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Hi QC Community,
I have had a great time learning how to use the Quantconnect platform over the last few months, and I really appreciate the community support. Nice work QC team!
When reviewing my backtest I am trying to validate the “fill price” of trades that occur after hours. Currently, my backtest order fills that do not have tick data readily available use “trade bar data” which is an aggregation of the tick data for a period of time. e.g. No quote information available at 09/12/2011 10:00:00 America/New_York (end period), order filled using TradeBar data.
My question. Is there a way of logging the specific tick data (time and price) that the QC algorithm uses when no quote information is available and orders are filled using TradeBar data?
Thanks,
Caliphe
Louis Szeto
Hi Caliphe
It is possible to log that by adding the following line in the OnOrderEvent method:
Note that Hour resolution data has no quote bar data (level 1 data), it is only available in Minute/Second/Tick resolution, so we recommend using that for more accurate filling.
Best
Louis
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