fix: validate execution assumption ranges in backtest model
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@@ -3,6 +3,7 @@
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from __future__ import annotations
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from dataclasses import dataclass
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import math
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from random import Random
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from typing import Literal
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@@ -47,6 +48,15 @@ class BacktestExecutionModel:
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raise ValueError("partial fill ratios must be within (0,1]")
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if assumptions.partial_fill_min_ratio > assumptions.partial_fill_max_ratio:
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raise ValueError("partial_fill_min_ratio must be <= partial_fill_max_ratio")
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for sess, bps in assumptions.slippage_bps_by_session.items():
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if not math.isfinite(bps) or bps < 0:
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raise ValueError(f"slippage_bps must be finite and >= 0 for session={sess}")
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for sess, rate in assumptions.failure_rate_by_session.items():
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if not math.isfinite(rate) or rate < 0 or rate > 1:
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raise ValueError(f"failure_rate must be in [0,1] for session={sess}")
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for sess, rate in assumptions.partial_fill_rate_by_session.items():
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if not math.isfinite(rate) or rate < 0 or rate > 1:
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raise ValueError(f"partial_fill_rate must be in [0,1] for session={sess}")
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def simulate(self, request: ExecutionRequest) -> ExecutionResult:
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if request.qty <= 0:
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