I'm working on my first algorithm based upon the VIX/VXY ratios in the samples from this thread:


I have the data pulling in properly however it appears that there is forward bias in executing the trades during backtesting. For example, the algorithm fires a sell signal based on end of day data on 1/26 and issues a market on open order but that order is filled based upon opening prices on 1/26. I changed the frequency for the custom data import to daily and also modified the time property for the custom data to be at 5 PM as opposed to 00:00. Both the log entries for my slice events and the trade history shows the events occurring at 5 PM.

Any assistance / observations about using daily custom data in a backtesting scenario would be greatly appreciated!