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