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ML4T Backtest
ML4T Backtest Documentation
Event-driven backtesting with realistic execution
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Order Types

Orders are submitted from a strategy via broker.submit_order(). The default order type is MARKET.

Market Orders

Execute at the configured execution price (open or close, depending on profile):

# Buy 100 shares (positive quantity = buy)
broker.submit_order("AAPL", 100)

# Sell/short 100 shares (negative quantity = sell)
broker.submit_order("AAPL", -100)

In NEXT_BAR mode (default), market orders fill at the next bar's open. In SAME_BAR mode, they fill at the current bar's close.

Limit Orders

Execute only if price reaches the limit level:

from ml4t.backtest.types import OrderType

# Buy limit: fills if price drops to $149.50 or below
broker.submit_order("AAPL", 100, order_type=OrderType.LIMIT, limit_price=149.50)

# Sell limit: fills if price rises to $155.00 or above
broker.submit_order("AAPL", -100, order_type=OrderType.LIMIT, limit_price=155.00)

Limit orders remain pending until filled or cancelled.

Stop Orders

Trigger a market order when the stop price is reached:

# Sell stop: triggers when price falls to $145.00 (protective stop)
broker.submit_order("AAPL", -100, order_type=OrderType.STOP, stop_price=145.00)

# Buy stop: triggers when price rises to $160.00 (breakout entry)
broker.submit_order("AAPL", 100, order_type=OrderType.STOP, stop_price=160.00)

Stop-Limit Orders

Trigger a limit order when the stop price is reached:

# When price falls to $145, place a limit sell at $144
broker.submit_order(
    "AAPL", -100,
    order_type=OrderType.STOP_LIMIT,
    stop_price=145.00,
    limit_price=144.00,
)

Trailing Stop Orders

Dynamic stop that follows price movement:

# Trail $2.50 below current price
broker.submit_order(
    "AAPL", -100,
    order_type=OrderType.TRAILING_STOP,
    trail_amount=2.50,
)

Bracket Orders

Submit an entry with automatic take-profit and stop-loss exits:

result = broker.submit_bracket(
    asset="AAPL",
    quantity=100,
    take_profit=165.00,
    stop_loss=145.00,
)

if result is not None:
    entry_order, tp_order, sl_order = result

The exit side is automatically determined from the entry direction. Price validation warns if take-profit is below entry (for longs) or stop-loss is above entry.

Order Lifecycle

  1. Submitted -- order is queued in the OrderBook
  2. Validated -- Gatekeeper checks cash/margin constraints
  3. Filled -- FillExecutor applies slippage and commission
  4. Rejected -- insufficient cash, short selling not allowed, etc.

Check rejected orders:

rejected = broker.get_rejected_orders()
for order in rejected:
    print(f"{order.asset}: {order.rejection_reason}")

Order Processing Sequence

On each bar, pending orders are processed based on the fill_ordering config:

Mode Sequence
EXIT_FIRST All exits, then all entries (default)
FIFO Submission order
SEQUENTIAL Submission order, no exit/entry separation

See Execution Semantics for details.

Closing Positions

# Close a single position
broker.close_position("AAPL")

# Cancel a pending order by ID
broker.cancel_order(order.id)

Next Steps