I'm trying to run a backtet with futures where we look at EOD data and, based on various metrics, create an MOO order for the next day.  I understand that QC doesn't support MOO's on Futures.  Every example of how to make this work I've seen isn't filling with the open price of the following day.  Specfiically:

 

  • if I place a market order on 2/4 17:00 (the on_data call with daily data) then order is filled using the close (+1 tick usually) of the 2/4 bar, not the open of the 2/5 bar.
  • if I schedule an event to run on the open (or 1, 2, 15, anything after the open) with daily bars and place a mrket order the close of the 2/4 bar is used an a “stale data” message is attached to the fill.
  • if I use a stop or limit order way off the market and the 2/5 open is through it, the high or low price of the day is used and not the open
  • If I change the resolution to .Minute I can get the open of the bar 1 minute into the session, but still not the actual open

 

This can't be a unique situation or scenario and I feel like the answer should be obvious but I cannot seem to work it out.

Any help is much apprecaited.