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fix: validate execution assumption ranges in backtest model

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agentson
2026-02-27 08:41:56 +09:00
parent 5b52f593a8
commit 13ba9e8081
2 changed files with 42 additions and 0 deletions
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32
tests/test_backtest_execution_model.py
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@@ -74,3 +74,35 @@ def test_partial_fill_applies_when_rate_is_one() -> None:
assert out.status == "PARTIAL"
assert out.filled_qty == 4
assert out.avg_price == 100.0
@pytest.mark.parametrize("bad_slip", [-1.0, float("nan"), float("inf")])
def test_invalid_slippage_is_rejected(bad_slip: float) -> None:
with pytest.raises(ValueError, match="slippage_bps"):
BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session={"US_PRE": bad_slip},
failure_rate_by_session={"US_PRE": 0.0},
partial_fill_rate_by_session={"US_PRE": 0.0},
)
)
@pytest.mark.parametrize("bad_rate", [-0.1, 1.1, float("nan")])
def test_invalid_failure_or_partial_rates_are_rejected(bad_rate: float) -> None:
with pytest.raises(ValueError, match="failure_rate"):
BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session={"US_PRE": 10.0},
failure_rate_by_session={"US_PRE": bad_rate},
partial_fill_rate_by_session={"US_PRE": 0.0},
)
)
with pytest.raises(ValueError, match="partial_fill_rate"):
BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session={"US_PRE": 10.0},
failure_rate_by_session={"US_PRE": 0.0},
partial_fill_rate_by_session={"US_PRE": bad_rate},
)
)