BUG: Fix "stop-loss executed at a higher than market price"

Fixes #521

Thanks!

Author: kernc

backtesting/backtesting.py

@@ -816,7 +816,6 @@ def next(self):
     def _process_orders(self):
         data = self._data
         open, high, low = data.Open[-1], data.High[-1], data.Low[-1]
-        prev_close = data.Close[-2]
         reprocess_orders = False
 
         # Process orders
@@ -856,7 +855,9 @@ def _process_orders(self):
                          max(stop_price or open, order.limit))
             else:
                 # Market-if-touched / market order
-                price = prev_close if self._trade_on_close else open
+                # Contingent orders always on next open
+                prev_close = data.Close[-2]
+                price = prev_close if self._trade_on_close and not order.is_contingent else open
                 price = (max(price, stop_price or -np.inf)
                          if order.is_long else
                          min(price, stop_price or np.inf))

backtesting/test/_test.py

@@ -964,6 +964,25 @@ def test_readme_contains_stats_keys(self):
             self.assertIn(key, readme)
 
 
+class TestRegressions(TestCase):
+    def test_gh_521(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                if self.data.Close[-1] == 100:
+                    self.buy(size=1, sl=90)
+
+        df = pd.DataFrame({
+            'Open': [100, 100, 100, 50, 50],
+            'High': [100, 100, 100, 50, 50],
+            'Low': [100, 100, 100, 50, 50],
+            'Close': [100, 100, 100, 50, 50],
+        })
+        bt = Backtest(df, S, cash=100, trade_on_close=True)
+        self.assertEqual(bt.run()._trades['ExitPrice'][0], 50)
+
+
 if __name__ == '__main__':
     warnings.filterwarnings('error')
     unittest.main()