lumibot 4.0.23__py3-none-any.whl → 4.1.0__py3-none-any.whl

tests/backtest/test_databento.py

@@ -1,6 +1,10 @@
 import datetime
 import pytest
 import pytz
+from dotenv import load_dotenv
+
+# Load environment variables from .env file
+load_dotenv()
 
 from lumibot.backtesting import BacktestingBroker, DataBentoDataBacktesting
 from lumibot.data_sources import DataBentoDataBacktesting as DataBentoDataBacktestingPolars

tests/backtest/test_databento_comprehensive_trading.py

@@ -0,0 +1,564 @@
+"""
+Comprehensive Databento trading tests for futures.
+
+Tests ACTUAL TRADING with multiple instruments, verifying:
+- Cash changes (margin deduction/release, fees, P&L)
+- Portfolio value tracking (cash + unrealized P&L, NOT notional value)
+- Multipliers for different contracts (MES=5, ES=50, MNQ=2, NQ=20, GC=100)
+- Both buy and sell trades
+- Mark-to-market accounting during hold periods
+"""
+import datetime
+import shutil
+import pytest
+import pytz
+from dotenv import load_dotenv
+from pathlib import Path
+
+# Load environment variables from .env file
+load_dotenv()
+
+from lumibot.backtesting import BacktestingBroker
+from lumibot.data_sources.databento_data_polars_backtesting import DataBentoDataPolarsBacktesting
+from lumibot.backtesting.databento_backtesting import (
+    DataBentoDataBacktesting as DataBentoDataBacktestingPandas,
+)
+from lumibot.tools.databento_helper_polars import LUMIBOT_DATABENTO_CACHE_FOLDER
+from lumibot.entities import Asset, TradingFee
+from lumibot.strategies import Strategy
+from lumibot.traders import Trader
+from lumibot.credentials import DATABENTO_CONFIG
+
+DATABENTO_API_KEY = DATABENTO_CONFIG.get("API_KEY")
+
+# Expected contract specifications
+CONTRACT_SPECS = {
+    "MES": {"multiplier": 5, "margin": 1300},
+    "ES": {"multiplier": 50, "margin": 13000},
+    "MNQ": {"multiplier": 2, "margin": 1700},
+    "NQ": {"multiplier": 20, "margin": 17000},
+    "GC": {"multiplier": 100, "margin": 10000},
+}
+
+
+class MultiInstrumentTrader(Strategy):
+    """
+    Strategy that trades multiple futures instruments sequentially.
+    Each instrument: Buy → Hold → Sell → Next instrument
+    """
+
+    def initialize(self):
+        self.sleeptime = "15M"  # Check every 15 minutes
+        self.set_market("us_futures")
+
+        # Instruments to trade in sequence
+        self.instruments = [
+            Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE),
+            Asset("ES", asset_type=Asset.AssetType.CONT_FUTURE),
+            Asset("MNQ", asset_type=Asset.AssetType.CONT_FUTURE),
+            Asset("NQ", asset_type=Asset.AssetType.CONT_FUTURE),
+            Asset("GC", asset_type=Asset.AssetType.CONT_FUTURE),
+        ]
+
+        self.current_instrument_idx = 0
+        self.trade_phase = "BUY"  # BUY → HOLD → SELL
+        self.hold_iterations = 0
+        self.hold_target = 4  # Hold for 4 iterations (1 hour)
+
+        # Track all state snapshots for verification
+        self.snapshots = []
+        self.trades = []
+
+    def on_trading_iteration(self):
+        if self.current_instrument_idx >= len(self.instruments):
+            # Finished trading all instruments
+            return
+
+        asset = self.instruments[self.current_instrument_idx]
+        price = self.get_last_price(asset)
+        cash = self.get_cash()
+        portfolio = self.get_portfolio_value()
+        position = self.get_position(asset)
+        dt = self.get_datetime()
+
+        # Record snapshot
+        snapshot = {
+            "datetime": dt,
+            "instrument": asset.symbol,
+            "current_asset": asset.symbol,  # For filtering snapshots by asset
+            "phase": self.trade_phase,
+            "price": float(price) if price else None,
+            "cash": cash,
+            "portfolio": portfolio,
+            "position_qty": position.quantity if position else 0,
+        }
+        self.snapshots.append(snapshot)
+
+        # State machine: BUY → HOLD → SELL → next instrument
+        if self.trade_phase == "BUY":
+            # Buy multiple contracts to expose multiplier bugs
+            # Using 10 contracts makes multiplier bugs 10x more obvious
+            quantity = 10
+            order = self.create_order(asset, quantity, "buy")
+            self.submit_order(order)
+            self.trade_phase = "HOLD"
+            self.hold_iterations = 0
+
+        elif self.trade_phase == "HOLD":
+            # Hold for N iterations
+            self.hold_iterations += 1
+            if self.hold_iterations >= self.hold_target:
+                self.trade_phase = "SELL"
+
+        elif self.trade_phase == "SELL":
+            # Sell all contracts
+            if position and position.quantity > 0:
+                order = self.create_order(asset, position.quantity, "sell")
+                self.submit_order(order)
+            # Move to next instrument
+            self.current_instrument_idx += 1
+            self.trade_phase = "BUY"
+            self.hold_iterations = 0
+
+    def on_filled_order(self, position, order, price, quantity, multiplier):
+        """Track all fills"""
+        self.trades.append({
+            "datetime": self.get_datetime(),
+            "asset": position.asset.symbol,
+            "side": order.side,
+            "quantity": quantity,
+            "price": price,
+            "multiplier": multiplier,
+            "cash_after": self.get_cash(),
+            "portfolio_after": self.get_portfolio_value(),
+        })
+
+
+def _clear_polars_cache():
+    """Remove cached polars DataBento files so cross-backend tests are deterministic."""
+    cache_path = Path(LUMIBOT_DATABENTO_CACHE_FOLDER)
+    if cache_path.exists():
+        shutil.rmtree(cache_path)
+
+
+class TestDatabentoComprehensiveTrading:
+    """Comprehensive futures trading tests with full verification"""
+
+    @pytest.mark.apitest
+    @pytest.mark.skipif(
+        not DATABENTO_API_KEY or DATABENTO_API_KEY == '<your key here>',
+        reason="This test requires a Databento API key"
+    )
+    @pytest.mark.parametrize(
+        "datasource_cls",
+        [
+            DataBentoDataPolarsBacktesting,
+            DataBentoDataBacktestingPandas,
+        ],
+    )
+    def test_multiple_instruments_minute_data(self, datasource_cls):
+        """
+        Test trading multiple futures instruments with minute data.
+        Verifies: margin, fees, P&L, multipliers, cash, portfolio value.
+        """
+        print("\n" + "="*80)
+        print("COMPREHENSIVE FUTURES TRADING TEST - MINUTE DATA")
+        print("="*80)
+
+        # Use 2 trading days for faster test
+        tzinfo = pytz.timezone("America/New_York")
+        backtesting_start = tzinfo.localize(datetime.datetime(2024, 1, 3, 9, 30))
+        backtesting_end = tzinfo.localize(datetime.datetime(2024, 1, 4, 16, 0))
+
+        if datasource_cls is DataBentoDataPolarsBacktesting:
+            _clear_polars_cache()
+
+        data_source = datasource_cls(
+            datetime_start=backtesting_start,
+            datetime_end=backtesting_end,
+            api_key=DATABENTO_API_KEY,
+        )
+
+        broker = BacktestingBroker(data_source=data_source)
+        fee = TradingFee(flat_fee=0.50)
+
+        strat = MultiInstrumentTrader(
+            broker=broker,
+            buy_trading_fees=[fee],
+            sell_trading_fees=[fee],
+        )
+
+        trader = Trader(logfile="", backtest=True)
+        trader.add_strategy(strat)
+        results = trader.run_all(
+            show_plot=False,
+            show_tearsheet=False,
+            show_indicators=False,
+            save_tearsheet=False
+        )
+
+        print(f"\n✓ Backtest completed")
+        print(f"  Snapshots: {len(strat.snapshots)}")
+        print(f"  Trades: {len(strat.trades)}")
+
+        # Verify we got some trades
+        assert len(strat.trades) > 0, "Expected some trades to execute"
+        assert len(strat.snapshots) > 0, "Expected some snapshots"
+
+        # Group trades by instrument for analysis
+        trades_by_instrument = {}
+        for trade in strat.trades:
+            symbol = trade["asset"]
+            if symbol not in trades_by_instrument:
+                trades_by_instrument[symbol] = []
+            trades_by_instrument[symbol].append(trade)
+
+        print(f"\n  Instruments traded: {list(trades_by_instrument.keys())}")
+
+        # Analyze each instrument's trades
+        for symbol, trades in trades_by_instrument.items():
+            print(f"\n" + "-"*80)
+            print(f"ANALYZING {symbol} TRADES")
+            print("-"*80)
+            print(f"Total trades for {symbol}: {len(trades)}")
+            for i, t in enumerate(trades):
+                print(f"  Trade {i+1}: {t['side']} @ ${t['price']:.2f}, cash_after=${t['cash_after']:,.2f}")
+
+            specs = CONTRACT_SPECS.get(symbol, {"multiplier": 1, "margin": 1000})
+            expected_multiplier = specs["multiplier"]
+            expected_margin = specs["margin"]
+
+            # Find entry and exit
+            entries = [t for t in trades if "buy" in str(t["side"]).lower()]
+            exits = [t for t in trades if "sell" in str(t["side"]).lower()]
+
+            if len(entries) > 0:
+                entry = entries[0]
+                print(f"\nENTRY TRADE:")
+                print(f"  Price: ${entry['price']:.2f}")
+                print(f"  Multiplier: {entry['multiplier']} (expected: {expected_multiplier})")
+                print(f"  Cash after: ${entry['cash_after']:,.2f}")
+                print(f"  Portfolio after: ${entry['portfolio_after']:,.2f}")
+
+                # Verify multiplier in callback parameter
+                assert entry['multiplier'] == expected_multiplier, \
+                    f"{symbol} multiplier should be {expected_multiplier}, got {entry['multiplier']}"
+
+                # CRITICAL: Verify the asset object itself has correct multiplier (not just callback)
+                actual_asset = [a for a in strat.instruments if a.symbol == symbol][0]
+                assert actual_asset.multiplier == expected_multiplier, \
+                    f"{symbol} asset.multiplier should be {expected_multiplier}, got {actual_asset.multiplier}"
+
+                # For now, just verify cash is reasonable (not testing exact margin since
+                # we may have P&L from previous trades affecting cash)
+                print(f"\nCASH STATE:")
+                print(f"  Cash after entry: ${entry['cash_after']:,.2f}")
+                print(f"  (Note: Cash includes P&L from previous trades)")
+
+                # Verify portfolio value is reasonable (shouldn't be massively negative)
+                portfolio_after = entry['portfolio_after']
+                assert portfolio_after > 50000, \
+                    f"{symbol} portfolio value seems wrong after entry: ${portfolio_after:,.2f}"
+
+            if len(exits) > 0 and len(entries) > 0:
+                entry = entries[0]
+                exit_trade = exits[0]
+
+                print(f"\nEXIT TRADE:")
+                print(f"  Price: ${exit_trade['price']:.2f}")
+                print(f"  Cash after: ${exit_trade['cash_after']:,.2f}")
+                print(f"  Portfolio after: ${exit_trade['portfolio_after']:,.2f}")
+
+                # Calculate P&L
+                entry_price = entry['price']
+                exit_price = exit_trade['price']
+                quantity = entry['quantity']
+                price_change = exit_price - entry_price
+                expected_pnl = price_change * quantity * expected_multiplier
+
+                print(f"\nP&L VERIFICATION:")
+                print(f"  Entry price: ${entry_price:.2f}")
+                print(f"  Exit price: ${exit_price:.2f}")
+                print(f"  Quantity: {quantity}")
+                print(f"  Price change: ${price_change:.2f}")
+                print(f"  Expected P&L: ${expected_pnl:.2f} (change × qty × {expected_multiplier})")
+
+                # Verify final portfolio reflects P&L
+                # Note: We can't verify exact final cash without knowing all previous trades,
+                # but we can verify the P&L calculation makes sense
+                assert abs(expected_pnl) < 100000, \
+                    f"{symbol} P&L seems unrealistic: {expected_pnl}"
+
+                # CRITICAL: Verify portfolio value changed by approximately expected P&L
+                # (can't be exact due to fees and previous trades, but should be in ballpark)
+                entry_portfolio = entry['portfolio_after']
+                exit_portfolio = exit_trade['portfolio_after']
+                portfolio_change = exit_portfolio - entry_portfolio
+
+                # Portfolio change should be close to expected P&L (within margin for fees/rounding)
+                pnl_diff = abs(portfolio_change - expected_pnl)
+                print(f"  Portfolio change: ${portfolio_change:.2f}")
+                print(f"  Difference from expected: ${pnl_diff:.2f}")
+
+                # Allow generous tolerance for fees, rounding, and concurrent trades
+                # For small P&L, allow larger percentage; for large P&L, allow smaller percentage
+                tolerance = max(abs(expected_pnl) * 0.5, 500)
+                # For this comprehensive test with multiple concurrent trades, just verify it's reasonable
+                # (exact match is tested in simpler single-trade tests)
+                if pnl_diff < tolerance:
+                    print(f"  ✓ Portfolio change matches expected P&L within tolerance")
+                else:
+                    print(f"  ⚠ Portfolio change differs (may be due to concurrent trades)")
+
+        # CRITICAL: Verify unrealized P&L during HOLD periods
+        # This catches bugs in portfolio value calculation (multiplier applied to unrealized P&L)
+        print(f"\n" + "-"*80)
+        print("VERIFYING UNREALIZED P&L DURING HOLD PERIODS")
+        print("-"*80)
+
+        for symbol in trades_by_instrument.keys():
+            # Find snapshots where we're holding this position
+            holding_snapshots = [s for s in strat.snapshots if s['position_qty'] > 0 and s.get('current_asset') == symbol]
+
+            if len(holding_snapshots) >= 2:
+                # Check a couple of snapshots during the hold
+                snap = holding_snapshots[len(holding_snapshots)//2]  # middle of hold period
+
+                # Get the entry trade for this position
+                entries = [t for t in trades_by_instrument[symbol] if "buy" in str(t["side"]).lower()]
+                if entries:
+                    entry = entries[0]
+                    entry_price = entry['price']
+                    quantity = entry['quantity']
+                    current_price = snap['price']
+                    expected_mult = CONTRACT_SPECS.get(symbol, {}).get("multiplier", 1)
+                    expected_margin = CONTRACT_SPECS.get(symbol, {}).get("margin", 1000)
+
+                    # Calculate expected portfolio value
+                    cash = snap['cash']
+                    margin_tied_up = quantity * expected_margin
+                    unrealized_pnl = (current_price - entry_price) * quantity * expected_mult
+                    expected_portfolio = cash + margin_tied_up + unrealized_pnl
+                    actual_portfolio = snap['portfolio']
+
+                    print(f"\n{symbol} during HOLD (snapshot {strat.snapshots.index(snap)}):")
+                    print(f"  Entry: ${entry_price:.2f} × {quantity} contracts")
+                    print(f"  Current: ${current_price:.2f}")
+                    print(f"  Cash: ${cash:,.2f}")
+                    print(f"  Margin: ${margin_tied_up:,.2f}")
+                    print(f"  Unrealized P&L: ${unrealized_pnl:,.2f} = (${current_price:.2f} - ${entry_price:.2f}) × {quantity} × {expected_mult}")
+                    print(f"  Expected portfolio: ${expected_portfolio:,.2f}")
+                    print(f"  Actual portfolio: ${actual_portfolio:,.2f}")
+                    print(f"  Difference: ${abs(actual_portfolio - expected_portfolio):,.2f}")
+
+                    # This tolerance should catch multiplier bugs (5x error would be huge)
+                    tolerance = max(abs(expected_portfolio) * 0.02, 100)  # 2% or $100
+                    assert abs(actual_portfolio - expected_portfolio) < tolerance, \
+                        f"{symbol} portfolio value incorrect during hold: expected ${expected_portfolio:,.2f}, got ${actual_portfolio:,.2f}"
+                    print(f"  ✓ Portfolio value matches expected (within ${tolerance:.2f})")
+
+        print(f"\n" + "="*80)
+        print("✓ ALL INSTRUMENTS VERIFIED")
+        print("="*80)
+
+
+class TestDatabentoComprehensiveTradingDaily:
+    """Comprehensive futures trading tests with daily data"""
+
+    @pytest.mark.apitest
+    @pytest.mark.skipif(
+        not DATABENTO_API_KEY or DATABENTO_API_KEY == '<your key here>',
+        reason="This test requires a Databento API key"
+    )
+    def test_multiple_instruments_daily_data(self):
+        """
+        Test trading multiple futures instruments with daily data.
+        Similar to minute test but with daily bars.
+        """
+        print("\n" + "="*80)
+        print("COMPREHENSIVE FUTURES TRADING TEST - DAILY DATA")
+        print("="*80)
+
+        # Use longer period for daily data
+        tzinfo = pytz.timezone("America/New_York")
+        backtesting_start = tzinfo.localize(datetime.datetime(2024, 1, 2))
+        backtesting_end = tzinfo.localize(datetime.datetime(2024, 2, 29))
+
+        # Simple daily strategy
+        class DailyMultiInstrumentTrader(Strategy):
+            def initialize(self):
+                self.sleeptime = "1D"
+                self.set_market("us_futures")
+                self.instruments = [
+                    Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE),
+                    Asset("ES", asset_type=Asset.AssetType.CONT_FUTURE),
+                    Asset("MNQ", asset_type=Asset.AssetType.CONT_FUTURE),
+                ]
+                self.current_idx = 0
+                self.day_count = 0
+                self.trades = []
+                self.snapshots = []
+
+            def on_trading_iteration(self):
+                self.day_count += 1
+
+                if self.current_idx >= len(self.instruments):
+                    return
+
+                asset = self.instruments[self.current_idx]
+                price = self.get_last_price(asset)
+                cash = self.get_cash()
+                portfolio = self.get_portfolio_value()
+                position = self.get_position(asset)
+
+                self.snapshots.append({
+                    "day": self.day_count,
+                    "instrument": asset.symbol,
+                    "price": float(price) if price else None,
+                    "cash": cash,
+                    "portfolio": portfolio,
+                    "position_qty": position.quantity if position else 0,
+                })
+
+                # Buy on day 1, sell on day 5, move to next instrument
+                if self.day_count % 5 == 1:
+                    order = self.create_order(asset, 1, "buy")
+                    self.submit_order(order)
+                elif self.day_count % 5 == 0 and position and position.quantity > 0:
+                    order = self.create_order(asset, 1, "sell")
+                    self.submit_order(order)
+                    self.current_idx += 1
+
+            def on_filled_order(self, position, order, price, quantity, multiplier):
+                self.trades.append({
+                    "day": self.day_count,
+                    "asset": position.asset.symbol,
+                    "side": order.side,
+                    "price": price,
+                    "multiplier": multiplier,
+                    "cash_after": self.get_cash(),
+                })
+
+        data_source = DataBentoDataPolarsBacktesting(
+            datetime_start=backtesting_start,
+            datetime_end=backtesting_end,
+            api_key=DATABENTO_API_KEY,
+        )
+
+        broker = BacktestingBroker(data_source=data_source)
+        fee = TradingFee(flat_fee=0.50)
+
+        strat = DailyMultiInstrumentTrader(
+            broker=broker,
+            buy_trading_fees=[fee],
+            sell_trading_fees=[fee],
+        )
+
+        trader = Trader(logfile="", backtest=True)
+        trader.add_strategy(strat)
+        results = trader.run_all(
+            show_plot=False,
+            show_tearsheet=False,
+            show_indicators=False,
+            save_tearsheet=False
+        )
+
+        print(f"\n✓ Daily backtest completed")
+        print(f"  Trading days: {strat.day_count}")
+        print(f"  Trades: {len(strat.trades)}")
+
+        assert len(strat.trades) > 0, "Expected some trades"
+
+        # Verify multipliers for each instrument
+        for trade in strat.trades:
+            symbol = trade["asset"]
+            expected_mult = CONTRACT_SPECS.get(symbol, {}).get("multiplier", 1)
+            assert trade["multiplier"] == expected_mult, \
+                f"{symbol} multiplier should be {expected_mult}, got {trade['multiplier']}"
+            print(f"  ✓ {symbol}: multiplier {trade['multiplier']} correct")
+
+        print(f"\n" + "="*80)
+        print("✓ DAILY DATA TEST PASSED")
+        print("="*80)
+
+    @pytest.mark.apitest
+    @pytest.mark.skipif(
+        not DATABENTO_API_KEY or DATABENTO_API_KEY == '<your key here>',
+        reason="This test requires a Databento API key"
+    )
+    def test_multiple_instruments_pandas_version(self):
+        """
+        Test trading with PANDAS version of DataBento (not Polars).
+        This test exposes the multiplier bug in the Pandas implementation.
+        Verifies: multipliers, P&L calculations, portfolio value changes.
+        """
+        # Import the Pandas version explicitly
+        from lumibot.backtesting import DataBentoDataBacktesting
+
+        print("\n" + "="*80)
+        print("PANDAS VERSION TEST - Should expose multiplier bug")
+        print("="*80)
+
+        # Use 1 trading day for faster test
+        tzinfo = pytz.timezone("America/New_York")
+        backtesting_start = tzinfo.localize(datetime.datetime(2024, 1, 3, 9, 30))
+        backtesting_end = tzinfo.localize(datetime.datetime(2024, 1, 3, 16, 0))
+
+        # Use Pandas version
+        data_source = DataBentoDataBacktesting(
+            datetime_start=backtesting_start,
+            datetime_end=backtesting_end,
+            api_key=DATABENTO_API_KEY,
+        )
+
+        broker = BacktestingBroker(data_source=data_source)
+        fee = TradingFee(flat_fee=0.50)
+
+        strat = MultiInstrumentTrader(
+            broker=broker,
+            buy_trading_fees=[fee],
+            sell_trading_fees=[fee],
+        )
+
+        trader = Trader(logfile="", backtest=True)
+        trader.add_strategy(strat)
+        results = trader.run_all(
+            show_plot=False,
+            show_tearsheet=False,
+            show_indicators=False,
+            save_tearsheet=False
+        )
+
+        print(f"\n✓ Backtest completed")
+        print(f"  Trades: {len(strat.trades)}")
+
+        # Verify we got some trades
+        assert len(strat.trades) > 0, "Expected some trades"
+
+        # CRITICAL: Verify multipliers (this will likely FAIL with Pandas version)
+        for trade in strat.trades:
+            symbol = trade["asset"]
+            expected_mult = CONTRACT_SPECS.get(symbol, {}).get("multiplier", 1)
+
+            print(f"\n{symbol} Trade:")
+            print(f"  Expected multiplier: {expected_mult}")
+            print(f"  Actual multiplier: {trade['multiplier']}")
+
+            # This assertion will expose the bug
+            assert trade["multiplier"] == expected_mult, \
+                f"{symbol} multiplier should be {expected_mult}, got {trade['multiplier']}"
+
+        # Also verify asset objects have correct multipliers
+        for asset in strat.instruments:
+            expected_mult = CONTRACT_SPECS.get(asset.symbol, {}).get("multiplier", 1)
+            print(f"  {asset.symbol} asset.multiplier: {asset.multiplier} (expected: {expected_mult})")
+            assert asset.multiplier == expected_mult, \
+                f"{asset.symbol} asset.multiplier should be {expected_mult}, got {asset.multiplier}"
+
+        print(f"\n" + "="*80)
+        print("✓ PANDAS VERSION TEST PASSED")
+        print("="*80)
+
+
+if __name__ == "__main__":
+    pytest.main([__file__, "-v", "-s"])

tests/backtest/test_debug_avg_fill_price.py

@@ -0,0 +1,112 @@
+"""
+Debug test to trace avg_fill_price through a trade lifecycle
+"""
+import datetime
+import pytest
+import pytz
+from dotenv import load_dotenv
+
+# Load environment variables from .env file
+load_dotenv()
+
+from lumibot.backtesting import BacktestingBroker
+from lumibot.data_sources.databento_data_polars_backtesting import DataBentoDataPolarsBacktesting
+from lumibot.entities import Asset, TradingFee
+from lumibot.strategies import Strategy
+from lumibot.traders import Trader
+from lumibot.credentials import DATABENTO_CONFIG
+
+DATABENTO_API_KEY = DATABENTO_CONFIG.get("API_KEY")
+
+
+class DebugStrategy(Strategy):
+    """Debug strategy to trace avg_fill_price"""
+
+    def initialize(self):
+        self.sleeptime = "15M"
+        self.set_market("us_futures")
+        self.mes = Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE)
+        self.iteration = 0
+        self.trade_done = False
+
+    def on_trading_iteration(self):
+        self.iteration += 1
+
+        position = self.get_position(self.mes)
+        price = self.get_last_price(self.mes)
+        cash = self.get_cash()
+        portfolio = self.get_portfolio_value()
+
+        print(f"\n[ITER {self.iteration}] Price=${price:.2f}, Cash=${cash:,.2f}, Portfolio=${portfolio:,.2f}")
+
+        if position:
+            print(f"  Position: qty={position.quantity}, avg_fill_price={position.avg_fill_price}")
+        else:
+            print(f"  Position: None")
+
+        # Buy on iteration 1
+        if self.iteration == 1:
+            print(f"  >>> SUBMITTING BUY ORDER")
+            order = self.create_order(self.mes, 1, "buy")
+            self.submit_order(order)
+
+        # Close on iteration 3
+        elif self.iteration == 3 and position and position.quantity > 0:
+            print(f"  >>> SUBMITTING SELL ORDER")
+            order = self.create_order(self.mes, 1, "sell")
+            self.submit_order(order)
+            self.trade_done = True
+
+    def on_filled_order(self, position, order, price, quantity, multiplier):
+        print(f"  [FILL] {order.side} @ ${price:.2f}")
+        print(f"    order.avg_fill_price = {order.avg_fill_price}")
+        print(f"    position.avg_fill_price = {position.avg_fill_price}")
+        print(f"    position.quantity = {position.quantity}")
+
+
+@pytest.mark.apitest
+@pytest.mark.skipif(
+    not DATABENTO_API_KEY or DATABENTO_API_KEY == '<your key here>',
+    reason="This test requires a Databento API key"
+)
+def test_debug_avg_fill_price():
+    """Debug avg_fill_price tracking"""
+    print("\n" + "="*80)
+    print("DEBUG: AVG_FILL_PRICE TRACKING")
+    print("="*80)
+
+    tzinfo = pytz.timezone("America/New_York")
+    backtesting_start = tzinfo.localize(datetime.datetime(2024, 1, 3, 9, 30))
+    backtesting_end = tzinfo.localize(datetime.datetime(2024, 1, 3, 16, 0))
+
+    data_source = DataBentoDataPolarsBacktesting(
+        datetime_start=backtesting_start,
+        datetime_end=backtesting_end,
+        api_key=DATABENTO_API_KEY,
+    )
+
+    broker = BacktestingBroker(data_source=data_source)
+    fee = TradingFee(flat_fee=0.50)
+
+    strat = DebugStrategy(
+        broker=broker,
+        buy_trading_fees=[fee],
+        sell_trading_fees=[fee],
+    )
+
+    trader = Trader(logfile="", backtest=True)
+    trader.add_strategy(strat)
+    results = trader.run_all(
+        show_plot=False,
+        show_tearsheet=False,
+        show_indicators=False,
+        save_tearsheet=False
+    )
+
+    print("\n" + "="*80)
+    print("DEBUG TEST COMPLETE")
+    print("="*80)
+
+
+if __name__ == "__main__":
+    test_debug_avg_fill_price()