Order Date Issue

I did backtesting for a simple buying SPY strategy for various start date on minute resolution and daily resolution respectively. The following chart is the SPY price data and order data. My question is about the orders of SetStartDate(2022,10,2) and SetStartDate(2022,10,3) on Daily Resolution marked red in the chart. Why these orders could not be filled by calendar 2022-10-03 Monday's price? Thanks.

Hi KevinW ,

QuantConnect/Lean is data-driven, so when we set the start date when the market is closed (Saturday and Sunday for US Equities), the first data point arrives on Monday. Since the algorithm is subscribing to daily data, the first data point (a trade bar in this case) is timestamped with Tuesday at midnight. Please check out Key Concepts > Time Modeling > Periods for details.

Best regards,
Alex

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