fix(backtest): ignore untradable fill remainders

Author: tianhe

backend_api_python/app/services/strategy_v2/runtime.py

@@ -537,6 +537,12 @@ def execute(
                 continue
             delta = feasible_delta
             target_qty = current.amount + delta
+            remaining_quantity = max(0.0, abs(requested_delta) - abs(delta))
+            has_tradable_remainder = (
+                remaining_quantity + 1e-12 >= lot_size
+                and remaining_quantity * open_price + 1e-12 >= 0.01
+            )
+            execution_status = "partial" if has_tradable_remainder else "filled"
             notional = abs(delta * fill_price)
             fee = notional * self.commission
             projected_cash = self.portfolio.available_cash - delta * fill_price - fee
@@ -584,15 +590,17 @@ def execute(
                 "signal_time": str(order.signal_time) if order.signal_time is not None else str(pd.Timestamp(timestamp)),
                 "fill_reference": "bar_open",
                 "reference_price": open_price,
-                "status": "partial" if abs(delta) + 1e-12 < abs(requested_delta) else "filled",
+                "status": execution_status,
                 "requested_quantity": abs(requested_delta),
             }
             self.executions.append(execution)
-            reason = constraint_reason or (
-                "insufficient_liquidity"
-                if liquidity_cap is not None and abs(requested_delta) > liquidity_cap
-                else "filled"
-            )
+            reason = "filled"
+            if execution_status == "partial":
+                reason = constraint_reason or (
+                    "insufficient_liquidity"
+                    if liquidity_cap is not None and abs(requested_delta) > liquidity_cap
+                    else "partial_fill"
+                )
             self.order_ledger.append(self._order_event(
                 order_id,
                 order,

backend_api_python/tests/test_strategy_v2_runtime.py

@@ -368,3 +368,67 @@ def handle_data(context, data):
         item["statusReason"] == "target_already_met"
         for item in result["orderLedger"]
     )
+
+
+def test_crypto_lot_rounding_is_filled_without_a_tail_retry():
+    frame = _frame([58_700, 58_700, 58_700])
+    code = """
+def initialize(context):
+    g.symbol = "Crypto:BTC/USDT@swap"
+    g.sent = False
+    context.set_universe([g.symbol])
+    context.subscribe(frequency="1m")
+
+def handle_data(context, data):
+    if not g.sent:
+        order_target_percent(g.symbol, 0.95, reason="entry")
+        g.sent = True
+"""
+    result = StrategyV2BacktestRunner(
+        code=code,
+        frames={"Crypto:BTC/USDT@swap": frame},
+        initial_capital=10_000,
+        commission=0.0005,
+        slippage=0.0005,
+    ).run()
+
+    assert result["totalExecutions"] == 1
+    assert result["rawTrades"][0]["status"] == "filled"
+    assert result["attribution"]["orderStatus"] == {
+        "filled": 1,
+        "partial": 0,
+        "deferred": 0,
+        "rejected": 0,
+    }
+    assert not any(
+        item["statusReason"] == "target_already_met"
+        for item in result["orderLedger"]
+    )
+
+
+def test_crypto_target_reversals_do_not_retry_untradable_tail_quantities():
+    frame = _frame([58_700] * 6)
+    code = """
+def initialize(context):
+    g.symbol = "Crypto:BTC/USDT@swap"
+    g.step = 0
+    context.set_universe([g.symbol])
+    context.subscribe(frequency="1m")
+
+def handle_data(context, data):
+    target = 0.95 if g.step % 2 == 0 else -0.95
+    order_target_percent(g.symbol, target, reason="regime_change")
+    g.step += 1
+"""
+    result = StrategyV2BacktestRunner(
+        code=code,
+        frames={"Crypto:BTC/USDT@swap": frame},
+        initial_capital=10_000,
+        commission=0.0005,
+        slippage=0.0005,
+    ).run()
+
+    assert result["totalExecutions"] == 5
+    assert {item["status"] for item in result["rawTrades"]} == {"filled"}
+    assert result["attribution"]["orderStatus"]["partial"] == 0
+    assert result["attribution"]["orderStatus"]["rejected"] == 0