Merge pull request #49 from nkaz001/fix_order_sequence

Fix order sequence error due to delays
nkaz001 · Oct 25, 2023 · 92f1d64 · 92f1d64
2 parents 7f81263 + 4a4207f
commit 92f1d64
Showing 1 changed file with 6 additions and 0 deletions.
diff --git a/hftbacktest/order.py b/hftbacktest/order.py
@@ -131,6 +131,12 @@ def __init__(self):
     def append(self, order, timestamp):
         timestamp = int(timestamp)
 
+        # Prevents the order sequence from being out of order.
+        if len(self.order_list) > 0:
+            _, latest_timestamp = self.order_list[-1]
+            if timestamp < latest_timestamp:
+                timestamp = latest_timestamp
+
         self.order_list.append((order, timestamp))
 
         if order.order_id in self.orders: