rebalance treated only today's S&P 500 members as the strategy's, so a held
name that left the index (or was renamed on Wikipedia) was never sold and
its value shrank the investable amount, unlike quant-trading's engine, which
sells non-members at the next rebalance. Now every USD stock/ETF position
is managed except execution.unmanaged (AAOI); a holding without bars is
priced from the account for its exit. On the paper account the managed set
is unchanged (the 10 current members).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
rebalance used to sleep 3 s and record whatever status TWS had sent; on
2026-09-29 every order was still PendingSubmit with permId 0. Now it waits
up to 30 s for PreSubmitted/Submitted/Filled, records the final statuses in
orders.csv either way, and exits non-zero naming any rejected or
unacknowledged order so the systemd unit's failure is visible.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Under quant-trading's PIT research engine (S&P 500 members 2006-2026,
10 bp), overnight_recovery_top10 filled at the next close beat the
daily UpCap+MomGap by 10.5%/yr (paired Newey-West t 2.44) at 3x instead
of 29x yearly turnover. UpCap+MomGap was a CN champion there, and its
daily variant was never picked for the US book.
- strategy: overnight-return momentum (12m skip 1m) + distance from the
126-day low, ported from strategies/robust_momentum.py; top 10 equal
weight, a held name stays while ranked within 30. Scores and picks
match RobustMomentumStrategy on the IB bars (25 rebalances, 0 diffs).
- rebalance: every 10 sessions from strategy.anchor (2026-09-29), on
completed sessions through yesterday's close, MOC at today's close;
other sessions do nothing and weights drift.
- backtest trades only on rebalance sessions, like the live loop.
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
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>
