ibkr_trader.py computes the strategy's target for the close the way trader.py's
morning phase does, sizes whole-share orders on min(NAV, $10.5k) less a 1%
cash buffer against the account's real positions, and sends MOC orders,
sells before buys. Guards: the login must manage IBKR_ACCOUNT; a live account
needs --live and data/ibkr_live/ARMED; the account may hold only the
strategy's universe; MOC whole-share orders only; one submission per session.
After the close it records executions and commissions, scores each order
against the primary exchange's closing cross (SIP condition 6) and compares
NAV with the simulated account, with a preregistered verdict on the first
20 orders.
A what-if run on the paper Gateway (no orders) accepted GLD/SHY MOC orders
at $1.00 commission and rejected TQQQ/UPRO: the account lacks the Complex or
Leveraged ETP permission. The live service is defined but not enabled.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Strategies
- BarStrategy protocol (close/open/high/low/volume bars; row d uses bars
through d-1) and RobustMomentumStrategy: overnight_recovery_top10 (US),
lowrisk_momentum_top15 and lowbeta_sharpe_mom_top20 (CN), top-N with
rank hysteresis, 10-day rebalance, weights drift between rebalances.
- trader: strategy_fields/strategy_bars/bar_session_weights; one signal
path (_signals_for_sessions) replaces generate_target_weights.
Live fixes
- CSI 300 constituents come from China Securities Index's file; the
Wikipedia table was 122 names off the real index.
- S&P 500 change log moved to "Historical components of the S&P 500".
- data_manager: tickers missing from a partial Yahoo batch are retried
alone before being marked unavailable (CEG, GEV, SNDK ... were dropped).
update() takes fields=[...] and stores high/low/volume panels.
- Whole-lot orders go to the nearest lot within cash (CN books held ~62%
cash); held names are resized only beyond RESIZE_BAND (10%), so books no
longer pay a ticket fee to trade daily drift.
Web backtests
- backtest_runner.py replaces the duplicated bridge/precompute code: PIT
membership in both markets (data/csi300_history.json), stock universe
limited to index members (ETFs and benchmarks in the shared panel were
pickable), and the book kept like the live trader (simulate_live_book:
signal timing, drift, order floor, resize band, fees on orders placed).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
- web/src/server/paths.ts resolves the repo root from its own location,
loads the single repo-root .env, and defines data/web/ (watchlist,
stock cache, backtest cache) and data/precomputed/.
- The API spawns bridge.py at the repo root instead of ../quant.
- precompute_backtest.py writes to data/precomputed/ instead of
../stock-agent/data/precomputed.
- Rename the project to quant-trading (web package quant-trading-web).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300)
markets with open-to-close execution, proportional + fixed per-trade fees.
Daily trader (trader.py) with auto/morning/evening/simulate/status commands
and cron-friendly `auto` mode for unattended daily runs on a server.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
