test_fills.py

Sentinel/Azimuth/engine/tests/test_fills.py


Family	Azimuth (Python)
Version	—
Size	246 lines
Scope	public — ships in `sentinel-suite`
Documented by	SENTINEL_AZIMUTH_SPEC

Rendered from the published copy in sentinel-suite/src/, not the author’s private tree — so this page describes the file you actually have.

What the file says about itself

THE FILL CONVENTION -- buy at the ASK, sell at the BID.

This project has measured that its replay fills are unfaithful (0.00% of trades
print inside the spread) and that the P&L *is* the crossing cost. These tests are
the reason the engine exists; if any of them go green on a mid-price model,
delete the engine.