Gahow Wang
8238651af6
Every position is the strategy's: names it does not select, including ones outside the index such as AAOI, are sold at the next rebalance, and sizing uses the full NAV less the cash buffer. A position that is not a USD stock cannot be traded as a SMART/USD order, so rebalance refuses to run while one exists. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
86 lines
3.5 KiB
Python
86 lines
3.5 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 ibkr_quant import cli
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from ibkr_quant.broker import AccountState, Broker, Holding
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from ibkr_quant.config import load_config
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from ibkr_quant.rebalance import plan_orders
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def test_closes_dropped_names_and_sells_before_buys():
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orders = plan_orders(
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target_weights={"AAPL": 0.5, "MSFT": 0.5},
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positions={"AAPL": 10, "NVDA": 7},
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prices={"AAPL": 100.0, "MSFT": 300.0, "NVDA": 50.0},
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investable=10_000,
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min_trade_value=200,
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)
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assert [(o.symbol, o.delta) for o in orders] == [("NVDA", -7), ("AAPL", 40), ("MSFT", 16)]
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def test_skips_small_adjustments_but_not_full_exits():
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orders = plan_orders(
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target_weights={"AAPL": 1.0},
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positions={"AAPL": 99, "KO": 1},
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prices={"AAPL": 100.0, "KO": 60.0},
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investable=10_000,
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min_trade_value=200,
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)
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assert [(o.symbol, o.delta) for o in orders] == [("KO", -1)]
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def test_refuses_to_plan_without_prices():
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with pytest.raises(ValueError, match="NVDA"):
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plan_orders({"AAPL": 1.0}, {"NVDA": 5}, {"AAPL": 100.0}, 10_000, 0)
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def test_resize_band_keeps_near_target_holdings():
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orders = plan_orders(
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target_weights={"AAPL": 0.5, "MSFT": 0.5},
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positions={"AAPL": 46, "MSFT": 10},
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prices={"AAPL": 100.0, "MSFT": 300.0},
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investable=10_000,
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min_trade_value=50,
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resize_band=0.10,
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)
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# AAPL is 8% under target and stays; MSFT is 40% under and tops up.
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assert [(o.symbol, o.delta) for o in orders] == [("MSFT", 6)]
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def dry_run(monkeypatch, tmp_path, holdings):
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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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idx = pd.bdate_range(end=dt.date(2026, 10, 13), periods=300)
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panel = pd.DataFrame(100.0, index=idx, columns=["AAA", "BBB", "CCC"])
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monkeypatch.setattr(cli, "load_universe", lambda _: list(panel.columns))
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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",
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lambda o, c: pd.DataFrame({"AAA": 0.9, "BBB": 0.8, "CCC": 0.1}, index=o.index))
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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", 10_000, 4_800, holdings)))
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asyncio.run(cli.rebalance(cfg, submit=False))
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return pd.read_csv(next((tmp_path / "runs").glob("*/plan.csv")))
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def test_rebalance_manages_every_position_in_the_account(monkeypatch, tmp_path):
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plan = dry_run(monkeypatch, tmp_path, [Holding("AAA", "STK", "USD", 49, 100.0, 4_900.0),
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Holding("OLD", "STK", "USD", 10, 30.0, 300.0)]) # not in the index: no bars
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# investable = 10,000 * 0.98 = 9,800: 4,900 per name, so AAA is on target.
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assert list(zip(plan.symbol, plan.delta, plan.price)) == [("OLD", -10, 30.0), ("BBB", 49, 100.0)]
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def test_rebalance_refuses_positions_it_cannot_trade(monkeypatch, tmp_path):
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with pytest.raises(SystemExit, match="not USD stocks: \\['ES'\\]"):
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dry_run(monkeypatch, tmp_path, [Holding("ES", "FUT", "USD", 1, 6_000.0, 300_000.0)])
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