Add adaptive_bar_ordering to BacktestVenueConfig

[faysou]

Pull Request

Add adaptive_bar_ordering to BacktestVenueConfig

Executes Low before High if Low is closer to Open, and vice versa

Type of change

• New feature (non-breaking change which adds functionality)

How has this change been tested?

Attempted to add a test in test_matching_engine.py, left it as comment for further work

[stefansimik]

Hi @faysou ,

First, thank you again for implementing this feature so quickly! While testing it, I had a thought about the configuration name dynamic_bar_execution that I wanted to run by you.

Would you consider renaming it to adaptive_bar_ordering? Here's my reasoning:

1. "Ordering" more precisely describes what we're modifying - it's specifically about the sequence of OHLC price points within a bar, rather than the broader concept of "execution"
2. "Adaptive" better communicates that the ordering is based on a specific condition (price proximity) rather than just being dynamic/random

The new name would make the feature's purpose more immediately clear to other users who might benefit from this improvement in backtesting accuracy.

What are your thoughts on this? :-)

[faysou]

Yes no problem, I'll make the change later today

[stefansimik]

I have tested this new behavior for basic scenario and I can confirm it works great 👍

[faysou]

ok thank you. I've attempted to add a test, but it's quite difficult, I've left the current status of the code for the test as comment.

[stefansimik]

I was also checking, how to debug this (using some Python breakpoint) and found out, that the only way for me was to check the DEBUG logs. Probably it is hard to test easily using Python, as the ticks from bars are generated outside of Python.

As an alternative (for missing test coverage), I will be using this feature extensively - so I will guarantee correct working.
Let's use human power here, as in the old days 😄

[faysou]

yes ticks from bars are in cython. you can add log or print statements then recompile with make build-debug

[stefansimik]

yes ticks from bars are in cython. you can add log or print statements then recompile with make build-debug

Yeah, I am really happy I learnt this from you today - how to build / compile this locally. That makes a huge difference in testing /dev and brings new options how to test everything. Very happy for this 👍

[faysou]

Yes, I've saved you some time, but you have good ideas as well, I like that. Most people never have any idea 😂

[cjdsellers]

Noted that the test is WIP and being actively worked on 👌

[stefansimik]

Noted that the test is WIP and being actively worked on 👌

I was thinking about test - it probably belongs here:
tests/unit_tests/backtest/test_matching_engine.py,

but have no idea, how could one technically verify from Python, that Bar was splitted into 4 prices as this is done in Cython code. I can't simply find any link to internal data, that could be checked in the test to verify.

Maybe one option would be to verify it by the external effects -> for examle when we fire 2 limit order (1st near top of the bar, 2nd near bottom of the bar) and we can check in which order they are filled. By this approach could be confusing and too far from original simple point we need to test.

[cjdsellers]

@stefansimik I also think thats a good location for the test, and @faysou is currently working on one.

I think testing the external effects of setting the config option True and then processing bars and checking order fills would be enough.

The OrderMatchingEngine is indirectly tested via the SimulatedExchange which contains it, in many of those test_exchange* modules. Thats why there aren't many tests in test_matching_engine.py. (There was a refactoring years ago which extracted the matching engine out of the exchange, but test modules weren't renamed.)

@filipmacek is currently working on the Rust port for OrderMatchingEngine, and we'll make sure this time around its more thoroughly and directly tested.

I also just pushed this refactoring.

• Renamed to bar_adaptive_high_low_ordering to more clearly express the behavior.
• Reordered the params to group the bar config options and adjust the hierarchy of settings.

[stefansimik]

Like the new name even more = 100% clear and self-descriptive. 👌👌