I'm seeing a few unintended behaviors with this algorithm.  Here are three examples of the unintended behaviors that I'm seeing on several of the orders from the backtest:

  1. There is a purchase of 72 shares of AFL at a share price of 40.5091 on 7/15.  The share price of AFL never reached above 36.64 on 7/15 according to Yahoo Finance.  (A similar thing happens on LYB.)
  2. 178 shares of EQ were purchased at a HOD break at a share price of 16.42 at 14:03.17 on 7/15.  I believe that's 10:03am.  Previous to 10:03, the HOD was 16.00.  Why did the algorithm not purchase at 16.01 or 16.02 or 16.03 etc?  Why did it wait all the way until 16.42 to purchase?  Is that all just slippage?  (A similar thing happens on BOXL and WIMI.)
  3. Why did the algorithm stop trading BE after 14:14 (share price of $15.8) on 7/15?  BE continued breaking through to new HOD marks all the way up to a share price of $18.26.
Thank you!