Fix critical and major issues identified in codebase review#31
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Critical: - get_vwap() for IDC now returns true session VWAP (volume-weighted average of all historical trades) instead of last trade price. Added _vwap_accum accumulator to ContinuousMatchingEngine and a get_session_vwap() method. - Auto-discovered signals in _discover_signals() now emit an explicit WARNING about look-ahead bias before creating the CsvSignalProvider, making the risk visible at engine level in addition to the provider-level warning. Major: - Subscribed signals that are never dispatched (due to data range mismatches or incorrect publication_offset) now trigger a WARNING at the end of run() instead of silently producing no signal updates for the entire backtest. - Test files no longer construct _BacktestContext directly. Added tests/testing_utils.py with a make_minimal_backtest_context() factory that centralises the internal import. Both test_delivery_position.py and test_algo_decorator.py now import from tests.testing_utils. https://claude.ai/code/session_01XqYtc2t1oCV8eTmXN8aaiY
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Critical:
get_vwap() for IDC now returns true session VWAP (volume-weighted average
of all historical trades) instead of last trade price. Added _vwap_accum
accumulator to ContinuousMatchingEngine and a get_session_vwap() method.
Auto-discovered signals in _discover_signals() now emit an explicit WARNING
about look-ahead bias before creating the CsvSignalProvider, making the risk
visible at engine level in addition to the provider-level warning.
Major:
Subscribed signals that are never dispatched (due to data range mismatches
or incorrect publication_offset) now trigger a WARNING at the end of run()
instead of silently producing no signal updates for the entire backtest.
Test files no longer construct _BacktestContext directly. Added
tests/testing_utils.py with a make_minimal_backtest_context() factory that
centralises the internal import. Both test_delivery_position.py and
test_algo_decorator.py now import from tests.testing_utils.
https://claude.ai/code/session_01XqYtc2t1oCV8eTmXN8aaiY