take profit and stop loss behavior

[nkami]

Hey, I was wondering what happens if you set both take profit and stop loss on an order, and the next candle fluctuates in a manner that should trigger both. What gets priority according to the backtest? (given the fact we cant know the order of events within the candle).
For example: you set a market order with tp=2 and sl=1, and the next candle has high=3 and low=0.

[kernc]

If you enter with a plain market order, SL has priority (the framework takes an adversarial, rather than an optimistic stance).

If you enter with a stop/limit order, a warning is emitted:

backtesting.py/backtesting/backtesting.py

Lines 905 to 915 in a49122c

	elif (low <= (order.sl or -np.inf) <= high or
	low <= (order.tp or -np.inf) <= high):
	warnings.warn(
	f"({data.index[-1]}) A contingent SL/TP order would execute in the "
	"same bar its parent stop/limit order was turned into a trade. "
	"Since we can't assert the precise intra-candle "
	"price movement, the affected SL/TP order will instead be executed on "
	"the next (matching) price/bar, making the result (of this trade) "
	"somewhat dubious. "
	"See https://github.com/kernc/backtesting.py/issues/119",
	UserWarning)

[nkami]

Thank you!