BUG: Fix stop-market and TP hit within the same bar

Fixes #1224

Thanks @mmarihart

Author: kernc

backtesting/backtesting.py

@@ -1005,6 +1005,12 @@ def _process_orders(self):
                 if order.sl or order.tp:
                     if is_market_order:
                         reprocess_orders = True
+                    # Order.stop and TP hit within the same bar, but SL wasn't. This case
+                    # is not ambiguous, because stop and TP go in the same price direction.
+                    elif stop_price and not order.limit and order.tp and (
+                            (order.is_long and order.tp <= high and (order.sl or -np.inf) < low) or
+                            (order.is_short and order.tp >= low and (order.sl or np.inf) > high)):
+                        reprocess_orders = True
                     elif (low <= (order.sl or -np.inf) <= high or
                           low <= (order.tp or -np.inf) <= high):
                         warnings.warn(

backtesting/test/_test.py

@@ -1106,3 +1106,14 @@ def next(self):
 
         trades = Backtest(SHORT_DATA, S).run()._trades
         self.assertEqual(trades['ExitPrice'].iloc[0], 104.95)
+
+    def test_stop_entry_and_tp_in_same_bar(self):
+        class S(_S):
+            def next(self):
+                i = len(self.data.index)
+                if i == 3:
+                    self.sell(stop=108, tp=105, sl=113)
+
+        trades = Backtest(SHORT_DATA, S).run()._trades
+        self.assertEqual(trades['ExitBar'].iloc[0], 3)
+        self.assertEqual(trades['ExitPrice'].iloc[0], 105)