[Lap 3] [모듈 2: Engine] 잔인할 정도의 체결 현실감: T+1 MOO 시가 주문 엔진

# 환상에 빠진 백테스트 코드
for date, row in df.iterrows():
    signal = strategy.calculate(row) # 16:00 장 마감 종가 기준 계산
    if signal == "BUY":
        portfolio.buy(price=row['close']) # 💥 오늘 종가에 샀다고 가정!

# tests/test_execution_engine.py
import pytest
from datetime import date
from quant_backtester.engine.execution import ExecutionEngine
from quant_backtester.engine.order import Order, OrderSide
from quant_backtester.errors import SameDayExecutionError

def test_same_day_execution_raises_error():
    """
    T일(2024-03-15) 종가에 발생한 주문을 T일에 체결하려 하면
    반드시 SameDayExecutionError가 발생해야 한다.
    """
    engine = ExecutionEngine(slippage_bps=5.0, commission_per_share=0.005)
    order = Order(
        ticker="NVDA",
        side=OrderSide.BUY,
        quantity=100,
        created_date=date(2024, 3, 15)
    )
    engine.submit_order(order)

    # T일에 당일 체결 시도 시 에러 발생 검증
    with pytest.raises(SameDayExecutionError) as exc_info:
        engine.fill_orders(current_date=date(2024, 3, 15), market_prices={"NVDA": {"open": 880.0, "close": 890.0}})
    
    assert "Cannot execute order on the same day it was generated" in str(exc_info.value)

def test_order_filled_at_next_day_open_with_slippage_and_fee():
    """
    T일 주문은 T+1일(2024-03-16) 시가(Open)에 
    슬리피지(5 bps)와 브로커 수수료(주당 $0.005)가 가산되어 체결되어야 한다.
    """
    engine = ExecutionEngine(slippage_bps=5.0, commission_per_share=0.005)
    order = Order(
        ticker="AAPL",
        side=OrderSide.BUY,
        quantity=200,
        created_date=date(2024, 3, 15)
    )
    engine.submit_order(order)

    # T+1일 장 시작 시가 수신 (Open: 180.0)
    market_prices = {"AAPL": {"open": 180.0, "close": 182.5}}
    executed_trades = engine.fill_orders(current_date=date(2024, 3, 16), market_prices=market_prices)

    assert len(executed_trades) == 1
    trade = executed_trades[0]
    
    # 5 bps(0.05%) 슬리피지: 180.0 * 1.0005 = 180.09
    expected_price = 180.0 * (1.0 + 0.0005)
    assert pytest.approx(trade.fill_price, rel=1e-4) == expected_price
    
    # 주당 $0.005 수수료: 200주 * $0.005 = $1.00
    assert trade.commission == 1.00
    assert trade.execution_date == date(2024, 3, 16)

$ pytest tests/test_execution_engine.py
============================= FAILURES =============================
ImportError: cannot import name 'ExecutionEngine' from 'quant_backtester.engine.execution'
========================= 2 failed in 0.06s =========================

# quant_backtester/engine/execution.py
from datetime import date
from typing import Dict, List
from quant_backtester.engine.order import Order, OrderSide, Trade
from quant_backtester.errors import SameDayExecutionError

class ExecutionEngine:
    """
    잔인한 체결 현실감을 강제하는 T+1 MOO(Market-On-Open) 체결 엔진.
    """
    def __init__(self, slippage_bps: float = 5.0, commission_per_share: float = 0.005):
        self._slippage_bps = slippage_bps
        self._commission_per_share = commission_per_share
        self._order_queue: List[Order] = []

    def submit_order(self, order: Order) -> None:
        self._order_queue.append(order)

    def fill_orders(self, current_date: date, market_prices: Dict[str, Dict[str, float]]) -> List[Trade]:
        executed_trades: List[Trade] = []
        remaining_orders: List[Order] = []

        for order in self._order_queue:
            # 1. 동일일 체결 시도 차단 (Hard Veto)
            if order.created_date >= current_date:
                raise SameDayExecutionError(
                    f"💥 Execution Lag Trap! Order for {order.ticker} was created on {order.created_date}. "
                    f"Cannot execute order on the same day it was generated (Current: {current_date}). "
                    f"Must wait until T+1 Market Open!"
                )

            # 2. 다음 날 시가(Open) 확인
            ticker_prices = market_prices.get(order.ticker)
            if not ticker_prices or "open" not in ticker_prices:
                # 가격 데이터가 아직 없으면 다음 날로 이월
                remaining_orders.append(order)
                continue

            open_price = ticker_prices["open"]

            # 3. 슬리피지 가산 (BUY는 비싸게, SELL은 싸게)
            slip_multiplier = (1.0 + (self._slippage_bps / 10000.0)) if order.side == OrderSide.BUY else (1.0 - (self._slippage_bps / 10000.0))
            fill_price = open_price * slip_multiplier

            # 4. 브로커 수수료 계산 (Interactive Brokers 기준 최저 $1)
            commission = max(1.0, order.quantity * self._commission_per_share)

            trade = Trade(
                ticker=order.ticker,
                side=order.side,
                quantity=order.quantity,
                fill_price=fill_price,
                commission=commission,
                execution_date=current_date
            )
            executed_trades.append(trade)

        self._order_queue = remaining_orders
        return executed_trades

$ pytest tests/test_execution_engine.py -v
tests/test_execution_engine.py::test_same_day_execution_raises_error PASSED [ 50%]
tests/test_execution_engine.py::test_order_filled_at_next_day_open_with_slippage_and_fee PASSED [100%]

========================= 2 passed in 0.09s =========================

# 10년 백테스트 시뮬레이션 비교
# A안: 전통적 주피터 노트북 (당일 종가 체결, 슬리피지 0, 수수료 0)
# B안: ExecutionEngine (T+1 MOO 체결, 슬리피지 5 bps, 주당 $0.005 수수료)