Skip to content

[codex] filter IBKR strategy portfolio equity #156

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
Pigbibi merged 1 commit into from
Jun 10, 2026
Merged

[codex] filter IBKR strategy portfolio equity #156

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
36 changes: 36 additions & 0 deletions application/rebalance_service.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -528,6 +528,32 @@ def _snapshot_to_portfolio_view(snapshot) -> tuple[dict[str, dict[str, float | i
return positions, account_values


def _strategy_portfolio_view(positions, account_values, strategy_symbols):
normalized_symbols = {
str(symbol).strip().upper()
for symbol in strategy_symbols or ()
if str(symbol).strip()
}
if not normalized_symbols:
return positions, account_values

filtered_positions = {
symbol: details
for symbol, details in dict(positions or {}).items()
if str(symbol).strip().upper() in normalized_symbols
}
strategy_market_value = sum(
float(details.get("quantity") or 0.0) * float(details.get("avg_cost") or 0.0)
for details in filtered_positions.values()
)
buying_power = float(dict(account_values or {}).get("buying_power") or 0.0)
filtered_account_values = {
**dict(account_values or {}),
"equity": buying_power + strategy_market_value,
Comment on lines +545 to +552

@chatgpt-codex-connector chatgpt-codex-connector Bot Jun 10, 2026

Copy link
Copy Markdown

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

P1 Badge Base projected equity on market value, not cost basis

For accounts that already hold any strategy symbol whose current price differs from its average cost, this projection changes account_values["equity"] from broker net liquidation to buying power plus cost basis (quantity * avg_cost). execute_rebalance then sizes targets from this equity while valuing current holdings with live quotes, so appreciated positions can be under-targeted and depreciated positions over-targeted even when the account contains only strategy positions. The projection needs to carry/use actual market value from the portfolio snapshot or quote the filtered symbols rather than using average cost.

Useful? React with 👍 / 👎.

}
return filtered_positions, filtered_account_values


def run_strategy_core(
*,
runtime: IBKRRebalanceRuntime | None = None,
Expand Down Expand Up @@ -582,6 +608,16 @@ def run_strategy_core(
signal_metadata = {}
allocation = _resolve_weight_allocation(signal_metadata, required=target_weights is not None)
resolved_target_weights = dict(allocation.get("targets") or {}) if target_weights is not None else None
strategy_symbols = tuple(
allocation.get("strategy_symbols")
or signal_metadata.get("managed_symbols")
or ()
)
positions, account_values = _strategy_portfolio_view(
positions,
account_values,
strategy_symbols,
)
signal_metadata = dict(signal_metadata or {})
signal_metadata["signal_snapshot"] = build_signal_snapshot(
platform="ibkr",
Expand Down
52 changes: 49 additions & 3 deletions strategy_runtime.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -27,6 +27,8 @@
StrategyRuntimeAdapter,
apply_runtime_policy_to_runtime_config,
build_execution_timing_metadata,
build_account_state_from_portfolio_snapshot,
build_portfolio_snapshot_from_account_state,
build_strategy_context_from_available_inputs,
build_strategy_evaluation_inputs,
)
Expand Down Expand Up @@ -355,6 +357,47 @@ def _market_history_symbols(self) -> tuple[str, ...]:
)
)

def _configured_strategy_symbols(self, *, include_ranking_pool: bool = False) -> tuple[str, ...]:
candidates: list[str] = []
raw_managed = self.merged_runtime_config.get("managed_symbols", ())
if isinstance(raw_managed, str):
raw_managed = raw_managed.replace(";", ",").split(",")
candidates.extend(str(symbol) for symbol in raw_managed or ())
if include_ranking_pool:
raw_pool = self.merged_runtime_config.get("ranking_pool", ())
if isinstance(raw_pool, str):
raw_pool = raw_pool.replace(";", ",").split(",")
candidates.extend(str(symbol) for symbol in raw_pool or ())
safe_haven_symbol = str(self.merged_runtime_config.get("safe_haven") or "").strip()
if safe_haven_symbol and candidates:
candidates.append(safe_haven_symbol)
return tuple(
dict.fromkeys(
symbol.strip().upper()
for symbol in candidates
if symbol.strip()
)
)

def _project_portfolio_snapshot(self, portfolio_snapshot: Any | None, strategy_symbols) -> Any | None:
if portfolio_snapshot is None or not strategy_symbols:
return portfolio_snapshot
if not hasattr(portfolio_snapshot, "positions"):
return portfolio_snapshot
account_state = build_account_state_from_portfolio_snapshot(
portfolio_snapshot,
strategy_symbols=strategy_symbols,
)
account_state["total_strategy_equity"] = float(account_state["available_cash"]) + sum(
float(value) for value in dict(account_state["market_values"]).values()
)
return build_portfolio_snapshot_from_account_state(
account_state,
strategy_symbols=strategy_symbols,
as_of=getattr(portfolio_snapshot, "as_of", None),
metadata=getattr(portfolio_snapshot, "metadata", {}) or {},
)

def _build_market_history_inputs(
self,
ib,
Expand Down Expand Up @@ -481,6 +524,10 @@ def _evaluate_market_data_strategy(
ib,
required=requires_portfolio,
)
portfolio_snapshot = self._project_portfolio_snapshot(
portfolio_snapshot,
self._configured_strategy_symbols(include_ranking_pool=True),
)
portfolio_snapshot = self._attach_strategy_plugin_metadata(portfolio_snapshot, strategy_plugin_signals)
option_chains = self._fetch_option_chains_for_runtime(ib, runtime_config, portfolio_snapshot)
if option_chains:
Expand Down Expand Up @@ -550,7 +597,9 @@ def _evaluate_value_target_strategy(
runtime_config = dict(self.runtime_config)
runtime_config.setdefault("translator", translator)
apply_runtime_policy_to_runtime_config(runtime_config, self.runtime_adapter)
managed_symbols = self._configured_strategy_symbols()
portfolio_snapshot = self._fetch_portfolio_snapshot_for_context(ib, required=True)
portfolio_snapshot = self._project_portfolio_snapshot(portfolio_snapshot, managed_symbols)
portfolio_snapshot = self._attach_strategy_plugin_metadata(portfolio_snapshot, strategy_plugin_signals)
option_chains = self._fetch_option_chains_for_runtime(ib, runtime_config, portfolio_snapshot)
if option_chains:
Expand All @@ -571,9 +620,6 @@ def _evaluate_value_target_strategy(
ib=ib,
)
decision = self.entrypoint.evaluate(ctx)
managed_symbols = tuple(
str(symbol) for symbol in self.merged_runtime_config.get("managed_symbols", ())
)
safe_haven_symbol = next(
(position.symbol for position in decision.positions if position.role == "safe_haven"),
None,
Expand Down