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v0.25.0

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@github-actions github-actions released this 23 Jun 16:46
· 4 commits to main since this release
v0.25.0
3bc7932

Added

  • liquidate command — flatten an account to cash via the patient limit-chase. Sells every long / buys back every short, largest position first, working each line as a LIMIT pegged to the mid (chased over rungs) with a MARKET mop-up for the unfilled / fractional remainder — captures the spread instead of crossing it. RTH-only for live execution; --dry-run previews any time. Knobs: --only / --exclude, --aggression (negative = more passive/better price), --retries, --interval, --pace (delay between names), --no-fallback, --json. Live execution requires confirmation or --yes. Resting protective stops on names being sold are cancelled first. New module msts_trader/liquidate.py (planner + runner) reuses the existing chase engine and broker adapter primitives.

Fixed

  • MOC orders no longer double-execute (IBKR / any MOC broker). A market-on-close order fills only in the closing auction, but the post-trade verify ran with self-heal enabled and re-checked convergence ~2s after submission. Seeing the book still "unconverged" (the MOC hadn't filled), self-heal re-executed the residual as a plain MARKET order that filled immediately — so each position got one immediate market fill plus the resting MOC. Self-heal is now disabled for MOC runs (convergence is only meaningful after the auction); a one-line note explains why. Affected IBKR, Alpaca, Schwab, and paper MOC runs.

Tests

  • tests/test_liquidate.py: planner (longs→SELL, shorts→BUY, largest-first, only/exclude, flat/fractional handling), runner fills, dry-run sends nothing, fractional remainder routes to the market mop-up, and config aggression/fallback wiring.
  • tests/test_self_heal.py::test_moc_run_never_self_heals: a MOC run with self_heal=True reports only and never re-executes.

Full Changelog: v0.24.4...v0.25.0

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