Enums#

Enumerations used across the backtest engine to express order side, price type and rebalance status with type-safe values.

Trading Enums#

Trading enumerations module.

This module defines type-safe enumerations for trading operations used throughout the backtesting engine. These enums provide compile-time type safety and consistent naming conventions.

All enums inherit from StrEnum for string serialization compatibility.

class OrderSide(*values)#

Bases: StrEnum

Enumeration representing the side of a trade order.

This enum distinguishes between buy and sell operations in the backtesting engine. It is used by TradeOrder and ExecutionBroker to track trade direction.

Variables:

  • BUY (str) – Represents a purchase order that increases position size. Value is “buy”.

  • SELL (str) – Represents a sale order that decreases position size. Value is “sell”.

Examples

Creating and using OrderSide:

>>> side = OrderSide.BUY
>>> side.value
'buy'
>>> side == OrderSide.BUY
True

Using in conditionals:

>>> if side == OrderSide.SELL:
...     print("Selling position")

Notes

As a StrEnum, OrderSide values can be directly compared with strings and used as dictionary keys or in JSON serialization.

class PriceType(*values)#

Bases: StrEnum

Enumeration for different price sources used in backtesting.

The backtesting engine uses multiple price types for different purposes. Values for the three standard price types are derived from StandardField so that field_definitions.py remains the single source of truth.

Variables:

  • EXECUTION (str) – Price used for trade execution. This is the configurable price source selected by the user. Value is "execution".

  • COMMISSION_PRICE (str) – Price used for commission calculation (share count for fees). Value is derived from StandardField.COMMISSION_PRICE.

  • TRADE_EXECUTION_PRICE (str) – Price used as the default trade execution price (typically split/dividend-adjusted VWAP). Value is derived from StandardField.TRADE_EXECUTION_PRICE.

  • MARK_TO_MARKET_PRICE (str) – Price used for daily portfolio valuation. Value is derived from StandardField.MARK_TO_MARKET_PRICE.

Examples

Using as cache keys:

>>> price_cache: dict[str, pa.Table] = {}
>>> price_cache[PriceType.EXECUTION.value] = execution_table
>>> price_cache[PriceType.COMMISSION_PRICE.value] = commission_table

Notes

The EXECUTION price type is special — it represents whatever price source was configured for trade execution, which could be any of the standard price columns.

class RebalanceStatus(*values)#

Bases: StrEnum

Enumeration representing the outcome of a rebalancing operation.

Each rebalancing event results in one of these statuses, which is captured in RebalanceResult. This enables proper error handling and logging of backtest issues.

Variables:

  • SUCCESS (str) – Rebalancing completed successfully without errors. All target positions were achieved. Value is “success”.

  • PARTIAL (str) – Rebalancing partially completed. Some positions may not have been filled. Value is “partial”.

  • FAILED (str) – Rebalancing failed due to critical error. No trades were executed. Value is “failed”.

  • INSUFFICIENT_CASH (str) – Rebalancing failed due to negative cash position. This indicates the strategy requires more capital. Value is “insufficient_cash”.

Examples

Checking rebalance outcome:

>>> result = broker.execute_rebalance(...)
>>> if result.status == RebalanceStatus.SUCCESS:
...     print("Rebalancing completed")
>>> elif result.status == RebalanceStatus.INSUFFICIENT_CASH:
...     print(f"Not enough cash: {result.error_message}")

Using in backtest flow:

>>> if result.status != RebalanceStatus.SUCCESS:
...     logger.warning("Rebalancing issue: %s", result.status)
...     if result.status == RebalanceStatus.INSUFFICIENT_CASH:
...         return False  # Stop backtest

Notes

INSUFFICIENT_CASH typically indicates the strategy is too aggressive for the initial capital, or commission/slippage costs are higher than expected.