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Wrong fill price with Market Orders?

I did some backtesting today and noticed that with Market Orders I get fill prices that often times can't possibly be right because there are differences of 3, 4 or even more pips from the open price of the candle where it is supposed to be near at.

So, with this

ticket = MarketOrder(symbol, 1000);

Debug("Fill Price: " + ticket.AverageFillPrice);

I get fill prices way too far away from where they should be. I mean, I am working with EURUSD, the most liquid forex pair out there with only a micro lot, there shouldn't any notable slippage or whatever.

What is going on here? Is this due to QuantConnect modelling in fees and slippage? But even then, this is often too much.

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Maybe I should say that I am working with 3 minute consolidated bars. Does this have to do something with the phenomenon I described above? At what time is a market order actually placed? At the opening of the candle?

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