feat(backtest): add bid/ask-aware fills and transaction cost overlays#24
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feat(backtest): add bid/ask-aware fills and transaction cost overlays#24
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- BacktestClient fills BUY at ask, SELL at bid using Dukascopy ask candle data - TransactionCosts dataclass added (slippage_points, slippage_bps, commission_per_fill, commission_per_round_trip) — all default zero for backward compatibility - BacktestStreamer injects _AskPriceUpdate sentinels so ask price is current at each fill - TradeRecord + PositionClosedEvent gain cost fields (all default 0.0) - TradeLedger: trades.csv and round_trips.csv include cost columns - Warning logged when ask series registered but ask price missing at fill timestamp Co-Authored-By: Paperclip <[email protected]>
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Summary
Implements bid/ask-aware fill pricing in the backtest engine (RAD-45).
TransactionCostsdataclass added with slippage and commission fields — all default zero for backward compatibilityBacktestStreamerinjects_AskPriceUpdatesentinels so ask price is current at each fill timestampTradeRecord+PositionClosedEventgain cost breakdown fields (all default 0.0)TradeLedgerwrites cost columns to trades.csv and round_trips.csvTest plan
tests/execution/backtest/test_bid_ask_fills.pyQA
Approved by Testy after veto-fix squash. Relates to RAD-45.
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