Sorry if this seems daft, but it's my first go at using QuantConnect.

When I run the attached strategy, the log looks like this:
2014-01-01 00:00:00 Launching analysis for 2ef32a341854ccc1f2531613eee2ab4c with LEAN Engine v2.1.4.3
2014-01-02 10:04:00 Renko 2014-01-02T10:01:00.0000000 - OHLC[177.40, 177.40, 177.35, 177.35] - SMA - 177.46896231875996450295379663
2014-01-02 10:05:00 Renko 2014-01-02T10:03:00.0000000 - OHLC[177.35, 177.35, 177.30, 177.30] - SMA - 177.44482484465139814538896854
2014-01-02 10:06:00 Renko 2014-01-02T10:04:00.0000000 - OHLC[177.30, 177.30, 177.25, 177.25] - SMA - 177.41699272398691269604768732
2014-01-02 10:07:00 Renko 2014-01-02T10:05:00.0000000 - OHLC[177.25, 177.25, 177.20, 177.20] - SMA - 177.38599376341735373946944627
2014-01-02 10:10:00 Renko 2014-01-02T10:06:00.0000000 - OHLC[177.20, 177.25, 177.194293227, 177.25] - SMA - 177.36656608292916034811666823
2014-01-02 10:11:00 Renko 2014-01-02T10:09:00.0000000 - OHLC[177.25, 177.30, 177.25, 177.30] - SMA - 177.35705664251070886981428706
2014-01-02 10:13:00 Renko 2014-01-02T10:10:00.0000000 - OHLC[177.30, 177.35, 177.30, 177.35] - SMA - 177.35604855072346474555510319
2014-01-02 10:14:00 Renko 2014-01-02T10:12:00.0000000 - OHLC[177.35, 177.40, 177.35, 177.40] - SMA - 177.36232732919154121047580273
2014-01-02 10:14:00 BUY >> 177.426260883
2014-01-02 10:22:00 Renko 2014-01-02T10:13:00.0000000 - OHLC[177.40, 177.40, 177.35, 177.35] - SMA - 177.36056628216417818040783091
2014-01-02 10:22:00 SELL >> 177.339273012
2014-01-02 10:23:00 Renko 2014-01-02T10:21:00.0000000 - OHLC[177.35, 177.35, 177.30, 177.30] - SMA - 177.35191395614072415463528364
2014-01-02 10:26:00 Renko 2014-01-02T10:22:00.0000000 - OHLC[177.30, 177.30, 177.25, 177.25] - SMA - 177.33735481954919213254452884
2014-01-02 10:28:00 Renko 2014-01-02T10:25:00.0000000 - OHLC[177.25, 177.30, 177.25, 177.30] - SMA - 177.33201841675645039932388187
2014-01-02 10:32:00 Renko 2014-01-02T10:27:00.0000000 - OHLC[177.30, 177.310277055, 177.25, 177.25] - SMA - 177.32030150007695748513475589
2014-01-02 10:42:00 Renko 2014-01-02T10:31:00.0000000 - OHLC[177.25, 177.30, 177.213623865, 177.30] - SMA - 177.31740128578024927297264791
2014-01-02 10:43:00 Renko 2014-01-02T10:41:00.0000000 - OHLC[177.30, 177.35, 177.30, 177.35] - SMA - 177.32205824495449937683369821


As you can see from the Buy, the buy price is 177.42, but the following Renko Bar has a high of 177.40, so I'm getting filled at what feels like an inconsistent price. But looking at the time of the log versus the time of the Renko bars, they look inconsistent too. I can't tell whether it's a problem with my code, the Renko consolidator, or the Purchasing logic.

Any help understanding this would be greatly appreciated.