ENH: Warn on remaining open trades

#1281

Author: kernc

backtesting/backtesting.py

@@ -1343,6 +1343,11 @@ def run(self, **kwargs) -> pd.Series:
                     #  strategy iteration. Use the same OHLC values as in the last broker iteration.
                     if start < len(self._data):
                         try_(broker.next, exception=_OutOfMoneyError)
+                elif len(broker.trades):
+                    warnings.warn(
+                        'Some trades remain open at the end of backtest. Use '
+                        '`Backtest(..., finalize_trades=True)` to close them and '
+                        'include them in stats.', stacklevel=2)
 
             # Set data back to full length
             # for future `indicator._opts['data'].index` calls to work

backtesting/test/_test.py

@@ -433,7 +433,8 @@ def next(self):
                 elif len(self.data) == len(SHORT_DATA):
                     self.position.close()
 
-        self.assertTrue(Backtest(SHORT_DATA, S, finalize_trades=False).run()._trades.empty)
+        with self.assertWarnsRegex(UserWarning, 'finalize_trades'):
+            self.assertTrue(Backtest(SHORT_DATA, S, finalize_trades=False).run()._trades.empty)
         self.assertFalse(Backtest(SHORT_DATA, S, finalize_trades=True).run()._trades.empty)
 
     def test_check_adjusted_price_when_placing_order(self):