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I have read that Daily Resolution just uses the close data. However, when I use the daily resolution in backtests, it seems to give different results for the same day.
Attached is an example where every day I buy a stock on 0935 and place a sell order after market hours to be executed on market open. The buy and sell orders on the same day execute at different prices, and it can't possibly be the bid-ask spread because the algo makes a slight profit.
Could someone kindly explain to me my misconception about how Daily Resolution works?.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The sell order is scheduled at 16:15 when the market is closed. There is no price data for the symbol. "self.SetHoldings()" will convert the market order to the MakretOnOpen() order and the order will be executed when the market is open the next day. Therefore, the sell orders are executed at the daily open price on the next day.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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