|Fill price is last bar close when send order at OnBarOpen
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|Author:||wukan [ Sat Nov 30, 2019 3:25 pm ]|
|Post subject:||Fill price is last bar close when send order at OnBarOpen|
I have only daily bars no trades,
I send market order at begin of the day, but filled at yesterday close.
If i send order after stock dividend, the error is too big.
public class Backtest : Scenario
public Backtest(Framework framework)
public override void Run()
Instrument instrument1 = InstrumentManager.Instruments["TEST"];
// Create SMA Crossover strategy
strategy = new MyStrategy(framework, "SMACrossover");
// Add instruments
// Set simulation interval
this.DataSimulator.SubscribeAll = true;
// Run the strategy
public class MyStrategy : InstrumentStrategy
public MyStrategy(Framework framework, string name)
: base(framework, name)
protected override void OnBarOpen(Instrument instrument, Bar bar)
OrderManager export to csv:
DateTime,Provider,Symbol,Side,SubSide,Type,Qty,Avg. Price,Price,Stop Price,Status,Text
Or, Could you provide an interface for user to control the fill price and fill qty.
|Author:||skuvv [ Mon Dec 02, 2019 12:26 pm ]|
|Post subject:||Re: Fill price is last bar close when send order at OnBarOpe|
Hi, problem will be fixed in next release.
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