I'm doing some homework on the Overnight Anomaly (https://quantpedia.com/strategies/overnight-anomaly/). One thing I've noticed is that, whereas MarketOrders filled during the trading day seem to rely on Quotes to provide a bid/ask spread, MarketOnClose and MarketOnOpen orders seem to have no bid/ask spread.

The net result is that the strategy backtest seems to exclude the spread cost inherent in the Overnight strategy. Even though it's only ~$0.01 during market hours for SPY, over 252 trading days that adds up to ~60-70bps of drag in return, bringing the Sharpe ratio more in line with a simple SPY buy-and-hold.

Am I reading the backtest Order fill results properly that MarketOnOpen and MarketOnClose orders have no bid/ask? If so, does this model reality, or is it just a Quantconnect convention?

See attached a version of the Overnight Anomaly book that doesn't rely on MarketOnClose.