MOO/MOC and Opening/Closing Auction in backtest

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Hey team

Great to see the QC product continuing to improve this year with L1 equity data and the open-close auction prices available for research and backtesting now. I'm noticing that market on open orders are still executing at the bid/ask price however e.g. sell market on open order for the below ticker is filled in backtest at $16.630779932 which seems to be the bidopen value of the bar at 9:31. Is this expected behavior, as I would've assumed the open value of the bar should be the official open?

I note there are a few threads and github issues about this so is this still a fill/execution modelling issue, not a data issue? If so how do we work around this in the meantime?

https://www.quantconnect.com/forum/discussion/8705/market-on-close-fill-price/p1https://github.com/QuantConnect/Lean/issues/4567 askclose askhigh asklow \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.945829 17.213144 16.936282
2018-07-06 09:32:00 16.936282 16.945829 16.936282
2018-07-06 09:33:00 16.936282 16.936282 16.936282
2018-07-06 09:34:00 16.926735 16.936282 16.926735
2018-07-06 09:35:00 16.917188 16.926735 16.917188

askopen asksize bidclose \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 17.213144 200.0 16.802625
2018-07-06 09:32:00 16.945829 400.0 16.850360
2018-07-06 09:33:00 16.936282 400.0 16.850360
2018-07-06 09:34:00 16.936282 200.0 16.850360
2018-07-06 09:35:00 16.926735 100.0 16.850360

bidhigh bidlow bidopen \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.821719 16.630780 16.630780
2018-07-06 09:32:00 16.850360 16.802625 16.802625
2018-07-06 09:33:00 16.850360 16.850360 16.850360
2018-07-06 09:34:00 16.850360 16.850360 16.850360
2018-07-06 09:35:00 16.850360 16.850360 16.850360

bidsize close high \
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 2400.0 16.783531 16.993564
2018-07-06 09:32:00 200.0 16.783531 16.993564
2018-07-06 09:33:00 200.0 16.783531 16.993564
2018-07-06 09:34:00 200.0 16.783531 16.993564
2018-07-06 09:35:00 200.0 16.850360 16.850360

low open volume
symbol time
AVX R735QTJ8XC9X 2018-07-06 09:31:00 16.783531 16.993564 6015.0
2018-07-06 09:32:00 16.783531 16.993564 0.0
2018-07-06 09:33:00 16.783531 16.993564 0.0
2018-07-06 09:34:00 16.783531 16.993564 0.0
2018-07-06 09:35:00 16.850360 16.850360 120.0
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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.


Hi P Chen,

We are working on the fill model so that the MOO and MOC fill at opening and closing auction prices in the backtest. See this PR to track the progress of this issue.

Best,
Shile Wen

1

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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0

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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