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ChadThackraykernc
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Revert name changes
1 parent 90fa2bf commit e8d780a

1 file changed

Lines changed: 12 additions & 14 deletions

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backtesting/backtesting.py

Lines changed: 12 additions & 14 deletions
Original file line numberDiff line numberDiff line change
@@ -882,9 +882,7 @@ def next(self):
882882

883883
def _process_orders(self):
884884
data = self._data
885-
open_price = data._current_value("Open")
886-
high_price = data._current_value("High")
887-
low_price = data._current_value("Low")
885+
open, high, low = data._current_value("Open"), data._current_value("High"), data._current_value("Low")
888886
reprocess_orders = False
889887

890888
# Process orders
@@ -898,7 +896,7 @@ def _process_orders(self):
898896
stop_price = order.stop
899897
if stop_price:
900898
is_stop_hit = (
901-
high_price >= stop_price if order.is_long else low_price <= stop_price
899+
high >= stop_price if order.is_long else low <= stop_price
902900
)
903901
if not is_stop_hit:
904902
continue
@@ -911,7 +909,7 @@ def _process_orders(self):
911909
# Check if limit order can be filled.
912910
if order.limit:
913911
is_limit_hit = (
914-
low_price <= order.limit if order.is_long else high_price >= order.limit
912+
low <= order.limit if order.is_long else high >= order.limit
915913
)
916914
# When stop and limit are hit within the same bar, we pessimistically
917915
# assume limit was hit before the stop (i.e. "before it counts")
@@ -924,9 +922,9 @@ def _process_orders(self):
924922

925923
# stop_price, if set, was hit within this bar
926924
price = (
927-
min(stop_price or open_price, order.limit)
925+
min(stop_price or open, order.limit)
928926
if order.is_long
929-
else max(stop_price or open_price, order.limit)
927+
else max(stop_price or open, order.limit)
930928
)
931929
else:
932930
# Market-if-touched / market order
@@ -935,7 +933,7 @@ def _process_orders(self):
935933
price = (
936934
prev_close
937935
if self._trade_on_close and not order.is_contingent
938-
else open_price
936+
else open
939937
)
940938
if stop_price:
941939
price = max(price, stop_price) if order.is_long else min(price, stop_price)
@@ -1054,20 +1052,20 @@ def _process_orders(self):
10541052
and (
10551053
(
10561054
order.is_long
1057-
and order.tp <= high_price
1058-
and (order.sl or -np.inf) < low_price
1055+
and order.tp <= high
1056+
and (order.sl or -np.inf) < low
10591057
)
10601058
or (
10611059
order.is_short
1062-
and order.tp >= low_price
1063-
and (order.sl or np.inf) > high_price
1060+
and order.tp >= low
1061+
and (order.sl or np.inf) > high
10641062
)
10651063
)
10661064
):
10671065
reprocess_orders = True
10681066
elif (
1069-
low_price <= (order.sl or -np.inf) <= high_price
1070-
or low_price <= (order.tp or -np.inf) <= high_price
1067+
low <= (order.sl or -np.inf) <= high
1068+
or low <= (order.tp or -np.inf) <= high
10711069
):
10721070
warnings.warn(
10731071
f"({data.index[-1]}) A contingent SL/TP order would execute in the "

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