Market order placed at 1am doesn't execute until 2 trading sessions later

On Day 1, the order ticket is returned with status Invalid (7), possibly because we haven't gotten the first data bar yet. This post suggests that we need the first data bar before we can place a trade.

It appears that universe selection occurs around 4am-6am when live trading. What if a new security was added to our universe and we want to buy it on market open or as close to that as possible? Would we have to subscribe to tick data and then place the order after the first tick?

Hi Mike

You may place a Market On Open order within the OnSecuritiesChanged handler. Refer to the attached backtest for reference.

# 2022-10-04 00:00:00 universe selection done.
# 2022-10-04 00:00:00 ordered 1 share of SPY.
# 2022-10-04 09:31:00 filled 1 share of SPY.

Best
Louis

Thanks for looking at this. If you change the resolution to daily and rerun the backtest, then SPY is purchased two days in a row instead of just once, which doesn't seem right.

The first purchase shows as filled at 2022-10-05 00:00:00, which means it must have filled on 2022-10-04 during the trading day. Universe selection, when you check whether we are invested in SPY, is also done at 2022-10-05 00:00:00, but immediately before the order, which is probably why it looks like we aren't yet invested, even though we are. I think the problem is that universe selection is occurring before we get the daily bar in the backtest, although the sequence would be reversed during live trading.

Is this a problem or working as expected? My preference is for the sequence in backtesting to  match that of live trading.

Hi Mike

We have no choice but to use a denser resolution (e.g. hour) since the algorithm had not filled the previous order yet:

Day 1 00:00 <- coarse selection <slice 1>
Day 1 00:00 <- place MOO order (1) [Not invested]
Day 2 00:00 <- coarse selection <slice 2>
Day 2 00:00 <- place MOO order (2) [Not invested]
Day 2 00:00 <- get data slice and fill the order (1) <slice 3>
Day 3 00:00 <- coarse selection [did not place order since invested] <slice 4>
Day 3 00:00 <- get data slice and fill the order (2) <slice 5>

This of course only happened in backtest. In live trading, your MOO order (1) will be already active at Day 1 00:00, and shall be filled by your broker at Day 1 09:30.

Best
Louis

Thanks for explaining the difference between backtest and live trading results. I've since run a test on a live trading node that verifies that it behaves correctly as you described. Still would be nice if the results were consistent between live trading and backtesting.