BUG: Fix SL always executes before TP when hit in the same bar, as documented

Fixes #1241

Author: kernc

backtesting/backtesting.py

@@ -801,11 +801,8 @@ def new_order(self,
                     f"TP ({tp}) < LIMIT ({limit or stop or adjusted_price}) < SL ({sl})")
 
         order = Order(self, size, limit, stop, sl, tp, trade, tag)
-        # Put the new order in the order queue,
-        # inserting SL/TP/trade-closing orders in-front
-        if trade:
-            self.orders.insert(0, order)
-        else:
+
+        if not trade:
             # If exclusive orders (each new order auto-closes previous orders/position),
             # cancel all non-contingent orders and close all open trades beforehand
             if self._exclusive_orders:
@@ -815,7 +812,8 @@ def new_order(self,
                 for t in self.trades:
                     t.close()
 
-            self.orders.append(order)
+        # Put the new order in the order queue, Ensure SL orders are processed first
+        self.orders.insert(0 if trade and stop else len(self.orders), order)
 
         return order
 
@@ -1067,9 +1065,6 @@ def _open_trade(self, price: float, size: int,
         # Apply broker commission at trade open
         self._cash -= self._commission(size, price)
         # Create SL/TP (bracket) orders.
-        # Make sure SL order is created first so it gets adversarially processed before TP order
-        # in case of an ambiguous tie (both hit within a single bar).
-        # Note, sl/tp orders are inserted at the front of the list, thus order reversed.
         if tp:
             trade.tp = tp
         if sl:

backtesting/test/_test.py

@@ -1108,3 +1108,21 @@ def test_trades_dates_match_prices(self):
         trades = bt.run()._trades
         self.assertEqual(EURUSD.Close[trades['ExitTime']].tolist(),
                          trades['ExitPrice'].tolist())
+
+    def test_sl_always_before_tp(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                i = len(self.data.index)
+                if i == 4:
+                    self.buy()
+                if i == 5:
+                    t = self.trades[0]
+                    t.sl = 105
+                    t.tp = 107.9
+
+        trades = Backtest(SHORT_DATA, S).run()._trades
+        (bt := Backtest(SHORT_DATA, S)).run()
+        bt.plot()
+        self.assertEqual(trades['ExitPrice'].iloc[0], 104.95)