kjh2064
449721433b
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).
91 lines
2.9 KiB
Python
91 lines
2.9 KiB
Python
from __future__ import annotations
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import sys
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from pathlib import Path
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ROOT = Path(__file__).resolve().parents[2]
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if str(ROOT) not in sys.path:
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sys.path.insert(0, str(ROOT))
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from src.quant_engine.execution_slippage_store_v1 import (
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ASSUMED_SLIPPAGE_BPS,
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MIN_SAMPLE_FOR_COMPARISON,
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build_slippage_comparison_report,
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fetch_all_samples,
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insert_realized_slippage_sample,
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)
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def test_report_is_data_gated_below_minimum_sample(tmp_path):
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db_path = tmp_path / "execution_slippage.db"
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report = build_slippage_comparison_report(db_path)
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assert report["status"] == "DATA_GATED"
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assert report["sample_n"] == 0
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assert report["actual_mean_slippage_bps"] is None
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def test_buy_slippage_sign_is_positive_when_filled_worse(tmp_path):
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db_path = tmp_path / "execution_slippage.db"
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result = insert_realized_slippage_sample(
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db_path,
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ticker="005930",
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side="buy",
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intended_price=70000,
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actual_fill_price=70070,
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recorded_at="2026-06-21",
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)
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# BUY 체결가가 의도가보다 비싸게 체결됐으면 양수 슬리피지(불리)
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assert result["slippage_bps_actual"] > 0
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assert abs(result["slippage_bps_actual"] - 10.0) < 1e-6 # 70/70000 = 10bps
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def test_sell_slippage_sign_is_positive_when_filled_worse(tmp_path):
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db_path = tmp_path / "execution_slippage.db"
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result = insert_realized_slippage_sample(
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db_path,
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ticker="000660",
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side="SELL",
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intended_price=200000,
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actual_fill_price=199900,
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recorded_at="2026-06-21",
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)
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# SELL 체결가가 의도가보다 싸게 체결됐으면 양수 슬리피지(불리)
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assert result["slippage_bps_actual"] > 0
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def test_report_compares_against_assumed_bps_once_min_sample_reached(tmp_path):
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db_path = tmp_path / "execution_slippage.db"
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for i in range(MIN_SAMPLE_FOR_COMPARISON):
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insert_realized_slippage_sample(
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db_path,
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ticker="005930",
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side="BUY",
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intended_price=70000,
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actual_fill_price=70070, # 항상 10bps 불리하게 체결
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recorded_at=f"2026-06-{21 + i}",
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)
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samples = fetch_all_samples(db_path)
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assert len(samples) == MIN_SAMPLE_FOR_COMPARISON
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report = build_slippage_comparison_report(db_path)
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assert report["status"] == "OK"
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assert abs(report["actual_mean_slippage_bps"] - 10.0) < 1e-6
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assert abs(report["gap_bps"] - abs(10.0 - ASSUMED_SLIPPAGE_BPS)) < 1e-6
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assert report["recommendation"]
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def test_intended_price_must_be_positive(tmp_path):
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db_path = tmp_path / "execution_slippage.db"
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import pytest
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with pytest.raises(ValueError):
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insert_realized_slippage_sample(
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db_path,
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ticker="005930",
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side="BUY",
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intended_price=0,
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actual_fill_price=100,
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recorded_at="2026-06-21",
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)
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