WBS-7.6: 슬리피지 실측 캡처 스캐폴딩

spec/55_execution_simulator_contract.yaml의 5bps 슬리피지 가정치를 검증할 실측 캡처 경로가 없었다. 주문 실행은 여전히 사람이 HTS에서 직접 한다(governance/rules/06 준수, API로 체결을 가져오지 않음) — 실행 후 사람이 의도가/실제체결가를 수동 기록하면 SQLite에 누적되고, 5건 미만이면 항상 DATA_GATED를 정직하게 반환한다(추정 금지).
2026-06-21 20:09:16 +09:00
parent 5166750b53
commit 449721433b
3 changed files with 309 additions and 0 deletions
@@ -0,0 +1,90 @@
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[2]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+from src.quant_engine.execution_slippage_store_v1 import (
+    ASSUMED_SLIPPAGE_BPS,
+    MIN_SAMPLE_FOR_COMPARISON,
+    build_slippage_comparison_report,
+    fetch_all_samples,
+    insert_realized_slippage_sample,
+)
+
+
+def test_report_is_data_gated_below_minimum_sample(tmp_path):
+    db_path = tmp_path / "execution_slippage.db"
+    report = build_slippage_comparison_report(db_path)
+    assert report["status"] == "DATA_GATED"
+    assert report["sample_n"] == 0
+    assert report["actual_mean_slippage_bps"] is None
+
+
+def test_buy_slippage_sign_is_positive_when_filled_worse(tmp_path):
+    db_path = tmp_path / "execution_slippage.db"
+    result = insert_realized_slippage_sample(
+        db_path,
+        ticker="005930",
+        side="buy",
+        intended_price=70000,
+        actual_fill_price=70070,
+        recorded_at="2026-06-21",
+    )
+    # BUY 체결가가 의도가보다 비싸게 체결됐으면 양수 슬리피지(불리)
+    assert result["slippage_bps_actual"] > 0
+    assert abs(result["slippage_bps_actual"] - 10.0) < 1e-6  # 70/70000 = 10bps
+
+
+def test_sell_slippage_sign_is_positive_when_filled_worse(tmp_path):
+    db_path = tmp_path / "execution_slippage.db"
+    result = insert_realized_slippage_sample(
+        db_path,
+        ticker="000660",
+        side="SELL",
+        intended_price=200000,
+        actual_fill_price=199900,
+        recorded_at="2026-06-21",
+    )
+    # SELL 체결가가 의도가보다 싸게 체결됐으면 양수 슬리피지(불리)
+    assert result["slippage_bps_actual"] > 0
+
+
+def test_report_compares_against_assumed_bps_once_min_sample_reached(tmp_path):
+    db_path = tmp_path / "execution_slippage.db"
+    for i in range(MIN_SAMPLE_FOR_COMPARISON):
+        insert_realized_slippage_sample(
+            db_path,
+            ticker="005930",
+            side="BUY",
+            intended_price=70000,
+            actual_fill_price=70070,  # 항상 10bps 불리하게 체결
+            recorded_at=f"2026-06-{21 + i}",
+        )
+
+    samples = fetch_all_samples(db_path)
+    assert len(samples) == MIN_SAMPLE_FOR_COMPARISON
+
+    report = build_slippage_comparison_report(db_path)
+    assert report["status"] == "OK"
+    assert abs(report["actual_mean_slippage_bps"] - 10.0) < 1e-6
+    assert abs(report["gap_bps"] - abs(10.0 - ASSUMED_SLIPPAGE_BPS)) < 1e-6
+    assert report["recommendation"]
+
+
+def test_intended_price_must_be_positive(tmp_path):
+    db_path = tmp_path / "execution_slippage.db"
+    import pytest
+
+    with pytest.raises(ValueError):
+        insert_realized_slippage_sample(
+            db_path,
+            ticker="005930",
+            side="BUY",
+            intended_price=0,
+            actual_fill_price=100,
+            recorded_at="2026-06-21",
+        )