GitHubandClaude Opus 4.8 16dc2e7da9 feat(backtest): add OrderSimulator with 5 execution modes and reject policy ...

- Implement OrderSimulator class for order matching simulation
- Support 5 execution modes: next_open, next_close, this_close, worst, best
- Support 3 position modes: full, fixed, percent
- Support 2 reject policies: reduce (partial fill), skip (reject)
- Implement fee model: commission (min 5 CNY), stamp tax (0.1% sell only), slippage
- Add future_leak_warning flag for this_close mode
- Handle both int and datetime column types in DataFrame
- Add comprehensive test suite with 24 test cases covering all modes

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-06-09 17:52:31 +08:00

..

__init__.py

feat(backtest): add core data types (Signal/Trade/Position/BacktestResult)

2026-06-09 16:43:44 +08:00

orders.py

feat(backtest): add OrderSimulator with 5 execution modes and reject policy

2026-06-09 17:52:31 +08:00

strategy.py

feat(backtest): add Strategy base class with DataProxy and crossover

2026-06-09 16:53:57 +08:00

types.py

feat(backtest): add core data types (Signal/Trade/Position/BacktestResult)

2026-06-09 16:43:44 +08:00