Known Limitations

This document lists features that are not yet implemented or have known limitations in RustyBT. This helps users understand what is currently available and what features are planned for future releases.

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Order Management Limitations

❌ Order Modification Not Implemented

Status: Not Implemented Planned: Future Release

Description: Modifying existing open orders (changing price, quantity, etc.) is not currently supported.

Workaround: Cancel the existing order and place a new one:

# Current approach (works):
cancel_order(order_id)
new_order = order(asset, amount, limit_price=new_price)

# Future API (not yet available):
# modify_order(order_id, limit_price=new_price)  # ❌ Not implemented

Tracking: Issue #XXX

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⚠️ OCO Order Sibling Linking Partial

Status: Partially Implemented Planned: Full implementation in v0.2.0

Description: While OCOOrder execution style exists, the ability to manually link two separate orders as OCO siblings (order.add_oco_sibling()) is not implemented.

What Works:

# OCO execution style (works):
from rustybt.finance import OCOOrder, StopOrder, LimitOrder

oco_style = OCOOrder(
    order1_style=StopOrder(stop_price),
    order2_style=LimitOrder(limit_price)
)
order(asset, amount, style=oco_style)  # ✅ Works

What Doesn't Work:

# Manual OCO linking (not implemented):
order1 = order(asset, amount, style=StopOrder(price1))
order2 = order(asset, -amount, style=StopOrder(price2))
order1.add_oco_sibling(order2)  # ❌ Method doesn't exist

Tracking: Issue #XXX

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❌ Trailing Stop Limit Orders Not Available

Status: Not Implemented Planned: v0.2.0

Description: TrailingStopLimitOrder is not available. Only TrailingStopOrder (market order on trigger) is supported.

Available:

from rustybt.finance import TrailingStopOrder

# Trailing stop (market order on trigger) - ✅ Works
order(asset, -shares, style=TrailingStopOrder(trail_percent=0.05))

Not Available:

# Trailing stop limit - ❌ Not available
# from rustybt.finance import TrailingStopLimitOrder  # Doesn't exist
# order(asset, -shares, style=TrailingStopLimitOrder(...))

Workaround: Use TrailingStopOrder and accept market execution on trigger.

Tracking: Issue #XXX

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Pipeline API Limitations

❌ MACD Factor Not Available

Status: Class naming mismatch Fixed In: Documentation

Description: The MACD indicator is available as MACDSignal, not MACD.

Correct Usage:

from rustybt.pipeline.factors import MACDSignal  # ✅ Correct

macd = MACDSignal()  # Not MACD()

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❌ AverageTrueRange Factor Not Available

Status: Not Implemented Planned: v0.2.0

Description: AverageTrueRange is not available as a single factor. Use composition instead.

Workaround:

from rustybt.pipeline.factors import TrueRange, SimpleMovingAverage

tr = TrueRange()
atr = SimpleMovingAverage(inputs=[tr], window_length=14)  # ✅ Works

Not Available:

from rustybt.pipeline.factors import AverageTrueRange  # ❌ Doesn't exist
atr = AverageTrueRange(window_length=14)

Tracking: Issue #XXX

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Portfolio Management Limitations

⚠️ Multi-Strategy Portfolio API Complexity

Status: Different API Pattern Documentation: portfolio_allocator_tutorial.py

Description: Multi-strategy portfolio management uses a different API pattern than single-strategy TradingAlgorithm.

Key Differences:

Feature	Single Strategy	Multi-Strategy
Base class	TradingAlgorithm	Plain Python class
API functions	order(), order_target_percent()	Direct ledger access
Execution	run_algorithm()	portfolio.execute_bar()

Correct Pattern:

class MyStrategy:
    """Simple strategy for PortfolioAllocator."""

    def handle_data(self, ledger, data):
        # ledger: DecimalLedger for this strategy
        # data: Market data dict
        # Direct ledger manipulation (not API functions)
        pass

Not Compatible:

class MyStrategy(TradingAlgorithm):
    def handle_data(self, context, data):
        order_target_percent(asset, 0.5, ledger=context.ledger)  # ❌ Wrong pattern

See: Multi-Strategy Portfolio Note

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Optimization Limitations

⚠️ Class Naming Inconsistencies (Fixed)

Status: Fixed in documentation Affected Versions: Documentation prior to 2025-11-07

Description: Several optimization classes were incorrectly named in examples.

Correct Names: - ✅ GridSearchAlgorithm (not GridSearch) - ✅ BayesianOptimizer (not BayesianOptimization) - ✅ KellyCriterionAllocation (not KellyAllocation) - ✅ ObjectiveFunction(metric="sharpe_ratio") (not SharpeRatio())

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Data Management Limitations

⚠️ Real-Time Data Latency

Status: Design Limitation Mitigation: Use WebSocket streaming

Description: REST API-based data adapters have inherent latency. For sub-second strategies, use WebSocket streaming.

Recommendation: - Daily/Hourly strategies: REST APIs are fine - Minute strategies: Consider WebSocket for real-time data - Sub-minute strategies: WebSocket required

See: WebSocket Streaming Guide

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Live Trading Limitations

⚠️ Exchange-Specific Features

Status: Varies by Broker Documentation: Per-broker adapter docs

Description: Not all exchanges support all order types or features.

Examples: - Some exchanges don't support stop-limit orders - Some exchanges don't support OCO orders - Margin requirements vary by exchange - Fee structures differ significantly

Recommendation: Always test in paper trading mode first to verify feature support for your specific broker.

See: Testnet Setup Guide

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Performance Limitations

ℹ️ Large Universe Performance

Status: Known Limitation Mitigation: Use efficient filtering

Description: Pipeline API performance degrades with very large universes (>5000 assets).

Recommendations: - Pre-filter universes to relevant assets - Use coarse filters before expensive computations - Consider incremental universe updates - Use data caching for repeated backtests

See: Performance Optimization Guide

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Testing and Validation Limitations

ℹ️ No Built-In Walk-Forward Testing for Live Trading

Status: Design Decision Workaround: Shadow trading mode

Description: Walk-forward optimization is available for backtesting but not automatically for live trading.

Recommendation: Use shadow trading mode to validate strategies with live data before enabling real trading.

See: Shadow Trading Guide

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Future Roadmap

Planned for v0.2.0

• ✅ Order modification API
• ✅ Full OCO sibling linking
• ✅ Trailing stop-limit orders
• ✅ AverageTrueRange factor
• ✅ Enhanced multi-timeframe support

Planned for v0.3.0

• ✅ Options trading support
• ✅ Futures spread trading
• ✅ Advanced portfolio analytics
• ✅ Machine learning integration

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Reporting Issues

Found a limitation not listed here?

1. Check the Issues: https://github.com/rustybt/rustybt/issues
2. Create a New Issue: Use the "Feature Request" template
3. Discussions: https://github.com/rustybt/rustybt/discussions

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Contributing

Want to help implement these features?

See Docstring Style Guide for: - Development setup - Code standards - Pull request process - Feature proposal guidelines

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Last Updated: 2025-11-07 Version: 0.1.2