Merge pull request #128 from QuantStrategyLab/fix/ibit-smart-dca-market-signal-config

Fix IBIT smart DCA market signal wiring for Firstrade

Author: Pigbibi

.env.example

@@ -25,6 +25,11 @@ GLOBAL_TELEGRAM_CHAT_ID=
 FIRSTRADE_STRATEGY_PLUGIN_MOUNTS_JSON=
 DCA_MODE=
 DCA_BASE_INVESTMENT_USD=
+FIRSTRADE_MARKET_SIGNAL_HANDOFF_INDEX_URI=
+FIRSTRADE_MARKET_SIGNAL_REQUIRED=
+FIRSTRADE_MARKET_SIGNAL_FALLBACK_MODE=last_valid
+FIRSTRADE_MARKET_SIGNAL_MAX_STALE_DAYS=3
+EXECUTION_REPORT_GCS_URI=
 IBIT_ZSCORE_EXIT_ENABLED=
 IBIT_ZSCORE_EXIT_MODE=
 IBIT_ZSCORE_EXIT_PARKING_SYMBOL=BOXX

application/rebalance_service.py

@@ -60,7 +60,7 @@
     publish_strategy_plugin_alerts as dispatch_strategy_plugin_alerts,
 )
 from quant_platform_kit.strategy_contracts import build_strategy_evaluation_inputs
-from runtime_config_support import PlatformRuntimeSettings, load_platform_runtime_settings
+from runtime_config_support import IBIT_SMART_DCA_PROFILE, PlatformRuntimeSettings, load_platform_runtime_settings
 from market_signal_runtime import resolve_external_market_signal_inputs
 from strategy_runtime import load_strategy_runtime
 
@@ -147,6 +147,15 @@ def _build_derived_indicators(market_data_port, *, trend_ma_window: int):
     )
 
 
+def _ibit_smart_multiplier_enabled(
+    strategy_profile: str | None,
+    strategy_runtime_config: Mapping[str, Any],
+) -> bool:
+    if str(strategy_profile or "").strip().lower() != IBIT_SMART_DCA_PROFILE:
+        return False
+    return bool(strategy_runtime_config.get("smart_multiplier_enabled"))
+
+
 def build_market_inputs(
     *,
     available_inputs: set[str],
@@ -167,7 +176,11 @@ def build_market_inputs(
                 logger=log_message,
             )
         )
-    if "market_history" in available_inputs:
+    skip_broker_market_history = _ibit_smart_multiplier_enabled(
+        strategy_profile,
+        strategy_runtime_config,
+    )
+    if "market_history" in available_inputs and not skip_broker_market_history:
         inputs["market_history"] = _build_market_history_loader(market_data_port)
     if "benchmark_history" in available_inputs:
         inputs["benchmark_history"] = _build_price_history(market_data_port, benchmark_symbol)

pyproject.toml

@@ -15,7 +15,7 @@ authors = [
 dependencies = [
   "firstrade==0.0.39",
   "quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@b821e8c318e15d40f925c84a007ae335a3415cd5",
-  "us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@0cbdacc95fb9041f590472254aef8f1cea35adf8",
+  "us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@a7306afc943cad8ddb7e368efd24640e84fd6e3d",
   "google-cloud-storage",
   "requests",
 ]

runtime_config_support.py

@@ -27,6 +27,7 @@
 DEFAULT_RESERVED_CASH_FLOOR_USD = 0.0
 DEFAULT_RESERVED_CASH_RATIO = 0.0
 DEFAULT_SAFE_HAVEN_CASH_SUBSTITUTE_THRESHOLD_USD = 1000.0
+IBIT_SMART_DCA_PROFILE = "ibit_smart_dca"
 
 
 @dataclass(frozen=True)
@@ -205,10 +206,7 @@ def load_platform_runtime_settings(
         runtime_execution_window_trading_days=_runtime_execution_window_trading_days_env(
             strategy_definition.profile
         ),
-        market_signal_handoff_index_uri=_first_non_empty(
-            os.getenv("FIRSTRADE_MARKET_SIGNAL_HANDOFF_INDEX_URI"),
-            os.getenv("MARKET_SIGNAL_HANDOFF_INDEX_URI"),
-        ),
+        market_signal_handoff_index_uri=_resolve_market_signal_handoff_index_uri(),
         market_signal_handoff_manifest_uri=_first_non_empty(
             os.getenv("FIRSTRADE_MARKET_SIGNAL_HANDOFF_MANIFEST_URI"),
             os.getenv("MARKET_SIGNAL_HANDOFF_MANIFEST_URI"),
@@ -221,16 +219,13 @@ def load_platform_runtime_settings(
             os.getenv("FIRSTRADE_MARKET_SIGNAL_CACHE_DIR"),
             os.getenv("MARKET_SIGNAL_CACHE_DIR"),
         ),
-        market_signal_required=resolve_bool_value(
-            _first_non_empty(
-                os.getenv("FIRSTRADE_MARKET_SIGNAL_REQUIRED"),
-                os.getenv("MARKET_SIGNAL_REQUIRED"),
-                "false",
-            )
+        market_signal_required=_resolve_market_signal_required(
+            strategy_profile=strategy_definition.profile,
+            dca_mode=_optional_dca_mode_env("DCA_MODE"),
         ),
-        market_signal_fallback_mode=_first_non_empty(
-            os.getenv("FIRSTRADE_MARKET_SIGNAL_FALLBACK_MODE"),
-            os.getenv("MARKET_SIGNAL_FALLBACK_MODE"),
+        market_signal_fallback_mode=_resolve_market_signal_fallback_mode(
+            strategy_profile=strategy_definition.profile,
+            dca_mode=_optional_dca_mode_env("DCA_MODE"),
         ),
         market_signal_max_stale_days=_optional_int(
             _first_non_empty(
@@ -472,6 +467,58 @@ def _resolve_ratio_env(name: str, *, default: float) -> float:
     return value
 
 
+def _default_market_signal_handoff_index_uri_from_report_bucket(
+    execution_report_gcs_uri: str | None,
+) -> str | None:
+    text = str(execution_report_gcs_uri or "").strip()
+    if not text.startswith("gs://"):
+        return None
+    bucket = text[len("gs://") :].split("/", 1)[0].strip()
+    if not bucket:
+        return None
+    return f"gs://{bucket}/platform_handoffs/index.json"
+
+
+def _resolve_market_signal_handoff_index_uri() -> str | None:
+    explicit = _first_non_empty(
+        os.getenv("FIRSTRADE_MARKET_SIGNAL_HANDOFF_INDEX_URI"),
+        os.getenv("MARKET_SIGNAL_HANDOFF_INDEX_URI"),
+    )
+    if explicit:
+        return explicit
+    return _default_market_signal_handoff_index_uri_from_report_bucket(
+        os.getenv("EXECUTION_REPORT_GCS_URI"),
+    )
+
+
+def _resolve_market_signal_required(*, strategy_profile: str, dca_mode: str | None) -> bool:
+    explicit = _first_non_empty(
+        os.getenv("FIRSTRADE_MARKET_SIGNAL_REQUIRED"),
+        os.getenv("MARKET_SIGNAL_REQUIRED"),
+    )
+    if explicit is not None:
+        return resolve_bool_value(explicit)
+    if strategy_profile == IBIT_SMART_DCA_PROFILE and str(dca_mode or "").strip().lower() == "smart":
+        return True
+    return False
+
+
+def _resolve_market_signal_fallback_mode(
+    *,
+    strategy_profile: str,
+    dca_mode: str | None,
+) -> str | None:
+    explicit = _first_non_empty(
+        os.getenv("FIRSTRADE_MARKET_SIGNAL_FALLBACK_MODE"),
+        os.getenv("MARKET_SIGNAL_FALLBACK_MODE"),
+    )
+    if explicit:
+        return explicit
+    if strategy_profile == IBIT_SMART_DCA_PROFILE and str(dca_mode or "").strip().lower() == "smart":
+        return "last_valid"
+    return None
+
+
 def _first_non_empty(*raw_values: str | None) -> str | None:
     for raw_value in raw_values:
         value = str(raw_value or "").strip()

tests/test_build_market_inputs.py

@@ -0,0 +1,37 @@
+from __future__ import annotations
+
+from types import SimpleNamespace
+
+from application.rebalance_service import build_market_inputs
+
+
+class _FakeMarketDataPort:
+    def get_price_series(self, _symbol):
+        raise AssertionError("broker market history should not be queried")
+
+
+def test_ibit_smart_mode_skips_broker_market_history_loader():
+    inputs = build_market_inputs(
+        available_inputs={"derived_indicators", "market_history", "portfolio_snapshot"},
+        market_data_port=_FakeMarketDataPort(),
+        benchmark_symbol="QQQ",
+        strategy_runtime_config={"smart_multiplier_enabled": True},
+        strategy_profile="ibit_smart_dca",
+        runtime_settings=SimpleNamespace(market_signal_required=False),
+    )
+
+    assert "derived_indicators" in inputs
+    assert "market_history" not in inputs
+
+
+def test_ibit_fixed_mode_keeps_broker_market_history_loader():
+    inputs = build_market_inputs(
+        available_inputs={"derived_indicators", "market_history", "portfolio_snapshot"},
+        market_data_port=_FakeMarketDataPort(),
+        benchmark_symbol="QQQ",
+        strategy_runtime_config={"smart_multiplier_enabled": False},
+        strategy_profile="ibit_smart_dca",
+        runtime_settings=SimpleNamespace(market_signal_required=False),
+    )
+
+    assert callable(inputs["market_history"])

tests/test_runtime_config_support.py

@@ -3,6 +3,10 @@
 import pytest
 
 from runtime_config_support import (
+    _default_market_signal_handoff_index_uri_from_report_bucket,
+    _resolve_market_signal_fallback_mode,
+    _resolve_market_signal_handoff_index_uri,
+    _resolve_market_signal_required,
     _resolve_non_negative_float_env,
     _resolve_ratio_env,
     _runtime_execution_window_trading_days_env,
@@ -275,3 +279,73 @@ def test_runtime_execution_window_rejects_invalid_generic_env(monkeypatch, raw_v
         match="FIRSTRADE_RUNTIME_EXECUTION_WINDOW_TRADING_DAYS",
     ):
         _runtime_execution_window_trading_days_env("russell_top50_leader_rotation")
+
+
+def test_market_signal_handoff_index_infers_from_execution_report_bucket():
+    assert (
+        _default_market_signal_handoff_index_uri_from_report_bucket(
+            "gs://qsl-runtime-logs-shared/execution-reports"
+        )
+        == "gs://qsl-runtime-logs-shared/platform_handoffs/index.json"
+    )
+
+
+def test_ibit_smart_mode_requires_market_signal_by_default():
+    assert _resolve_market_signal_required(
+        strategy_profile="ibit_smart_dca",
+        dca_mode="smart",
+    ) is True
+    assert _resolve_market_signal_required(
+        strategy_profile="ibit_smart_dca",
+        dca_mode="fixed",
+    ) is False
+
+
+def test_ibit_smart_mode_defaults_market_signal_fallback_to_last_valid():
+    assert _resolve_market_signal_fallback_mode(
+        strategy_profile="ibit_smart_dca",
+        dca_mode="smart",
+    ) == "last_valid"
+
+
+def test_market_signal_handoff_index_prefers_explicit_env(monkeypatch):
+    monkeypatch.setenv(
+        "FIRSTRADE_MARKET_SIGNAL_HANDOFF_INDEX_URI",
+        "gs://signals/custom/platform_handoffs/index.json",
+    )
+    monkeypatch.setenv(
+        "EXECUTION_REPORT_GCS_URI",
+        "gs://qsl-runtime-logs-shared/execution-reports",
+    )
+
+    assert (
+        _resolve_market_signal_handoff_index_uri()
+        == "gs://signals/custom/platform_handoffs/index.json"
+    )
+
+
+def test_load_platform_runtime_settings_for_ibit_smart_wires_market_signal_defaults(monkeypatch):
+    monkeypatch.setenv(
+        "RUNTIME_TARGET_JSON",
+        _target_json(profile="ibit_smart_dca"),
+    )
+    monkeypatch.setenv("DCA_MODE", "smart")
+    monkeypatch.setenv(
+        "EXECUTION_REPORT_GCS_URI",
+        "gs://qsl-runtime-logs-shared/execution-reports",
+    )
+    monkeypatch.delenv("FIRSTRADE_MARKET_SIGNAL_HANDOFF_INDEX_URI", raising=False)
+    monkeypatch.delenv("MARKET_SIGNAL_HANDOFF_INDEX_URI", raising=False)
+    monkeypatch.delenv("FIRSTRADE_MARKET_SIGNAL_REQUIRED", raising=False)
+    monkeypatch.delenv("MARKET_SIGNAL_REQUIRED", raising=False)
+    monkeypatch.delenv("FIRSTRADE_MARKET_SIGNAL_FALLBACK_MODE", raising=False)
+    monkeypatch.delenv("MARKET_SIGNAL_FALLBACK_MODE", raising=False)
+
+    settings = load_platform_runtime_settings(project_id_resolver=lambda: "project-1")
+
+    assert settings.market_signal_required is True
+    assert settings.market_signal_fallback_mode == "last_valid"
+    assert (
+        settings.market_signal_handoff_index_uri
+        == "gs://qsl-runtime-logs-shared/platform_handoffs/index.json"
+    )