Hi,

I made a simple backtest to illustrate my point: I sent a stop limit order to buy EURUSD with a limit 100 pips greater than my stop price. I get a fill at the limit price, when the expected should be at the stop price plus slippage.

I would also like to comment on the Demo at 

github.com/QuantConnect/Lean/blob/master/Algorithm.Python/OrderTicketDemoAlgorithm.py

where it sends a buy stop order with limit price below the stop price, which is rarely the use case.

Regards,

Jonas.

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