HI guys,

I ran some back tests and live trading (IB) for the same ago and observed differences. I would like to make the back testing more realistic. Here is what happens:

Assume I run on 1 sec resolution and current price of the "abc" security is $10.00 and I have custom slippage e.g. 0.03%

Backtesting: when i send limit order to buy at $10.05, the fill price is $10.00 - it seems that it takes current closing price, since it is within the  buy limit.

Live run: it fills at e.g. $10.04

Is it possible in backtesting to change the orders fills to happen on the next bar, e.g. to set this somehow  during initialization ? This will make it a bit more realistic.

Other ideas a very welcome!