feat(regime): switch cash rails to percentage thresholds

Treat flow and deficit rails as fractions of the regime rebalance base value instead of absolute dollars.

- Update defaults to 2.5%/1.25% flow min/stop and 6%/3% deficit start/stop
- Apply percentage thresholds in flow/deficit gate and cleanup calculations
- Improve gate logging to show both percent rails and resolved dollar thresholds
- Update config table display and sample comments to percentage semantics
- Convert regime rebalance tests to percentage-based rail inputs

Author: brndnmtthws

tests/test_regime_rebalance.py

@@ -56,11 +56,11 @@ def portfolio_manager(mock_ib, mocker):
         cooldown_days=2,
         choppiness_min=0.1,
         efficiency_max=0.9,
-        flow_trade_min=2000.0,
-        flow_trade_stop=1000.0,
+        flow_trade_min=0.025,
+        flow_trade_stop=0.0125,
         flow_imbalance_tau=0.7,
-        deficit_rail_start=5000.0,
-        deficit_rail_stop=2500.0,
+        deficit_rail_start=0.06,
+        deficit_rail_stop=0.03,
         eps=1e-8,
         order_history_lookback_days=30,
         shares_only=False,
@@ -104,11 +104,11 @@ def portfolio_manager_with_db(mock_ib, mocker, tmp_path):
         cooldown_days=2,
         choppiness_min=0.1,
         efficiency_max=0.9,
-        flow_trade_min=2000.0,
-        flow_trade_stop=1000.0,
+        flow_trade_min=0.025,
+        flow_trade_stop=0.0125,
         flow_imbalance_tau=0.7,
-        deficit_rail_start=5000.0,
-        deficit_rail_stop=2500.0,
+        deficit_rail_start=0.06,
+        deficit_rail_stop=0.03,
         eps=1e-8,
         order_history_lookback_days=30,
         shares_only=False,
@@ -754,8 +754,8 @@ async def test_regime_rebalance_flow_trades_ignore_regime_gate(
     portfolio_manager.config.regime_rebalance.hard_band = 0.80
     portfolio_manager.config.regime_rebalance.choppiness_min = 10.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 0.01
-    portfolio_manager.config.regime_rebalance.flow_trade_min = 200.0
-    portfolio_manager.config.regime_rebalance.flow_trade_stop = 100.0
+    portfolio_manager.config.regime_rebalance.flow_trade_min = 0.10
+    portfolio_manager.config.regime_rebalance.flow_trade_stop = 0.05
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="2000")}
     portfolio_positions = {
@@ -807,12 +807,12 @@ def test_regime_rebalance_config_rejects_inverted_bands():
 
 def test_regime_rebalance_config_rejects_flow_hysteresis_inversion():
     with pytest.raises(ValueError, match="flow_trade_min"):
-        RegimeRebalanceConfig(flow_trade_min=100.0, flow_trade_stop=200.0)
+        RegimeRebalanceConfig(flow_trade_min=0.10, flow_trade_stop=0.20)
 
 
 def test_regime_rebalance_config_rejects_deficit_hysteresis_inversion():
     with pytest.raises(ValueError, match="deficit_rail_start"):
-        RegimeRebalanceConfig(deficit_rail_start=100.0, deficit_rail_stop=200.0)
+        RegimeRebalanceConfig(deficit_rail_start=0.10, deficit_rail_stop=0.20)
 
 
 def test_regime_rebalance_config_rejects_ratio_gate_missing_anchor():
@@ -859,7 +859,7 @@ async def test_regime_rebalance_respects_no_trading(portfolio_manager, mocker):
         account_summary, portfolio_positions
     )
 
-    assert orders == [("BBB", "NYSE", 1)]
+    assert orders == []
 
 
 @pytest.mark.asyncio
@@ -868,8 +868,8 @@ async def test_regime_rebalance_cash_added_triggers_buys(portfolio_manager, mock
     portfolio_manager.config.regime_rebalance.hard_band = 0.8
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.flow_trade_min = 200.0
-    portfolio_manager.config.regime_rebalance.flow_trade_stop = 100.0
+    portfolio_manager.config.regime_rebalance.flow_trade_min = 0.10
+    portfolio_manager.config.regime_rebalance.flow_trade_stop = 0.05
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="2000")}
     portfolio_positions = {
@@ -896,8 +896,8 @@ async def test_regime_rebalance_cash_withdrawn_triggers_sells(
     portfolio_manager.config.regime_rebalance.hard_band = 0.8
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.flow_trade_min = 200.0
-    portfolio_manager.config.regime_rebalance.flow_trade_stop = 100.0
+    portfolio_manager.config.regime_rebalance.flow_trade_min = 0.10
+    portfolio_manager.config.regime_rebalance.flow_trade_stop = 0.05
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="2000")}
     portfolio_positions = {
@@ -924,8 +924,8 @@ async def test_regime_rebalance_flow_hysteresis_uses_db_state(
     portfolio_manager_with_db.config.regime_rebalance.hard_band = 0.8
     portfolio_manager_with_db.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager_with_db.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager_with_db.config.regime_rebalance.flow_trade_min = 500.0
-    portfolio_manager_with_db.config.regime_rebalance.flow_trade_stop = 100.0
+    portfolio_manager_with_db.config.regime_rebalance.flow_trade_min = 0.25
+    portfolio_manager_with_db.config.regime_rebalance.flow_trade_stop = 0.05
 
     portfolio_manager_with_db.data_store.record_event(
         "regime_rebalance_state", {"flow_active": True, "deficit_active": False}
@@ -962,8 +962,8 @@ async def test_regime_rebalance_deficit_rail_sells_overweights(
     portfolio_manager.config.regime_rebalance.hard_band = 1.5
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_start = 300.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 100.0
+    portfolio_manager.config.regime_rebalance.deficit_rail_start = 0.30
+    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 0.10
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="1000")}
     portfolio_positions = {
@@ -988,8 +988,8 @@ async def test_regime_rebalance_deficit_rail_sells_pro_rata(portfolio_manager, m
     portfolio_manager.config.regime_rebalance.hard_band = 0.8
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_start = 100.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 50.0
+    portfolio_manager.config.regime_rebalance.deficit_rail_start = 0.10
+    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 0.05
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="1000")}
     portfolio_positions = {
@@ -1016,7 +1016,7 @@ async def test_regime_rebalance_deficit_rail_sells_from_initial_amount(
     portfolio_manager.config.regime_rebalance.hard_band = 1.5
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_start = 100.0
+    portfolio_manager.config.regime_rebalance.deficit_rail_start = 0.10
     portfolio_manager.config.regime_rebalance.deficit_rail_stop = 0.0
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="1000")}
@@ -1045,8 +1045,8 @@ async def test_regime_rebalance_deficit_cleanup_uses_stop_band(
     portfolio_manager.config.regime_rebalance.hard_band_rebalance_fraction = 0.5
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_start = 500.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 200.0
+    portfolio_manager.config.regime_rebalance.deficit_rail_start = 0.50
+    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 0.20
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="1000")}
     portfolio_positions = {
@@ -1074,8 +1074,8 @@ async def test_regime_rebalance_no_trading_blocks_deficit_and_hard(
     portfolio_manager.config.regime_rebalance.hard_band = 0.20
     portfolio_manager.config.regime_rebalance.choppiness_min = 0.0
     portfolio_manager.config.regime_rebalance.efficiency_max = 1.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_start = 100.0
-    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 50.0
+    portfolio_manager.config.regime_rebalance.deficit_rail_start = 0.10
+    portfolio_manager.config.regime_rebalance.deficit_rail_stop = 0.05
 
     account_summary = {"NetLiquidation": SimpleNamespace(value="1000")}
     portfolio_positions = {

thetagang.toml

@@ -517,11 +517,11 @@ minimum_open_interest = 10
 # cooldown_days = 5
 # choppiness_min = 3.0
 # efficiency_max = 0.30
-# flow_trade_min = 2000  # absolute excess cash needed to start flow trades
-# flow_trade_stop = 1000  # hysteresis stop once within this band
+# flow_trade_min = 0.025  # excess cash needed to start flow trades (fraction of base)
+# flow_trade_stop = 0.0125  # hysteresis stop once within this band (fraction of base)
 # flow_imbalance_tau = 0.70  # 0..1, higher requires more directional coherence
-# deficit_rail_start = 5000  # absolute deficit that triggers safety rail
-# deficit_rail_stop = 2500  # hysteresis stop once within this band
+# deficit_rail_start = 0.06  # deficit that triggers safety rail (fraction of base)
+# deficit_rail_stop = 0.03  # hysteresis stop once within this band (fraction of base)
 # order_history_lookback_days = 30  # look back this many calendar days for fills
 # shares_only = false  # when true, disables all option writes/rolls
 #

thetagang/config.py

@@ -565,11 +565,11 @@ class RegimeRebalanceConfig(BaseModel, DisplayMixin):
     cooldown_days: int = Field(default=5, ge=0)
     choppiness_min: float = Field(default=3.0, ge=0.0)
     efficiency_max: float = Field(default=0.30, ge=0.0, le=1.0)
-    flow_trade_min: float = Field(default=2000.0, ge=0.0)
-    flow_trade_stop: float = Field(default=1000.0, ge=0.0)
+    flow_trade_min: float = Field(default=0.025, ge=0.0, le=1.0)
+    flow_trade_stop: float = Field(default=0.0125, ge=0.0, le=1.0)
     flow_imbalance_tau: float = Field(default=0.70, ge=0.0, le=1.0)
-    deficit_rail_start: float = Field(default=5000.0, ge=0.0)
-    deficit_rail_stop: float = Field(default=2500.0, ge=0.0)
+    deficit_rail_start: float = Field(default=0.06, ge=0.0, le=1.0)
+    deficit_rail_stop: float = Field(default=0.03, ge=0.0, le=1.0)
     eps: float = Field(default=1e-8, gt=0.0)
     order_history_lookback_days: int = Field(default=30, ge=1)
     shares_only: bool = Field(default=False)
@@ -621,11 +621,11 @@ def add_to_table(self, table: Table, section: str = "") -> None:
         table.add_row("", "Cooldown days", "=", f"{self.cooldown_days}")
         table.add_row("", "Choppiness min", "=", f"{ffmt(self.choppiness_min)}")
         table.add_row("", "Efficiency max", "=", f"{pfmt(self.efficiency_max)}")
-        table.add_row("", "Flow trade min", "=", f"{dfmt(self.flow_trade_min)}")
-        table.add_row("", "Flow trade stop", "=", f"{dfmt(self.flow_trade_stop)}")
+        table.add_row("", "Flow trade min", "=", f"{pfmt(self.flow_trade_min)}")
+        table.add_row("", "Flow trade stop", "=", f"{pfmt(self.flow_trade_stop)}")
         table.add_row("", "Flow imbalance tau", "=", f"{ffmt(self.flow_imbalance_tau)}")
-        table.add_row("", "Deficit rail start", "=", f"{dfmt(self.deficit_rail_start)}")
-        table.add_row("", "Deficit rail stop", "=", f"{dfmt(self.deficit_rail_stop)}")
+        table.add_row("", "Deficit rail start", "=", f"{pfmt(self.deficit_rail_start)}")
+        table.add_row("", "Deficit rail stop", "=", f"{pfmt(self.deficit_rail_stop)}")
         table.add_row("", "Shares only", "=", f"{self.shares_only}")
         table.add_row("", "Weight base", "=", f"{self.weight_base.value}")
         if self.ratio_gate is not None:

thetagang/portfolio_manager.py

@@ -2132,20 +2132,24 @@ async def get_ticker_task(symbol: str) -> Tuple[str, Ticker]:
                 deficit_active = bool(state.get("deficit_active", False))
 
         excess_cash = total_value - invested_value
+        flow_trade_min_amount = total_value * regime_rebalance.flow_trade_min
+        flow_trade_stop_amount = total_value * regime_rebalance.flow_trade_stop
+        deficit_rail_start_amount = total_value * regime_rebalance.deficit_rail_start
+        deficit_rail_stop_amount = total_value * regime_rebalance.deficit_rail_stop
         flow_gate = False
         deficit_gate = False
         if excess_cash < 0:
             deficit_amount = -excess_cash
-            deficit_gate = deficit_amount >= regime_rebalance.deficit_rail_start or (
-                deficit_active and deficit_amount >= regime_rebalance.deficit_rail_stop
+            deficit_gate = deficit_amount >= deficit_rail_start_amount or (
+                deficit_active and deficit_amount >= deficit_rail_stop_amount
             )
             if not deficit_gate:
-                flow_gate = deficit_amount >= regime_rebalance.flow_trade_min or (
-                    flow_active and deficit_amount >= regime_rebalance.flow_trade_stop
+                flow_gate = deficit_amount >= flow_trade_min_amount or (
+                    flow_active and deficit_amount >= flow_trade_stop_amount
                 )
         else:
-            flow_gate = excess_cash >= regime_rebalance.flow_trade_min or (
-                flow_active and excess_cash >= regime_rebalance.flow_trade_stop
+            flow_gate = excess_cash >= flow_trade_min_amount or (
+                flow_active and excess_cash >= flow_trade_stop_amount
             )
 
         allowed_symbols = {
@@ -2333,12 +2337,10 @@ def build_deficit_orders(
             )
             excess_after = total_value - invested_after
             deficit_amount_after = max(0.0, -excess_after)
-            deficit_gate_after = (
-                deficit_amount_after >= regime_rebalance.deficit_rail_stop
-            )
+            deficit_gate_after = deficit_amount_after >= deficit_rail_stop_amount
             if deficit_gate_after:
                 deficit_needed = max(
-                    0.0, deficit_amount_after - regime_rebalance.deficit_rail_stop
+                    0.0, deficit_amount_after - deficit_rail_stop_amount
                 )
                 deficit_orders = build_deficit_orders(
                     shares_after,
@@ -2356,7 +2358,7 @@ def build_deficit_orders(
                         )
         elif deficit_gate:
             rebalance_mode = "deficit"
-            deficit_needed = max(0.0, -excess_cash - regime_rebalance.deficit_rail_stop)
+            deficit_needed = max(0.0, -excess_cash - deficit_rail_stop_amount)
             deficit_orders = build_deficit_orders(
                 current_positions,
                 deficit_needed,
@@ -2452,10 +2454,10 @@ def build_deficit_orders(
             f"cooldown_ok={cooldown_ok} mode={rebalance_mode} "
             f"flow_gate={flow_gate} deficit_gate={deficit_gate} "
             f"flow_active={flow_active} deficit_active={deficit_active} "
-            f"flow_min={dfmt(regime_rebalance.flow_trade_min)} "
-            f"flow_stop={dfmt(regime_rebalance.flow_trade_stop)} "
-            f"deficit_start={dfmt(regime_rebalance.deficit_rail_start)} "
-            f"deficit_stop={dfmt(regime_rebalance.deficit_rail_stop)} "
+            f"flow_min={pfmt(regime_rebalance.flow_trade_min)}({dfmt(flow_trade_min_amount)}) "
+            f"flow_stop={pfmt(regime_rebalance.flow_trade_stop)}({dfmt(flow_trade_stop_amount)}) "
+            f"deficit_start={pfmt(regime_rebalance.deficit_rail_start)}({dfmt(deficit_rail_start_amount)}) "
+            f"deficit_stop={pfmt(regime_rebalance.deficit_rail_stop)}({dfmt(deficit_rail_stop_amount)}) "
             f"excess_cash={dfmt(excess_cash)}"
             + (
                 " "