From 0a8cfb79e245462cbb05e9a452302930cb62f035 Mon Sep 17 00:00:00 2001
From: Vinayak Tiwari <84216407+VinayakTiwari1103@users.noreply.github.com>
Date: Fri, 25 Apr 2025 18:37:53 +0530
Subject: [PATCH] [backtests]: Optimize SimulatedExecutionEngine and enhance
 ExecutionEngine structure

Enhanced ExecutionEngine with ABC refactor, optimized order sorting, added docstrings/type hints, exception handling, and PEP8 cleanups for better performance and clarity.
---
 gs_quant/backtests/execution_engine.py | 62 +++++++++++++++++++++-----
 1 file changed, 50 insertions(+), 12 deletions(-)

diff --git a/gs_quant/backtests/execution_engine.py b/gs_quant/backtests/execution_engine.py
index c0e3242c..0469e83d 100644
--- a/gs_quant/backtests/execution_engine.py
+++ b/gs_quant/backtests/execution_engine.py
@@ -14,35 +14,73 @@
 under the License.
 """
 
-from gs_quant.backtests.data_handler import DataHandler
-from gs_quant.backtests.event import *
 import datetime as dt
+import bisect
+from typing import List
+
+from gs_quant.backtests.data_handler import DataHandler
+from gs_quant.backtests.event import OrderEvent, OrderBase, FillEvent
 
+from abc import ABC
 
-class ExecutionEngine(object):
+
+class ExecutionEngine(ABC):
+    """Abstract base class for execution engines."""
     pass
 
 
 class SimulatedExecutionEngine(ExecutionEngine):
+    """
+    Simulates order execution based on market data.
+
+    Attributes:
+        data_handler (DataHandler): Provides market data for execution.
+        orders (List[OrderEvent]): Sorted list of submitted orders by execution end time.
+    """
+
     def __init__(self, data_handler: DataHandler):
         self.data_handler = data_handler
-        self.orders = []
+        self.orders: List[OrderEvent] = []
 
     def submit_order(self, order: OrderEvent):
-        self.orders.append(order)
-        self.orders.sort(key=lambda e: e.order.execution_end_time())
+        """
+        Submit an order and maintain sorted execution order.
 
-    def ping(self, state: dt.datetime):
+        Args:
+            order (OrderEvent): The order to be submitted.
+        """
+        bisect.insort(self.orders, order, key=lambda e: e.order.execution_end_time())
+
+    def ping(self, state: dt.datetime) -> List[FillEvent]:
+        """
+        Process and fill orders whose execution time has passed.
+
+        Args:
+            state (datetime): Current simulation time.
+
+        Returns:
+            List[FillEvent]: List of filled order events.
+        """
         fill_events = []
         while self.orders:
-            order: OrderBase = self.orders[0].order
+            order_event = self.orders[0]
+            order: OrderBase = order_event.order
             end_time = order.execution_end_time()
+
             if end_time > state:
                 break
-            else:
-                fill = FillEvent(order=order,
-                                 filled_price=order.execution_price(self.data_handler),
-                                 filled_units=order.execution_quantity())
+
+            try:
+                fill = FillEvent(
+                    order=order,
+                    filled_price=order.execution_price(self.data_handler),
+                    filled_units=order.execution_quantity()
+                )
                 fill_events.append(fill)
+            except Exception as e:
+                # Log or handle execution failure gracefully
+                print(f"Error processing order {order}: {e}")
+            finally:
                 self.orders.pop(0)
+
         return fill_events