src/analysis/backtest_execution_model.py

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

tests/test_backtest_execution_model.py

@@ -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},
+            )
+        )