Repository navigation
fix: align integer-allocation prices by ticker - #1
Merged
Merged
Conversation
…ign-discrete-prices
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
lp_portfolio consumes latest_prices.values in Series order but labels solver variables with weights dictionary order. With A=10, B=100, equal weights and a 200 budget, reversed prices can return A=1, B=10 (actual cost 1010) despite reporting no leftover. Extra unrelated prices cause a shape mismatch.
Select prices by the current weight ticker order before building the integer program. Preserve the public input Series and existing optimization formulation.
Validation: both new parameterized regression cases failed before the fix. All 19 discrete-allocation tests pass on Python 3.12 with ECOS installed; the new cases explicitly use SciPy's mixed-integer solver and verify allocation, actual spend and leftover. Existing solver warnings remain.