Do Market On Open orders not fill in the backtester until the end of the trading day?  I am testing around with them, and in my function that runs before 16 min before the close, self.Portfolio['SPY'].Quantity is zero, even though in the Trades tab I can see that my Market On Open against 'SPY' order got filled that day.  However, I am logging order update messages, and all of my fill messages corresponding to my Market On Open order are logged with a timestamp after market close (which I guess matches up with me not seeing any quantity in my SPY position).