Document and test stop-first intrabar execution policy (#49)

tests/test_intrabar_execution.py

@@ -0,0 +1,48 @@
+import unittest
+
+import pandas as pd
+
+from backtestingfx import Backtest, Strategy
+
+
+class IntrabarExecutionTest(unittest.TestCase):
+    def test_new_entries_are_checked_from_the_following_bar(self):
+        for is_long in (True, False):
+            for count in (1, 2):
+                with self.subTest(is_long=is_long, count=count):
+                    seen = []
+
+                    class EnterOnce(Strategy):
+                        def next(self):
+                            seen.append(len(self.positions))
+                            if self.index == 0:
+                                if is_long:
+                                    self.buy(1.0, stop_loss=1.09, take_profit=1.11)
+                                else:
+                                    self.sell(1.0, stop_loss=1.11, take_profit=1.09)
+
+                    index = pd.date_range("2026-01-01", periods=count, freq="h", tz="UTC")
+                    data = pd.DataFrame(
+                        {"open": [1.1] * count, "high": [1.12] * count,
+                         "low": [1.08] * count, "close": [1.1] * count},
+                        index=index,
+                    )
+                    stats = Backtest(data, EnterOnce, commission=0, spread=0).run()
+                    self.assertEqual(stats.num_trades, 1)
+                    trade = stats.trades[0]
+                    self.assertEqual(trade.entry_timestamp, int(index[0].timestamp()))
+                    self.assertEqual(trade.exit_timestamp, int(index[-1].timestamp()))
+                    if count == 1:
+                        # Final liquidation at close: the entry bar's range is not replayed.
+                        self.assertAlmostEqual(trade.exit_price, 1.1)
+                        self.assertAlmostEqual(trade.pnl, 0.0)
+                        self.assertEqual(seen, [0])
+                    else:
+                        # Both levels touched on the next bar: stop is processed before next().
+                        self.assertAlmostEqual(trade.exit_price, 1.09 if is_long else 1.11)
+                        self.assertAlmostEqual(trade.pnl, -1000.0)
+                        self.assertEqual(seen, [0, 0])
+
+
+if __name__ == "__main__":
+    unittest.main()