40만 원 기준 시뮬·dry-run 정합 및 hybrid 체결 엔진 통합.

초기 자금 GT_INITIAL_CASH_KRW=400000과 원화 한도 비율(알림·LIVE_ORDER·일한도·손실한도)을 맞추고, dry-run/live 체결을 sim_causal_hybrid(replay)와 동일 경로로 통합한다. 시뮬 리포트 갱신, Phase C 슈퍼바이저·매수매도 리허설 스크립트를 추가한다.

Co-authored-by: Cursor <cursoragent@cursor.com>

scripts/test_buy_sell_rehearsal.py

@@ -0,0 +1,195 @@
+#!/usr/bin/env python3
+"""
+40만 원 기준 매수·매도 최종 리허설 (DB 없이 synthetic + paper replay).
+"""
+from __future__ import annotations
+
+import runpy
+import sys
+from pathlib import Path
+
+runpy.run_path(str(Path(__file__).resolve().parent / "_bootstrap.py"))
+
+import pandas as pd
+
+from config import GT_INITIAL_CASH_KRW, TRADING_FEE_RATE
+from deepcoin.matching.position_sizing import load_ev_wf_approved_rule_ids
+from deepcoin.ops.hybrid_sim_execution import (
+    hit_key,
+    plan_live_hit,
+    replay_paper_portfolio,
+    sort_hits_sim_order,
+)
+from deepcoin.ops.paper_portfolio import PaperPortfolio
+
+
+def _mini_ohlc() -> pd.DataFrame:
+    """drawdown 계산용 최소 3m OHLC."""
+    idx = pd.date_range("2026-06-01 09:00:00", periods=200, freq="3min")
+    close = pd.Series([500.0 - i * 0.1 for i in range(200)], index=idx, dtype=float)
+    return pd.DataFrame(
+        {"Open": close, "High": close + 2, "Low": close - 2, "Close": close},
+        index=idx,
+    )
+
+
+def test_sort_buy_before_sell() -> None:
+    """동일 시각 buy·sell → buy 먼저."""
+    hits = [
+        {"dt": "2026-06-01 12:00:00", "rule_id": "sell_mtf_cross_all_tf", "side": "sell", "close": 500.0},
+        {"dt": "2026-06-01 12:00:00", "rule_id": "buy_compound_tight", "side": "buy", "close": 500.0},
+    ]
+    ordered = sort_hits_sim_order(hits)
+    assert ordered[0]["side"] == "buy", ordered
+    print("  [OK] 동일 시각 buy → sell 순서")
+
+
+def test_sell_without_holdings() -> None:
+    """보유 없이 매도만 → 모의 보유 없음."""
+    ohlc = _mini_ohlc()
+    approved = load_ev_wf_approved_rule_ids()
+    hist = [
+        {
+            "dt": "2026-06-01 12:00:00",
+            "rule_id": "sell_mtf_cross_all_tf",
+            "side": "sell",
+            "close": 500.0,
+        }
+    ]
+    paper, results = replay_paper_portfolio(hist, ohlc, approved_buy_rules=approved)
+    key = hit_key(hist[0])
+    res = results[key]
+    assert not res.ok and "보유 없음" in res.message, res
+    assert paper.qty < 1e-9 and paper.cash_krw == float(GT_INITIAL_CASH_KRW)
+    print("  [OK] 보유 없음 매도 스킵")
+
+
+def test_buy_then_partial_sell() -> None:
+    """매수 후 분할 매도 1회."""
+    ohlc = _mini_ohlc()
+    approved = load_ev_wf_approved_rule_ids()
+    dt_buy = str(ohlc.index[50])
+    dt_sell = str(ohlc.index[80])
+    price_buy = float(ohlc.loc[ohlc.index[50], "Close"])
+    price_sell = float(ohlc.loc[ohlc.index[80], "Close"])
+    hist = [
+        {
+            "dt": dt_buy,
+            "rule_id": "buy_compound_tight",
+            "side": "buy",
+            "close": price_buy,
+        },
+        {
+            "dt": dt_sell,
+            "rule_id": "sell_mtf_cross_all_tf",
+            "side": "sell",
+            "close": price_sell,
+        },
+    ]
+    paper, results = replay_paper_portfolio(hist, ohlc, approved_buy_rules=approved)
+    buy_res = results[hit_key(hist[0])]
+    sell_res = results[hit_key(hist[1])]
+    assert buy_res.ok, buy_res.message
+    assert paper.qty > 0 or sell_res.ok, (paper.qty, sell_res)
+    if sell_res.ok:
+        assert sell_res.sell_qty > 0 and sell_res.amount_krw > 0
+        assert paper.cash_krw > float(GT_INITIAL_CASH_KRW) * 0.5
+    print(
+        f"  [OK] 매수 ₩{buy_res.amount_krw:,.0f} → 매도 "
+        f"ok={sell_res.ok} qty={sell_res.sell_qty:.4f} 현금=₩{paper.cash_krw:,.0f}"
+    )
+
+
+def test_unapproved_buy_excluded_from_sizing() -> None:
+    """EV/WF 미포함 매수는 hybrid 배분 입력에서 제외."""
+    ohlc = _mini_ohlc()
+    hist = [
+        {
+            "dt": str(ohlc.index[60]),
+            "rule_id": "buy_fake_rule",
+            "side": "buy",
+            "close": 500.0,
+        },
+    ]
+    approved = {"buy_compound_tight"}
+    sized_hist = replay_paper_portfolio(hist, ohlc, approved_buy_rules=approved)[0]
+    assert sized_hist.qty < 1e-9
+    print("  [OK] 미승인 매수 규칙 → 체결 없음")
+
+
+def test_plan_live_matches_replay() -> None:
+    """plan_live_hit == replay 마지막 건."""
+    ohlc = _mini_ohlc()
+    approved = load_ev_wf_approved_rule_ids()
+    hist = []
+    hit = {
+        "dt": str(ohlc.index[70]),
+        "rule_id": "buy_compound_tight",
+        "side": "buy",
+        "close": float(ohlc["Close"].iloc[70]),
+    }
+    plan = plan_live_hit(hist, hit, ohlc, approved_buy_rules=approved)
+    hist.append(hit)
+    _, results = replay_paper_portfolio(hist, ohlc, approved_buy_rules=approved)
+    replay_res = results[hit_key(hit)]
+    assert plan.amount_krw == replay_res.amount_krw, (plan, replay_res)
+    assert plan.ok == replay_res.ok
+    print(f"  [OK] plan_live_hit ≡ replay (₩{plan.amount_krw:,.0f})")
+
+
+def test_initial_cash_400k_large_buy() -> None:
+    """40만·대형 DD 시 매수액 ≤ 가용현금."""
+    ohlc = _mini_ohlc()
+    approved = load_ev_wf_approved_rule_ids()
+    hit = {
+        "dt": str(ohlc.index[100]),
+        "rule_id": "buy_compound_tight",
+        "side": "buy",
+        "close": float(ohlc["Close"].iloc[100]),
+    }
+    plan = plan_live_hit([], hit, ohlc, approved_buy_rules=approved)
+    assert plan.ok
+    assert 0 < plan.amount_krw <= GT_INITIAL_CASH_KRW
+    fee = plan.amount_krw * TRADING_FEE_RATE
+    assert plan.amount_krw + fee <= GT_INITIAL_CASH_KRW + 1
+    print(f"  [OK] 40만 대형 tier 매수 ₩{plan.amount_krw:,.0f} (≤{GT_INITIAL_CASH_KRW:,})")
+
+
+def test_paper_apply_buy_insufficient() -> None:
+    """현금 부족 시 apply_buy 실패."""
+    p = PaperPortfolio()
+    p.cash_krw = 10_000.0
+    ok = p.apply_buy(50_000, 500.0, leg_id=1)
+    assert not ok
+    print("  [OK] 현금 부족 매수 거부")
+
+
+def main() -> int:
+    """리허설 실행."""
+    print(f"[리허설] GT_INITIAL_CASH_KRW=₩{GT_INITIAL_CASH_KRW:,}")
+    print(f"  approved buys: {load_ev_wf_approved_rule_ids()}")
+    fails = 0
+    tests = [
+        test_sort_buy_before_sell,
+        test_sell_without_holdings,
+        test_buy_then_partial_sell,
+        test_unapproved_buy_excluded_from_sizing,
+        test_plan_live_matches_replay,
+        test_initial_cash_400k_large_buy,
+        test_paper_apply_buy_insufficient,
+    ]
+    for fn in tests:
+        try:
+            fn()
+        except AssertionError as e:
+            print(f"  [FAIL] {fn.__name__}: {e}")
+            fails += 1
+        except Exception as e:
+            print(f"  [ERROR] {fn.__name__}: {e}")
+            fails += 1
+    print(f"\n[결과] {'PASS' if fails == 0 else f'FAIL ({fails})'}")
+    return 1 if fails else 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())