"""IBKR live adapter for CrackingMarkets equity-dip sleeve (stock-only book). Recommend-only by default. Sizes each name at ``sleeve / max_holdings`` and skips new DAY limits when ≥ max open dips. """ from __future__ import annotations import json from pathlib import Path from RenTech.live.ibkr_equity_orders import last_price, place_stock_order from RenTech.live.protocols import RiskAction, StrategyContext, StrategyCycleReport from RenTech.live.stock_book_cm_dip_live import ( STRATEGY_ID, actions_to_entry_intents, bootstrap_state_from_ib, build_entry_actions, evaluate_exits, in_hhmm_window, load_dip_state, mark_exits_in_state, open_dip_market_value_usd, open_dip_symbols, recommendation_payload, record_entries_in_state, save_dip_state, sleeve_nav_usd, ) from RenTech.live.stock_book_utils import ( DEFAULT_DIP_MAX_HOLDINGS, STOCK_ONLY_WEIGHTS, dip_per_name_budget_usd, ) class StockBookIbkrStrategy: strategy_id = STRATEGY_ID async def audit(self, ctx: StrategyContext) -> StrategyCycleReport: scfg = ctx.strategy_config state_path = Path(str(scfg.get("state_path", "RenTech/data/live_state/cm_dip_positions.json"))) if not state_path.is_absolute(): state_path = (ctx.repo_root / state_path).resolve() state = load_dip_state(state_path) open_syms = sorted(open_dip_symbols(state, ctx.portfolio, sync_ib_non_etf=True)) return StrategyCycleReport( strategy_id=self.strategy_id, ok=True, messages=[f"open_dips={len(open_syms)}: {', '.join(open_syms) or 'none'}"], metadata={"open_symbols": open_syms, "state_path": str(state_path)}, ) async def run_cycle(self, ctx: StrategyContext) -> StrategyCycleReport: report = StrategyCycleReport(strategy_id=self.strategy_id, ok=True) scfg = ctx.strategy_config fund_scale = float(scfg.get("fund_scale", 1.5)) dip_w = float(scfg.get("equity_dip_weight", STOCK_ONLY_WEIGHTS.get("equity_dip", 0.17))) max_holdings = int(scfg.get("max_holdings", ctx.max_open_positions or DEFAULT_DIP_MAX_HOLDINGS)) profit_atr_mult = float(scfg.get("profit_atr_mult", 0.5)) limit_atr_mult = float(scfg.get("limit_atr_mult", 0.9)) hold_days = int(scfg.get("hold_trading_days", 10)) entry_after = str(scfg.get("entry_after_et", "09:35")) entry_before = str(scfg.get("entry_before_et", "15:30")) exit_after = str(scfg.get("exit_after_et", "15:50")) exit_before = str(scfg.get("exit_before_et", "16:00")) bootstrap = bool(scfg.get("bootstrap_from_ib", True)) state_path = Path(str(scfg.get("state_path", "RenTech/data/live_state/cm_dip_positions.json"))) if not state_path.is_absolute(): state_path = (ctx.repo_root / state_path).resolve() rec_out = Path( str(scfg.get("recommend_out", "RenTech/data/logs/stock_book_cm_dip_recommendation.json")) ) if not rec_out.is_absolute(): rec_out = (ctx.repo_root / rec_out).resolve() if ctx.platform_risk.action == RiskAction.HALT_ALL: report.messages.append("platform halt") return report state = load_dip_state(state_path) if bootstrap: state = bootstrap_state_from_ib(ctx.portfolio, state) open_syms = open_dip_symbols(state, ctx.portfolio, sync_ib_non_etf=True) open_mv = open_dip_market_value_usd(ctx.portfolio, open_syms) sleeve = sleeve_nav_usd(ctx.portfolio, fund_scale=fund_scale, equity_dip_weight=dip_w) per_name = dip_per_name_budget_usd( float(ctx.portfolio.net_liquidation_usd), dip_w, fund_scale, max_holdings=max_holdings, ) rec_only = ctx.recommend_only # --- Exits first (near close) --- if ctx.force_entry_now or in_hhmm_window(ctx.now_et, exit_after, exit_before): prices: dict[str, float] = {} for sym in open_syms: try: prices[sym] = await last_price(ctx.ib, sym) except Exception as exc: report.messages.append(f"price {sym}: {exc}") exit_intents = evaluate_exits( state, ctx.portfolio, today=ctx.today, profit_atr_mult=profit_atr_mult, hold_trading_days=hold_days, last_prices=prices, ) payload = recommendation_payload( phase="exit_moc", fund_nav=float(ctx.portfolio.net_liquidation_usd), sleeve_budget=sleeve, per_name=per_name, open_symbols=sorted(open_syms), intents=exit_intents, meta={"prices": prices, "open_mv_usd": round(open_mv, 2)}, recommend_only=rec_only, ) rec_out.parent.mkdir(parents=True, exist_ok=True) rec_out.write_text(json.dumps(payload, indent=2) + "\n", encoding="utf-8") if exit_intents: if not rec_only: for intent in exit_intents: await place_stock_order(ctx.ib, intent, recommend_only=False) report.exits_attempted += 1 state = mark_exits_in_state(state, [i.symbol for i in exit_intents]) save_dip_state(state_path, state) report.messages.append(f"exit_moc n={len(exit_intents)}") else: report.messages.append("exit_window: no CM exits") if not ctx.force_entry_now and in_hhmm_window(ctx.now_et, exit_after, exit_before): report.metadata = payload return report # --- Entries (DAY limits) --- # recommend_only sets allow_new_entries=False at the platform gate; still emit tickets. if not ctx.recommend_only and not ctx.strategy_risk.allow_new_entries: report.messages.append("strategy risk blocks entries") report.metadata = {"open_symbols": sorted(open_syms), "open_mv_usd": open_mv} return report if not ( ctx.force_entry_now or in_hhmm_window(ctx.now_et, entry_after, entry_before) ): report.messages.append("outside entry window") report.metadata = {"open_symbols": sorted(open_syms), "open_mv_usd": open_mv} return report over_count = len(open_syms) >= max_holdings over_budget = open_mv >= sleeve * 0.95 # leave a little headroom if over_count or over_budget: reason = ( f"full {len(open_syms)}/{max_holdings}" if over_count else f"over budget MV ${open_mv:,.0f} >= sleeve ${sleeve:,.0f}" ) payload = recommendation_payload( phase="entry_skip_full", fund_nav=float(ctx.portfolio.net_liquidation_usd), sleeve_budget=sleeve, per_name=per_name, open_symbols=sorted(open_syms), intents=[], meta={"reason": reason, "open_mv_usd": round(open_mv, 2)}, recommend_only=rec_only, ) rec_out.parent.mkdir(parents=True, exist_ok=True) rec_out.write_text(json.dumps(payload, indent=2) + "\n", encoding="utf-8") report.messages.append(f"skip entries — {reason}") report.metadata = payload return report actions, meta = build_entry_actions( fund_nav=float(ctx.portfolio.net_liquidation_usd), fund_scale=fund_scale, equity_dip_weight=dip_w, max_holdings=max_holdings, open_symbols=open_syms, limit_atr_mult=limit_atr_mult, profit_atr_mult=profit_atr_mult, ) intents = actions_to_entry_intents(actions) payload = recommendation_payload( phase="entry_lmt", fund_nav=float(ctx.portfolio.net_liquidation_usd), sleeve_budget=sleeve, per_name=per_name, open_symbols=sorted(open_syms), intents=intents, actions=actions, meta={**meta, "open_mv_usd": round(open_mv, 2)}, recommend_only=rec_only, ) rec_out.parent.mkdir(parents=True, exist_ok=True) rec_out.write_text(json.dumps(payload, indent=2) + "\n", encoding="utf-8") if intents and not rec_only: for intent in intents: ticket = await place_stock_order(ctx.ib, intent, recommend_only=False) report.entries_attempted += 1 report.messages.append( f"LMT {intent.symbol} x{intent.shares} @ {intent.limit_price}: {ticket.get('status')}" ) state = record_entries_in_state(state, intents, actions, status="pending_entry") save_dip_state(state_path, state) elif intents: state = record_entries_in_state(state, intents, actions, status="recommended") save_dip_state(state_path, state) report.messages.append(f"recommend entry_lmt n={len(intents)} @ ~${per_name:,.0f}/name") else: summaries = [a.get("summary", "") for a in actions[:3]] report.messages.append("no new dip entries: " + ("; ".join(summaries) or "none")) if bootstrap: save_dip_state(state_path, state) report.metadata = payload return report