BUG: Handle orders placed in the last strategy iteration

Fixes #158

Author: kernc

backtesting/backtesting.py

@@ -1148,6 +1148,11 @@ def run(self, **kwargs) -> pd.Series:
 
                 # Next tick, a moment before bar close
                 strategy.next()
+            else:
+                # Re-run broker one last time to handle orders placed in the last strategy
+                # iteration. Use the same OHLC values as in the last broker iteration.
+                if start < len(self._data):
+                    try_(broker.next, exception=_OutOfMoneyError)
 
         # Set data back to full length
         # for future `indicator._opts['data'].index` calls to work

backtesting/test/_test.py

@@ -380,6 +380,18 @@ def next(self):
         bt = Backtest(GOOG, SmaCross, commission=.002)
         bt.run()
 
+    def test_close_orders_from_last_strategy_iteration(self):
+        class S(Strategy):
+            def init(self): pass
+
+            def next(self):
+                if not self.position:
+                    self.buy()
+                elif len(self.data) == len(SHORT_DATA):
+                    self.position.close()
+
+        self.assertFalse(Backtest(SHORT_DATA, S).run()._trades.empty)
+
 
 class TestStrategy(TestCase):
     def _Backtest(self, strategy_coroutine, **kwargs):