Gahow Wang
35d750f0a5
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>
167 lines
8.1 KiB
Python
167 lines
8.1 KiB
Python
import asyncio
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import dataclasses
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import datetime as dt
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from pathlib import Path
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from unittest.mock import AsyncMock
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import pandas as pd
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import pytest
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from ib_async import Order, OrderStatus, Stock, Trade, TradeLogEntry
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from ibkr_quant import cli
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from ibkr_quant.broker import AccountState, Broker
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from ibkr_quant.config import load_config
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def trade(status):
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return Trade(Stock("AAA", "SMART", "USD"), Order(orderId=41, action="BUY", totalQuantity=10),
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OrderStatus(status=status))
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def test_confirmation_waits_for_delayed_acknowledgement():
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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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asyncio.get_running_loop().call_later(0.02, setattr, order.orderStatus, "status", "Submitted")
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await Broker(cfg.ib).confirm_orders([order], timeout=0.2)
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assert order.orderStatus.status == "Submitted"
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asyncio.run(run())
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@pytest.mark.parametrize("status", ["PreSubmitted", "Submitted", "Filled"])
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def test_confirmation_accepts_broker_acknowledged_orders(status):
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cfg = load_config(Path(__file__).resolve().parents[1] / "config.toml")
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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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order = trade(status)
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order.log.append(TradeLogEntry(dt.datetime.now(), status, "insufficient margin", 201))
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with pytest.raises(RuntimeError, match=f"AAA order 41: {status}.*insufficient margin"):
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asyncio.run(Broker(cfg.ib).confirm_orders([trade("Submitted"), order], timeout=0))
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def test_rebalance_records_partial_failure_and_exits_nonzero(monkeypatch, tmp_path, capsys):
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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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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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async def run():
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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=[]))
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contracts = {s: Stock(s, "SMART", "USD") for s in panel.columns}
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monkeypatch.setattr(broker, "qualify_stocks", AsyncMock(return_value=(contracts, [])))
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def place(contract, quantity, *_):
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return Trade(contract, Order(orderId=41, action="BUY", totalQuantity=quantity),
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OrderStatus(status="Submitted" if contract.symbol == "AAA" else "Inactive"))
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monkeypatch.setattr(broker, "place", place)
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with pytest.raises(SystemExit, match="BBB order 41: Inactive"):
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await cli.rebalance(cfg, submit=True)
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asyncio.run(run())
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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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