fix: guard against anomalous ask prices in backtest fill engine#28
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fix: guard against anomalous ask prices in backtest fill engine#28
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Corrupted Dukascopy ask data files (raw decimal instead of pipettes) cause wildly incorrect fill pricing. Add a 5% relative-divergence guard in _compute_fill_price that falls back to bid-only pricing when ask/bid divergence exceeds the threshold. Co-Authored-By: Paperclip <noreply@paperclip.ing>
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Summary
_compute_fill_price— when|ask - bid| / bid > 0.05, logs a warning and falls back to bid-only pricingContext
15 out of 5,136 AUDNZD ask data files from Dukascopy have prices in raw decimal format (~1.025) instead of pipettes (~10,250). Discovered during RAD-31 investigation where bid/ask pricing destroyed portfolio alpha (+84,840 → -94,793 PnL).
Test plan
🤖 Generated with Claude Code
Co-Authored-By: Paperclip noreply@paperclip.ing