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…ow tracking Adds BrokerBalanceTracker for managing scheduled deposits/withdrawals and Context.sync_portfolio() for reconciling local portfolio state against broker balances. Cash flows are now recorded on every sync event so they can be subtracted from performance metrics (TWR).
Adds StopOrderType enum + validation for stop and stop-limit orders. Order model gains stop_price/limit_price fields, ccxt executor maps them to exchange-native stop orders, backtest service simulates trigger conditions per bar.
…al analysis Introduces TWR variants for CAGR, Sharpe, volatility, returns, drawdown and equity curve. All TWR metrics consume snapshot.cash_flow to scrub external deposits/withdrawals from performance, giving a true alpha-only view. Adds new BacktestMetrics fields: twr_equity_curve, twr_drawdown_series, twr_max_drawdown, twr_max_drawdown_duration.
Backtest HTML dashboard now ships TWR_EQ / TWR_DD per run and overlays the alpha-only curve as a dashed line on the equity and drawdown charts. Scalar metrics gain twr_max_drawdown and twr_max_drawdown_duration.
Vector backtest engine now honours BrokerBalanceTracker schedules so DCA-style accumulation strategies can be backtested with realistic external cash flows. Adds scenario test for deposit schedules.
Updates serialized metrics.json/run.json fixtures to include the new twr_* fields so round-trip serialization tests stay green.
Bumps version 8.7.3 -> 8.8.0. Wires new BrokerBalanceTracker into the dependency container and event loop, exposes new public symbols from package __init__, adds OperationalException for sync errors, updates docs sidebar, and ships example strategies showcasing TWR metrics, DCA accumulation, and stop/stop-limit orders.
CI runs the suite under stdlib unittest (not pytest), so the bare 'import pytest' caused a ModuleNotFoundError on the runner.
Follow-up to #529: * Extract a single url_cache_key(url, headers) helper in base_url.py so the in-memory provider dict on Context and the on-disk cache filename hash use the exact same canonical serialization. Prevents future drift where an in-memory hit could read the wrong on-disk file. * Add a note to the headers= docstrings on Context.fetch_csv / fetch_json / fetch_parquet and DataSource.from_csv / from_json / from_parquet documenting that header values are redacted to '***' in to_dict() so secrets do not leak into diagnostic payloads.
…-test Optimize README example scenario test
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Release v8.8.0 — TWR metrics, broker balance tracker, stop orders
This PR rolls up the work currently on
devintomain. It adds threemajor capabilities and a number of supporting pieces of plumbing.
Highlights
1. Broker balance tracker +
Context.sync_portfolio()BrokerBalanceTrackerfor managing scheduled deposits/withdrawalsContext.sync_portfolio()reconciles local portfolio state againstthe broker and records cash flows on every sync event
performance metrics (TWR)
docusaurus/docs/Advanced Concepts/portfolio-sync.md2. Stop and stop-limit orders
StopOrderTypeenum + validationOrdermodel gainsstop_price/limit_pricefieldsdocusaurus/docs/Getting Started/orders.md3. Time-weighted return (TWR) metrics
TWR variants for CAGR, Sharpe, volatility, returns, drawdown, and
equity curve. All TWR metrics consume
snapshot.cash_flowto scrubexternal deposits/withdrawals from performance, giving a true alpha-only
view.
New
BacktestMetricsfields:twr_equity_curvetwr_drawdown_seriestwr_max_drawdowntwr_max_drawdown_duration4. HTML reporting
TWR_EQ/TWR_DDper run in dashboard datatwr_max_drawdownandtwr_max_drawdown_duration5. Vector backtest scheduled deposits
BrokerBalanceTrackerschedules so DCA-styleaccumulation strategies can be backtested with realistic external
cash flows
tests/scenarios/vectorized_backtests/test_deposit_schedule.py6. Examples
examples/strategies_showcase/— 26 reference strategiesexamples/advanced_tutorials/cross-sectional-pipelines/examples/rust_vs_python_benchmark/Commits
Test status
Full suite: 1668 passed, 42 skipped locally.
Compatibility
BacktestMetricsadds new fields with defaults —from_dict()isforward/backward compatible (unknown keys are dropped, missing keys
default).
tests/resources/backtest_reports_for_testing/were regenerated to include the new
twr_*fields.8.7.3 → 8.8.0.