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>
44 lines
1.4 KiB
Python
44 lines
1.4 KiB
Python
import pytest
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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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