[fawce]

Our backtester is event driven. During any closure, there are no events, so we simply "fast forward" through the closure and send your algorithm the next available event.

We provide a facility for working with trailing windows as pandas dataframes, which are updated by the events. You can control whether those trailing windows have NaN values for missing bars, or if values are filled forward. You'd keep the NaNs if you want your algo to be aware of empty bars (stock is held, thinly traded, etc). You keep the fill forward if you want to avoid coding guards on NaNs :).