Different order prices

Based on the provided code, it seems like the algorithm is using a ClassicRenkoConsolidator to create Renko bars. The ClassicRenkoConsolidator produces a new bar that spans a specified amount (in this case, self.td) every time an asset closes that amount away from the close of the previous bar. If the price jumps multiple dollars in a single tick, the ClassicRenkoConsolidator only produces one bar per time step where the open of each bar matches the close of the previous bar.

The order prices may vary from the open and closing price of the Renko consolidator due to the nature of Renko bars. Renko bars are price movement based, not time-based. This means that a new bar is only created when the price moves a certain amount, not after a certain amount of time. Therefore, the open and close prices of the Renko bars may not align with the actual open and close prices of the asset for a given time period.

Also, it's important to note that the ClassicRenkoConsolidator ignores the volume of the input data and enforces the open and close of each bar to be a multiple of the bar size. This could also contribute to the difference in prices.

If you want the Renko bars to be more reflective of the actual price movements, you might want to consider using a different type of consolidator or adjusting the bar size. For example, the RenkoConsolidator produces Renko bars by their traditional definition, which might give you results that are more in line with what you're expecting.

Here is the code snippet for creating a ClassicRenkoConsolidator:

# Create a Classic Renko consolidator that emits a bar when the price moves $1
self.consolidator = ClassicRenkoConsolidator(1)

And here is how you can add an event handler to the consolidator:

self.consolidator.DataConsolidated += self.consolidation_handler

For more information, you can refer to the Classic Renko Consolidators and Renko Consolidators sections in the QuantConnect documentation.