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I tried the same DayTradeTest algorithm both in the cloud and on my local machine. It was run on minute resolution. The algorithm bought 1 share of AAPL on 9:40am, June 5, 2014 and submitted a MarketOnCloseOrder. But:
In the cloud:
The MarketOnCloseOrder() was filled at the price of $647.35, which is the close price of the 15:59-16:00 minute bar. (I use Debug() in OnData() to verify the close price of that bar)
In my local machine:
I tried the same algorithm in my local environment The MarketOnCloseOrder() was also filled at $647.35. But according to the downloaded data, it was the close price of the 15:58-15:59 bar.
I don't mind the difference of the prices between the cloud data and local data. But I do concern that in the local backtest, the MarketOnCloseOrder was NOT filled at the price of the 5:59-16:00 bar.
謝永德
I just realized that I made a mistake about the post. The problem actually is:
In the downloaded sample AAPL minute data, on June 5, 2014:
15:58-15:59, Close=647.35
15:59-16:00, Close=646.93
During the backtest, the LEAN engine, in the OData() function, when the end time of the bar became 16:00, the close price was 647.35, instead of 646.93.
謝永德
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