Silent order cancellation for absolute-sized orders with insufficient margin (no warning emitted)

[ZaToJa]

Expected behavior

A UserWarning should be emitted (matching the fractional-size path), e.g.:

UserWarning: time=N: Broker canceled the order (size=4) due to insufficient margin.

Code sample

Actual behavior

Silent order cancellation

Additional info, steps to reproduce, full crash traceback, screenshots

Description

When an order with absolute size (integer or float ≥ 1) is cancelled due to insufficient margin, the broker silently removes it with no feedback to the user. This is inconsistent with the behavior for fractional sizes (-1 < size < 1), which correctly emit a UserWarning.

Affected code (_Broker._process_orders):

If we don't have enough liquidity to cover for the order, the broker CANCELS it

if abs(need_size) * adjusted_price_plus_commission > self.margin_available * self._leverage:
self.orders.remove(order)
continue # no warning here
Compare with the fractional-size path, which does warn:

if not size:
warnings.warn(
f'time={self._i}: Broker canceled the relative-sized '
f'order due to insufficient margin.', category=UserWarning)
self.orders.remove(order)
continue
How to reproduce

Run a backtest where the absolute position size × price exceeds available cash. For example, cash=100_000 with buy(size=4) at a price of ~27,000 (NQ futures-like data). The order is silently dropped every bar — no exception, no warning, no indication in stats.

Expected behavior

A UserWarning should be emitted (matching the fractional-size path), e.g.:

UserWarning: time=N: Broker canceled the order (size=4) due to insufficient margin.
Suggested fix

if abs(need_size) * adjusted_price_plus_commission > self.margin_available * self._leverage:
warnings.warn(
f'time={self._i}: Broker canceled the order (size={need_size}) '
f'due to insufficient margin.', category=UserWarning)
self.orders.remove(order)
continue

Software versions

• backtesting.__version__:
• pandas.__version__:
• numpy.__version__:
• bokeh.__version__:
• OS:

[ZaToJa]

Suggested fix

         # If we don't have enough liquidity to cover for the order, the broker CANCELS it
        if abs(need_size) * adjusted_price_plus_commission > \
                self.margin_available * self._leverage:
            warnings.warn(
                f'time={self._i}: Broker canceled the order (size={need_size}) due to insufficient margin.', category=UserWarning)
            self.orders.remove(order)
            continue

in backtesting.py line ~999