Skip to content

fix(risk): empty book weights must not defeat small-account hold #606

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
Sep 17, 2026
+18 −2
Merged

fix(risk): empty book weights must not defeat small-account hold #606

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
4 changes: 2 additions & 2 deletions src/quant_platform_kit/risk/gate.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -196,7 +196,7 @@ def _normalized_weight_map(raw: Mapping[str, Any] | None) -> dict[str, float] |
return None
if number > 0.0:
result[symbol] = float(number)
return result
return result or None


def _portfolio_current_weights(
Expand All @@ -219,7 +219,7 @@ def _portfolio_current_weights(
weights[symbol] = weights.get(symbol, 0.0) + float(market_value) / verified_nav
except TypeError:
return None
return weights
return weights or None


def _resolve_small_account_hold_policy(
Expand Down
16 changes: 16 additions & 0 deletions tests/test_risk_gate.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -461,6 +461,22 @@ def test_small_account_hold_explicit_disable_rejects_overrun(self) -> None:
self.assertEqual(result.positions, ())
self.assertEqual(result.risk_flags, ("rejected:runtime_risk_limits",))

def test_small_account_hold_rejects_when_book_weights_unavailable(self) -> None:
"""Empty derived book weights must not look like a zero book."""
result = apply_risk_gate(
_decision(positions=(PositionTarget(symbol="SOXL", target_weight=0.90),)),
max_single_weight=1.0,
max_total_exposure=1.0,
portfolio_snapshot=_portfolio_snapshot(),
capital_base=_capital_base(reported_equity=472.0),
capital_base_binding=_capital_base_binding(),
runtime_risk_limits=self._runtime_limits(),
current_portfolio_weights={},
cash_only_execution=True,
)
self.assertEqual(result.positions, ())
self.assertEqual(result.risk_flags, ("rejected:runtime_risk_limits",))

def test_explicit_runtime_limits_reject_uncovered_budget_symbol(self) -> None:
result = apply_risk_gate(
StrategyDecision(
Expand Down