Keep safe haven cash for unbuyable small accounts (#110)

Author: Pigbibi

application/execution_service.py

@@ -547,6 +547,17 @@ def _sell_order_quantity(
 
 
 DEFAULT_SAFE_HAVEN_CASH_SUBSTITUTE_THRESHOLD_USD = 1000.0
+SMALL_ACCOUNT_SAFE_HAVEN_CASH_SUBSTITUTE_LIMIT_USD = 2000.0
+
+
+def _positive_target_total(targets: dict[str, Any]) -> float:
+    total = 0.0
+    for value in dict(targets or {}).values():
+        try:
+            total += max(0.0, float(value or 0.0))
+        except (TypeError, ValueError):
+            continue
+    return total
 
 
 def _apply_safe_haven_cash_substitution_to_weights(
@@ -651,6 +662,7 @@ def execute_rebalance(
         ),
         "safe_haven_cash_substituted_symbols": [],
         "small_account_whole_share_substituted_symbols": [],
+        "small_account_safe_haven_cash_substituted_symbols": [],
         "residual_cash_estimate": float(account_values.get("buying_power", 0.0) or 0.0),
         "current_stock_weight": 0.0,
         "current_safe_haven_weight": 0.0,
@@ -726,11 +738,17 @@ def execute_rebalance(
 
     target_mv = {symbol: investable * weight for symbol, weight in target_weights.items()}
     small_account_candidate_symbols = tuple(
-        dict.fromkeys(tuple(allocation["risk_symbols"]) + tuple(allocation["income_symbols"]))
+        dict.fromkeys(
+            str(symbol or "").strip().upper()
+            for symbol in tuple(allocation["risk_symbols"]) + tuple(allocation["income_symbols"])
+            if str(symbol or "").strip()
+        )
     )
     if not small_account_candidate_symbols:
         small_account_candidate_symbols = tuple(
-            symbol for symbol in target_mv if symbol not in safe_haven_symbols
+            str(symbol or "").strip().upper()
+            for symbol in target_mv
+            if str(symbol or "").strip().upper() not in safe_haven_symbols
         )
     target_mv, small_account_substituted_symbols = project_unbuyable_value_targets_to_cash(
         target_mv,
@@ -740,9 +758,36 @@ def execute_rebalance(
     )
     for symbol in small_account_substituted_symbols:
         target_weights[symbol] = 0.0
+    remaining_non_safe_targets = [
+        symbol
+        for symbol in small_account_candidate_symbols
+        if float(target_mv.get(str(symbol or "").strip().upper(), 0.0) or 0.0) > 0.0
+    ]
+    small_account_safe_haven_cash_substituted_symbols: list[str] = []
+    if (
+        small_account_substituted_symbols
+        and not remaining_non_safe_targets
+        and _positive_target_total(target_mv) <= SMALL_ACCOUNT_SAFE_HAVEN_CASH_SUBSTITUTE_LIMIT_USD
+    ):
+        for symbol in safe_haven_symbols:
+            normalized_symbol = str(symbol or "").strip().upper()
+            if float(target_mv.get(normalized_symbol, 0.0) or 0.0) > 0.0:
+                target_mv[normalized_symbol] = 0.0
+                target_weights[normalized_symbol] = 0.0
+                small_account_safe_haven_cash_substituted_symbols.append(normalized_symbol)
+    if safe_haven_symbols:
+        execution_summary["realized_safe_haven_weight"] = float(
+            sum(
+                float(target_weights.get(str(symbol or "").strip().upper(), 0.0) or 0.0)
+                for symbol in safe_haven_symbols
+            )
+        )
     execution_summary["small_account_whole_share_substituted_symbols"] = list(
         small_account_substituted_symbols
     )
+    execution_summary["small_account_safe_haven_cash_substituted_symbols"] = (
+        small_account_safe_haven_cash_substituted_symbols
+    )
     trade_logs = []
     target_hash = _build_target_hash(target_weights)
     execution_summary["target_vs_current"] = _build_target_diff_rows(target_weights, current_mv, equity)

requirements.txt

@@ -1,7 +1,7 @@
 flask
 gunicorn
-quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@6f71766356beb0b1517a539dcacfe1c6d2719ef8
-us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@2918e1485561a50ad14abcd0bb05a09bd755b8c4
+quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@190edb21c5fe0c8e0efba66bfd8bacfdd00b3f77
+us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@ead0c075f5b47ec1d05d3a45cfcdda58217fe086
 pandas
 numpy
 requests

tests/test_execution_service.py

@@ -223,6 +223,61 @@ def accountValues(self):
     assert summary["orders_submitted"][1]["quantity"] == 2
 
 
+def test_execute_rebalance_keeps_safe_haven_cash_when_only_risk_target_is_unbuyable(tmp_path, monkeypatch):
+    class FakeIB:
+        def openTrades(self):
+            return []
+
+        def fills(self):
+            return []
+
+        def accountValues(self):
+            return [SimpleNamespace(tag="AvailableFunds", currency="USD", value="1294.00")]
+
+    prices = {"SOXL": 175.0, "SOXX": 525.0, "BOXX": 116.83}
+    submitted = []
+    monkeypatch.setattr("application.execution_service.time.sleep", lambda _seconds: None)
+
+    _trade_logs, summary = execute_rebalance(
+        FakeIB(),
+        {},
+        {},
+        {"equity": 1294.0, "buying_power": 1294.0},
+        fetch_quote_snapshots=lambda _ib, symbols: {
+            symbol: SimpleNamespace(last_price=prices[symbol]) for symbol in symbols
+        },
+        submit_order_intent=lambda _ib, intent: submitted.append(intent) or SimpleNamespace(
+            broker_order_id="dry-run",
+            status="Submitted",
+        ),
+        order_intent_cls=OrderIntent,
+        translator=translate,
+        strategy_symbols=["SOXL", "SOXX", "BOXX"],
+        strategy_profile="soxl_soxx_trend_income",
+        signal_metadata=_signal_metadata(
+            {"SOXL": 0.0, "SOXX": 0.15, "BOXX": 0.85},
+            risk_symbols=("SOXL", "SOXX"),
+            safe_haven_symbols=("BOXX",),
+            trade_date="2026-05-26",
+        ),
+        dry_run_only=True,
+        cash_reserve_ratio=0.03,
+        rebalance_threshold_ratio=0.01,
+        limit_buy_premium=1.0,
+        quantity_step=1.0,
+        sell_settle_delay_sec=0,
+        execution_lock_dir=tmp_path,
+        return_summary=True,
+    )
+
+    assert submitted == []
+    assert summary["small_account_whole_share_substituted_symbols"] == ["SOXX"]
+    assert summary["small_account_safe_haven_cash_substituted_symbols"] == ["BOXX"]
+    assert summary["realized_safe_haven_weight"] == 0.0
+    boxx_row = next(row for row in summary["target_vs_current"] if row["symbol"] == "BOXX")
+    assert boxx_row["target_weight"] == 0.0
+
+
 def test_execute_rebalance_routes_order_to_single_account_id(monkeypatch, tmp_path):
     class FakeIB:
         def openTrades(self):