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I am using a ConstantFeeModel of 0.0 and a slippage model as well of 0.0. Hence I expected the fill price of market order to be exactly same as closing price. But even then there's a difference in both of about 0.01. Could you please let me know what could be the reason behind this. Example:
Log:
2020-07-08 09:31:00 :Entered Short Position at 2020-07-08 09:31:00 at its Close(313.196130625)
Order:
2020-07-08 09:31:00SPYSell MarketFill: $313.1861705 USD
-318Filled
As shown above, Close:313.1961..., Fill: 313.1861..., a difference of about 0.01, have noticed this difference in all fills. How can I make these same?
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