Accept paper MOC orders IBKR holds as PendingSubmit; stop retrying after the order window
On 2026-10-13 the 09:53 ET run placed six MOC orders and failed: the paper account reports MOC orders as PendingSubmit until the closing auction and sent no acknowledgement within 30 s, so confirm_orders treated them as rejected. IBKR listed all six with permanent ids and filled them at the close, as it did the 14 PendingSubmit orders of 2026-09-29. Every retry then stopped at "6 open orders already exist", and after 15:45 ET at the order window, and the start limit's 6-hour window reset at 15:50 ET, so the job restarted every 10 minutes into the evening (42 restarts by 17:28 ET). - confirm_orders accepts a PendingSubmit order once IBKR lists it with a permanent id, re-reading this client's open orders every 5 s for up to 60 s. - rebalance --submit succeeds without sending anything when every open order comes from today's runs and IBKR still holds every order those runs sent; a missing one still fails. - The trade unit skips starts after 15:45 ET (ExecCondition), which systemd does not restart. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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@@ -3,10 +3,11 @@ Description=ibkr-quant daily run: today's bars, then MOC orders on rebalance ses
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After=ibgateway.service
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# make gateway restarts a Gateway that has lost IBKR or its historical data
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# farm. Retries cover today's bar arriving late (delayed data) and Gateway
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# restarts; make submit refuses to double-submit while orders are open.
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# Every 10 minutes from 09:50 until about 15:30 ET (34 starts), inside the
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# 09:31-15:45 order window: on 2026-10-12 six retries 5 minutes apart gave up
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# after 35 minutes while the data farm was down.
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# restarts; make submit refuses to double-submit while orders are open and
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# succeeds once IBKR holds every order an earlier run sent.
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# Every 10 minutes from 09:50 ET until the 15:45 end of the order window: on
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# 2026-10-12 six retries 5 minutes apart gave up after 35 minutes while the
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# data farm was down. The start limit is a backstop; ExecCondition ends the day.
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StartLimitIntervalSec=21600
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StartLimitBurst=34
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@@ -14,6 +15,9 @@ StartLimitBurst=34
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Type=oneshot
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WorkingDirectory=%h/projects/ibkr-quant
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Environment=PATH=%h/.local/bin:/usr/local/bin:/usr/bin:/bin
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# Past 15:45 ET make submit cannot send orders; a failed condition skips the
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# start without counting as a failure, so it is not restarted.
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ExecCondition=/bin/sh -c 'test "$(TZ=America/New_York date +%%H%%M)" -lt 1545'
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ExecStartPre=/usr/bin/make gateway GATEWAY_ARGS=--history
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ExecStart=/usr/bin/make bars submit
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Restart=on-failure
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@@ -170,17 +170,32 @@ class Broker:
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order.orderRef = ref
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return self.ib.placeOrder(contract, order)
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async def confirm_orders(self, trades: list[Trade], timeout: float = 30) -> None:
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accepted = {OrderStatus.PreSubmitted, OrderStatus.Submitted, OrderStatus.Filled}
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terminal = accepted | OrderStatus.DoneStates
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async def confirm_orders(self, trades: list[Trade], timeout: float = 60, refresh_every: float = 5) -> None:
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# The paper account reports MOC orders as PendingSubmit until the closing auction: on
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# 2026-09-29 and 10-13 every order stayed PendingSubmit and the 09-29 ones all filled at
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# the close. Such an order counts as accepted once IBKR lists it with a permanent id,
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# which the 10-13 run never saw unprompted, so this client's open orders are re-read.
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acknowledged = {OrderStatus.PreSubmitted, OrderStatus.Submitted, OrderStatus.Filled}
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def accepted(t: Trade) -> bool:
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status = t.orderStatus.status
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return status in acknowledged or (status == OrderStatus.PendingSubmit and t.order.permId != 0)
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loop = asyncio.get_running_loop()
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deadline = loop.time() + timeout
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while any(t.orderStatus.status not in terminal for t in trades):
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next_refresh = loop.time() + refresh_every
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while not all(accepted(t) or t.orderStatus.status in OrderStatus.DoneStates for t in trades):
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remaining = deadline - loop.time()
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if remaining <= 0:
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break
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if loop.time() >= next_refresh:
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try:
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await asyncio.wait_for(self.ib.reqOpenOrdersAsync(), remaining)
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except TimeoutError:
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break
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next_refresh = loop.time() + refresh_every
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await asyncio.sleep(min(0.1, remaining))
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failed = [t for t in trades if t.orderStatus.status not in accepted]
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failed = [t for t in trades if not accepted(t)]
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if failed:
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details = []
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for trade in failed:
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@@ -190,6 +190,17 @@ async def rebalance(cfg: Config, submit: bool) -> None:
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raise SystemExit(f"{now:%H:%M} ET is outside the order window {ORDER_WINDOW[0]}-{ORDER_WINDOW[1]}")
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if open_trades := await broker.open_trades():
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# A run whose confirmation timed out exits non-zero and the trade service retries it;
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# if IBKR holds every order that run sent, the session's orders are in.
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refs = {t.order.orderRef for t in open_trades}
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sent = [cfg.root / "runs" / ref.removeprefix("ibkr-quant ") / "orders.csv" for ref in refs]
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if all(ref.startswith(f"ibkr-quant {now:%Y%m%d}-") for ref in refs) and all(p.exists() for p in sent):
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sent_ids = set(pd.concat(pd.read_csv(p) for p in sent)["order_id"])
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if missing := sent_ids - {t.order.orderId for t in open_trades}:
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raise SystemExit(f"today's orders {sorted(missing)} are no longer open at IBKR "
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"(rejected, cancelled or filled); see `make check`")
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print(f"{len(open_trades)} orders from {', '.join(sorted(refs))} are open at IBKR; not submitting again")
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return
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raise SystemExit(f"{len(open_trades)} open orders already exist; cancel or let them finish first")
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contracts, unknown = await broker.qualify_stocks([o.symbol for o in orders])
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if unknown:
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@@ -34,6 +34,34 @@ def test_confirmation_accepts_broker_acknowledged_orders(status):
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asyncio.run(Broker(cfg.ib).confirm_orders([trade(status)], timeout=0))
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def test_confirmation_accepts_pending_moc_orders_that_ibkr_lists():
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# The paper account keeps MOC orders PendingSubmit until the close (2026-09-29, 10-13).
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async def run():
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order = trade("PendingSubmit")
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cfg = load_config(Path(__file__).resolve().parents[1] / "config.toml")
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broker = Broker(cfg.ib)
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async def open_orders():
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order.order.permId = 114178004
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return [order]
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broker.ib.reqOpenOrdersAsync = AsyncMock(side_effect=open_orders)
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await broker.confirm_orders([order], timeout=1, refresh_every=0.01)
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assert order.orderStatus.status == "PendingSubmit"
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broker.ib.reqOpenOrdersAsync.assert_awaited()
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asyncio.run(run())
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def test_confirmation_rejects_pending_orders_ibkr_never_lists():
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async def run():
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cfg = load_config(Path(__file__).resolve().parents[1] / "config.toml")
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broker = Broker(cfg.ib)
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broker.ib.reqOpenOrdersAsync = AsyncMock(return_value=[])
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with pytest.raises(RuntimeError, match="AAA order 41: PendingSubmit"):
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await broker.confirm_orders([trade("PendingSubmit")], timeout=0.5, refresh_every=0.01)
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broker.ib.reqOpenOrdersAsync.assert_awaited()
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asyncio.run(run())
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@pytest.mark.parametrize("status", ["Inactive", "Cancelled", "ApiCancelled", "PendingSubmit", "ApiPending"])
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def test_confirmation_rejects_terminal_failure_and_missing_acknowledgement(status):
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cfg = load_config(Path(__file__).resolve().parents[1] / "config.toml")
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@@ -82,3 +110,57 @@ def test_rebalance_records_partial_failure_and_exits_nonzero(monkeypatch, tmp_pa
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orders = pd.read_csv(next((tmp_path / "runs").glob("*/orders.csv")))
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assert dict(zip(orders.symbol, orders.status)) == {"AAA": "Submitted", "BBB": "Inactive"}
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assert "accepted 2 orders" not in capsys.readouterr().out
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def submit_with_open_orders(monkeypatch, tmp_path, open_trades, earlier_run="20261012-095323", earlier_ids=(64, 65)):
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"""Run `rebalance --submit` at 10:00 ET on 2026-10-12 while `open_trades` are open at IBKR."""
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cfg = load_config(Path(__file__).resolve().parents[1] / "config.toml")
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cfg = dataclasses.replace(cfg, root=tmp_path, strategy=dataclasses.replace(cfg.strategy, top_n=2))
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now = dt.datetime(2026, 10, 12, 10, 0, tzinfo=cli.NEW_YORK)
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run_dir = tmp_path / "runs" / earlier_run
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run_dir.mkdir(parents=True)
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pd.DataFrame({"symbol": ["AAA", "BBB"][:len(earlier_ids)], "order_id": list(earlier_ids),
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"status": "PendingSubmit"}).to_csv(run_dir / "orders.csv", index=False)
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class Clock(dt.datetime):
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@classmethod
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def now(cls, tz=None):
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return now
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monkeypatch.setattr(cli.dt, "datetime", Clock)
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idx = pd.bdate_range(end=now.date(), periods=300)
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panel = pd.DataFrame({"AAA": 100.0, "BBB": 100.0}, index=idx)
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monkeypatch.setattr(cli, "load_universe", lambda _: ["AAA", "BBB"])
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monkeypatch.setattr(cli, "load_bars", lambda *_: (panel, panel))
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monkeypatch.setattr(cli, "sessions_until_rebalance", lambda *_: 0)
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monkeypatch.setattr(cli, "signal_overnight_recovery", lambda *_: panel.iloc[:-1])
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broker = Broker(cfg.ib)
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monkeypatch.setattr(Broker, "__aenter__", AsyncMock(return_value=broker))
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monkeypatch.setattr(Broker, "__aexit__", AsyncMock(return_value=None))
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monkeypatch.setattr(cli, "Broker", lambda _: broker)
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monkeypatch.setattr(broker, "account_state", AsyncMock(return_value=AccountState("DU123", 10000, 10000, [])))
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monkeypatch.setattr(broker, "open_trades", AsyncMock(return_value=open_trades))
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monkeypatch.setattr(broker, "place", lambda *_: pytest.fail("placed an order while orders were open"))
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asyncio.run(cli.rebalance(cfg, submit=True))
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def open_order(order_id, ref):
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return Trade(Stock("AAA", "SMART", "USD"), Order(orderId=order_id, permId=114178000 + order_id, orderRef=ref),
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OrderStatus(status="PendingSubmit"))
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def test_retry_succeeds_when_ibkr_holds_every_order_an_earlier_run_sent(monkeypatch, tmp_path, capsys):
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ref = "ibkr-quant 20261012-095323"
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submit_with_open_orders(monkeypatch, tmp_path, [open_order(64, ref), open_order(65, ref)])
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assert f"2 orders from {ref} are open at IBKR; not submitting again" in capsys.readouterr().out
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def test_retry_fails_when_an_order_from_the_earlier_run_is_gone(monkeypatch, tmp_path):
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with pytest.raises(SystemExit, match=r"today's orders \[65\] are no longer open"):
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submit_with_open_orders(monkeypatch, tmp_path, [open_order(64, "ibkr-quant 20261012-095323")])
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@pytest.mark.parametrize("ref", ["ibkr-quant 20261009-095323", "", "manual"])
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def test_retry_refuses_open_orders_it_did_not_send_today(monkeypatch, tmp_path, ref):
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with pytest.raises(SystemExit, match="1 open orders already exist"):
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submit_with_open_orders(monkeypatch, tmp_path, [open_order(64, ref)])
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