Gahow Wang
dc94f63839
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>
26 lines
1.1 KiB
TOML
26 lines
1.1 KiB
TOML
[ib]
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host = "127.0.0.1"
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port = 4002 # IB Gateway: paper 4002 / live 4001; TWS: paper 7497 / live 7496
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client_id = 17
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account = "" # empty = the single account managed by this login
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market_data_type = 3 # 1 = live (needs subscription), 3 = delayed (free, for testing)
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allow_live = false # refuse to connect to non-paper accounts unless true
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[data]
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universe = "data/universe.csv"
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bars = "data/bars/daily.csv"
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bars_duration = "2 Y" # the strategy needs > 252 sessions
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# UpCap+MomGap (daily), ported from quant-trading fc_up_cap_mom_gap_daily:
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# signal on opens through today's open, equal-weight top_n, filled at today's close.
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[strategy]
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top_n = 10
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[execution]
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order_type = "MOC" # MOC (submit 09:30-15:45 ET) | LMT
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limit_offset_bps = 20 # LMT only: price = snapshot * (1 ± offset)
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cash_buffer = 0.02 # fraction of NAV kept in cash
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resize_band = 0.10 # leave a held name alone while within 10% of its target value
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min_trade_value = 50.0 # skip trades below max(min_trade_value, min_trade_fraction * NAV);
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min_trade_fraction = 0.001 # full exits always trade
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