[Reconciliation] Fails for routing clients when instrument venue differs from client venue

[cjdsellers]

Position reconciliation is currently broken for routing brokers like Interactive Brokers where the client venue (e.g., INTERACTIVE_BROKERS) differs from the actual instrument venues (e.g., NYSE, NASDAQ).

In execution_engine.py:1300, reconciliation filters positions by the client's venue:

for position in self._cache.positions_open(venue):

For IB, venue is IB_VENUE but positions have venues like NYSE, so positions_open(IB_VENUE) returns nothing and reconciliation gets skipped entirely.

Impact

• Affects any routing broker (IB, potentially others).
• Phantom positions can't be reconciled if they were closed externally.
• Related to [Interactive Brokers] Incorrectly skips producing position reports for flat positions #3023 but broader scope.

Potential Solution

The code already uses venue=None for individual position reconciliation at line 1867. We likely need similar handling earlier in the reconciliation flow, or better cache filtering that understands client-to-venue relationships.

Related

Discovered during testing of #3023 fix by @idobz

[cjdsellers]

Note there is a reconciliation branch which needs to be merged to develop (after next release) prior to any work on this.