Daily UpCap+MomGap trading on an IBKR paper account

Connects to IB Gateway through ib_async and trades the S&P 500 with the
UpCap+MomGap factor combo ported from quant-trading's
fc_up_cap_mom_gap_daily: signal on opens through today's open, equal
weight top 10, MOC orders filled at today's close, 10% resize band.

- make universe/bars/check/plan/submit/fills for the daily loop; refuses
  non-paper accounts unless allow_live, open orders, stale bars, and
  orders outside 09:31-15:45 ET
- make backtest replays the live loop day by day with plan_orders and
  IBKR Fixed commissions; selection uses each day's index members
- make bars fails fast when the Gateway's historical farm is down

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
2026-09-28 21:53:31 +08:00
commit dc94f63839
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# Needs IB Gateway or TWS running and logged in, with
# "Enable ActiveX and Socket Clients" on and the port matching config.toml.
# Daily flow, 09:31-15:45 ET on a trading day: `make bars` (picks up today's
# open), `make plan` to review, `make submit` to send MOC orders filled at the close.
# With delayed data (market_data_type = 3) today's bar appears ~15 min after the
# open, so start after 09:47 ET.
RUN = uv run ibkr-quant
.PHONY: test universe check bars plan submit fills backtest
test:
uv run pytest -q
universe:
$(RUN) universe
check:
$(RUN) check
bars:
$(RUN) bars
plan:
$(RUN) rebalance
submit:
$(RUN) rebalance --submit
fills:
$(RUN) fills
# e.g. make backtest ARGS="--top-n 5 10 20 --every 1 5 --capital 10000"
backtest:
$(RUN) backtest $(ARGS)