BUG: Validate SL/TP vs. adjusted_price when placing orders

Fixes #147

Author: kernc

backtesting/backtesting.py

@@ -699,15 +699,16 @@ def new_order(self,
         tp = tp and float(tp)
 
         is_long = size > 0
+        adjusted_price = self._adjusted_price(size)
 
         if is_long:
-            if not (sl or -np.inf) <= (limit or stop or self.last_price) <= (tp or np.inf):
+            if not (sl or -np.inf) < (limit or stop or adjusted_price) < (tp or np.inf):
                 raise ValueError("Long orders require: SL ({}) < LIMIT ({}) < TP ({})".format(
-                    sl, limit or stop or self.last_price, tp))
+                    sl, limit or stop or adjusted_price, tp))
         else:
-            if not (tp or -np.inf) <= (limit or stop or self.last_price) <= (sl or np.inf):
+            if not (tp or -np.inf) < (limit or stop or adjusted_price) < (sl or np.inf):
                 raise ValueError("Short orders require: TP ({}) < LIMIT ({}) < SL ({})".format(
-                    tp, limit or stop or self.last_price, sl))
+                    tp, limit or stop or adjusted_price, sl))
 
         order = Order(self, size, limit, stop, sl, tp, trade)
         # Put the new order in the order queue,
@@ -730,11 +731,13 @@ def new_order(self,
 
     @property
     def last_price(self) -> float:
-        """Return price at the last (current) close.
-        Used e.g. in `Orders._is_price_ok()` to see if the set price is reasonable.
-        """
+        """ Price at the last (current) close. """
         return self._data.Close[-1]
 
+    def _adjusted_price(self, size=None, price=None) -> float:
+        """ Long/short `price`, adjusted for commitions."""
+        return (price or self.last_price) * (1 + copysign(self._commission, size))
+
     @property
     def equity(self) -> float:
         return self._cash + sum(trade.pl for trade in self.trades)
@@ -839,7 +842,7 @@ def _process_orders(self):
 
             # Adjust price to include commission (or bid-ask spread).
             # In long positions, the adjusted price is a fraction higher, and vice versa.
-            adjusted_price = price * (1 + copysign(self._commission, order.size))
+            adjusted_price = self._adjusted_price(order.size, price)
 
             # If order size was specified proportionally,
             # precompute true size in units, accounting for margin and spread/commissions

backtesting/test/_test.py

@@ -392,6 +392,15 @@ def next(self):
 
         self.assertFalse(Backtest(SHORT_DATA, S).run()._trades.empty)
 
+    def test_check_adjusted_price_when_placing_order(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                self.buy(tp=self.data.Close * 1.01)
+
+        self.assertRaises(ValueError, Backtest(SHORT_DATA, S, commission=.02).run)
+
 
 class TestStrategy(TestCase):
     def _Backtest(self, strategy_coroutine, **kwargs):