Add a comment on the order sequence and update the version.

nkaz001 · Oct 25, 2023 · bf8f966 · bf8f966
1 parent 92f1d64
commit bf8f966
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diff --git a/hftbacktest/__init__.py b/hftbacktest/__init__.py
@@ -128,7 +128,7 @@
     'correct'
 )
 
-__version__ = '1.6.5'
+__version__ = '1.6.6'
 
 
 # JIT'ed latency models

diff --git a/hftbacktest/order.py b/hftbacktest/order.py
@@ -132,6 +132,9 @@ def append(self, order, timestamp):
         timestamp = int(timestamp)
 
         # Prevents the order sequence from being out of order.
+        # In crypto exchanges that use REST APIs, it might be still possible for order requests sent later to reach the
+        # matching engine before order requests sent earlier. But, for the purpose of simplifying the backtesting
+        # process, all requests and responses are assumed to be in order.
         if len(self.order_list) > 0:
             _, latest_timestamp = self.order_list[-1]
             if timestamp < latest_timestamp: