feat: Blotter System for Trade Documentation and Order Book Management#474
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…ement - Add Blotter ABC with place_order, cancel_order, batch_order, and transaction recording - Add SimulationBlotter with configurable slippage and commission models - Add SlippageModel (NoSlippage, PercentageSlippage, FixedSlippage) - Add CommissionModel (NoCommission, PercentageCommission, FixedCommission) - Add Transaction data class for trade documentation - Integrate blotter into App (set_blotter/get_blotter) and Context (batch_order/get_transactions) - Add 43 unit tests Closes #457
…e docs - Add DefaultBlotter as pass-through blotter for live trading - Refactor SimulationBlotter to call order_service.create() directly - Route all Context order methods through the Blotter - Refactor create_limit_buy/sell_order to delegate to create_limit_order - Remove conditional blotter checks (always set via App) - Auto-set DefaultBlotter (live) or SimulationBlotter (backtest) - Remove unused OrderType import (flake8) - Add Blotter documentation page (Advanced Concepts) - Update sidebar navigation - Update tests (48 passing)
…fix cancel_order - Delete dead BacktestOrderExecutor (was never called) - Route TradeOrderEvaluator SL/TP orders through blotter via _create_order() - Pass blotter+context to TradeOrderEvaluator in App and BacktestService - Fix cancel_order tests to match delegate-to-order_service pattern - Fix OrderBacktestService.cancel_order pre-existing bug - Clean up commented BacktestOrderExecutor refs in test_eventloop - 1423 passed, 42 skipped
- Move slippage/commission from order creation to fill time in SimulationBlotter, eliminating double-counting - Add VolumeImpactSlippage model (power-law market impact) - Add FillModel ABC with FullFill and VolumeBasedFill for partial fill simulation - Refactor BacktestTradeOrderEvaluator to delegate to blotter methods (get_fill_price, get_fill_commission, get_fill_amount, on_fill) with TradingCost fallback - Record transactions at fill time via blotter.on_fill() - Clean test_eventloop.py: remove ~500 lines of commented-out code - Update test_blotter.py for new fill-time architecture
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Summary
Implements a Blotter system for trade documentation and order book management (#457).
Changes
New:
BlotterAbstract Base Classplace_order(order_data, context)— abstract method for order placementbatch_order(orders, context)— sequential batch order placementcancel_order(order_id, context)— abstract method for order cancellationget_open_orders(context)— delegates to contextrecord_transaction(transaction)/get_transactions()/clear_transactions()— transaction ledgerprune_orders(context)— hook for stale order cleanupNew:
SimulationBlotterSlippageModel:NoSlippage,PercentageSlippage,FixedSlippageCommissionModel:NoCommission,PercentageCommission,FixedCommissionTransactionobjects with full cost breakdownNew:
TransactionData Classto_dict()and__repr__()for serialization/debuggingIntegration
App.set_blotter(blotter)/App.get_blotter()— configure blotter on the appContext.batch_order(orders)— routes through blotter if set, otherwise creates orders directlyContext.get_transactions()— returns transaction ledger from blotterTests
Closes #457