kjh2064
aedabdd37b
suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml의
implementation_todo_v8_9(P0~P4) 전체를 spec/tool/golden case 레벨로 구현.
- P0: PORTFOLIO_TRANSITION_UTILITY_V1, SELL_LOT_PARETO_SELECTOR_V1, FORECAST_SIMULATION_ENGINE_V1
- P1: SECTOR_EXPOSURE_GRAPH_V1/LEADER_LIFECYCLE_GATE_V1, EXECUTION_CAPACITY_LADDER_V1, MODEL_GOVERNANCE_KILL_SWITCH_V1
- P2: SCENARIO_SHOCK_MATRIX_V1, TRANSITION_SET_ENUMERATOR_V1, IMMUTABLE_DECISION_LEDGER_V1, EXECUTION_PLAN_COMPILER_V1
- P3: STATE_VECTOR_CONSTRUCTOR_V1, WALK_FORWARD_BOOTSTRAP_V1, TRANSITION_SET_ENUMERATOR_V1(MRC/CVaR 확장),
REBALANCE_CADENCE_GATE_V1, WEEKLY_LEGACY_TRANSFER_PLAN_V1
기존 regime/cluster 연동 정책 수치(현금방어선, 반도체 cap)는 그대로 유지하고 신규 cap 필드만 추가.
spec/09_decision_flow.yaml과 runtime/active_artifact_manifest.yaml에 전 엔진 배선 완료.
governance/todo/v8_9_p{0,1,2,3}_adoption_plan.yaml에 각 단계 작업 추적 기록.
검증: validate_specs/validate_golden_coverage_100(100%)/validate_calibration_registry_v1/
validate_schema_model_generation_v1/validate_agents_shrink_v1 전부 PASS. golden test 53/53 PASS.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
85 lines
2.9 KiB
Python
85 lines
2.9 KiB
Python
#!/usr/bin/env python3
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"""EXECUTION_CAPACITY_LADDER_V1 — spec/formulas/domains/execution.yaml.
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Caps a planned order amount to the asset's actual fillable capacity and blocks
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the execution plan outright when the broker_microstructure_packet is incomplete.
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governance/todo/v8_9_p1_adoption_plan.yaml P1-B.2.
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"""
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from __future__ import annotations
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import argparse
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import json
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[1]
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DEFAULT_ORDERS = ROOT / "Temp" / "execution_capacity_orders_v1.json"
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DEFAULT_OUT = ROOT / "Temp" / "execution_capacity_ladder_v1.json"
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SPREAD_WIDEN_MULTIPLIER = 1.5
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def _load(path: Path) -> dict:
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if not path.exists():
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return {}
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try:
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data = json.loads(path.read_text(encoding="utf-8"))
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return data if isinstance(data, dict) else {}
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except Exception:
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return {}
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def evaluate_order_capacity(order: dict) -> dict:
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if order.get("halt_status") is True:
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return {**order, "gate": "EXECUTION_PLAN_BLOCKED", "reason_code": "trading_halt", "order_capacity_krw": None}
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required = ["avg_trade_value_20d_krw", "intraday_trade_value_krw", "orderbook_top3_depth_krw", "spread_bps"]
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if any(order.get(f) is None for f in required):
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return {
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**order,
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"gate": "EXECUTION_PLAN_BLOCKED",
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"reason_code": "broker_packet_missing",
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"order_capacity_krw": None,
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}
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planned = float(order.get("planned_order_amount_krw") or 0.0)
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capacity = min(
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planned,
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float(order["avg_trade_value_20d_krw"]) * 0.003,
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float(order["intraday_trade_value_krw"]) * 0.01,
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float(order["orderbook_top3_depth_krw"]) * 0.30,
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)
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gate = "ORDER_SIZE_CAPPED" if capacity < planned else "PASS"
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return {**order, "gate": gate, "order_capacity_krw": capacity}
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def should_cancel_remaining_slices(current_spread_bps: float, baseline_spread_bps: float) -> bool:
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return current_spread_bps > baseline_spread_bps * SPREAD_WIDEN_MULTIPLIER
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument("--orders", default=str(DEFAULT_ORDERS))
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ap.add_argument("--out", default=str(DEFAULT_OUT))
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args = ap.parse_args()
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doc = _load(Path(args.orders))
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orders = doc.get("orders") if isinstance(doc.get("orders"), list) else []
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rows = [evaluate_order_capacity(order) for order in orders if isinstance(order, dict)]
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result = {
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"formula_id": "EXECUTION_CAPACITY_LADDER_V1",
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"gate": "PASS" if rows else "DATA_MISSING",
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"rows": rows,
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"split_order_template": {"slice_1_pct": 30, "slice_2_pct": 30, "slice_3_pct": 40},
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"source_paths": [str(Path(args.orders))],
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}
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out = Path(args.out)
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out.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8")
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print(json.dumps(result, ensure_ascii=False, indent=2))
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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