BUG: On stop-limit order, strike should equal stop, not candle open

Fixes #174

Author: kernc

backtesting/backtesting.py

@@ -806,9 +806,9 @@ def _process_orders(self):
                     continue
 
                 # stop_price, if set, was hit within this bar
-                price = (min(open, order.limit, stop_price or np.inf)
+                price = (min(stop_price or open, order.limit)
                          if order.is_long else
-                         max(open, order.limit, stop_price or -np.inf))
+                         max(stop_price or open, order.limit))
             else:
                 # Market-if-touched / market order
                 price = prev_close if self._trade_on_close else open

backtesting/test/_test.py

@@ -479,6 +479,15 @@ def coroutine(self):
 
         self._Backtest(coroutine).run()
 
+    def test_stop_limit_order_price_is_stop_price(self):
+        def coroutine(self):
+            self.buy(stop=112, limit=113, size=1)
+            self.sell(stop=107, limit=105, size=1)
+            yield
+
+        stats = self._Backtest(coroutine).run()
+        self.assertListEqual(stats._trades.filter(like='Price').stack().tolist(), [112, 107])
+
 
 class TestOptimize(TestCase):
     def test_optimize(self):