Debug order execution with bid/ask price, instead of open price #544
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Signed-off-by: Haochi Li <[email protected]>
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Previously, backtesting order execution always use open price to update portfolio.
This change made the change to buy at ask and sell at bid.
Description by Korbit AI
What change is being made?
Modify the order execution logic to use bid/ask prices instead of the open price for market orders and update data aggregation to include bid/ask columns.
Why are these changes being made?
The change ensures more accurate order execution by using the bid price for sell orders and the ask price for buy orders, reflecting real market conditions better than using the open price. Additionally, the data aggregation logic is updated to handle bid/ask data, allowing for more comprehensive data analysis and backtesting.