BUG: Fix simulation correctness bugs in slippage, cancel policy, and order params#316
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pandashark wants to merge 1 commit intostefan-jansen:mainfrom
Open
BUG: Fix simulation correctness bugs in slippage, cancel policy, and order params#316pandashark wants to merge 1 commit intostefan-jansen:mainfrom
pandashark wants to merge 1 commit intostefan-jansen:mainfrom
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…order params Fix execute_daily_cancel_policy to cancel all orders for all assets, not just the first order when multiple are open. Fix NoSlippage and FixedSlippage to use order.open_amount instead of order.amount. Fix VolumeShareSlippage to return (None, None) on null price. Wrap before_trading_start in try/finally to reset _in_before_trading_start flag on exception. Use 'is not None' for limit_price/stop_price checks to allow price of 0.0. Closes stefan-jansen#313
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Summary
Fixes 5 simulation correctness bugs that can produce incorrect backtest results:
execute_daily_cancel_policyonly cancelled the first order per asset and skipped assets with a single order entirely. Replaced inline logic withcancel_all_orders_for_asset().NoSlippageandFixedSlippageusedorder.amountinstead oforder.open_amount, overfilling partially filled orders.VolumeShareSlippagereturned bareNoneon NaN price instead of(None, None), causingTypeErrorduring tuple unpacking.before_trading_startdidn't reset_in_before_trading_starton exception, permanently blocking orders.limit_price/stop_priceused truthiness checks, treating0.0as falsy and silently converting toMarketOrder.Closes #313
Test plan
test_eod_order_cancel_dailyto match corrected EODCancel behavior