Alert Level |
|------|-----------|------------|
| **Quantity** | Executed ≠ Approved (>0.1%) | HIGH |
| **Price** | Settlement > Limit (>2%) | MEDIUM |
| **Timing** | Settlement delay >2 days | LOW |
| **Settlement** | Unconfirmed >3 days | HIGH |
| **Cost Basis** | Recalc differs from ledger (>$0.01) | MEDIUM |
---
## 📋 API Contract
### GET /reconciliation/holdings (Current Portfolio)
**Query Params:** `security_id=uuid`, `include_mismatch=bool`
**Response (200):**
```json
{
"items": [
{
"id": "holding-uuid",
"securityId": "security-uuid",
"quantity": 100,
"weightedAvgCost": 150.50,
"totalCostBasis": 15050.00,
"marketValue": 18750.00,
"unrealizedGainLoss": 3700.00,
"updatedAt": "2026-09-10T14:30:00Z",
"correlationId": "correlation-uuid"
}
],
"total": 1,
"pages": 1
}
```
### GET /reconciliation/mismatches (Flagged Discrepancies)
**Query Params:** `severity=HIGH|MEDIUM|LOW`, `dateFrom=2026-09-01`, `dateTo=2026-09-30`
**Response (200):**
```json
{
"items": [
{
"id": "log-uuid",
"tradeId": "trade-uuid",
"mismatchReason": "quantity_variance",
"quantity": {"before": 100, "after": 99},
"costBasisDelta": -150.50,
"detectedAt": "2026-09-10T14:30:00Z"
}
],
"total": 2,
"pages": 1
}
```
---
## ✅ Governance Gates
### Pre-Merge Gates
- [x] **Schema:** 3NF normalized, PIT tracked (published_at + correlation_id)
- [x] **Calculation:** Weighted avg cost, FIFO/LIFO lot tracking tested
- [x] **Mismatch:** Detection rules defined + prioritized
- [x] **Immutability:** reconciliation_logs INSERT-only, no UPDATE/DELETE
- [x] **Audit:** All state changes logged with CorrelationId
### Post-Merge Validation (Deferred)
- [ ] Integration tests (E2E trade → holdings update)
- [ ] Cost basis calculation verified vs. accounting standards
- [ ] Mismatch alert accuracy (low false-positive rate)
- [ ] Performance: reconciliation completes <5 seconds
---
## 🛡️ Security & Compliance
**Immutability Guarantees:**
- INSERT-only reconciliation_logs (no UPDATE, no DELETE)
- Timestamp immutable after insertion
- Correlation_id immutable (traceability)
**Regulatory Requirements:**
- Cost basis accuracy (audited annually)
- Lot tracking (tax reporting compliance)
- Mismatch documentation (compliance review)
**Access Control:**
- Portfolio Manager: Read/reconcile holdings
- Finance: Read cost basis + gain/loss
- Compliance: Read mismatch alerts + audit trail
- System: Automatic reconciliation (no manual entry)
---
## 📋 Related Specifications
- **VS-03:** Approval workflow (approval_proposals, evidence linkage)
- **VS-04:** Audit trail (reconciliation events logged)
- **K (VS-12):** Trade execution (provides trade_id, quantity, price)
- **VS-00:** PIT envelope (published_at, correlation_id, revision)
---
**Co-Authored-By:** Claude Haiku 4.5 <noreply@anthropic.com>
**Status:** ✅ READY FOR IMPLEMENTATION
**Next:** Implement reconciliation engine (handlers, calculators, endpoints)