fix: reject non-finite backtest cost assumptions

This commit is contained in:
agentson
2026-02-27 08:36:38 +09:00
parent 7d72669cb8
commit 2331d80915
2 changed files with 32 additions and 3 deletions

View File

@@ -57,3 +57,27 @@ def test_unfavorable_fill_requirement_cannot_be_disabled() -> None:
)
with pytest.raises(ValueError, match="unfavorable_fill_required must be True"):
validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
@pytest.mark.parametrize("bad_commission", [float("nan"), float("inf"), float("-inf")])
def test_non_finite_commission_rejected(bad_commission: float) -> None:
model = BacktestCostModel(
commission_bps=bad_commission,
slippage_bps_by_session={"KRX_REG": 10.0},
failure_rate_by_session={"KRX_REG": 0.02},
unfavorable_fill_required=True,
)
with pytest.raises(ValueError, match="commission_bps"):
validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])
@pytest.mark.parametrize("bad_slippage", [float("nan"), float("inf"), float("-inf")])
def test_non_finite_slippage_rejected(bad_slippage: float) -> None:
model = BacktestCostModel(
commission_bps=5.0,
slippage_bps_by_session={"KRX_REG": bad_slippage},
failure_rate_by_session={"KRX_REG": 0.02},
unfavorable_fill_required=True,
)
with pytest.raises(ValueError, match="slippage bps"):
validate_backtest_cost_model(model=model, required_sessions=["KRX_REG"])