@Jame,
Thanks for taking the time to ask us about this behavior.
The behavior you are seeing is the result of the slippage model we use by default. It was originally designed for minute bar data, and the behavior is described in the FAQ:
Our backtester runs an event loop once per historical minute. Every
run of the loop loads the data for that minute and executes your
algorithm. If the algorithm calls for a buy or a sell, that order is
placed. If there are any open orders, the backtester attempts to fill
them. (Note, an order that is placed in one event loop is not filled
in that loop; it is filled in the next loop. That prevents any
look-ahead bias from leaking into your algorithm.)
The "feature" here is keeping your backtest free of lookahead bias - it ensures that your orders are not placed with knowledge of the fill price. This model works well with minutes, but comes up often as a point of confusion during day bar tests. Here is another thread where Dan Dunn is fielding the same question. Dan points out another much-needed feature: API access to your current open orders.
We are trying to consolidate the discussion of this issue in this one thread - please chime in there!
thanks,
fawce
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